ccxt 4.2.37 → 4.2.38

package/js/src/pro/kucoin.js

@@ -40,6 +40,7 @@ export default class kucoin extends kucoinRest {
                 'watchOrderBook': {
                     'snapshotDelay': 5,
                     'snapshotMaxRetries': 3,
+                    'method': '/market/level2', // '/spotMarket/level2Depth5' or '/spotMarket/level2Depth50'
                 },
             },
             'streaming': {
@@ -441,10 +442,15 @@ export default class kucoin extends kucoinRest {
         /**
          * @method
          * @name kucoin#watchOrderBook
+         * @see https://www.kucoin.com/docs/websocket/spot-trading/public-channels/level1-bbo-market-data
+         * @see https://www.kucoin.com/docs/websocket/spot-trading/public-channels/level2-market-data
+         * @see https://www.kucoin.com/docs/websocket/spot-trading/public-channels/level2-5-best-ask-bid-orders
+         * @see https://www.kucoin.com/docs/websocket/spot-trading/public-channels/level2-50-best-ask-bid-orders
          * @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
+         * @param {string} [params.method] either '/market/level2' or '/spotMarket/level2Depth5' or '/spotMarket/level2Depth50' default is '/market/level2'
          * @returns {object} A dictionary of [order book structures]{@link https://docs.ccxt.com/#/?id=order-book-structure} indexed by market symbols
          */
         //
@@ -468,10 +474,15 @@ export default class kucoin extends kucoinRest {
         /**
          * @method
          * @name kucoin#watchOrderBookForSymbols
+         * @see https://www.kucoin.com/docs/websocket/spot-trading/public-channels/level1-bbo-market-data
+         * @see https://www.kucoin.com/docs/websocket/spot-trading/public-channels/level2-market-data
+         * @see https://www.kucoin.com/docs/websocket/spot-trading/public-channels/level2-5-best-ask-bid-orders
+         * @see https://www.kucoin.com/docs/websocket/spot-trading/public-channels/level2-50-best-ask-bid-orders
          * @description watches information on open orders with bid (buy) and ask (sell) prices, volumes and other data
          * @param {string[]} symbols unified array of symbols
          * @param {int} [limit] the maximum amount of order book entries to return
          * @param {object} [params] extra parameters specific to the exchange API endpoint
+         * @param {string} [params.method] either '/market/level2' or '/spotMarket/level2Depth5' or '/spotMarket/level2Depth50' default is '/market/level2'
          * @returns {object} A dictionary of [order book structures]{@link https://docs.ccxt.com/#/?id=order-book-structure} indexed by market symbols
          */
         const symbolsLength = symbols.length;
@@ -479,28 +490,36 @@ export default class kucoin extends kucoinRest {
             throw new ArgumentsRequired(this.id + ' watchOrderBookForSymbols() requires a non-empty array of symbols');
         }
         if (limit !== undefined) {
-            if ((limit !== 20) && (limit !== 100)) {
-                throw new ExchangeError(this.id + " watchOrderBook 'limit' argument must be undefined, 20 or 100");
+            if ((limit !== 20) && (limit !== 100) && (limit !== 50) && (limit !== 5)) {
+                throw new ExchangeError(this.id + " watchOrderBook 'limit' argument must be undefined, 5, 20, 50 or 100");
             }
         }
         await this.loadMarkets();
         symbols = this.marketSymbols(symbols);
         const marketIds = this.marketIds(symbols);
         const url = await this.negotiate(false);
-        const topic = '/market/level2:' + marketIds.join(',');
+        let method = undefined;
+        [method, params] = this.handleOptionAndParams(params, 'watchOrderBook', 'method', '/market/level2');
+        if ((limit === 5) || (limit === 50)) {
+            method = '/spotMarket/level2Depth' + limit.toString();
+        }
+        const topic = method + ':' + marketIds.join(',');
         const messageHashes = [];
         const subscriptionHashes = [];
         for (let i = 0; i < symbols.length; i++) {
             const symbol = symbols[i];
             messageHashes.push('orderbook:' + symbol);
             const marketId = marketIds[i];
-            subscriptionHashes.push('/market/level2:' + marketId);
+            subscriptionHashes.push(method + ':' + marketId);
+        }
+        let subscription = {};
+        if (method === '/market/level2') { // other streams return the entire orderbook, so we don't need to fetch the snapshot through REST
+            subscription = {
+                'method': this.handleOrderBookSubscription,
+                'symbols': symbols,
+                'limit': limit,
+            };
         }
-        const subscription = {
-            'method': this.handleOrderBookSubscription,
-            'symbols': symbols,
-            'limit': limit,
-        };
         const orderbook = await this.subscribeMultiple(url, messageHashes, topic, subscriptionHashes, params, subscription);
         return orderbook.limit();
     }
@@ -524,41 +543,74 @@ export default class kucoin extends kucoinRest {
         //         }
         //     }
         //
+        //     {
+        //         "topic": "/spotMarket/level2Depth5:BTC-USDT",
+        //         "type": "message",
+        //         "data": {
+        //             "asks": [
+        //                 [
+        //                     "42815.6",
+        //                     "1.24016245"
+        //                 ]
+        //             ],
+        //             "bids": [
+        //                 [
+        //                     "42815.5",
+        //                     "0.08652716"
+        //                 ]
+        //             ],
+        //             "timestamp": 1707204474018
+        //         },
+        //         "subject": "level2"
+        //     }
+        //
         const data = this.safeValue(message, 'data');
-        const marketId = this.safeString(data, 'symbol');
+        const subject = this.safeString(message, 'subject');
+        const topic = this.safeString(message, 'topic');
+        const topicParts = topic.split(':');
+        const topicSymbol = this.safeString(topicParts, 1);
+        const topicChannel = this.safeString(topicParts, 0);
+        const marketId = this.safeString(data, 'symbol', topicSymbol);
         const symbol = this.safeSymbol(marketId, undefined, '-');
         const messageHash = 'orderbook:' + symbol;
-        const storedOrderBook = this.orderbooks[symbol];
-        const nonce = this.safeInteger(storedOrderBook, 'nonce');
-        const deltaEnd = this.safeInteger(data, 'sequenceEnd');
-        if (nonce === undefined) {
-            const cacheLength = storedOrderBook.cache.length;
-            const topic = this.safeString(message, 'topic');
-            const topicParts = topic.split(':');
-            const topicSymbol = this.safeString(topicParts, 1);
-            const topicChannel = this.safeString(topicParts, 0);
-            const subscriptions = Object.keys(client.subscriptions);
-            let subscription = undefined;
-            for (let i = 0; i < subscriptions.length; i++) {
-                const key = subscriptions[i];
-                if ((key.indexOf(topicSymbol) >= 0) && (key.indexOf(topicChannel) >= 0)) {
-                    subscription = client.subscriptions[key];
-                    break;
-                }
+        let orderbook = this.safeDict(this.orderbooks, symbol);
+        if (subject === 'level2') {
+            if (orderbook === undefined) {
+                orderbook = this.orderBook();
             }
-            const limit = this.safeInteger(subscription, 'limit');
-            const snapshotDelay = this.handleOption('watchOrderBook', 'snapshotDelay', 5);
-            if (cacheLength === snapshotDelay) {
-                this.spawn(this.loadOrderBook, client, messageHash, symbol, limit, {});
+            else {
+                orderbook.reset();
             }
-            storedOrderBook.cache.push(data);
-            return;
+            orderbook['symbol'] = symbol;
         }
-        else if (nonce >= deltaEnd) {
-            return;
+        else {
+            const nonce = this.safeInteger(orderbook, 'nonce');
+            const deltaEnd = this.safeInteger2(data, 'sequenceEnd', 'timestamp');
+            if (nonce === undefined) {
+                const cacheLength = orderbook.cache.length;
+                const subscriptions = Object.keys(client.subscriptions);
+                let subscription = undefined;
+                for (let i = 0; i < subscriptions.length; i++) {
+                    const key = subscriptions[i];
+                    if ((key.indexOf(topicSymbol) >= 0) && (key.indexOf(topicChannel) >= 0)) {
+                        subscription = client.subscriptions[key];
+                        break;
+                    }
+                }
+                const limit = this.safeInteger(subscription, 'limit');
+                const snapshotDelay = this.handleOption('watchOrderBook', 'snapshotDelay', 5);
+                if (cacheLength === snapshotDelay) {
+                    this.spawn(this.loadOrderBook, client, messageHash, symbol, limit, {});
+                }
+                orderbook.cache.push(data);
+                return;
+            }
+            else if (nonce >= deltaEnd) {
+                return;
+            }
         }
-        this.handleDelta(storedOrderBook, data);
-        client.resolve(storedOrderBook, messageHash);
+        this.handleDelta(orderbook, data);
+        client.resolve(orderbook, messageHash);
     }
     getCacheIndex(orderbook, cache) {
         const firstDelta = this.safeValue(cache, 0);
@@ -578,11 +630,11 @@ export default class kucoin extends kucoinRest {
         return cache.length;
     }
     handleDelta(orderbook, delta) {
-        orderbook['nonce'] = this.safeInteger(delta, 'sequenceEnd');
-        const timestamp = this.safeInteger(delta, 'time');
+        const timestamp = this.safeInteger2(delta, 'time', 'timestamp');
+        orderbook['nonce'] = this.safeInteger(delta, 'sequenceEnd', timestamp);
         orderbook['timestamp'] = timestamp;
         orderbook['datetime'] = this.iso8601(timestamp);
-        const changes = this.safeValue(delta, 'changes');
+        const changes = this.safeValue(delta, 'changes', delta);
         const bids = this.safeValue(changes, 'bids', []);
         const asks = this.safeValue(changes, 'asks', []);
         const storedBids = orderbook['bids'];
@@ -996,6 +1048,7 @@ export default class kucoin extends kucoinRest {
         }
         const subject = this.safeString(message, 'subject');
         const methods = {
+            'level2': this.handleOrderBook,
             'trade.l2update': this.handleOrderBook,
             'trade.ticker': this.handleTicker,
             'trade.snapshot': this.handleTicker,

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ccxt",
-  "version": "4.2.37",
+  "version": "4.2.38",
   "description": "A JavaScript / TypeScript / Python / C# / PHP cryptocurrency trading library with support for 100+ exchanges",
   "unpkg": "dist/ccxt.browser.js",
   "type": "module",