@xapy/orderbook 0.1.6 → 0.1.7

package/dist/index.js

@@ -1616,94 +1616,61 @@ async function fetchCoinexOrderbook(opts) {
 }
 
 // src/exchanges/coinex/ws.ts
-var WS_SPOT5 = "wss://socket.coinex.com/v2/spot";
-var WS_FUTURES2 = "wss://socket.coinex.com/v2/futures";
+var WS_SPOT5 = "wss://socket.coinex.com/";
+var WS_FUTURES2 = "wss://perpetual.coinex.com/";
 function streamCoinexOrderbook(opts) {
   const market = toCoinexSymbol(opts.symbol);
   const depth = opts.depth ?? 50;
   const merger = new BookMerger();
+  let seq = 0;
   let ws = null;
   const stream = new OrderbookStream(() => ws?.close());
-  const subscribeDepth = JSON.stringify({
+  const subscribePayload = JSON.stringify({
     method: "depth.subscribe",
-    params: {
-      // [market, limit, interval, diff_flag] — diff_flag=true → snapshots only
-      // (CoinEx flips the sense of the flag in V2; our handler treats every
-      // frame as a snapshot to stay correct under either reading).
-      market_list: [[market, depth, "0", true]]
-    },
+    params: [market, depth, "0", true],
     id: 1
   });
-  const subscribeBbo = JSON.stringify({
-    method: "bbo.subscribe",
-    params: { market_list: [market] },
-    id: 2
-  });
-  let lastMerged = null;
-  let lastTicker = null;
-  const emitOverlayed = () => {
-    if (!lastMerged) return;
-    let bids = lastMerged.bids;
-    let asks = lastMerged.asks;
-    let timestamp = lastMerged.timestamp;
-    let sequence = lastMerged.sequence;
-    if (lastTicker) {
-      bids = overlayBid2(bids, lastTicker.bid);
-      asks = overlayAsk2(asks, lastTicker.ask);
-      if (lastTicker.ts > timestamp) {
-        timestamp = lastTicker.ts;
-        sequence = Math.max(sequence, lastTicker.ts);
-      }
-    }
+  const pingPayload = () => JSON.stringify({ method: "server.ping", params: [], id: 11 });
+  const emit = (r) => {
     const book = {
       exchange: "coinex",
       symbol: fromCoinexSymbol(market),
       market: opts.market,
-      bids,
-      asks,
-      timestamp,
-      sequence
-    };
-    stream.emit("update", book);
-  };
-  const handleDepth = (d) => {
-    if (d.market !== market) return;
-    const inner = d.depth;
-    const r = merger.apply({
-      kind: "snapshot",
-      bids: inner.bids.map(([p, s]) => ({
-        price: Number(p),
-        size: Number(s)
-      })),
-      asks: inner.asks.map(([p, s]) => ({
-        price: Number(p),
-        size: Number(s)
-      })),
-      sequence: inner.updated_at,
-      timestamp: inner.updated_at
-    });
-    if (!r.ok) return;
-    lastMerged = {
       bids: r.bids,
       asks: r.asks,
       timestamp: r.timestamp,
       sequence: r.sequence
     };
-    emitOverlayed();
+    stream.emit("update", book);
   };
-  const handleBbo = (b) => {
-    if (b.market !== market) return;
-    const bidPrice = Number(b.best_bid_price);
-    const askPrice = Number(b.best_ask_price);
-    const bidSize = Number(b.best_bid_size);
-    const askSize = Number(b.best_ask_size);
-    if (!Number.isFinite(bidPrice) || !Number.isFinite(askPrice)) return;
-    lastTicker = {
-      bid: { price: bidPrice, size: bidSize },
-      ask: { price: askPrice, size: askSize },
-      ts: b.updated_at
+  const handleDepthPush = (push) => {
+    const [clean, payload, mkt] = push;
+    if (mkt !== market) return;
+    const bids = parseLevels(payload.bids);
+    const asks = parseLevels(payload.asks);
+    const event = clean ? {
+      kind: "snapshot",
+      bids,
+      asks,
+      sequence: ++seq,
+      timestamp: payload.time
+    } : {
+      kind: "delta",
+      bids,
+      asks,
+      sequence: ++seq,
+      timestamp: payload.time
     };
-    emitOverlayed();
+    const r = merger.apply(event);
+    if (r.ok) {
+      emit(r);
+      return;
+    }
+    if (r.reason === "no-snapshot") return;
+    if (r.reason === "gap") {
+      merger.reset();
+      seq = 0;
+    }
   };
   const handlePayload = (text) => {
     let msg;
@@ -1713,32 +1680,31 @@ function streamCoinexOrderbook(opts) {
       return;
     }
     if (msg.id != null && !msg.method) return;
-    if (!msg.data || !msg.method) return;
-    if (msg.method === "depth.update") {
-      handleDepth(msg.data);
-    } else if (msg.method === "bbo.update") {
-      handleBbo(msg.data);
-    }
-  };
-  const onMessage = async (raw) => {
-    if (typeof raw === "string") {
-      handlePayload(raw);
+    if (msg.error) {
+      stream.emit(
+        "error",
+        new Error(`coinex: ${msg.error.code} ${msg.error.message}`)
+      );
       return;
     }
-    const inflate = await getGzipInflate();
-    handlePayload(inflate(raw));
+    if (msg.method === "depth.update" && Array.isArray(msg.params)) {
+      handleDepthPush(msg.params);
+    }
+  };
+  const onMessage = (raw) => {
+    if (typeof raw !== "string") return;
+    handlePayload(raw);
   };
   ws = new WSClient({
     url: opts.market === "spot" ? WS_SPOT5 : WS_FUTURES2,
     onOpen: (sock) => {
       merger.reset();
-      lastMerged = null;
-      lastTicker = null;
-      sock.send(subscribeDepth);
-      sock.send(subscribeBbo);
+      seq = 0;
+      sock.send(subscribePayload);
     },
-    onMessage
-    // Native WS ping/pong frames keep the connection alive — no app-level ping.
+    onMessage,
+    pingIntervalMs: 25e3,
+    pingPayload
   });
   ws.on("open", () => stream.emit("connected"));
   ws.on("close", (r) => stream.emit("disconnected", r));
@@ -1747,31 +1713,11 @@ function streamCoinexOrderbook(opts) {
   ws.connect().catch((e) => stream.emit("error", e));
   return stream;
 }
-function overlayAsk2(asks, top) {
-  if (!(top.size > 0)) return asks;
-  let i = 0;
-  for (; i < asks.length; i++) {
-    const level = asks[i];
-    if (!level || level.price >= top.price) break;
-  }
-  const at = asks[i];
-  if (at && at.price === top.price) {
-    return [{ price: top.price, size: top.size }, ...asks.slice(i + 1)];
-  }
-  return [{ price: top.price, size: top.size }, ...asks.slice(i)];
-}
-function overlayBid2(bids, top) {
-  if (!(top.size > 0)) return bids;
-  let i = 0;
-  for (; i < bids.length; i++) {
-    const level = bids[i];
-    if (!level || level.price <= top.price) break;
-  }
-  const at = bids[i];
-  if (at && at.price === top.price) {
-    return [{ price: top.price, size: top.size }, ...bids.slice(i + 1)];
-  }
-  return [{ price: top.price, size: top.size }, ...bids.slice(i)];
+function parseLevels(rows) {
+  if (!rows) return [];
+  const out = [];
+  for (const [p, s] of rows) out.push({ price: Number(p), size: Number(s) });
+  return out;
 }
 
 // src/exchanges/coinex/index.ts
@@ -2469,8 +2415,8 @@ async function fetchKucoinOrderbook(opts) {
       exchange: "kucoin",
       symbol: fromKucoinSpotSymbol(symbol2),
       market: "spot",
-      bids: parseLevels(res2.data.bids),
-      asks: parseLevels(res2.data.asks),
+      bids: parseLevels2(res2.data.bids),
+      asks: parseLevels2(res2.data.asks),
       timestamp: res2.data.time,
       sequence: Number(res2.data.sequence)
     };
@@ -2489,13 +2435,13 @@ async function fetchKucoinOrderbook(opts) {
     exchange: "kucoin",
     symbol: fromKucoinFuturesSymbol(symbol),
     market: "perpetual",
-    bids: parseLevels(res.data.bids),
-    asks: parseLevels(res.data.asks),
+    bids: parseLevels2(res.data.bids),
+    asks: parseLevels2(res.data.asks),
     timestamp: res.data.ts,
     sequence: res.data.sequence
   };
 }
-function parseLevels(rows) {
+function parseLevels2(rows) {
   return rows.map(([p, s]) => ({ price: Number(p), size: Number(s) }));
 }