ccxt 4.2.10 → 4.2.12

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

@@ -0,0 +1,561 @@
+'use strict';
+
+var coinbase$1 = require('../coinbase.js');
+var errors = require('../base/errors.js');
+var Cache = require('../base/ws/Cache.js');
+var sha256 = require('../static_dependencies/noble-hashes/sha256.js');
+
+//  ---------------------------------------------------------------------------
+//  ---------------------------------------------------------------------------
+class coinbase extends coinbase$1 {
+    describe() {
+        return this.deepExtend(super.describe(), {
+            'has': {
+                'ws': true,
+                'cancelAllOrdersWs': false,
+                'cancelOrdersWs': false,
+                'cancelOrderWs': false,
+                'createOrderWs': false,
+                'editOrderWs': false,
+                'fetchBalanceWs': false,
+                'fetchOpenOrdersWs': false,
+                'fetchOrderWs': false,
+                'fetchTradesWs': false,
+                'watchBalance': false,
+                'watchMyTrades': false,
+                'watchOHLCV': false,
+                'watchOrderBook': true,
+                'watchOrders': true,
+                'watchTicker': true,
+                'watchTickers': true,
+                'watchTrades': true,
+            },
+            'urls': {
+                'api': {
+                    'ws': 'wss://advanced-trade-ws.coinbase.com',
+                },
+            },
+            'options': {
+                'tradesLimit': 1000,
+                'ordersLimit': 1000,
+                'myTradesLimit': 1000,
+                'sides': {
+                    'bid': 'bids',
+                    'offer': 'asks',
+                },
+            },
+        });
+    }
+    async subscribe(name, symbol = undefined, params = {}) {
+        /**
+         * @ignore
+         * @method
+         * @description subscribes to a websocket channel
+         * @see https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-overview#subscribe
+         * @param {string} name the name of the channel
+         * @param {string|string[]} [symbol] unified market symbol
+         * @param {object} [params] extra parameters specific to the exchange API endpoint
+         * @returns {object} subscription to a websocket channel
+         */
+        await this.loadMarkets();
+        this.checkRequiredCredentials();
+        let market = undefined;
+        let messageHash = name;
+        let productIds = [];
+        if (Array.isArray(symbol)) {
+            const symbols = this.marketSymbols(symbol);
+            const marketIds = this.marketIds(symbols);
+            productIds = marketIds;
+            messageHash = messageHash + '::' + symbol.join(',');
+        }
+        else if (symbol !== undefined) {
+            market = this.market(symbol);
+            messageHash = name + '::' + market['id'];
+            productIds = [market['id']];
+        }
+        const url = this.urls['api']['ws'];
+        const timestamp = this.numberToString(this.seconds());
+        const auth = timestamp + name + productIds.join(',');
+        const subscribe = {
+            'type': 'subscribe',
+            'product_ids': productIds,
+            'channel': name,
+            'api_key': this.apiKey,
+            'timestamp': timestamp,
+            'signature': this.hmac(this.encode(auth), this.encode(this.secret), sha256.sha256),
+        };
+        return await this.watch(url, messageHash, subscribe, messageHash);
+    }
+    async watchTicker(symbol, params = {}) {
+        /**
+         * @method
+         * @name coinbasepro#watchTicker
+         * @description watches a price ticker, a statistical calculation with the information calculated over the past 24 hours for a specific market
+         * @see https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#ticker-channel
+         * @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}
+         */
+        const name = 'ticker';
+        return await this.subscribe(name, symbol, params);
+    }
+    async watchTickers(symbols = undefined, params = {}) {
+        /**
+         * @method
+         * @name coinbasepro#watchTickers
+         * @description watches a price ticker, a statistical calculation with the information calculated over the past 24 hours for a specific market
+         * @see https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#ticker-batch-channel
+         * @param {string[]} [symbols] 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}
+         */
+        if (symbols === undefined) {
+            throw new errors.ArgumentsRequired(this.id + ' watchTickers requires a symbols argument');
+        }
+        const name = 'ticker_batch';
+        const tickers = await this.subscribe(name, symbols, params);
+        if (this.newUpdates) {
+            return tickers;
+        }
+        return this.tickers;
+    }
+    handleTickers(client, message) {
+        //
+        //    {
+        //        "channel": "ticker",
+        //        "client_id": "",
+        //        "timestamp": "2023-02-09T20:30:37.167359596Z",
+        //        "sequence_num": 0,
+        //        "events": [
+        //            {
+        //                "type": "snapshot",
+        //                "tickers": [
+        //                    {
+        //                        "type": "ticker",
+        //                        "product_id": "BTC-USD",
+        //                        "price": "21932.98",
+        //                        "volume_24_h": "16038.28770938",
+        //                        "low_24_h": "21835.29",
+        //                        "high_24_h": "23011.18",
+        //                        "low_52_w": "15460",
+        //                        "high_52_w": "48240",
+        //                        "price_percent_chg_24_h": "-4.15775596190603"
+        //                    }
+        //                ]
+        //            }
+        //        ]
+        //    }
+        //
+        //    {
+        //        "channel": "ticker_batch",
+        //        "client_id": "",
+        //        "timestamp": "2023-03-01T12:15:18.382173051Z",
+        //        "sequence_num": 0,
+        //        "events": [
+        //            {
+        //                "type": "snapshot",
+        //                "tickers": [
+        //                    {
+        //                        "type": "ticker",
+        //                        "product_id": "DOGE-USD",
+        //                        "price": "0.08212",
+        //                        "volume_24_h": "242556423.3",
+        //                        "low_24_h": "0.07989",
+        //                        "high_24_h": "0.08308",
+        //                        "low_52_w": "0.04908",
+        //                        "high_52_w": "0.1801",
+        //                        "price_percent_chg_24_h": "0.50177456859626"
+        //                    }
+        //                ]
+        //            }
+        //        ]
+        //    }
+        //
+        const channel = this.safeString(message, 'channel');
+        const events = this.safeValue(message, 'events', []);
+        const newTickers = [];
+        for (let i = 0; i < events.length; i++) {
+            const tickersObj = events[i];
+            const tickers = this.safeValue(tickersObj, 'tickers', []);
+            for (let j = 0; j < tickers.length; j++) {
+                const ticker = tickers[j];
+                const result = this.parseWsTicker(ticker);
+                const symbol = result['symbol'];
+                this.tickers[symbol] = result;
+                const wsMarketId = this.safeString(ticker, 'product_id');
+                const messageHash = channel + '::' + wsMarketId;
+                newTickers.push(result);
+                client.resolve(result, messageHash);
+            }
+        }
+        const messageHashes = this.findMessageHashes(client, 'ticker_batch::');
+        for (let i = 0; i < messageHashes.length; i++) {
+            const messageHash = messageHashes[i];
+            const parts = messageHash.split('::');
+            const symbolsString = parts[1];
+            const symbols = symbolsString.split(',');
+            const tickers = this.filterByArray(newTickers, 'symbol', symbols);
+            if (!this.isEmpty(tickers)) {
+                client.resolve(tickers, messageHash);
+            }
+        }
+        return message;
+    }
+    parseWsTicker(ticker, market = undefined) {
+        //
+        //     {
+        //         "type": "ticker",
+        //         "product_id": "DOGE-USD",
+        //         "price": "0.08212",
+        //         "volume_24_h": "242556423.3",
+        //         "low_24_h": "0.07989",
+        //         "high_24_h": "0.08308",
+        //         "low_52_w": "0.04908",
+        //         "high_52_w": "0.1801",
+        //         "price_percent_chg_24_h": "0.50177456859626"
+        //     }
+        //
+        const marketId = this.safeString(ticker, 'product_id');
+        const timestamp = undefined;
+        const last = this.safeNumber(ticker, 'price');
+        return this.safeTicker({
+            'info': ticker,
+            'symbol': this.safeSymbol(marketId, market, '-'),
+            'timestamp': timestamp,
+            'datetime': this.iso8601(timestamp),
+            'high': this.safeString(ticker, 'high_24_h'),
+            'low': this.safeString(ticker, 'low_24_h'),
+            'bid': undefined,
+            'bidVolume': undefined,
+            'ask': undefined,
+            'askVolume': undefined,
+            'vwap': undefined,
+            'open': undefined,
+            'close': last,
+            'last': last,
+            'previousClose': undefined,
+            'change': undefined,
+            'percentage': this.safeString(ticker, 'price_percent_chg_24_h'),
+            'average': undefined,
+            'baseVolume': this.safeString(ticker, 'volume_24_h'),
+            'quoteVolume': undefined,
+        });
+    }
+    async watchTrades(symbol, since = undefined, limit = undefined, params = {}) {
+        /**
+         * @method
+         * @name coinbasepro#watchTrades
+         * @description get the list of most recent trades for a particular symbol
+         * @see https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#market-trades-channel
+         * @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 name = 'market_trades';
+        const trades = await this.subscribe(name, symbol, params);
+        if (this.newUpdates) {
+            limit = trades.getLimit(symbol, limit);
+        }
+        return this.filterBySinceLimit(trades, since, limit, 'timestamp', true);
+    }
+    async watchOrders(symbol = undefined, since = undefined, limit = undefined, params = {}) {
+        /**
+         * @method
+         * @name coinbasepro#watchOrders
+         * @description watches information on multiple orders made by the user
+         * @see https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#user-channel
+         * @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();
+        const name = 'user';
+        const orders = await this.subscribe(name, symbol, params);
+        if (this.newUpdates) {
+            limit = orders.getLimit(symbol, limit);
+        }
+        return this.filterBySinceLimit(orders, since, limit, 'timestamp', true);
+    }
+    async watchOrderBook(symbol, limit = undefined, params = {}) {
+        /**
+         * @method
+         * @name coinbasepro#watchOrderBook
+         * @description watches information on open orders with bid (buy) and ask (sell) prices, volumes and other data
+         * @see https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#level2-channel
+         * @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
+         */
+        await this.loadMarkets();
+        const name = 'level2';
+        const market = this.market(symbol);
+        symbol = market['symbol'];
+        const orderbook = await this.subscribe(name, symbol, params);
+        return orderbook.limit();
+    }
+    handleTrade(client, message) {
+        //
+        //    {
+        //        "channel": "market_trades",
+        //        "client_id": "",
+        //        "timestamp": "2023-02-09T20:19:35.39625135Z",
+        //        "sequence_num": 0,
+        //        "events": [
+        //            {
+        //                "type": "snapshot",
+        //                "trades": [
+        //                    {
+        //                        "trade_id": "000000000",
+        //                        "product_id": "ETH-USD",
+        //                        "price": "1260.01",
+        //                        "size": "0.3",
+        //                        "side": "BUY",
+        //                        "time": "2019-08-14T20:42:27.265Z",
+        //                    }
+        //                ]
+        //            }
+        //        ]
+        //    }
+        //
+        const events = this.safeValue(message, 'events');
+        const event = this.safeValue(events, 0);
+        const trades = this.safeValue(event, 'trades');
+        const trade = this.safeValue(trades, 0);
+        const marketId = this.safeString(trade, 'product_id');
+        const messageHash = 'market_trades::' + marketId;
+        const symbol = this.safeSymbol(marketId);
+        let tradesArray = this.safeValue(this.trades, symbol);
+        if (tradesArray === undefined) {
+            const tradesLimit = this.safeInteger(this.options, 'tradesLimit', 1000);
+            tradesArray = new Cache.ArrayCacheBySymbolById(tradesLimit);
+            this.trades[symbol] = tradesArray;
+        }
+        for (let i = 0; i < events.length; i++) {
+            const currentEvent = events[i];
+            const currentTrades = this.safeValue(currentEvent, 'trades');
+            for (let j = 0; j < currentTrades.length; j++) {
+                const item = currentTrades[i];
+                tradesArray.append(this.parseTrade(item));
+            }
+        }
+        client.resolve(tradesArray, messageHash);
+        return message;
+    }
+    handleOrder(client, message) {
+        //
+        //    {
+        //        "channel": "user",
+        //        "client_id": "",
+        //        "timestamp": "2023-02-09T20:33:57.609931463Z",
+        //        "sequence_num": 0,
+        //        "events": [
+        //            {
+        //                "type": "snapshot",
+        //                "orders": [
+        //                    {
+        //                        "order_id": "XXX",
+        //                        "client_order_id": "YYY",
+        //                        "cumulative_quantity": "0",
+        //                        "leaves_quantity": "0.000994",
+        //                        "avg_price": "0",
+        //                        "total_fees": "0",
+        //                        "status": "OPEN",
+        //                        "product_id": "BTC-USD",
+        //                        "creation_time": "2022-12-07T19:42:18.719312Z",
+        //                        "order_side": "BUY",
+        //                        "order_type": "Limit"
+        //                    },
+        //                ]
+        //            }
+        //        ]
+        //    }
+        //
+        const events = this.safeValue(message, 'events');
+        const marketIds = [];
+        if (this.orders === undefined) {
+            const limit = this.safeInteger(this.options, 'ordersLimit', 1000);
+            this.orders = new Cache.ArrayCacheBySymbolById(limit);
+        }
+        for (let i = 0; i < events.length; i++) {
+            const event = events[i];
+            const responseOrders = this.safeValue(event, 'orders');
+            for (let j = 0; j < responseOrders.length; j++) {
+                const responseOrder = responseOrders[j];
+                const parsed = this.parseWsOrder(responseOrder);
+                const cachedOrders = this.orders;
+                const marketId = this.safeString(responseOrder, 'product_id');
+                if (!(marketId in marketIds)) {
+                    marketIds.push(marketId);
+                }
+                cachedOrders.append(parsed);
+            }
+        }
+        for (let i = 0; i < marketIds.length; i++) {
+            const marketId = marketIds[i];
+            const messageHash = 'user::' + marketId;
+            client.resolve(this.orders, messageHash);
+        }
+        client.resolve(this.orders, 'user');
+        return message;
+    }
+    parseWsOrder(order, market = undefined) {
+        //
+        //    {
+        //        "order_id": "XXX",
+        //        "client_order_id": "YYY",
+        //        "cumulative_quantity": "0",
+        //        "leaves_quantity": "0.000994",
+        //        "avg_price": "0",
+        //        "total_fees": "0",
+        //        "status": "OPEN",
+        //        "product_id": "BTC-USD",
+        //        "creation_time": "2022-12-07T19:42:18.719312Z",
+        //        "order_side": "BUY",
+        //        "order_type": "Limit"
+        //    }
+        //
+        const id = this.safeString(order, 'order_id');
+        const clientOrderId = this.safeString(order, 'client_order_id');
+        const marketId = this.safeString(order, 'product_id');
+        const datetime = this.safeString(order, 'time');
+        market = this.safeMarket(marketId, market);
+        return this.safeOrder({
+            'info': order,
+            'symbol': this.safeString(market, 'symbol'),
+            'id': id,
+            'clientOrderId': clientOrderId,
+            'timestamp': this.parse8601(datetime),
+            'datetime': datetime,
+            'lastTradeTimestamp': undefined,
+            'type': this.safeString(order, 'order_type'),
+            'timeInForce': undefined,
+            'postOnly': undefined,
+            'side': this.safeString(order, 'side'),
+            'price': undefined,
+            'stopPrice': undefined,
+            'triggerPrice': undefined,
+            'amount': undefined,
+            'cost': undefined,
+            'average': this.safeString(order, 'avg_price'),
+            'filled': this.safeString(order, 'cumulative_quantity'),
+            'remaining': this.safeString(order, 'leaves_quantity'),
+            'status': this.safeStringLower(order, 'status'),
+            'fee': {
+                'amount': this.safeString(order, 'total_fees'),
+                'currency': this.safeString(market, 'quote'),
+            },
+            'trades': undefined,
+        });
+    }
+    handleOrderBookHelper(orderbook, updates) {
+        for (let i = 0; i < updates.length; i++) {
+            const trade = updates[i];
+            const sideId = this.safeString(trade, 'side');
+            const side = this.safeString(this.options['sides'], sideId);
+            const price = this.safeNumber(trade, 'price_level');
+            const amount = this.safeNumber(trade, 'new_quantity');
+            orderbook[side].store(price, amount);
+        }
+    }
+    handleOrderBook(client, message) {
+        //
+        //    {
+        //        "channel": "l2_data",
+        //        "client_id": "",
+        //        "timestamp": "2023-02-09T20:32:50.714964855Z",
+        //        "sequence_num": 0,
+        //        "events": [
+        //            {
+        //                "type": "snapshot",
+        //                "product_id": "BTC-USD",
+        //                "updates": [
+        //                    {
+        //                        "side": "bid",
+        //                        "event_time": "1970-01-01T00:00:00Z",
+        //                        "price_level": "21921.73",
+        //                        "new_quantity": "0.06317902"
+        //                    },
+        //                    {
+        //                        "side": "bid",
+        //                        "event_time": "1970-01-01T00:00:00Z",
+        //                        "price_level": "21921.3",
+        //                        "new_quantity": "0.02"
+        //                    },
+        //                ]
+        //            }
+        //        ]
+        //    }
+        //
+        const events = this.safeValue(message, 'events');
+        const datetime = this.safeString(message, 'timestamp');
+        for (let i = 0; i < events.length; i++) {
+            const event = events[i];
+            const updates = this.safeValue(event, 'updates', []);
+            const marketId = this.safeString(event, 'product_id');
+            const messageHash = 'level2::' + marketId;
+            const subscription = this.safeValue(client.subscriptions, messageHash, {});
+            const limit = this.safeInteger(subscription, 'limit');
+            const symbol = this.safeSymbol(marketId);
+            const type = this.safeString(event, 'type');
+            if (type === 'snapshot') {
+                this.orderbooks[symbol] = this.orderBook({}, limit);
+                const orderbook = this.orderbooks[symbol];
+                this.handleOrderBookHelper(orderbook, updates);
+                orderbook['timestamp'] = undefined;
+                orderbook['datetime'] = undefined;
+                orderbook['symbol'] = symbol;
+                client.resolve(orderbook, messageHash);
+            }
+            else if (type === 'update') {
+                const orderbook = this.orderbooks[symbol];
+                this.handleOrderBookHelper(orderbook, updates);
+                orderbook['datetime'] = datetime;
+                orderbook['timestamp'] = this.parse8601(datetime);
+                orderbook['symbol'] = symbol;
+                client.resolve(orderbook, messageHash);
+            }
+        }
+        return message;
+    }
+    handleSubscriptionStatus(client, message) {
+        //
+        //     {
+        //         "type": "subscriptions",
+        //         "channels": [
+        //             {
+        //                 "name": "level2",
+        //                 "product_ids": [ "ETH-BTC" ]
+        //             }
+        //         ]
+        //     }
+        //
+        return message;
+    }
+    handleMessage(client, message) {
+        const channel = this.safeString(message, 'channel');
+        const methods = {
+            'subscriptions': this.handleSubscriptionStatus,
+            'ticker': this.handleTickers,
+            'ticker_batch': this.handleTickers,
+            'market_trades': this.handleTrade,
+            'user': this.handleOrder,
+            'l2_data': this.handleOrderBook,
+        };
+        const type = this.safeString(message, 'type');
+        if (type === 'error') {
+            const errorMessage = this.safeString(message, 'message');
+            throw new errors.ExchangeError(errorMessage);
+        }
+        const method = this.safeValue(methods, channel);
+        return method.call(this, client, message);
+    }
+}
+
+module.exports = coinbase;