tardis-dev 12.5.22 → 12.6.7

package/src/mappers/phemex.ts

@@ -1,177 +1,179 @@
-import { Mapper, PendingTickerInfoHelper } from './mapper'
-import { Trade, BookChange, DerivativeTicker } from '../types'
-
-// phemex provides timestamps in nanoseconds
-const fromNanoSecondsToDate = (nanos: number) => {
-  const microtimestamp = Math.floor(nanos / 1000)
-
-  const timestamp = new Date(microtimestamp / 1000)
-  timestamp.μs = microtimestamp % 1000
-
-  return timestamp
-}
-
-function getPriceScale(symbol: string) {
-  if (symbol.startsWith('s')) {
-    return 1e8
-  }
-
-  return 1e4
-}
-
-function getQtyScale(symbol: string) {
-  if (symbol.startsWith('s')) {
-    return 1e8
-  }
-
-  return 1
-}
-
-function getSymbols(symbols?: string[]) {
-  if (symbols === undefined) {
-    return
-  }
-  return symbols.map((symbol) => {
-    if (symbol.startsWith('S')) {
-      return symbol.charAt(0).toLowerCase() + symbol.slice(1)
-    }
-    return symbol
-  })
-}
-
-export const phemexTradesMapper: Mapper<'phemex', Trade> = {
-  canHandle(message: PhemexTradeMessage) {
-    return 'trades' in message && message.type === 'incremental'
-  },
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'trades',
-        symbols: getSymbols(symbols)
-      } as const
-    ]
-  },
-
-  *map(message: PhemexTradeMessage, localTimestamp: Date): IterableIterator<Trade> {
-    for (const [timestamp, side, priceEp, qty] of message.trades) {
-      const symbol = message.symbol
-
-      yield {
-        type: 'trade',
-        symbol: symbol.toUpperCase(),
-        exchange: 'phemex',
-        id: undefined,
-        price: priceEp / getPriceScale(symbol),
-        amount: qty / getQtyScale(symbol),
-        side: side === 'Buy' ? 'buy' : 'sell',
-        timestamp: fromNanoSecondsToDate(timestamp),
-        localTimestamp: localTimestamp
-      }
-    }
-  }
-}
-
-const mapBookLevelForSymbol = (symbol: string) => ([priceEp, qty]: PhemexBookLevel) => {
-  return {
-    price: priceEp / getPriceScale(symbol),
-    amount: qty / getQtyScale(symbol)
-  }
-}
-
-export const phemexBookChangeMapper: Mapper<'phemex', BookChange> = {
-  canHandle(message: PhemexBookMessage) {
-    return 'book' in message
-  },
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'book',
-        symbols: getSymbols(symbols)
-      } as const
-    ]
-  },
-
-  *map(message: PhemexBookMessage, localTimestamp: Date): IterableIterator<BookChange> {
-    const symbol = message.symbol
-    const mapBookLevel = mapBookLevelForSymbol(symbol)
-    yield {
-      type: 'book_change',
-      symbol: symbol.toUpperCase(),
-      exchange: 'phemex',
-      isSnapshot: message.type === 'snapshot',
-      bids: message.book.bids.map(mapBookLevel),
-      asks: message.book.asks.map(mapBookLevel),
-
-      timestamp: fromNanoSecondsToDate(message.timestamp),
-      localTimestamp
-    }
-  }
-}
-
-export class PhemexDerivativeTickerMapper implements Mapper<'phemex', DerivativeTicker> {
-  private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
-
-  canHandle(message: PhemexTicker) {
-    return 'market24h' in message
-  }
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'market24h',
-        symbols
-      } as const
-    ]
-  }
-
-  *map(message: PhemexTicker, localTimestamp: Date): IterableIterator<DerivativeTicker> {
-    const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(message.market24h.symbol, 'phemex')
-    const phemexTicker = message.market24h
-    pendingTickerInfo.updateFundingRate(phemexTicker.fundingRate / 100000000)
-    pendingTickerInfo.updatePredictedFundingRate(phemexTicker.predFundingRate / 100000000)
-    pendingTickerInfo.updateIndexPrice(phemexTicker.indexPrice / 10000)
-    pendingTickerInfo.updateMarkPrice(phemexTicker.markPrice / 10000)
-    pendingTickerInfo.updateOpenInterest(phemexTicker.openInterest)
-    pendingTickerInfo.updateLastPrice(phemexTicker.close / 10000)
-    pendingTickerInfo.updateTimestamp(fromNanoSecondsToDate(message.timestamp))
-
-    if (pendingTickerInfo.hasChanged()) {
-      yield pendingTickerInfo.getSnapshot(localTimestamp)
-    }
-  }
-}
-
-type PhemexTradeMessage = {
-  symbol: string
-  trades: [[number, 'Buy' | 'Sell', number, number]]
-  type: 'incremental' | 'snapshot'
-}
-
-type PhemexBookLevel = [number, number]
-
-type PhemexBookMessage = {
-  book: {
-    asks: PhemexBookLevel[]
-    bids: PhemexBookLevel[]
-  }
-
-  symbol: string
-  timestamp: number
-  type: 'incremental' | 'snapshot'
-}
-
-type PhemexTicker = {
-  market24h: {
-    fundingRate: number
-    indexPrice: number
-    markPrice: number
-    openInterest: number
-    predFundingRate: number
-    symbol: string
-    close: number
-  }
-
-  timestamp: number
-}
+import { Mapper, PendingTickerInfoHelper } from './mapper'
+import { Trade, BookChange, DerivativeTicker } from '../types'
+
+// phemex provides timestamps in nanoseconds
+const fromNanoSecondsToDate = (nanos: number) => {
+  const microtimestamp = Math.floor(nanos / 1000)
+
+  const timestamp = new Date(microtimestamp / 1000)
+  timestamp.μs = microtimestamp % 1000
+
+  return timestamp
+}
+
+function getPriceScale(symbol: string) {
+  if (symbol.startsWith('s')) {
+    return 1e8
+  }
+
+  return 1e4
+}
+
+function getQtyScale(symbol: string) {
+  if (symbol.startsWith('s')) {
+    return 1e8
+  }
+
+  return 1
+}
+
+function getSymbols(symbols?: string[]) {
+  if (symbols === undefined) {
+    return
+  }
+  return symbols.map((symbol) => {
+    if (symbol.startsWith('S')) {
+      return symbol.charAt(0).toLowerCase() + symbol.slice(1)
+    }
+    return symbol
+  })
+}
+
+export const phemexTradesMapper: Mapper<'phemex', Trade> = {
+  canHandle(message: PhemexTradeMessage) {
+    return 'trades' in message && message.type === 'incremental'
+  },
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'trades',
+        symbols: getSymbols(symbols)
+      } as const
+    ]
+  },
+
+  *map(message: PhemexTradeMessage, localTimestamp: Date): IterableIterator<Trade> {
+    for (const [timestamp, side, priceEp, qty] of message.trades) {
+      const symbol = message.symbol
+
+      yield {
+        type: 'trade',
+        symbol: symbol.toUpperCase(),
+        exchange: 'phemex',
+        id: undefined,
+        price: priceEp / getPriceScale(symbol),
+        amount: qty / getQtyScale(symbol),
+        side: side === 'Buy' ? 'buy' : 'sell',
+        timestamp: fromNanoSecondsToDate(timestamp),
+        localTimestamp: localTimestamp
+      }
+    }
+  }
+}
+
+const mapBookLevelForSymbol =
+  (symbol: string) =>
+  ([priceEp, qty]: PhemexBookLevel) => {
+    return {
+      price: priceEp / getPriceScale(symbol),
+      amount: qty / getQtyScale(symbol)
+    }
+  }
+
+export const phemexBookChangeMapper: Mapper<'phemex', BookChange> = {
+  canHandle(message: PhemexBookMessage) {
+    return 'book' in message
+  },
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'book',
+        symbols: getSymbols(symbols)
+      } as const
+    ]
+  },
+
+  *map(message: PhemexBookMessage, localTimestamp: Date): IterableIterator<BookChange> {
+    const symbol = message.symbol
+    const mapBookLevel = mapBookLevelForSymbol(symbol)
+    yield {
+      type: 'book_change',
+      symbol: symbol.toUpperCase(),
+      exchange: 'phemex',
+      isSnapshot: message.type === 'snapshot',
+      bids: message.book.bids.map(mapBookLevel),
+      asks: message.book.asks.map(mapBookLevel),
+
+      timestamp: fromNanoSecondsToDate(message.timestamp),
+      localTimestamp
+    }
+  }
+}
+
+export class PhemexDerivativeTickerMapper implements Mapper<'phemex', DerivativeTicker> {
+  private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
+
+  canHandle(message: PhemexTicker) {
+    return 'market24h' in message
+  }
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'market24h',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: PhemexTicker, localTimestamp: Date): IterableIterator<DerivativeTicker> {
+    const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(message.market24h.symbol, 'phemex')
+    const phemexTicker = message.market24h
+    pendingTickerInfo.updateFundingRate(phemexTicker.fundingRate / 100000000)
+    pendingTickerInfo.updatePredictedFundingRate(phemexTicker.predFundingRate / 100000000)
+    pendingTickerInfo.updateIndexPrice(phemexTicker.indexPrice / 10000)
+    pendingTickerInfo.updateMarkPrice(phemexTicker.markPrice / 10000)
+    pendingTickerInfo.updateOpenInterest(phemexTicker.openInterest)
+    pendingTickerInfo.updateLastPrice(phemexTicker.close / 10000)
+    pendingTickerInfo.updateTimestamp(fromNanoSecondsToDate(message.timestamp))
+
+    if (pendingTickerInfo.hasChanged()) {
+      yield pendingTickerInfo.getSnapshot(localTimestamp)
+    }
+  }
+}
+
+type PhemexTradeMessage = {
+  symbol: string
+  trades: [[number, 'Buy' | 'Sell', number, number]]
+  type: 'incremental' | 'snapshot'
+}
+
+type PhemexBookLevel = [number, number]
+
+type PhemexBookMessage = {
+  book: {
+    asks: PhemexBookLevel[]
+    bids: PhemexBookLevel[]
+  }
+
+  symbol: string
+  timestamp: number
+  type: 'incremental' | 'snapshot'
+}
+
+type PhemexTicker = {
+  market24h: {
+    fundingRate: number
+    indexPrice: number
+    markPrice: number
+    openInterest: number
+    predFundingRate: number
+    symbol: string
+    close: number
+  }
+
+  timestamp: number
+}

package/src/mappers/poloniex.ts

@@ -1,150 +1,150 @@
-import { BookChange, Trade } from '../types'
-import { Mapper } from './mapper'
-
-// https://docs.poloniex.com/#websocket-api
-
-export class PoloniexTradesMapper implements Mapper<'poloniex', Trade> {
-  private readonly _channelIdToSymbolMap: Map<number, string> = new Map()
-
-  canHandle(message: PoloniexPriceAggreatedMessage) {
-    if (message.length < 3) {
-      return false
-    }
-    // store mapping between channel id and symbols
-    if (message[2][0][0] === 'i') {
-      this._channelIdToSymbolMap.set(message[0], message[2][0][1].currencyPair)
-    }
-
-    return message[2].some((m) => m[0] === 't')
-  }
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'price_aggregated_book',
-        symbols
-      } as const
-    ]
-  }
-
-  *map(message: PoloniexPriceAggreatedMessage, localTimestamp: Date): IterableIterator<Trade> {
-    const lastItem = message[message.length - 1]
-    const symbol = typeof lastItem === 'string' ? lastItem : this._channelIdToSymbolMap.get(message[0])
-
-    if (symbol === undefined) {
-      return
-    }
-
-    for (const item of message[2]) {
-      if (item[0] !== 't') {
-        continue
-      }
-
-      const [_, id, side, price, size, timestamp] = item
-
-      yield {
-        type: 'trade',
-        symbol,
-        exchange: 'poloniex',
-        id: String(id),
-        price: Number(price),
-        amount: Number(size),
-        side: side === 1 ? 'buy' : 'sell',
-        timestamp: new Date(timestamp * 1000),
-        localTimestamp: localTimestamp
-      }
-    }
-  }
-}
-
-const mapSnapshotLevels = (levels: { [key: string]: string }) => {
-  return Object.keys(levels).map((key) => {
-    return {
-      price: Number(key),
-      amount: Number(levels[key])
-    }
-  })
-}
-
-const mapBookLevel = (level: PoloniexBookUpdate) => {
-  return {
-    price: Number(level[2]),
-    amount: Number(level[3])
-  }
-}
-
-export class PoloniexBookChangeMapper implements Mapper<'poloniex', BookChange> {
-  private readonly _channelIdToSymbolMap: Map<number, string> = new Map()
-
-  canHandle(message: PoloniexPriceAggreatedMessage) {
-    if (message.length < 3) {
-      return false
-    }
-    // store mapping between channel id and symbols
-    if (message[2][0][0] === 'i') {
-      this._channelIdToSymbolMap.set(message[0], message[2][0][1].currencyPair)
-    }
-
-    return message[2].some((m) => m[0] === 'i' || m[0] === 'o')
-  }
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'price_aggregated_book',
-        symbols
-      } as const
-    ]
-  }
-
-  *map(message: PoloniexPriceAggreatedMessage, localTimestamp: Date): IterableIterator<BookChange> {
-    const lastItem = message[message.length - 1]
-    const symbol = typeof lastItem === 'string' ? lastItem : this._channelIdToSymbolMap.get(message[0])
-
-    if (symbol === undefined) {
-      return
-    }
-
-    let updates = []
-
-    for (const item of message[2]) {
-      if (item[0] === 'i') {
-        const bookSnapshot: BookChange = {
-          type: 'book_change',
-          symbol,
-          exchange: 'poloniex',
-          isSnapshot: true,
-          bids: mapSnapshotLevels(item[1].orderBook[1]),
-          asks: mapSnapshotLevels(item[1].orderBook[0]),
-          timestamp: localTimestamp,
-          localTimestamp: localTimestamp
-        }
-
-        yield bookSnapshot
-      } else if (item[0] === 'o') {
-        updates.push(item)
-      }
-    }
-
-    if (updates.length > 0) {
-      const bookUpdate: BookChange = {
-        type: 'book_change',
-        symbol,
-        exchange: 'poloniex',
-        isSnapshot: false,
-        bids: updates.filter((u) => u[1] == 1).map(mapBookLevel),
-        asks: updates.filter((u) => u[1] == 0).map(mapBookLevel),
-        timestamp: localTimestamp,
-        localTimestamp: localTimestamp
-      }
-
-      yield bookUpdate
-    }
-  }
-}
-
-type PoloniexBookSnapshot = ['i', { currencyPair: string; orderBook: [{ [key: string]: string }, { [key: string]: string }] }]
-type PoloniexBookUpdate = ['o', 0 | 1, string, string]
-type PoloniexTrade = ['t', string, 1 | 0, string, string, number]
-
-type PoloniexPriceAggreatedMessage = [number, number, (PoloniexBookSnapshot | PoloniexBookUpdate | PoloniexTrade)[], string?]
+import { BookChange, Trade } from '../types'
+import { Mapper } from './mapper'
+
+// https://docs.poloniex.com/#websocket-api
+
+export class PoloniexTradesMapper implements Mapper<'poloniex', Trade> {
+  private readonly _channelIdToSymbolMap: Map<number, string> = new Map()
+
+  canHandle(message: PoloniexPriceAggreatedMessage) {
+    if (message.length < 3) {
+      return false
+    }
+    // store mapping between channel id and symbols
+    if (message[2][0][0] === 'i') {
+      this._channelIdToSymbolMap.set(message[0], message[2][0][1].currencyPair)
+    }
+
+    return message[2].some((m) => m[0] === 't')
+  }
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'price_aggregated_book',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: PoloniexPriceAggreatedMessage, localTimestamp: Date): IterableIterator<Trade> {
+    const lastItem = message[message.length - 1]
+    const symbol = typeof lastItem === 'string' ? lastItem : this._channelIdToSymbolMap.get(message[0])
+
+    if (symbol === undefined) {
+      return
+    }
+
+    for (const item of message[2]) {
+      if (item[0] !== 't') {
+        continue
+      }
+
+      const [_, id, side, price, size, timestamp] = item
+
+      yield {
+        type: 'trade',
+        symbol,
+        exchange: 'poloniex',
+        id: String(id),
+        price: Number(price),
+        amount: Number(size),
+        side: side === 1 ? 'buy' : 'sell',
+        timestamp: new Date(timestamp * 1000),
+        localTimestamp: localTimestamp
+      }
+    }
+  }
+}
+
+const mapSnapshotLevels = (levels: { [key: string]: string }) => {
+  return Object.keys(levels).map((key) => {
+    return {
+      price: Number(key),
+      amount: Number(levels[key])
+    }
+  })
+}
+
+const mapBookLevel = (level: PoloniexBookUpdate) => {
+  return {
+    price: Number(level[2]),
+    amount: Number(level[3])
+  }
+}
+
+export class PoloniexBookChangeMapper implements Mapper<'poloniex', BookChange> {
+  private readonly _channelIdToSymbolMap: Map<number, string> = new Map()
+
+  canHandle(message: PoloniexPriceAggreatedMessage) {
+    if (message.length < 3) {
+      return false
+    }
+    // store mapping between channel id and symbols
+    if (message[2][0][0] === 'i') {
+      this._channelIdToSymbolMap.set(message[0], message[2][0][1].currencyPair)
+    }
+
+    return message[2].some((m) => m[0] === 'i' || m[0] === 'o')
+  }
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'price_aggregated_book',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: PoloniexPriceAggreatedMessage, localTimestamp: Date): IterableIterator<BookChange> {
+    const lastItem = message[message.length - 1]
+    const symbol = typeof lastItem === 'string' ? lastItem : this._channelIdToSymbolMap.get(message[0])
+
+    if (symbol === undefined) {
+      return
+    }
+
+    let updates = []
+
+    for (const item of message[2]) {
+      if (item[0] === 'i') {
+        const bookSnapshot: BookChange = {
+          type: 'book_change',
+          symbol,
+          exchange: 'poloniex',
+          isSnapshot: true,
+          bids: mapSnapshotLevels(item[1].orderBook[1]),
+          asks: mapSnapshotLevels(item[1].orderBook[0]),
+          timestamp: localTimestamp,
+          localTimestamp: localTimestamp
+        }
+
+        yield bookSnapshot
+      } else if (item[0] === 'o') {
+        updates.push(item)
+      }
+    }
+
+    if (updates.length > 0) {
+      const bookUpdate: BookChange = {
+        type: 'book_change',
+        symbol,
+        exchange: 'poloniex',
+        isSnapshot: false,
+        bids: updates.filter((u) => u[1] == 1).map(mapBookLevel),
+        asks: updates.filter((u) => u[1] == 0).map(mapBookLevel),
+        timestamp: localTimestamp,
+        localTimestamp: localTimestamp
+      }
+
+      yield bookUpdate
+    }
+  }
+}
+
+type PoloniexBookSnapshot = ['i', { currencyPair: string; orderBook: [{ [key: string]: string }, { [key: string]: string }] }]
+type PoloniexBookUpdate = ['o', 0 | 1, string, string]
+type PoloniexTrade = ['t', string, 1 | 0, string, string, number]
+
+type PoloniexPriceAggreatedMessage = [number, number, (PoloniexBookSnapshot | PoloniexBookUpdate | PoloniexTrade)[], string?]