@xapy/orderbook 0.1.9 → 0.1.22

package/dist/index.js

@@ -1616,61 +1616,93 @@ async function fetchCoinexOrderbook(opts) {
 }
 
 // src/exchanges/coinex/ws.ts
-var WS_SPOT5 = "wss://socket.coinex.com/";
-var WS_FUTURES2 = "wss://perpetual.coinex.com/";
+var WS_SPOT5 = "wss://socket.coinex.com/v2/spot";
+var WS_FUTURES2 = "wss://socket.coinex.com/v2/futures";
 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 subscribePayload = JSON.stringify({
+  const subscribeDepth = JSON.stringify({
     method: "depth.subscribe",
-    params: [market, depth, "0", true],
+    params: {
+      // [market, limit, interval, if_full] — `true` = every push is a full
+      // snapshot; the merger revalidates monotonic ordering by updated_at.
+      market_list: [[market, depth, "0", true]]
+    },
     id: 1
   });
-  const pingPayload = () => JSON.stringify({ method: "server.ping", params: [], id: 11 });
-  const emit = (r) => {
+  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 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
     };
-    stream.emit("update", book);
+    emitOverlayed();
   };
-  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
+  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 r = merger.apply(event);
-    if (r.ok) {
-      emit(r);
-      return;
-    }
-    if (r.reason === "no-snapshot") return;
-    if (r.reason === "gap") {
-      merger.reset();
-      seq = 0;
-    }
+    emitOverlayed();
   };
   const handlePayload = (text) => {
     let msg;
@@ -1680,31 +1712,32 @@ function streamCoinexOrderbook(opts) {
       return;
     }
     if (msg.id != null && !msg.method) return;
-    if (msg.error) {
-      stream.emit(
-        "error",
-        new Error(`coinex: ${msg.error.code} ${msg.error.message}`)
-      );
-      return;
-    }
-    if (msg.method === "depth.update" && Array.isArray(msg.params)) {
-      handleDepthPush(msg.params);
+    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 = (raw) => {
-    if (typeof raw !== "string") return;
-    handlePayload(raw);
+  const onMessage = async (raw) => {
+    if (typeof raw === "string") {
+      handlePayload(raw);
+      return;
+    }
+    const inflate = await getGzipInflate();
+    handlePayload(inflate(raw));
   };
   ws = new WSClient({
     url: opts.market === "spot" ? WS_SPOT5 : WS_FUTURES2,
     onOpen: (sock) => {
       merger.reset();
-      seq = 0;
-      sock.send(subscribePayload);
+      lastMerged = null;
+      lastTicker = null;
+      sock.send(subscribeDepth);
+      sock.send(subscribeBbo);
     },
-    onMessage,
-    pingIntervalMs: 25e3,
-    pingPayload
+    onMessage
+    // Native WS ping/pong frames keep the connection alive — no app-level ping.
   });
   ws.on("open", () => stream.emit("connected"));
   ws.on("close", (r) => stream.emit("disconnected", r));
@@ -1713,11 +1746,31 @@ function streamCoinexOrderbook(opts) {
   ws.connect().catch((e) => stream.emit("error", e));
   return stream;
 }
-function parseLevels(rows) {
-  if (!rows) return [];
-  const out = [];
-  for (const [p, s] of rows) out.push({ price: Number(p), size: Number(s) });
-  return out;
+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)];
 }
 
 // src/exchanges/coinex/index.ts
@@ -2415,8 +2468,8 @@ async function fetchKucoinOrderbook(opts) {
       exchange: "kucoin",
       symbol: fromKucoinSpotSymbol(symbol2),
       market: "spot",
-      bids: parseLevels2(res2.data.bids),
-      asks: parseLevels2(res2.data.asks),
+      bids: parseLevels(res2.data.bids),
+      asks: parseLevels(res2.data.asks),
       timestamp: res2.data.time,
       sequence: Number(res2.data.sequence)
     };
@@ -2435,13 +2488,13 @@ async function fetchKucoinOrderbook(opts) {
     exchange: "kucoin",
     symbol: fromKucoinFuturesSymbol(symbol),
     market: "perpetual",
-    bids: parseLevels2(res.data.bids),
-    asks: parseLevels2(res.data.asks),
+    bids: parseLevels(res.data.bids),
+    asks: parseLevels(res.data.asks),
     timestamp: res.data.ts,
     sequence: res.data.sequence
   };
 }
-function parseLevels2(rows) {
+function parseLevels(rows) {
   return rows.map(([p, s]) => ({ price: Number(p), size: Number(s) }));
 }
 
@@ -2609,13 +2662,13 @@ async function fetchBitmartOrderbook(opts) {
     exchange: "bitmart",
     symbol: fromBitmartSymbol(res.data.symbol),
     market: "perpetual",
-    bids: parseLevels3(res.data.bids),
-    asks: parseLevels3(res.data.asks),
+    bids: parseLevels2(res.data.bids),
+    asks: parseLevels2(res.data.asks),
     timestamp: res.data.timestamp,
     sequence: res.data.timestamp
   };
 }
-function parseLevels3(rows) {
+function parseLevels2(rows) {
   const out = [];
   for (const row of rows) {
     out.push({ price: Number(row[0]), size: Number(row[1]) });
@@ -2633,7 +2686,9 @@ function streamBitmartOrderbook(opts) {
     );
   }
   const symbol = toBitmartSymbol(opts.symbol);
-  const channelArg = opts.interval ? `futures/depth:${symbol}@${opts.interval}` : `futures/depth:${symbol}`;
+  const level = snapLevel(opts.depth);
+  const interval = opts.interval ?? "200ms";
+  const channelArg = `futures/depthAll${level}:${symbol}@${interval}`;
   const merger = new BookMerger();
   let ws = null;
   const stream = new OrderbookStream(() => ws?.close());
@@ -2646,10 +2701,10 @@ function streamBitmartOrderbook(opts) {
     if (frame.symbol !== symbol) return;
     const event = {
       kind: "snapshot",
-      bids: parseLevels4(frame.bids),
-      asks: parseLevels4(frame.asks),
-      sequence: frame.timestamp,
-      timestamp: frame.timestamp
+      bids: parseLevels3(frame.bids),
+      asks: parseLevels3(frame.asks),
+      sequence: frame.ms_t,
+      timestamp: frame.ms_t
     };
     const r = merger.apply(event);
     if (!r.ok) return;
@@ -2679,7 +2734,7 @@ function streamBitmartOrderbook(opts) {
       );
       return;
     }
-    if (msg.arg !== channelArg || !msg.data) return;
+    if (msg.group !== channelArg || !msg.data) return;
     handleFrame(msg.data);
   };
   const onMessage = async (raw) => {
@@ -2707,12 +2762,15 @@ function streamBitmartOrderbook(opts) {
   ws.connect().catch((e) => stream.emit("error", e));
   return stream;
 }
-function parseLevels4(rows) {
+function snapLevel(depth) {
+  if (depth === 5) return 5;
+  if (depth === 20) return 20;
+  return 50;
+}
+function parseLevels3(rows) {
   if (!rows) return [];
   const out = [];
-  for (const row of rows) {
-    out.push({ price: Number(row[0]), size: Number(row[1]) });
-  }
+  for (const r of rows) out.push({ price: Number(r.price), size: Number(r.vol) });
   return out;
 }