ccxt 4.1.49 → 4.1.51

package/dist/cjs/ccxt.js

@@ -183,7 +183,7 @@ var woo$1 = require('./src/pro/woo.js');
 
 //-----------------------------------------------------------------------------
 // this is updated by vss.js when building
-const version = '4.1.49';
+const version = '4.1.51';
 Exchange["default"].ccxtVersion = version;
 const exchanges = {
     'ace': ace,

package/dist/cjs/src/base/Exchange.js

@@ -3444,6 +3444,9 @@ class Exchange {
     async fetchOHLCVWs(symbol, timeframe = '1m', since = undefined, limit = undefined, params = {}) {
         throw new errors.NotSupported(this.id + ' fetchOHLCVWs() is not supported yet');
     }
+    async fetchGreeks(symbol, params = {}) {
+        throw new errors.NotSupported(this.id + ' fetchGreeks() is not supported yet');
+    }
     async fetchDepositsWithdrawals(code = undefined, since = undefined, limit = undefined, params = {}) {
         /**
          * @method
@@ -4604,6 +4607,9 @@ class Exchange {
         const symbol = this.safeString(market, 'symbol');
         return this.filterBySymbolSinceLimit(sorted, symbol, since, limit);
     }
+    parseGreeks(greeks, market = undefined) {
+        throw new errors.NotSupported(this.id + ' parseGreeks () is not supported yet');
+    }
 }
 
 exports.Exchange = Exchange;

package/dist/cjs/src/binance.js

@@ -71,6 +71,7 @@ class binance extends binance$1 {
                 'fetchFundingRate': true,
                 'fetchFundingRateHistory': true,
                 'fetchFundingRates': true,
+                'fetchGreeks': true,
                 'fetchIndexOHLCV': true,
                 'fetchL3OrderBook': false,
                 'fetchLastPrices': true,
@@ -9544,6 +9545,81 @@ class binance extends binance$1 {
             'datetime': this.iso8601(timestamp),
         });
     }
+    async fetchGreeks(symbol, params = {}) {
+        /**
+         * @method
+         * @name binance#fetchGreeks
+         * @description fetches an option contracts greeks, financial metrics used to measure the factors that affect the price of an options contract
+         * @see https://binance-docs.github.io/apidocs/voptions/en/#option-mark-price
+         * @param {string} symbol unified symbol of the market to fetch greeks for
+         * @param {object} [params] extra parameters specific to the binance api endpoint
+         * @returns {object} a [greeks structure]{@link https://github.com/ccxt/ccxt/wiki/Manual#greeks-structure}
+         */
+        await this.loadMarkets();
+        const market = this.market(symbol);
+        const request = {
+            'symbol': market['id'],
+        };
+        const response = await this.eapiPublicGetMark(this.extend(request, params));
+        //
+        //     [
+        //         {
+        //             "symbol": "BTC-231229-40000-C",
+        //             "markPrice": "2012",
+        //             "bidIV": "0.60236275",
+        //             "askIV": "0.62267244",
+        //             "markIV": "0.6125176",
+        //             "delta": "0.39111646",
+        //             "theta": "-32.13948531",
+        //             "gamma": "0.00004656",
+        //             "vega": "51.70062218",
+        //             "highPriceLimit": "6474",
+        //             "lowPriceLimit": "5"
+        //         }
+        //     ]
+        //
+        return this.parseGreeks(response[0], market);
+    }
+    parseGreeks(greeks, market = undefined) {
+        //
+        //     {
+        //         "symbol": "BTC-231229-40000-C",
+        //         "markPrice": "2012",
+        //         "bidIV": "0.60236275",
+        //         "askIV": "0.62267244",
+        //         "markIV": "0.6125176",
+        //         "delta": "0.39111646",
+        //         "theta": "-32.13948531",
+        //         "gamma": "0.00004656",
+        //         "vega": "51.70062218",
+        //         "highPriceLimit": "6474",
+        //         "lowPriceLimit": "5"
+        //     }
+        //
+        const marketId = this.safeString(greeks, 'symbol');
+        const symbol = this.safeSymbol(marketId, market);
+        return {
+            'symbol': symbol,
+            'timestamp': undefined,
+            'datetime': undefined,
+            'delta': this.safeNumber(greeks, 'delta'),
+            'gamma': this.safeNumber(greeks, 'gamma'),
+            'theta': this.safeNumber(greeks, 'theta'),
+            'vega': this.safeNumber(greeks, 'vega'),
+            'rho': undefined,
+            'bidSize': undefined,
+            'askSize': undefined,
+            'bidImpliedVolatility': this.safeNumber(greeks, 'bidIV'),
+            'askImpliedVolatility': this.safeNumber(greeks, 'askIV'),
+            'markImpliedVolatility': this.safeNumber(greeks, 'markIV'),
+            'bidPrice': undefined,
+            'askPrice': undefined,
+            'markPrice': this.safeNumber(greeks, 'markPrice'),
+            'lastPrice': undefined,
+            'underlyingPrice': undefined,
+            'info': greeks,
+        };
+    }
 }
 
 module.exports = binance;

package/dist/cjs/src/bybit.js

@@ -61,6 +61,7 @@ class bybit extends bybit$1 {
                 'fetchFundingRate': true,
                 'fetchFundingRateHistory': true,
                 'fetchFundingRates': true,
+                'fetchGreeks': true,
                 'fetchIndexOHLCV': true,
                 'fetchLedger': true,
                 'fetchMarketLeverageTiers': true,
@@ -7266,6 +7267,126 @@ class bybit extends bybit$1 {
         }
         return result;
     }
+    async fetchGreeks(symbol, params = {}) {
+        /**
+         * @method
+         * @name bybit#fetchGreeks
+         * @description fetches an option contracts greeks, financial metrics used to measure the factors that affect the price of an options contract
+         * @see https://bybit-exchange.github.io/docs/api-explorer/v5/market/tickers
+         * @param {string} symbol unified symbol of the market to fetch greeks for
+         * @param {object} [params] extra parameters specific to the bybit api endpoint
+         * @returns {object} a [greeks structure]{@link https://github.com/ccxt/ccxt/wiki/Manual#greeks-structure}
+         */
+        await this.loadMarkets();
+        const market = this.market(symbol);
+        const request = {
+            'symbol': market['id'],
+            'category': 'option',
+        };
+        const response = await this.publicGetV5MarketTickers(this.extend(request, params));
+        //
+        //     {
+        //         "retCode": 0,
+        //         "retMsg": "SUCCESS",
+        //         "result": {
+        //             "category": "option",
+        //             "list": [
+        //                 {
+        //                     "symbol": "BTC-26JAN24-39000-C",
+        //                     "bid1Price": "3205",
+        //                     "bid1Size": "7.1",
+        //                     "bid1Iv": "0.5478",
+        //                     "ask1Price": "3315",
+        //                     "ask1Size": "1.98",
+        //                     "ask1Iv": "0.5638",
+        //                     "lastPrice": "3230",
+        //                     "highPrice24h": "3255",
+        //                     "lowPrice24h": "3200",
+        //                     "markPrice": "3273.02263032",
+        //                     "indexPrice": "36790.96",
+        //                     "markIv": "0.5577",
+        //                     "underlyingPrice": "37649.67254894",
+        //                     "openInterest": "19.67",
+        //                     "turnover24h": "170140.33875912",
+        //                     "volume24h": "4.56",
+        //                     "totalVolume": "22",
+        //                     "totalTurnover": "789305",
+        //                     "delta": "0.49640971",
+        //                     "gamma": "0.00004131",
+        //                     "vega": "69.08651675",
+        //                     "theta": "-24.9443226",
+        //                     "predictedDeliveryPrice": "0",
+        //                     "change24h": "0.18532111"
+        //                 }
+        //             ]
+        //         },
+        //         "retExtInfo": {},
+        //         "time": 1699584008326
+        //     }
+        //
+        const timestamp = this.safeInteger(response, 'time');
+        const result = this.safeValue(response, 'result', {});
+        const data = this.safeValue(result, 'list', []);
+        const greeks = this.parseGreeks(data[0], market);
+        return this.extend(greeks, {
+            'timestamp': timestamp,
+            'datetime': this.iso8601(timestamp),
+        });
+    }
+    parseGreeks(greeks, market = undefined) {
+        //
+        //     {
+        //         "symbol": "BTC-26JAN24-39000-C",
+        //         "bid1Price": "3205",
+        //         "bid1Size": "7.1",
+        //         "bid1Iv": "0.5478",
+        //         "ask1Price": "3315",
+        //         "ask1Size": "1.98",
+        //         "ask1Iv": "0.5638",
+        //         "lastPrice": "3230",
+        //         "highPrice24h": "3255",
+        //         "lowPrice24h": "3200",
+        //         "markPrice": "3273.02263032",
+        //         "indexPrice": "36790.96",
+        //         "markIv": "0.5577",
+        //         "underlyingPrice": "37649.67254894",
+        //         "openInterest": "19.67",
+        //         "turnover24h": "170140.33875912",
+        //         "volume24h": "4.56",
+        //         "totalVolume": "22",
+        //         "totalTurnover": "789305",
+        //         "delta": "0.49640971",
+        //         "gamma": "0.00004131",
+        //         "vega": "69.08651675",
+        //         "theta": "-24.9443226",
+        //         "predictedDeliveryPrice": "0",
+        //         "change24h": "0.18532111"
+        //     }
+        //
+        const marketId = this.safeString(greeks, 'symbol');
+        const symbol = this.safeSymbol(marketId, market);
+        return {
+            'symbol': symbol,
+            'timestamp': undefined,
+            'datetime': undefined,
+            'delta': this.safeNumber(greeks, 'delta'),
+            'gamma': this.safeNumber(greeks, 'gamma'),
+            'theta': this.safeNumber(greeks, 'theta'),
+            'vega': this.safeNumber(greeks, 'vega'),
+            'rho': undefined,
+            'bidSize': this.safeNumber(greeks, 'bid1Size'),
+            'askSize': this.safeNumber(greeks, 'ask1Size'),
+            'bidImpliedVolatility': this.safeNumber(greeks, 'bid1Iv'),
+            'askImpliedVolatility': this.safeNumber(greeks, 'ask1Iv'),
+            'markImpliedVolatility': this.safeNumber(greeks, 'markIv'),
+            'bidPrice': this.safeNumber(greeks, 'bid1Price'),
+            'askPrice': this.safeNumber(greeks, 'ask1Price'),
+            'markPrice': this.safeNumber(greeks, 'markPrice'),
+            'lastPrice': this.safeNumber(greeks, 'lastPrice'),
+            'underlyingPrice': this.safeNumber(greeks, 'underlyingPrice'),
+            'info': greeks,
+        };
+    }
     sign(path, api = 'public', method = 'GET', params = {}, headers = undefined, body = undefined) {
         let url = this.implodeHostname(this.urls['api'][api]) + '/' + path;
         if (api === 'public') {

package/dist/cjs/src/cryptocom.js

@@ -55,6 +55,7 @@ class cryptocom extends cryptocom$1 {
                 'fetchFundingRate': false,
                 'fetchFundingRateHistory': true,
                 'fetchFundingRates': false,
+                'fetchGreeks': false,
                 'fetchIndexOHLCV': false,
                 'fetchLedger': true,
                 'fetchLeverage': false,

package/dist/cjs/src/delta.js

@@ -44,6 +44,7 @@ class delta extends delta$1 {
                 'fetchFundingRate': true,
                 'fetchFundingRateHistory': false,
                 'fetchFundingRates': true,
+                'fetchGreeks': true,
                 'fetchIndexOHLCV': true,
                 'fetchLedger': true,
                 'fetchLeverage': true,
@@ -3020,6 +3021,154 @@ class delta extends delta$1 {
         }
         return result;
     }
+    async fetchGreeks(symbol, params = {}) {
+        /**
+         * @method
+         * @name delta#fetchGreeks
+         * @description fetches an option contracts greeks, financial metrics used to measure the factors that affect the price of an options contract
+         * @see https://docs.delta.exchange/#get-ticker-for-a-product-by-symbol
+         * @param {string} symbol unified symbol of the market to fetch greeks for
+         * @param {object} [params] extra parameters specific to the delta api endpoint
+         * @returns {object} a [greeks structure]{@link https://github.com/ccxt/ccxt/wiki/Manual#greeks-structure}
+         */
+        await this.loadMarkets();
+        const market = this.market(symbol);
+        const request = {
+            'symbol': market['id'],
+        };
+        const response = await this.publicGetTickersSymbol(this.extend(request, params));
+        //
+        //     {
+        //         "result": {
+        //             "close": 6793.0,
+        //             "contract_type": "call_options",
+        //             "greeks": {
+        //                 "delta": "0.94739174",
+        //                 "gamma": "0.00002206",
+        //                 "rho": "11.00890725",
+        //                 "spot": "36839.58124652",
+        //                 "theta": "-18.18365310",
+        //                 "vega": "7.85209698"
+        //             },
+        //             "high": 7556.0,
+        //             "low": 6793.0,
+        //             "mark_price": "6955.70698909",
+        //             "mark_vol": "0.66916863",
+        //             "oi": "1.8980",
+        //             "oi_change_usd_6h": "110.4600",
+        //             "oi_contracts": "1898",
+        //             "oi_value": "1.8980",
+        //             "oi_value_symbol": "BTC",
+        //             "oi_value_usd": "69940.7319",
+        //             "open": 7.2e3,
+        //             "price_band": {
+        //                 "lower_limit": "5533.89814767",
+        //                 "upper_limit": "11691.37688371"
+        //             },
+        //             "product_id": 129508,
+        //             "quotes": {
+        //                 "ask_iv": "0.90180438",
+        //                 "ask_size": "1898",
+        //                 "best_ask": "7210",
+        //                 "best_bid": "6913",
+        //                 "bid_iv": "0.60881706",
+        //                 "bid_size": "3163",
+        //                 "impact_mid_price": null,
+        //                 "mark_iv": "0.66973549"
+        //             },
+        //             "size": 5,
+        //             "spot_price": "36839.58153868",
+        //             "strike_price": "30000",
+        //             "symbol": "C-BTC-30000-241123",
+        //             "timestamp": 1699584998504530,
+        //             "turnover": 184.41206804,
+        //             "turnover_symbol": "USDT",
+        //             "turnover_usd": 184.41206804,
+        //             "volume": 0.005
+        //         },
+        //         "success": true
+        //     }
+        //
+        const result = this.safeValue(response, 'result', {});
+        return this.parseGreeks(result, market);
+    }
+    parseGreeks(greeks, market = undefined) {
+        //
+        //     {
+        //         "close": 6793.0,
+        //         "contract_type": "call_options",
+        //         "greeks": {
+        //             "delta": "0.94739174",
+        //             "gamma": "0.00002206",
+        //             "rho": "11.00890725",
+        //             "spot": "36839.58124652",
+        //             "theta": "-18.18365310",
+        //             "vega": "7.85209698"
+        //         },
+        //         "high": 7556.0,
+        //         "low": 6793.0,
+        //         "mark_price": "6955.70698909",
+        //         "mark_vol": "0.66916863",
+        //         "oi": "1.8980",
+        //         "oi_change_usd_6h": "110.4600",
+        //         "oi_contracts": "1898",
+        //         "oi_value": "1.8980",
+        //         "oi_value_symbol": "BTC",
+        //         "oi_value_usd": "69940.7319",
+        //         "open": 7.2e3,
+        //         "price_band": {
+        //             "lower_limit": "5533.89814767",
+        //             "upper_limit": "11691.37688371"
+        //         },
+        //         "product_id": 129508,
+        //         "quotes": {
+        //             "ask_iv": "0.90180438",
+        //             "ask_size": "1898",
+        //             "best_ask": "7210",
+        //             "best_bid": "6913",
+        //             "bid_iv": "0.60881706",
+        //             "bid_size": "3163",
+        //             "impact_mid_price": null,
+        //             "mark_iv": "0.66973549"
+        //         },
+        //         "size": 5,
+        //         "spot_price": "36839.58153868",
+        //         "strike_price": "30000",
+        //         "symbol": "C-BTC-30000-241123",
+        //         "timestamp": 1699584998504530,
+        //         "turnover": 184.41206804,
+        //         "turnover_symbol": "USDT",
+        //         "turnover_usd": 184.41206804,
+        //         "volume": 0.005
+        //     }
+        //
+        const timestamp = this.safeIntegerProduct(greeks, 'timestamp', 0.001);
+        const marketId = this.safeString(greeks, 'symbol');
+        const symbol = this.safeSymbol(marketId, market);
+        const stats = this.safeValue(greeks, 'greeks', {});
+        const quotes = this.safeValue(greeks, 'quotes', {});
+        return {
+            'symbol': symbol,
+            'timestamp': timestamp,
+            'datetime': this.iso8601(timestamp),
+            'delta': this.safeNumber(stats, 'delta'),
+            'gamma': this.safeNumber(stats, 'gamma'),
+            'theta': this.safeNumber(stats, 'theta'),
+            'vega': this.safeNumber(stats, 'vega'),
+            'rho': this.safeNumber(stats, 'rho'),
+            'bidSize': this.safeNumber(quotes, 'bid_size'),
+            'askSize': this.safeNumber(quotes, 'ask_size'),
+            'bidImpliedVolatility': this.safeNumber(quotes, 'bid_iv'),
+            'askImpliedVolatility': this.safeNumber(quotes, 'ask_iv'),
+            'markImpliedVolatility': this.safeNumber(quotes, 'mark_iv'),
+            'bidPrice': this.safeNumber(quotes, 'best_bid'),
+            'askPrice': this.safeNumber(quotes, 'best_ask'),
+            'markPrice': this.safeNumber(greeks, 'mark_price'),
+            'lastPrice': undefined,
+            'underlyingPrice': this.safeNumber(greeks, 'spot_price'),
+            'info': greeks,
+        };
+    }
     sign(path, api = 'public', method = 'GET', params = {}, headers = undefined, body = undefined) {
         const requestPath = '/' + this.version + '/' + this.implodeParams(path, params);
         let url = this.urls['api'][api] + requestPath;

package/dist/cjs/src/deribit.js

@@ -56,6 +56,7 @@ class deribit extends deribit$1 {
                 'fetchDepositWithdrawFees': true,
                 'fetchFundingRate': true,
                 'fetchFundingRateHistory': true,
+                'fetchGreeks': true,
                 'fetchIndexOHLCV': false,
                 'fetchLeverageTiers': false,
                 'fetchLiquidations': true,
@@ -3079,6 +3080,137 @@ class deribit extends deribit$1 {
             'datetime': this.iso8601(timestamp),
         });
     }
+    async fetchGreeks(symbol, params = {}) {
+        /**
+         * @method
+         * @name deribit#fetchGreeks
+         * @description fetches an option contracts greeks, financial metrics used to measure the factors that affect the price of an options contract
+         * @see https://docs.deribit.com/#public-ticker
+         * @param {string} symbol unified symbol of the market to fetch greeks for
+         * @param {object} [params] extra parameters specific to the deribit api endpoint
+         * @returns {object} a [greeks structure]{@link https://github.com/ccxt/ccxt/wiki/Manual#greeks-structure}
+         */
+        await this.loadMarkets();
+        const market = this.market(symbol);
+        const request = {
+            'instrument_name': market['id'],
+        };
+        const response = await this.publicGetTicker(this.extend(request, params));
+        //
+        //     {
+        //         "jsonrpc": "2.0",
+        //         "result": {
+        //             "estimated_delivery_price": 36552.72,
+        //             "best_bid_amount": 0.2,
+        //             "best_ask_amount": 9.1,
+        //             "interest_rate": 0.0,
+        //             "best_bid_price": 0.214,
+        //             "best_ask_price": 0.219,
+        //             "open_interest": 368.8,
+        //             "settlement_price": 0.22103022,
+        //             "last_price": 0.215,
+        //             "bid_iv": 60.51,
+        //             "ask_iv": 61.88,
+        //             "mark_iv": 61.27,
+        //             "underlying_index": "BTC-27SEP24",
+        //             "underlying_price": 38992.71,
+        //             "min_price": 0.1515,
+        //             "max_price": 0.326,
+        //             "mark_price": 0.2168,
+        //             "instrument_name": "BTC-27SEP24-40000-C",
+        //             "index_price": 36552.72,
+        //             "greeks": {
+        //                 "rho": 130.63998,
+        //                 "theta": -13.48784,
+        //                 "vega": 141.90146,
+        //                 "gamma": 0.00002,
+        //                 "delta": 0.59621
+        //             },
+        //             "stats": {
+        //                 "volume_usd": 100453.9,
+        //                 "volume": 12.0,
+        //                 "price_change": -2.2727,
+        //                 "low": 0.2065,
+        //                 "high": 0.238
+        //             },
+        //             "state": "open",
+        //             "timestamp": 1699578548021
+        //         },
+        //         "usIn": 1699578548308414,
+        //         "usOut": 1699578548308606,
+        //         "usDiff": 192,
+        //         "testnet": false
+        //     }
+        //
+        const result = this.safeValue(response, 'result', {});
+        return this.parseGreeks(result, market);
+    }
+    parseGreeks(greeks, market = undefined) {
+        //
+        //     {
+        //         "estimated_delivery_price": 36552.72,
+        //         "best_bid_amount": 0.2,
+        //         "best_ask_amount": 9.1,
+        //         "interest_rate": 0.0,
+        //         "best_bid_price": 0.214,
+        //         "best_ask_price": 0.219,
+        //         "open_interest": 368.8,
+        //         "settlement_price": 0.22103022,
+        //         "last_price": 0.215,
+        //         "bid_iv": 60.51,
+        //         "ask_iv": 61.88,
+        //         "mark_iv": 61.27,
+        //         "underlying_index": "BTC-27SEP24",
+        //         "underlying_price": 38992.71,
+        //         "min_price": 0.1515,
+        //         "max_price": 0.326,
+        //         "mark_price": 0.2168,
+        //         "instrument_name": "BTC-27SEP24-40000-C",
+        //         "index_price": 36552.72,
+        //         "greeks": {
+        //             "rho": 130.63998,
+        //             "theta": -13.48784,
+        //             "vega": 141.90146,
+        //             "gamma": 0.00002,
+        //             "delta": 0.59621
+        //         },
+        //         "stats": {
+        //             "volume_usd": 100453.9,
+        //             "volume": 12.0,
+        //             "price_change": -2.2727,
+        //             "low": 0.2065,
+        //             "high": 0.238
+        //         },
+        //         "state": "open",
+        //         "timestamp": 1699578548021
+        //     }
+        //
+        const timestamp = this.safeInteger(greeks, 'timestamp');
+        const marketId = this.safeString(greeks, 'instrument_name');
+        const symbol = this.safeSymbol(marketId, market);
+        const stats = this.safeValue(greeks, 'greeks', {});
+        return {
+            'symbol': symbol,
+            'timestamp': timestamp,
+            'datetime': this.iso8601(timestamp),
+            'delta': this.safeNumber(stats, 'delta'),
+            'gamma': this.safeNumber(stats, 'gamma'),
+            'theta': this.safeNumber(stats, 'theta'),
+            'vega': this.safeNumber(stats, 'vega'),
+            'rho': this.safeNumber(stats, 'rho'),
+            'bidSize': this.safeNumber(greeks, 'best_bid_amount'),
+            'askSize': this.safeNumber(greeks, 'best_ask_amount'),
+            'bidImpliedVolatility': this.safeNumber(greeks, 'bid_iv'),
+            'askImpliedVolatility': this.safeNumber(greeks, 'ask_iv'),
+            'markImpliedVolatility': this.safeNumber(greeks, 'mark_iv'),
+            'bidPrice': this.safeNumber(greeks, 'best_bid_price'),
+            'askPrice': this.safeNumber(greeks, 'best_ask_price'),
+            'markPrice': this.safeNumber(greeks, 'mark_price'),
+            'lastPrice': this.safeNumber(greeks, 'last_price'),
+            'underlyingPrice': this.safeNumber(greeks, 'underlying_price'),
+            'info': greeks,
+        };
+    }
     nonce() {
         return this.milliseconds();
     }