ccxt 4.2.10 → 4.2.12

package/dist/cjs/js/src/pro/bitfinex.js

@@ -0,0 +1,672 @@
+'use strict';
+
+var bitfinex$1 = require('../bitfinex.js');
+var errors = require('../base/errors.js');
+var Cache = require('../base/ws/Cache.js');
+var Precise = require('../base/Precise.js');
+var sha512 = require('../static_dependencies/noble-hashes/sha512.js');
+
+//  ---------------------------------------------------------------------------
+//  ---------------------------------------------------------------------------
+class bitfinex extends bitfinex$1 {
+    describe() {
+        return this.deepExtend(super.describe(), {
+            'has': {
+                'ws': true,
+                'watchTicker': true,
+                'watchTickers': false,
+                'watchOrderBook': true,
+                'watchTrades': true,
+                'watchBalance': false,
+                'watchOHLCV': false, // missing on the exchange side in v1
+            },
+            'urls': {
+                'api': {
+                    'ws': {
+                        'public': 'wss://api-pub.bitfinex.com/ws/1',
+                        'private': 'wss://api.bitfinex.com/ws/1',
+                    },
+                },
+            },
+            'options': {
+                'watchOrderBook': {
+                    'prec': 'P0',
+                    'freq': 'F0',
+                },
+                'ordersLimit': 1000,
+            },
+        });
+    }
+    async subscribe(channel, symbol, params = {}) {
+        await this.loadMarkets();
+        const market = this.market(symbol);
+        const marketId = market['id'];
+        const url = this.urls['api']['ws']['public'];
+        const messageHash = channel + ':' + marketId;
+        // const channel = 'trades';
+        const request = {
+            'event': 'subscribe',
+            'channel': channel,
+            'symbol': marketId,
+            'messageHash': messageHash,
+        };
+        return await this.watch(url, messageHash, this.deepExtend(request, params), messageHash);
+    }
+    async watchTrades(symbol, since = undefined, limit = undefined, params = {}) {
+        /**
+         * @method
+         * @name bitfinex#watchTrades
+         * @description get the list of most recent trades for a particular symbol
+         * @param {string} symbol unified symbol of the market to fetch trades for
+         * @param {int} [since] timestamp in ms of the earliest trade to fetch
+         * @param {int} [limit] the maximum amount of trades to fetch
+         * @param {object} [params] extra parameters specific to the exchange API endpoint
+         * @returns {object[]} a list of [trade structures]{@link https://docs.ccxt.com/#/?id=public-trades}
+         */
+        await this.loadMarkets();
+        symbol = this.symbol(symbol);
+        const trades = await this.subscribe('trades', symbol, params);
+        if (this.newUpdates) {
+            limit = trades.getLimit(symbol, limit);
+        }
+        return this.filterBySinceLimit(trades, since, limit, 'timestamp', true);
+    }
+    async watchTicker(symbol, params = {}) {
+        /**
+         * @method
+         * @name bitfinex#watchTicker
+         * @description watches a price ticker, a statistical calculation with the information calculated over the past 24 hours for a specific market
+         * @param {string} symbol unified symbol of the market to fetch the ticker for
+         * @param {object} [params] extra parameters specific to the exchange API endpoint
+         * @returns {object} a [ticker structure]{@link https://docs.ccxt.com/#/?id=ticker-structure}
+         */
+        return await this.subscribe('ticker', symbol, params);
+    }
+    handleTrades(client, message, subscription) {
+        //
+        // initial snapshot
+        //
+        //     [
+        //         2,
+        //         [
+        //             [ null, 1580565020, 9374.9, 0.005 ],
+        //             [ null, 1580565004, 9374.9, 0.005 ],
+        //             [ null, 1580565003, 9374.9, 0.005 ],
+        //         ]
+        //     ]
+        //
+        // when a trade does not have an id yet
+        //
+        //     // channel id, update type, seq, time, price, amount
+        //     [ 2, "te", "28462857-BTCUSD", 1580565041, 9374.9, 0.005 ],
+        //
+        // when a trade already has an id
+        //
+        //     // channel id, update type, seq, trade id, time, price, amount
+        //     [ 2, "tu", "28462857-BTCUSD", 413357662, 1580565041, 9374.9, 0.005 ]
+        //
+        const channel = this.safeValue(subscription, 'channel');
+        const marketId = this.safeString(subscription, 'pair');
+        const messageHash = channel + ':' + marketId;
+        const tradesLimit = this.safeInteger(this.options, 'tradesLimit', 1000);
+        const market = this.safeMarket(marketId);
+        const symbol = market['symbol'];
+        const data = this.safeValue(message, 1);
+        let stored = this.safeValue(this.trades, symbol);
+        if (stored === undefined) {
+            stored = new Cache.ArrayCache(tradesLimit);
+            this.trades[symbol] = stored;
+        }
+        if (Array.isArray(data)) {
+            const trades = this.parseTrades(data, market);
+            for (let i = 0; i < trades.length; i++) {
+                stored.append(trades[i]);
+            }
+        }
+        else {
+            const second = this.safeString(message, 1);
+            if (second !== 'tu') {
+                return;
+            }
+            const trade = this.parseTrade(message, market);
+            stored.append(trade);
+        }
+        client.resolve(stored, messageHash);
+        return message;
+    }
+    parseTrade(trade, market = undefined) {
+        //
+        // snapshot trade
+        //
+        //     // null, time, price, amount
+        //     [ null, 1580565020, 9374.9, 0.005 ],
+        //
+        // when a trade does not have an id yet
+        //
+        //     // channel id, update type, seq, time, price, amount
+        //     [ 2, "te", "28462857-BTCUSD", 1580565041, 9374.9, 0.005 ],
+        //
+        // when a trade already has an id
+        //
+        //     // channel id, update type, seq, trade id, time, price, amount
+        //     [ 2, "tu", "28462857-BTCUSD", 413357662, 1580565041, 9374.9, 0.005 ]
+        //
+        if (!Array.isArray(trade)) {
+            return super.parseTrade(trade, market);
+        }
+        const tradeLength = trade.length;
+        const event = this.safeString(trade, 1);
+        let id = undefined;
+        if (event === 'tu') {
+            id = this.safeString(trade, tradeLength - 4);
+        }
+        const timestamp = this.safeTimestamp(trade, tradeLength - 3);
+        const price = this.safeString(trade, tradeLength - 2);
+        let amount = this.safeString(trade, tradeLength - 1);
+        let side = undefined;
+        if (amount !== undefined) {
+            side = Precise["default"].stringGt(amount, '0') ? 'buy' : 'sell';
+            amount = Precise["default"].stringAbs(amount);
+        }
+        const seq = this.safeString(trade, 2);
+        const parts = seq.split('-');
+        let marketId = this.safeString(parts, 1);
+        if (marketId !== undefined) {
+            marketId = marketId.replace('t', '');
+        }
+        const symbol = this.safeSymbol(marketId, market);
+        const takerOrMaker = undefined;
+        const orderId = undefined;
+        return this.safeTrade({
+            'info': trade,
+            'timestamp': timestamp,
+            'datetime': this.iso8601(timestamp),
+            'symbol': symbol,
+            'id': id,
+            'order': orderId,
+            'type': undefined,
+            'takerOrMaker': takerOrMaker,
+            'side': side,
+            'price': price,
+            'amount': amount,
+            'cost': undefined,
+            'fee': undefined,
+        });
+    }
+    handleTicker(client, message, subscription) {
+        //
+        //     [
+        //         2,             // 0 CHANNEL_ID integer Channel ID
+        //         236.62,        // 1 BID float Price of last highest bid
+        //         9.0029,        // 2 BID_SIZE float Size of the last highest bid
+        //         236.88,        // 3 ASK float Price of last lowest ask
+        //         7.1138,        // 4 ASK_SIZE float Size of the last lowest ask
+        //         -1.02,         // 5 DAILY_CHANGE float Amount that the last price has changed since yesterday
+        //         0,             // 6 DAILY_CHANGE_PERC float Amount that the price has changed expressed in percentage terms
+        //         236.52,        // 7 LAST_PRICE float Price of the last trade.
+        //         5191.36754297, // 8 VOLUME float Daily volume
+        //         250.01,        // 9 HIGH float Daily high
+        //         220.05,        // 10 LOW float Daily low
+        //     ]
+        //
+        const marketId = this.safeString(subscription, 'pair');
+        const symbol = this.safeSymbol(marketId);
+        const channel = 'ticker';
+        const messageHash = channel + ':' + marketId;
+        const last = this.safeString(message, 7);
+        const change = this.safeString(message, 5);
+        let open = undefined;
+        if ((last !== undefined) && (change !== undefined)) {
+            open = Precise["default"].stringSub(last, change);
+        }
+        const result = {
+            'symbol': symbol,
+            'timestamp': undefined,
+            'datetime': undefined,
+            'high': this.safeFloat(message, 9),
+            'low': this.safeFloat(message, 10),
+            'bid': this.safeFloat(message, 1),
+            'bidVolume': undefined,
+            'ask': this.safeFloat(message, 3),
+            'askVolume': undefined,
+            'vwap': undefined,
+            'open': this.parseNumber(open),
+            'close': this.parseNumber(last),
+            'last': this.parseNumber(last),
+            'previousClose': undefined,
+            'change': this.parseNumber(change),
+            'percentage': this.safeFloat(message, 6),
+            'average': undefined,
+            'baseVolume': this.safeFloat(message, 8),
+            'quoteVolume': undefined,
+            'info': message,
+        };
+        this.tickers[symbol] = result;
+        client.resolve(result, messageHash);
+    }
+    async watchOrderBook(symbol, limit = undefined, params = {}) {
+        /**
+         * @method
+         * @name bitfinex#watchOrderBook
+         * @description watches information on open orders with bid (buy) and ask (sell) prices, volumes and other data
+         * @param {string} symbol unified symbol of the market to fetch the order book for
+         * @param {int} [limit] the maximum amount of order book entries to return
+         * @param {object} [params] extra parameters specific to the exchange API endpoint
+         * @returns {object} A dictionary of [order book structures]{@link https://docs.ccxt.com/#/?id=order-book-structure} indexed by market symbols
+         */
+        if (limit !== undefined) {
+            if ((limit !== 25) && (limit !== 100)) {
+                throw new errors.ExchangeError(this.id + ' watchOrderBook limit argument must be undefined, 25 or 100');
+            }
+        }
+        const options = this.safeValue(this.options, 'watchOrderBook', {});
+        const prec = this.safeString(options, 'prec', 'P0');
+        const freq = this.safeString(options, 'freq', 'F0');
+        const request = {
+            // "event": "subscribe", // added in subscribe()
+            // "channel": channel, // added in subscribe()
+            // "symbol": marketId, // added in subscribe()
+            'prec': prec,
+            'freq': freq,
+            'len': limit, // string, number of price points, '25', '100', default = '25'
+        };
+        const orderbook = await this.subscribe('book', symbol, this.deepExtend(request, params));
+        return orderbook.limit();
+    }
+    handleOrderBook(client, message, subscription) {
+        //
+        // first message (snapshot)
+        //
+        //     [
+        //         18691, // channel id
+        //         [
+        //             [ 7364.8, 10, 4.354802 ], // price, count, size > 0 = bid
+        //             [ 7364.7, 1, 0.00288831 ],
+        //             [ 7364.3, 12, 0.048 ],
+        //             [ 7364.9, 3, -0.42028976 ], // price, count, size < 0 = ask
+        //             [ 7365, 1, -0.25 ],
+        //             [ 7365.5, 1, -0.00371937 ],
+        //         ]
+        //     ]
+        //
+        // subsequent updates
+        //
+        //     [
+        //         30,     // channel id
+        //         9339.9, // price
+        //         0,      // count
+        //         -1,     // size > 0 = bid, size < 0 = ask
+        //     ]
+        //
+        const marketId = this.safeString(subscription, 'pair');
+        const symbol = this.safeSymbol(marketId);
+        const channel = 'book';
+        const messageHash = channel + ':' + marketId;
+        const prec = this.safeString(subscription, 'prec', 'P0');
+        const isRaw = (prec === 'R0');
+        // if it is an initial snapshot
+        if (Array.isArray(message[1])) {
+            const limit = this.safeInteger(subscription, 'len');
+            if (isRaw) {
+                // raw order books
+                this.orderbooks[symbol] = this.indexedOrderBook({}, limit);
+            }
+            else {
+                // P0, P1, P2, P3, P4
+                this.orderbooks[symbol] = this.countedOrderBook({}, limit);
+            }
+            const orderbook = this.orderbooks[symbol];
+            if (isRaw) {
+                const deltas = message[1];
+                for (let i = 0; i < deltas.length; i++) {
+                    const delta = deltas[i];
+                    const id = this.safeString(delta, 0);
+                    const price = this.safeFloat(delta, 1);
+                    const size = (delta[2] < 0) ? -delta[2] : delta[2];
+                    const side = (delta[2] < 0) ? 'asks' : 'bids';
+                    const bookside = orderbook[side];
+                    bookside.store(price, size, id);
+                }
+            }
+            else {
+                const deltas = message[1];
+                for (let i = 0; i < deltas.length; i++) {
+                    const delta = deltas[i];
+                    const size = (delta[2] < 0) ? -delta[2] : delta[2];
+                    const side = (delta[2] < 0) ? 'asks' : 'bids';
+                    const bookside = orderbook[side];
+                    bookside.store(delta[0], size, delta[1]);
+                }
+            }
+            client.resolve(orderbook, messageHash);
+        }
+        else {
+            const orderbook = this.orderbooks[symbol];
+            if (isRaw) {
+                const id = this.safeString(message, 1);
+                const price = this.safeString(message, 2);
+                const size = (message[3] < 0) ? -message[3] : message[3];
+                const side = (message[3] < 0) ? 'asks' : 'bids';
+                const bookside = orderbook[side];
+                // price = 0 means that you have to remove the order from your book
+                const amount = Precise["default"].stringGt(price, '0') ? size : '0';
+                bookside.store(this.parseNumber(price), this.parseNumber(amount), id);
+            }
+            else {
+                const size = (message[3] < 0) ? -message[3] : message[3];
+                const side = (message[3] < 0) ? 'asks' : 'bids';
+                const bookside = orderbook[side];
+                bookside.store(message[1], size, message[2]);
+            }
+            client.resolve(orderbook, messageHash);
+        }
+    }
+    handleHeartbeat(client, message) {
+        //
+        // every second (approx) if no other updates are sent
+        //
+        //     { "event": "heartbeat" }
+        //
+        const event = this.safeString(message, 'event');
+        client.resolve(message, event);
+    }
+    handleSystemStatus(client, message) {
+        //
+        // todo: answer the question whether handleSystemStatus should be renamed
+        // and unified as handleStatus for any usage pattern that
+        // involves system status and maintenance updates
+        //
+        //     {
+        //         "event": "info",
+        //         "version": 2,
+        //         "serverId": "e293377e-7bb7-427e-b28c-5db045b2c1d1",
+        //         "platform": { status: 1 }, // 1 for operative, 0 for maintenance
+        //     }
+        //
+        return message;
+    }
+    handleSubscriptionStatus(client, message) {
+        //
+        //     {
+        //         "event": "subscribed",
+        //         "channel": "book",
+        //         "chanId": 67473,
+        //         "symbol": "tBTCUSD",
+        //         "prec": "P0",
+        //         "freq": "F0",
+        //         "len": "25",
+        //         "pair": "BTCUSD"
+        //     }
+        //
+        const channelId = this.safeString(message, 'chanId');
+        client.subscriptions[channelId] = message;
+        return message;
+    }
+    async authenticate(params = {}) {
+        const url = this.urls['api']['ws']['private'];
+        const client = this.client(url);
+        const future = client.future('authenticated');
+        const method = 'auth';
+        const authenticated = this.safeValue(client.subscriptions, method);
+        if (authenticated === undefined) {
+            const nonce = this.milliseconds();
+            const payload = 'AUTH' + nonce.toString();
+            const signature = this.hmac(this.encode(payload), this.encode(this.secret), sha512.sha384, 'hex');
+            const request = {
+                'apiKey': this.apiKey,
+                'authSig': signature,
+                'authNonce': nonce,
+                'authPayload': payload,
+                'event': method,
+                'filter': [
+                    'trading',
+                    'wallet',
+                ],
+            };
+            this.spawn(this.watch, url, method, request, 1);
+        }
+        return await future;
+    }
+    handleAuthenticationMessage(client, message) {
+        const status = this.safeString(message, 'status');
+        if (status === 'OK') {
+            // we resolve the future here permanently so authentication only happens once
+            const future = this.safeValue(client.futures, 'authenticated');
+            future.resolve(true);
+        }
+        else {
+            const error = new errors.AuthenticationError(this.json(message));
+            client.reject(error, 'authenticated');
+            // allows further authentication attempts
+            const method = this.safeString(message, 'event');
+            if (method in client.subscriptions) {
+                delete client.subscriptions[method];
+            }
+        }
+    }
+    async watchOrder(id, symbol = undefined, params = {}) {
+        await this.loadMarkets();
+        const url = this.urls['api']['ws']['private'];
+        await this.authenticate();
+        return await this.watch(url, id, undefined, 1);
+    }
+    async watchOrders(symbol = undefined, since = undefined, limit = undefined, params = {}) {
+        /**
+         * @method
+         * @name bitfinex#watchOrders
+         * @description watches information on multiple orders made by the user
+         * @param {string} symbol unified market symbol of the market orders were made in
+         * @param {int} [since] the earliest time in ms to fetch orders for
+         * @param {int} [limit] the maximum number of order structures to retrieve
+         * @param {object} [params] extra parameters specific to the exchange API endpoint
+         * @returns {object[]} a list of [order structures]{@link https://docs.ccxt.com/#/?id=order-structure}
+         */
+        await this.loadMarkets();
+        await this.authenticate();
+        if (symbol !== undefined) {
+            symbol = this.symbol(symbol);
+        }
+        const url = this.urls['api']['ws']['private'];
+        const orders = await this.watch(url, 'os', undefined, 1);
+        if (this.newUpdates) {
+            limit = orders.getLimit(symbol, limit);
+        }
+        return this.filterBySymbolSinceLimit(orders, symbol, since, limit, true);
+    }
+    handleOrders(client, message, subscription) {
+        //
+        // order snapshot
+        //
+        //     [
+        //         0,
+        //         "os",
+        //         [
+        //             [
+        //                 45287766631,
+        //                 "ETHUST",
+        //                 -0.07,
+        //                 -0.07,
+        //                 "EXCHANGE LIMIT",
+        //                 "ACTIVE",
+        //                 210,
+        //                 0,
+        //                 "2020-05-16T13:17:46Z",
+        //                 0,
+        //                 0,
+        //                 0
+        //             ]
+        //         ]
+        //     ]
+        //
+        // order cancel
+        //
+        //     [
+        //         0,
+        //         "oc",
+        //         [
+        //             45287766631,
+        //             "ETHUST",
+        //             -0.07,
+        //             -0.07,
+        //             "EXCHANGE LIMIT",
+        //             "CANCELED",
+        //             210,
+        //             0,
+        //             "2020-05-16T13:17:46Z",
+        //             0,
+        //             0,
+        //             0,
+        //         ]
+        //     ]
+        //
+        const data = this.safeValue(message, 2, []);
+        const messageType = this.safeString(message, 1);
+        if (messageType === 'os') {
+            for (let i = 0; i < data.length; i++) {
+                const value = data[i];
+                this.handleOrder(client, value);
+            }
+        }
+        else {
+            this.handleOrder(client, data);
+        }
+        if (this.orders !== undefined) {
+            client.resolve(this.orders, 'os');
+        }
+    }
+    parseWsOrderStatus(status) {
+        const statuses = {
+            'ACTIVE': 'open',
+            'CANCELED': 'canceled',
+        };
+        return this.safeString(statuses, status, status);
+    }
+    handleOrder(client, order) {
+        // [ 45287766631,
+        //     "ETHUST",
+        //     -0.07,
+        //     -0.07,
+        //     "EXCHANGE LIMIT",
+        //     "CANCELED",
+        //     210,
+        //     0,
+        //     "2020-05-16T13:17:46Z",
+        //     0,
+        //     0,
+        //     0 ]
+        const id = this.safeString(order, 0);
+        const marketId = this.safeString(order, 1);
+        const symbol = this.safeSymbol(marketId);
+        let amount = this.safeString(order, 2);
+        let remaining = this.safeString(order, 3);
+        let side = 'buy';
+        if (Precise["default"].stringLt(amount, '0')) {
+            amount = Precise["default"].stringAbs(amount);
+            remaining = Precise["default"].stringAbs(remaining);
+            side = 'sell';
+        }
+        let type = this.safeString(order, 4);
+        if (type.indexOf('LIMIT') > -1) {
+            type = 'limit';
+        }
+        else if (type.indexOf('MARKET') > -1) {
+            type = 'market';
+        }
+        const status = this.parseWsOrderStatus(this.safeString(order, 5));
+        const price = this.safeString(order, 6);
+        const rawDatetime = this.safeString(order, 8);
+        const timestamp = this.parse8601(rawDatetime);
+        const parsed = this.safeOrder({
+            'info': order,
+            'id': id,
+            'clientOrderId': undefined,
+            'timestamp': timestamp,
+            'datetime': this.iso8601(timestamp),
+            'lastTradeTimestamp': undefined,
+            'symbol': symbol,
+            'type': type,
+            'side': side,
+            'price': price,
+            'stopPrice': undefined,
+            'triggerPrice': undefined,
+            'average': undefined,
+            'amount': amount,
+            'remaining': remaining,
+            'filled': undefined,
+            'status': status,
+            'fee': undefined,
+            'cost': undefined,
+            'trades': undefined,
+        });
+        if (this.orders === undefined) {
+            const limit = this.safeInteger(this.options, 'ordersLimit', 1000);
+            this.orders = new Cache.ArrayCacheBySymbolById(limit);
+        }
+        const orders = this.orders;
+        orders.append(parsed);
+        client.resolve(parsed, id);
+        return parsed;
+    }
+    handleMessage(client, message) {
+        if (Array.isArray(message)) {
+            const channelId = this.safeString(message, 0);
+            //
+            //     [
+            //         1231,
+            //         "hb",
+            //     ]
+            //
+            if (message[1] === 'hb') {
+                return message; // skip heartbeats within subscription channels for now
+            }
+            const subscription = this.safeValue(client.subscriptions, channelId, {});
+            const channel = this.safeString(subscription, 'channel');
+            const name = this.safeString(message, 1);
+            const methods = {
+                'book': this.handleOrderBook,
+                // 'ohlc': this.handleOHLCV,
+                'ticker': this.handleTicker,
+                'trades': this.handleTrades,
+                'os': this.handleOrders,
+                'on': this.handleOrders,
+                'oc': this.handleOrders,
+            };
+            const method = this.safeValue2(methods, channel, name);
+            if (method === undefined) {
+                return message;
+            }
+            else {
+                return method.call(this, client, message, subscription);
+            }
+        }
+        else {
+            // todo add bitfinex handleErrorMessage
+            //
+            //     {
+            //         "event": "info",
+            //         "version": 2,
+            //         "serverId": "e293377e-7bb7-427e-b28c-5db045b2c1d1",
+            //         "platform": { status: 1 }, // 1 for operative, 0 for maintenance
+            //     }
+            //
+            const event = this.safeString(message, 'event');
+            if (event !== undefined) {
+                const methods = {
+                    'info': this.handleSystemStatus,
+                    // 'book': 'handleOrderBook',
+                    'subscribed': this.handleSubscriptionStatus,
+                    'auth': this.handleAuthenticationMessage,
+                };
+                const method = this.safeValue(methods, event);
+                if (method === undefined) {
+                    return message;
+                }
+                else {
+                    return method.call(this, client, message);
+                }
+            }
+        }
+    }
+}
+
+module.exports = bitfinex;