tardis-dev 12.5.22 → 12.6.7

package/src/mappers/coinflex.ts

@@ -1,159 +1,159 @@
-import { BookChange, Trade, DerivativeTicker } from '../types'
-import { Mapper, PendingTickerInfoHelper } from './mapper'
-
-// https://docs.coinflex.com/v2/#websocket-api-subscriptions-public
-
-export const coinflexTradesMapper: Mapper<'coinflex', Trade> = {
-  canHandle(message: CoinflexTrades) {
-    return message.table === 'trade'
-  },
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'trade',
-        symbols
-      }
-    ]
-  },
-
-  *map(coinflexTrades: CoinflexTrades, localTimestamp: Date): IterableIterator<Trade> {
-    for (const trade of coinflexTrades.data) {
-      yield {
-        type: 'trade',
-        symbol: trade.marketCode,
-        exchange: 'coinflex',
-        id: trade.tradeId,
-        price: Number(trade.price),
-        amount: Number(trade.quantity),
-        side: trade.side === 'SELL' ? 'sell' : 'buy',
-        timestamp: new Date(Number(trade.timestamp)),
-        localTimestamp: localTimestamp
-      }
-    }
-  }
-}
-
-const mapBookLevel = (level: CoinflexBookLevel) => {
-  const price = Number(level[0])
-  const amount = Number(level[1])
-
-  return { price, amount }
-}
-
-export const coinflexBookChangeMapper: Mapper<'coinflex', BookChange> = {
-  canHandle(message: CoinflexBookDepthMessage) {
-    return message.table === 'futures/depth'
-  },
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'futures/depth',
-        symbols
-      }
-    ]
-  },
-
-  *map(depthMessage: CoinflexBookDepthMessage, localTimestamp: Date): IterableIterator<BookChange> {
-    for (const change of depthMessage.data) {
-      yield {
-        type: 'book_change',
-        symbol: change.instrumentId,
-        exchange: 'coinflex',
-        isSnapshot: depthMessage.action === 'partial',
-        bids: change.bids.map(mapBookLevel),
-        asks: change.asks.map(mapBookLevel),
-        timestamp: new Date(Number(change.timestamp)),
-        localTimestamp
-      }
-    }
-  }
-}
-
-export class CoinflexDerivativeTickerMapper implements Mapper<'coinflex', DerivativeTicker> {
-  private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
-
-  canHandle(message: CoinflexTickerMessage) {
-    return message.table === 'ticker'
-  }
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'ticker',
-        symbols
-      } as const
-    ]
-  }
-
-  *map(message: CoinflexTickerMessage, localTimestamp: Date): IterableIterator<DerivativeTicker> {
-    for (const ticker of message.data) {
-      // exclude spot symbols
-      if (ticker.marketCode.split('-').length === 2) {
-        continue
-      }
-
-      const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(ticker.marketCode, 'coinflex')
-
-      if (ticker.markPrice !== undefined) {
-        pendingTickerInfo.updateMarkPrice(Number(ticker.markPrice))
-      }
-
-      if (ticker.openInterest !== undefined) {
-        pendingTickerInfo.updateOpenInterest(Number(ticker.openInterest))
-      }
-      if (ticker.last !== undefined) {
-        pendingTickerInfo.updateLastPrice(Number(ticker.last))
-      }
-
-      pendingTickerInfo.updateTimestamp(new Date(Number(ticker.timestamp)))
-
-      if (pendingTickerInfo.hasChanged()) {
-        yield pendingTickerInfo.getSnapshot(localTimestamp)
-      }
-    }
-  }
-}
-
-type CoinflexTrades = {
-  data: [
-    {
-      side: 'SELL' | 'BUY'
-      quantity: string
-      price: string
-      marketCode: string
-      tradeId: string
-      timestamp: string
-    }
-  ]
-  table: 'trade'
-}
-
-type CoinflexBookLevel = [number | string, number | string]
-
-type CoinflexBookDepthMessage = {
-  data: [
-    {
-      instrumentId: string
-      asks: CoinflexBookLevel[]
-      bids: CoinflexBookLevel[]
-      timestamp: string
-    }
-  ]
-  action: 'partial'
-  table: 'futures/depth'
-}
-
-type CoinflexTickerMessage = {
-  data: [
-    {
-      last: string
-      markPrice?: string
-      marketCode: string
-      openInterest: string
-      timestamp: string
-    }
-  ]
-  table: 'ticker'
-}
+import { BookChange, Trade, DerivativeTicker } from '../types'
+import { Mapper, PendingTickerInfoHelper } from './mapper'
+
+// https://docs.coinflex.com/v2/#websocket-api-subscriptions-public
+
+export const coinflexTradesMapper: Mapper<'coinflex', Trade> = {
+  canHandle(message: CoinflexTrades) {
+    return message.table === 'trade'
+  },
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'trade',
+        symbols
+      }
+    ]
+  },
+
+  *map(coinflexTrades: CoinflexTrades, localTimestamp: Date): IterableIterator<Trade> {
+    for (const trade of coinflexTrades.data) {
+      yield {
+        type: 'trade',
+        symbol: trade.marketCode,
+        exchange: 'coinflex',
+        id: trade.tradeId,
+        price: Number(trade.price),
+        amount: Number(trade.quantity),
+        side: trade.side === 'SELL' ? 'sell' : 'buy',
+        timestamp: new Date(Number(trade.timestamp)),
+        localTimestamp: localTimestamp
+      }
+    }
+  }
+}
+
+const mapBookLevel = (level: CoinflexBookLevel) => {
+  const price = Number(level[0])
+  const amount = Number(level[1])
+
+  return { price, amount }
+}
+
+export const coinflexBookChangeMapper: Mapper<'coinflex', BookChange> = {
+  canHandle(message: CoinflexBookDepthMessage) {
+    return message.table === 'futures/depth'
+  },
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'futures/depth',
+        symbols
+      }
+    ]
+  },
+
+  *map(depthMessage: CoinflexBookDepthMessage, localTimestamp: Date): IterableIterator<BookChange> {
+    for (const change of depthMessage.data) {
+      yield {
+        type: 'book_change',
+        symbol: change.instrumentId,
+        exchange: 'coinflex',
+        isSnapshot: depthMessage.action === 'partial',
+        bids: change.bids.map(mapBookLevel),
+        asks: change.asks.map(mapBookLevel),
+        timestamp: new Date(Number(change.timestamp)),
+        localTimestamp
+      }
+    }
+  }
+}
+
+export class CoinflexDerivativeTickerMapper implements Mapper<'coinflex', DerivativeTicker> {
+  private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
+
+  canHandle(message: CoinflexTickerMessage) {
+    return message.table === 'ticker'
+  }
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'ticker',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: CoinflexTickerMessage, localTimestamp: Date): IterableIterator<DerivativeTicker> {
+    for (const ticker of message.data) {
+      // exclude spot symbols
+      if (ticker.marketCode.split('-').length === 2) {
+        continue
+      }
+
+      const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(ticker.marketCode, 'coinflex')
+
+      if (ticker.markPrice !== undefined) {
+        pendingTickerInfo.updateMarkPrice(Number(ticker.markPrice))
+      }
+
+      if (ticker.openInterest !== undefined) {
+        pendingTickerInfo.updateOpenInterest(Number(ticker.openInterest))
+      }
+      if (ticker.last !== undefined) {
+        pendingTickerInfo.updateLastPrice(Number(ticker.last))
+      }
+
+      pendingTickerInfo.updateTimestamp(new Date(Number(ticker.timestamp)))
+
+      if (pendingTickerInfo.hasChanged()) {
+        yield pendingTickerInfo.getSnapshot(localTimestamp)
+      }
+    }
+  }
+}
+
+type CoinflexTrades = {
+  data: [
+    {
+      side: 'SELL' | 'BUY'
+      quantity: string
+      price: string
+      marketCode: string
+      tradeId: string
+      timestamp: string
+    }
+  ]
+  table: 'trade'
+}
+
+type CoinflexBookLevel = [number | string, number | string]
+
+type CoinflexBookDepthMessage = {
+  data: [
+    {
+      instrumentId: string
+      asks: CoinflexBookLevel[]
+      bids: CoinflexBookLevel[]
+      timestamp: string
+    }
+  ]
+  action: 'partial'
+  table: 'futures/depth'
+}
+
+type CoinflexTickerMessage = {
+  data: [
+    {
+      last: string
+      markPrice?: string
+      marketCode: string
+      openInterest: string
+      timestamp: string
+    }
+  ]
+  table: 'ticker'
+}

package/src/mappers/delta.ts

@@ -1,175 +1,175 @@
-import { Mapper, PendingTickerInfoHelper } from './mapper'
-import { Trade, BookChange, DerivativeTicker } from '../types'
-
-const fromMicroSecondsToDate = (micros: number) => {
-  const timestamp = new Date(micros / 1000)
-  timestamp.μs = micros % 1000
-
-  return timestamp
-}
-
-export class DeltaTradesMapper implements Mapper<'delta', Trade> {
-  constructor(private _useV2Channels: boolean) {}
-
-  canHandle(message: DeltaTrade) {
-    return message.type === (this._useV2Channels ? 'all_trades' : 'recent_trade')
-  }
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: this._useV2Channels ? 'all_trades' : 'recent_trade',
-        symbols
-      } as const
-    ]
-  }
-
-  *map(message: DeltaTrade, localTimestamp: Date): IterableIterator<Trade> {
-    yield {
-      type: 'trade',
-      symbol: message.symbol,
-      exchange: 'delta',
-      id: undefined,
-      price: Number(message.price),
-      amount: Number(message.size),
-      side: message.buyer_role === 'taker' ? 'buy' : 'sell',
-      timestamp: fromMicroSecondsToDate(message.timestamp),
-      localTimestamp: localTimestamp
-    }
-  }
-}
-
-const mapBookLevel = (level: DeltaBookLevel) => {
-  return {
-    price: Number(level.limit_price),
-    amount: Number(level.size)
-  }
-}
-
-export const deltaBookChangeMapper: Mapper<'delta', BookChange> = {
-  canHandle(message: DeltaL2OrderBook) {
-    return message.type === 'l2_orderbook'
-  },
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'l2_orderbook',
-        symbols
-      } as const
-    ]
-  },
-
-  *map(message: DeltaL2OrderBook, localTimestamp: Date): IterableIterator<BookChange> {
-    yield {
-      type: 'book_change',
-      symbol: message.symbol,
-      exchange: 'delta',
-      isSnapshot: true,
-      bids: message.buy.map(mapBookLevel),
-      asks: message.sell.map(mapBookLevel),
-      timestamp: message.timestamp !== undefined ? fromMicroSecondsToDate(message.timestamp) : localTimestamp,
-      localTimestamp
-    }
-  }
-}
-
-export class DeltaDerivativeTickerMapper implements Mapper<'delta', DerivativeTicker> {
-  constructor(private _useV2Channels: boolean) {}
-
-  private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
-
-  canHandle(message: DeltaTrade | DeltaMarkPrice | DeltaFundingRate) {
-    return (
-      message.type === (this._useV2Channels ? 'all_trades' : 'recent_trade') ||
-      message.type === 'funding_rate' ||
-      message.type === 'mark_price'
-    )
-  }
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: this._useV2Channels ? 'all_trades' : 'recent_trade',
-        symbols
-      } as const,
-      {
-        channel: 'funding_rate',
-        symbols
-      } as const,
-      {
-        channel: 'mark_price',
-        symbols
-      } as const
-    ]
-  }
-
-  *map(message: DeltaTrade | DeltaMarkPrice | DeltaFundingRate, localTimestamp: Date): IterableIterator<DerivativeTicker> {
-    const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(message.symbol.replace('MARK:', ''), 'delta')
-
-    if (message.type === 'recent_trade' || message.type === 'all_trades') {
-      pendingTickerInfo.updateLastPrice(Number(message.price))
-    }
-    if (message.type === 'mark_price') {
-      pendingTickerInfo.updateMarkPrice(Number(message.price))
-    }
-
-    if (message.type === 'funding_rate') {
-      if (message.funding_rate !== undefined) {
-        pendingTickerInfo.updateFundingRate(Number(message.funding_rate))
-      }
-
-      if (message.predicted_funding_rate !== undefined) {
-        pendingTickerInfo.updatePredictedFundingRate(Number(message.predicted_funding_rate))
-      }
-
-      if (message.next_funding_realization !== undefined) {
-        pendingTickerInfo.updateFundingTimestamp(fromMicroSecondsToDate(message.next_funding_realization))
-      }
-    }
-
-    pendingTickerInfo.updateTimestamp(fromMicroSecondsToDate(message.timestamp))
-
-    if (pendingTickerInfo.hasChanged()) {
-      yield pendingTickerInfo.getSnapshot(localTimestamp)
-    }
-  }
-}
-
-type DeltaTrade = {
-  buyer_role: 'taker' | 'maker'
-  price: string
-  size: number | string
-  symbol: string
-  timestamp: number
-  type: 'recent_trade' | 'all_trades'
-}
-
-type DeltaBookLevel = {
-  limit_price: string
-  size: number | string
-}
-
-type DeltaL2OrderBook = {
-  buy: DeltaBookLevel[]
-  sell: DeltaBookLevel[]
-  symbol: string
-  timestamp?: number
-  type: 'l2_orderbook'
-}
-
-type DeltaMarkPrice = {
-  price: string
-  symbol: string
-  timestamp: number
-  type: 'mark_price'
-}
-
-type DeltaFundingRate = {
-  funding_rate?: string | number
-  next_funding_realization?: number
-  predicted_funding_rate?: number
-  symbol: string
-  timestamp: number
-  type: 'funding_rate'
-}
+import { Mapper, PendingTickerInfoHelper } from './mapper'
+import { Trade, BookChange, DerivativeTicker } from '../types'
+
+const fromMicroSecondsToDate = (micros: number) => {
+  const timestamp = new Date(micros / 1000)
+  timestamp.μs = micros % 1000
+
+  return timestamp
+}
+
+export class DeltaTradesMapper implements Mapper<'delta', Trade> {
+  constructor(private _useV2Channels: boolean) {}
+
+  canHandle(message: DeltaTrade) {
+    return message.type === (this._useV2Channels ? 'all_trades' : 'recent_trade')
+  }
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: this._useV2Channels ? 'all_trades' : 'recent_trade',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: DeltaTrade, localTimestamp: Date): IterableIterator<Trade> {
+    yield {
+      type: 'trade',
+      symbol: message.symbol,
+      exchange: 'delta',
+      id: undefined,
+      price: Number(message.price),
+      amount: Number(message.size),
+      side: message.buyer_role === 'taker' ? 'buy' : 'sell',
+      timestamp: fromMicroSecondsToDate(message.timestamp),
+      localTimestamp: localTimestamp
+    }
+  }
+}
+
+const mapBookLevel = (level: DeltaBookLevel) => {
+  return {
+    price: Number(level.limit_price),
+    amount: Number(level.size)
+  }
+}
+
+export const deltaBookChangeMapper: Mapper<'delta', BookChange> = {
+  canHandle(message: DeltaL2OrderBook) {
+    return message.type === 'l2_orderbook'
+  },
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'l2_orderbook',
+        symbols
+      } as const
+    ]
+  },
+
+  *map(message: DeltaL2OrderBook, localTimestamp: Date): IterableIterator<BookChange> {
+    yield {
+      type: 'book_change',
+      symbol: message.symbol,
+      exchange: 'delta',
+      isSnapshot: true,
+      bids: message.buy.map(mapBookLevel),
+      asks: message.sell.map(mapBookLevel),
+      timestamp: message.timestamp !== undefined ? fromMicroSecondsToDate(message.timestamp) : localTimestamp,
+      localTimestamp
+    }
+  }
+}
+
+export class DeltaDerivativeTickerMapper implements Mapper<'delta', DerivativeTicker> {
+  constructor(private _useV2Channels: boolean) {}
+
+  private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
+
+  canHandle(message: DeltaTrade | DeltaMarkPrice | DeltaFundingRate) {
+    return (
+      message.type === (this._useV2Channels ? 'all_trades' : 'recent_trade') ||
+      message.type === 'funding_rate' ||
+      message.type === 'mark_price'
+    )
+  }
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: this._useV2Channels ? 'all_trades' : 'recent_trade',
+        symbols
+      } as const,
+      {
+        channel: 'funding_rate',
+        symbols
+      } as const,
+      {
+        channel: 'mark_price',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: DeltaTrade | DeltaMarkPrice | DeltaFundingRate, localTimestamp: Date): IterableIterator<DerivativeTicker> {
+    const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(message.symbol.replace('MARK:', ''), 'delta')
+
+    if (message.type === 'recent_trade' || message.type === 'all_trades') {
+      pendingTickerInfo.updateLastPrice(Number(message.price))
+    }
+    if (message.type === 'mark_price') {
+      pendingTickerInfo.updateMarkPrice(Number(message.price))
+    }
+
+    if (message.type === 'funding_rate') {
+      if (message.funding_rate !== undefined) {
+        pendingTickerInfo.updateFundingRate(Number(message.funding_rate))
+      }
+
+      if (message.predicted_funding_rate !== undefined) {
+        pendingTickerInfo.updatePredictedFundingRate(Number(message.predicted_funding_rate))
+      }
+
+      if (message.next_funding_realization !== undefined) {
+        pendingTickerInfo.updateFundingTimestamp(fromMicroSecondsToDate(message.next_funding_realization))
+      }
+    }
+
+    pendingTickerInfo.updateTimestamp(fromMicroSecondsToDate(message.timestamp))
+
+    if (pendingTickerInfo.hasChanged()) {
+      yield pendingTickerInfo.getSnapshot(localTimestamp)
+    }
+  }
+}
+
+type DeltaTrade = {
+  buyer_role: 'taker' | 'maker'
+  price: string
+  size: number | string
+  symbol: string
+  timestamp: number
+  type: 'recent_trade' | 'all_trades'
+}
+
+type DeltaBookLevel = {
+  limit_price: string
+  size: number | string
+}
+
+type DeltaL2OrderBook = {
+  buy: DeltaBookLevel[]
+  sell: DeltaBookLevel[]
+  symbol: string
+  timestamp?: number
+  type: 'l2_orderbook'
+}
+
+type DeltaMarkPrice = {
+  price: string
+  symbol: string
+  timestamp: number
+  type: 'mark_price'
+}
+
+type DeltaFundingRate = {
+  funding_rate?: string | number
+  next_funding_realization?: number
+  predicted_funding_rate?: number
+  symbol: string
+  timestamp: number
+  type: 'funding_rate'
+}