tardis-dev 12.5.22 → 12.6.7

package/src/mappers/ascendex.ts

@@ -1,156 +1,156 @@
-import { Mapper, PendingTickerInfoHelper } from './mapper'
-import { Trade, BookChange, DerivativeTicker } from '../types'
-
-export class AscendexTradesMapper implements Mapper<'ascendex', Trade> {
-  canHandle(message: AscendexTrade) {
-    return message.m === 'trades'
-  }
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'trades',
-        symbols
-      } as const
-    ]
-  }
-
-  *map(message: AscendexTrade, localTimestamp: Date): IterableIterator<Trade> {
-    for (let trade of message.data) {
-      yield {
-        type: 'trade',
-        symbol: message.symbol,
-        exchange: 'ascendex',
-        id: undefined,
-        price: Number(trade.p),
-        amount: Number(trade.q),
-        side: trade.bm === true ? 'sell' : 'buy',
-        timestamp: new Date(trade.ts),
-        localTimestamp: localTimestamp
-      }
-    }
-  }
-}
-
-export class AscendexBookChangeMapper implements Mapper<'ascendex', BookChange> {
-  canHandle(message: AscendexDepthRealTime | AscendexDepthRealTimeSnapshot) {
-    return message.m === 'depth-realtime' || message.m === 'depth-snapshot-realtime'
-  }
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'depth-realtime',
-        symbols
-      } as const,
-      {
-        channel: 'depth-snapshot-realtime',
-        symbols
-      } as const
-    ]
-  }
-
-  *map(message: AscendexDepthRealTime | AscendexDepthRealTimeSnapshot, localTimestamp: Date): IterableIterator<BookChange> {
-    yield {
-      type: 'book_change',
-      symbol: message.symbol,
-      exchange: 'ascendex',
-      isSnapshot: message.m === 'depth-snapshot-realtime',
-      bids: message.data.bids.map(this.mapBookLevel),
-      asks: message.data.asks.map(this.mapBookLevel),
-      timestamp: message.data.ts > 0 ? new Date(message.data.ts) : localTimestamp,
-      localTimestamp
-    }
-  }
-
-  protected mapBookLevel(level: AscendexPriceLevel) {
-    const price = Number(level[0])
-    const amount = Number(level[1])
-    return { price, amount }
-  }
-}
-
-export class AscendexDerivativeTickerMapper implements Mapper<'ascendex', DerivativeTicker> {
-  private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
-
-  canHandle(message: AscendexFuturesData | AscendexTrade) {
-    return message.m === 'futures-pricing-data' || message.m === 'trades'
-  }
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'futures-pricing-data',
-        symbols: [] as string[]
-      } as const,
-      {
-        channel: 'trades',
-        symbols
-      } as const
-    ]
-  }
-
-  *map(message: AscendexFuturesData | AscendexTrade, localTimestamp: Date): IterableIterator<DerivativeTicker> {
-    if (message.m === 'trades') {
-      const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(message.symbol, 'ascendex')
-      pendingTickerInfo.updateLastPrice(Number(message.data[message.data.length - 1].p))
-      return
-    }
-
-    for (const futuresData of message.con) {
-      const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(futuresData.s, 'ascendex')
-
-      pendingTickerInfo.updateIndexPrice(Number(futuresData.ip))
-      pendingTickerInfo.updateMarkPrice(Number(futuresData.mp))
-      pendingTickerInfo.updateOpenInterest(Number(futuresData.oi))
-      pendingTickerInfo.updateTimestamp(new Date(futuresData.t))
-      pendingTickerInfo.updateFundingTimestamp(new Date(futuresData.f))
-      pendingTickerInfo.updateFundingRate(Number(futuresData.r))
-
-      if (pendingTickerInfo.hasChanged()) {
-        yield pendingTickerInfo.getSnapshot(localTimestamp)
-      }
-    }
-  }
-}
-
-type AscendexTrade = {
-  m: 'trades'
-  symbol: string
-  data: [{ p: string; q: string; ts: number; bm: boolean; seqnum: number }]
-}
-
-type AscendexPriceLevel = [string, string]
-
-type AscendexDepthRealTime = {
-  m: 'depth-realtime'
-  symbol: 'XRP/USDT'
-  data: { ts: 1621814400204; seqnum: 39862426; asks: AscendexPriceLevel[]; bids: AscendexPriceLevel[] }
-}
-
-type AscendexDepthRealTimeSnapshot = {
-  m: 'depth-snapshot-realtime'
-  symbol: 'XRP/USDT'
-  data: {
-    ts: 0
-    seqnum: 39862426
-    asks: AscendexPriceLevel[]
-    bids: AscendexPriceLevel[]
-  }
-}
-
-type AscendexFuturesData = {
-  m: 'futures-pricing-data'
-  con: [
-    {
-      t: 1621814404114
-      s: 'BTC-PERP'
-      mp: '34878.075977904'
-      ip: '34697.17'
-      oi: '80.6126'
-      r: '0.000093633'
-      f: 1621843200000
-      fi: 28800000
-    }
-  ]
-}
+import { Mapper, PendingTickerInfoHelper } from './mapper'
+import { Trade, BookChange, DerivativeTicker } from '../types'
+
+export class AscendexTradesMapper implements Mapper<'ascendex', Trade> {
+  canHandle(message: AscendexTrade) {
+    return message.m === 'trades'
+  }
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'trades',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: AscendexTrade, localTimestamp: Date): IterableIterator<Trade> {
+    for (let trade of message.data) {
+      yield {
+        type: 'trade',
+        symbol: message.symbol,
+        exchange: 'ascendex',
+        id: undefined,
+        price: Number(trade.p),
+        amount: Number(trade.q),
+        side: trade.bm === true ? 'sell' : 'buy',
+        timestamp: new Date(trade.ts),
+        localTimestamp: localTimestamp
+      }
+    }
+  }
+}
+
+export class AscendexBookChangeMapper implements Mapper<'ascendex', BookChange> {
+  canHandle(message: AscendexDepthRealTime | AscendexDepthRealTimeSnapshot) {
+    return message.m === 'depth-realtime' || message.m === 'depth-snapshot-realtime'
+  }
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'depth-realtime',
+        symbols
+      } as const,
+      {
+        channel: 'depth-snapshot-realtime',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: AscendexDepthRealTime | AscendexDepthRealTimeSnapshot, localTimestamp: Date): IterableIterator<BookChange> {
+    yield {
+      type: 'book_change',
+      symbol: message.symbol,
+      exchange: 'ascendex',
+      isSnapshot: message.m === 'depth-snapshot-realtime',
+      bids: message.data.bids.map(this.mapBookLevel),
+      asks: message.data.asks.map(this.mapBookLevel),
+      timestamp: message.data.ts > 0 ? new Date(message.data.ts) : localTimestamp,
+      localTimestamp
+    }
+  }
+
+  protected mapBookLevel(level: AscendexPriceLevel) {
+    const price = Number(level[0])
+    const amount = Number(level[1])
+    return { price, amount }
+  }
+}
+
+export class AscendexDerivativeTickerMapper implements Mapper<'ascendex', DerivativeTicker> {
+  private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
+
+  canHandle(message: AscendexFuturesData | AscendexTrade) {
+    return message.m === 'futures-pricing-data' || message.m === 'trades'
+  }
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'futures-pricing-data',
+        symbols: [] as string[]
+      } as const,
+      {
+        channel: 'trades',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: AscendexFuturesData | AscendexTrade, localTimestamp: Date): IterableIterator<DerivativeTicker> {
+    if (message.m === 'trades') {
+      const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(message.symbol, 'ascendex')
+      pendingTickerInfo.updateLastPrice(Number(message.data[message.data.length - 1].p))
+      return
+    }
+
+    for (const futuresData of message.con) {
+      const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(futuresData.s, 'ascendex')
+
+      pendingTickerInfo.updateIndexPrice(Number(futuresData.ip))
+      pendingTickerInfo.updateMarkPrice(Number(futuresData.mp))
+      pendingTickerInfo.updateOpenInterest(Number(futuresData.oi))
+      pendingTickerInfo.updateTimestamp(new Date(futuresData.t))
+      pendingTickerInfo.updateFundingTimestamp(new Date(futuresData.f))
+      pendingTickerInfo.updateFundingRate(Number(futuresData.r))
+
+      if (pendingTickerInfo.hasChanged()) {
+        yield pendingTickerInfo.getSnapshot(localTimestamp)
+      }
+    }
+  }
+}
+
+type AscendexTrade = {
+  m: 'trades'
+  symbol: string
+  data: [{ p: string; q: string; ts: number; bm: boolean; seqnum: number }]
+}
+
+type AscendexPriceLevel = [string, string]
+
+type AscendexDepthRealTime = {
+  m: 'depth-realtime'
+  symbol: 'XRP/USDT'
+  data: { ts: 1621814400204; seqnum: 39862426; asks: AscendexPriceLevel[]; bids: AscendexPriceLevel[] }
+}
+
+type AscendexDepthRealTimeSnapshot = {
+  m: 'depth-snapshot-realtime'
+  symbol: 'XRP/USDT'
+  data: {
+    ts: 0
+    seqnum: 39862426
+    asks: AscendexPriceLevel[]
+    bids: AscendexPriceLevel[]
+  }
+}
+
+type AscendexFuturesData = {
+  m: 'futures-pricing-data'
+  con: [
+    {
+      t: 1621814404114
+      s: 'BTC-PERP'
+      mp: '34878.075977904'
+      ip: '34697.17'
+      oi: '80.6126'
+      r: '0.000093633'
+      f: 1621843200000
+      fi: 28800000
+    }
+  ]
+}

package/src/mappers/binance.ts

@@ -6,7 +6,8 @@ import { Mapper, PendingTickerInfoHelper } from './mapper'
 // https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md
 
 export class BinanceTradesMapper
-  implements Mapper<'binance' | 'binance-jersey' | 'binance-us' | 'binance-futures' | 'binance-delivery', Trade> {
+  implements Mapper<'binance' | 'binance-jersey' | 'binance-us' | 'binance-futures' | 'binance-delivery', Trade>
+{
   constructor(private readonly _exchange: Exchange) {}
 
   canHandle(message: BinanceResponse<any>) {
@@ -53,7 +54,8 @@ export class BinanceTradesMapper
 }
 
 export class BinanceBookChangeMapper
-  implements Mapper<'binance' | 'binance-jersey' | 'binance-us' | 'binance-futures' | 'binance-delivery', BookChange> {
+  implements Mapper<'binance' | 'binance-jersey' | 'binance-us' | 'binance-futures' | 'binance-delivery', BookChange>
+{
   protected readonly symbolToDepthInfoMapping: {
     [key: string]: LocalDepthInfo
   } = {}
@@ -213,7 +215,8 @@ export class BinanceBookChangeMapper
 
 export class BinanceFuturesBookChangeMapper
   extends BinanceBookChangeMapper
-  implements Mapper<'binance-futures' | 'binance-delivery', BookChange> {
+  implements Mapper<'binance-futures' | 'binance-delivery', BookChange>
+{
   constructor(protected readonly exchange: Exchange, protected readonly ignoreBookSnapshotOverlapError: boolean) {
     super(exchange, ignoreBookSnapshotOverlapError)
   }

package/src/mappers/bybit.ts

@@ -198,15 +198,33 @@ export class BybitLiquidationsMapper implements Mapper<'bybit', Liquidation> {
     ]
   }
 
-  *map(message: BybitLiquidationMessage, localTimestamp: Date): IterableIterator<Liquidation> {
-    for (const bybitLiquidation of message.data) {
+  *map(message: BybitLiquidationMessage | BybitLiquidationNativeMessage, localTimestamp: Date): IterableIterator<Liquidation> {
+    // from bybit telegram: When "side":"Buy", a long position was liquidated. Will fix the docs.
+    if (message.generated) {
+      for (const bybitLiquidation of message.data) {
+        const liquidation: Liquidation = {
+          type: 'liquidation',
+          symbol: bybitLiquidation.symbol,
+          exchange: this._exchange,
+          id: String(bybitLiquidation.id),
+          price: Number(bybitLiquidation.price),
+          amount: bybitLiquidation.qty,
+          side: bybitLiquidation.side == 'Buy' ? 'sell' : 'buy',
+          timestamp: new Date(bybitLiquidation.time),
+          localTimestamp
+        }
+
+        yield liquidation
+      }
+    } else {
+      const bybitLiquidation = message.data
       const liquidation: Liquidation = {
         type: 'liquidation',
         symbol: bybitLiquidation.symbol,
         exchange: this._exchange,
-        id: String(bybitLiquidation.id),
+        id: undefined,
         price: Number(bybitLiquidation.price),
-        amount: bybitLiquidation.qty,
+        amount: Number(bybitLiquidation.qty),
         side: bybitLiquidation.side == 'Buy' ? 'sell' : 'buy',
         timestamp: new Date(bybitLiquidation.time),
         localTimestamp
@@ -281,6 +299,7 @@ type BybitInstrumentDataMessage = BybitDataMessage & {
 }
 
 type BybitLiquidationMessage = BybitDataMessage & {
+  generated: true
   data: {
     id: number
     qty: number
@@ -290,3 +309,8 @@ type BybitLiquidationMessage = BybitDataMessage & {
     price: number
   }[]
 }
+
+type BybitLiquidationNativeMessage = BybitDataMessage & {
+  generated: undefined
+  data: { symbol: string; side: 'Sell' | 'Buy'; price: string; qty: string; time: number }
+}