tardis-dev 12.5.22 → 12.6.7

package/src/mappers/dydx.ts

@@ -1,306 +1,303 @@
-import { Mapper, PendingTickerInfoHelper } from './mapper'
-import { Trade, BookChange, DerivativeTicker, BookPriceLevel } from '../types'
-
-export class DydxTradesMapper implements Mapper<'dydx', Trade> {
-  canHandle(message: DyDxTrade) {
-    return message.channel === 'v3_trades' && message.type === 'channel_data'
-  }
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'v3_trades',
-        symbols
-      } as const
-    ]
-  }
-
-  *map(message: DyDxTrade, localTimestamp: Date): IterableIterator<Trade> {
-    for (let trade of message.contents.trades) {
-      yield {
-        type: 'trade',
-        symbol: message.id,
-        exchange: 'dydx',
-        id: undefined,
-        price: Number(trade.price),
-        amount: Number(trade.size),
-        side: trade.side === 'SELL' ? 'sell' : 'buy',
-        timestamp: new Date(trade.createdAt),
-        localTimestamp: localTimestamp
-      }
-    }
-  }
-}
-
-export class DydxBookChangeMapper implements Mapper<'dydx', BookChange> {
-  private _offsets: { [key: string]: { [key: string]: number | undefined } } = {}
-
-  canHandle(message: DyDxOrderbookSnapshot | DyDxOrderBookUpdate) {
-    return message.channel === 'v3_orderbook'
-  }
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'v3_orderbook',
-        symbols
-      } as const
-    ]
-  }
-
-  *map(message: DyDxOrderbookSnapshot | DyDxOrderBookUpdate, localTimestamp: Date): IterableIterator<BookChange> {
-    if (message.type === 'subscribed') {
-      this._offsets[message.id] = {}
-
-      yield {
-        type: 'book_change',
-        symbol: message.id,
-        exchange: 'dydx',
-        isSnapshot: true,
-        bids: message.contents.bids.map((bid) => {
-          this._offsets[message.id][bid.price] = Number(bid.offset)
-          return {
-            price: Number(bid.price),
-            amount: Number(bid.size)
-          }
-        }),
-
-        asks: message.contents.asks.map((ask) => {
-          this._offsets[message.id][ask.price] = Number(ask.offset)
-          return {
-            price: Number(ask.price),
-            amount: Number(ask.size)
-          }
-        }),
-        timestamp: localTimestamp,
-        localTimestamp
-      }
-    } else {
-      // https://docs.dydx.exchange/#orderbook
-      const updateOffset = Number(message.contents.offset)
-
-      const bookChange: BookChange = {
-        type: 'book_change',
-        symbol: message.id,
-        exchange: 'dydx',
-        isSnapshot: false,
-
-        bids: message.contents.bids
-          .map((bid) => {
-            const lastPriceLevelOffset = this._offsets[message.id][bid[0]]
-            if (lastPriceLevelOffset !== undefined && lastPriceLevelOffset >= updateOffset) {
-              return
-            }
-
-            return {
-              price: Number(bid[0]),
-              amount: Number(bid[1])
-            }
-          })
-          .filter((b) => b !== undefined) as BookPriceLevel[],
-
-        asks: message.contents.asks
-          .map((ask) => {
-            const lastPriceLevelOffset = this._offsets[message.id][ask[0]]
-            if (lastPriceLevelOffset !== undefined && lastPriceLevelOffset >= updateOffset) {
-              return
-            }
-
-            return {
-              price: Number(ask[0]),
-              amount: Number(ask[1])
-            }
-          })
-          .filter((b) => b !== undefined) as BookPriceLevel[],
-
-        timestamp: localTimestamp,
-        localTimestamp
-      }
-
-      for (const bid of message.contents.bids) {
-        this._offsets[message.id][bid[0]] = updateOffset
-      }
-
-      for (const ask of message.contents.asks) {
-        this._offsets[message.id][ask[0]] = updateOffset
-      }
-
-      if (bookChange.bids.length > 0 || bookChange.asks.length > 0) {
-        yield bookChange
-      }
-    }
-  }
-}
-
-export class DydxDerivativeTickerMapper implements Mapper<'dydx', DerivativeTicker> {
-  private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
-
-  canHandle(message: DydxMarketsSnapshot | DyDxMarketsUpdate | DyDxTrade) {
-    return message.channel === 'v3_markets' || (message.channel === 'v3_trades' && message.type === 'channel_data')
-  }
-
-  getFilters(symbols?: string[]) {
-    return [
-      {
-        channel: 'v3_markets',
-        symbols: [] as string[]
-      } as const,
-      {
-        channel: 'v3_trades',
-        symbols
-      } as const
-    ]
-  }
-
-  *map(message: DydxMarketsSnapshot | DyDxMarketsUpdate | DyDxTrade, localTimestamp: Date): IterableIterator<DerivativeTicker> {
-    if (message.channel === 'v3_trades') {
-      const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(message.id, 'dydx')
-      pendingTickerInfo.updateLastPrice(Number(message.contents.trades[message.contents.trades.length - 1].price))
-
-      return
-    }
-
-    const contents = message.type === 'subscribed' ? message.contents.markets : message.contents
-
-    for (const key in contents) {
-      const marketInfo = contents[key]
-
-      const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(key, 'dydx')
-
-      if (marketInfo.indexPrice !== undefined) {
-        pendingTickerInfo.updateIndexPrice(Number(marketInfo.indexPrice))
-      }
-      if (marketInfo.oraclePrice !== undefined) {
-        pendingTickerInfo.updateMarkPrice(Number(marketInfo.oraclePrice))
-      }
-      if (marketInfo.openInterest !== undefined) {
-        pendingTickerInfo.updateOpenInterest(Number(marketInfo.openInterest))
-      }
-
-      if (marketInfo.nextFundingRate !== undefined) {
-        pendingTickerInfo.updateFundingRate(Number(marketInfo.nextFundingRate))
-      }
-
-      if (marketInfo.nextFundingAt !== undefined) {
-        pendingTickerInfo.updateFundingTimestamp(new Date(marketInfo.nextFundingAt))
-      }
-
-      pendingTickerInfo.updateTimestamp(localTimestamp)
-
-      if (pendingTickerInfo.hasChanged()) {
-        yield pendingTickerInfo.getSnapshot(localTimestamp)
-      }
-    }
-  }
-}
-
-type DyDxTrade = {
-  type: 'channel_data'
-  connection_id: 'e368fe1e-a007-44bd-9532-8eacc81a8bbc'
-  message_id: 229
-  id: 'BTC-USD'
-  channel: 'v3_trades'
-  contents: {
-    trades: [
-      { size: '0.075'; side: 'SELL'; price: '57696'; createdAt: '2021-05-01T00:00:34.046Z' },
-      { size: '0.425'; side: 'SELL'; price: '57673'; createdAt: '2021-05-01T00:00:34.046Z' }
-    ]
-  }
-}
-
-type DyDxOrderbookSnapshot = {
-  type: 'subscribed'
-  connection_id: '22be6448-1464-45ff-ae7d-1204eac64d0f'
-  message_id: 1
-  channel: 'v3_orderbook'
-  id: '1INCH-USD'
-  contents: {
-    bids: [{ price: '5'; offset: '118546101'; size: '50' }]
-    asks: [{ price: '7'; offset: '120842096'; size: '20' }]
-  }
-}
-
-type DyDxOrderBookUpdate = {
-  type: 'channel_data'
-  connection_id: '22be6448-1464-45ff-ae7d-1204eac64d0f'
-  message_id: 161
-  id: '1INCH-USD'
-  channel: 'v3_orderbook'
-  contents: {
-    offset: '125090042'
-    bids: [string, string][]
-    asks: [string, string][]
-  }
-}
-
-type DydxMarketsSnapshot = {
-  type: 'subscribed'
-  connection_id: '8c11ee31-dbca-49fa-9df0-fc973948b7b5'
-  message_id: 3
-  channel: 'v3_markets'
-  contents: {
-    markets: {
-      [key: string]: {
-        market: 'BTC-USD'
-        status: 'ONLINE'
-        baseAsset: 'BTC'
-        quoteAsset: 'USD'
-        stepSize: '0.0001'
-        tickSize: '1'
-        indexPrice: '57794.7000'
-        oraclePrice: '57880.5200'
-        priceChange24H: '4257.9'
-        nextFundingRate: '0.0000587260'
-        nextFundingAt: '2021-05-01T00:00:00.000Z'
-        minOrderSize: '0.001'
-        type: 'PERPETUAL'
-        initialMarginFraction: '0.04'
-        maintenanceMarginFraction: '0.03'
-        volume24H: '4710467.697100'
-        trades24H: '663'
-        openInterest: '101.2026'
-        incrementalInitialMarginFraction: '0.01'
-        incrementalPositionSize: '0.5'
-        maxPositionSize: '30'
-        baselinePositionSize: '1.0'
-        allTimeLiquidationQuoteVolume: '3001153.615633'
-        dailyLiquidationQuoteVolume: '6047.074828'
-      }
-    }
-  }
-}
-
-type DyDxMarketsUpdate = {
-  type: 'channel_data'
-  connection_id: '8c11ee31-dbca-49fa-9df0-fc973948b7b5'
-  message_id: 221
-  channel: 'v3_markets'
-  contents: {
-    [key: string]: {
-      market: 'BTC-USD'
-      status: 'ONLINE'
-      baseAsset: 'BTC'
-      quoteAsset: 'USD'
-      stepSize: '0.0001'
-      tickSize: '1'
-      indexPrice: '57794.7000'
-      oraclePrice: '57880.5200'
-      priceChange24H: '4257.9'
-      nextFundingRate: '0.0000587260'
-      nextFundingAt: '2021-05-01T00:00:00.000Z'
-      minOrderSize: '0.001'
-      type: 'PERPETUAL'
-      initialMarginFraction: '0.04'
-      maintenanceMarginFraction: '0.03'
-      volume24H: '4710467.697100'
-      trades24H: '663'
-      openInterest: '101.2026'
-      incrementalInitialMarginFraction: '0.01'
-      incrementalPositionSize: '0.5'
-      maxPositionSize: '30'
-      baselinePositionSize: '1.0'
-      allTimeLiquidationQuoteVolume: '3001153.615633'
-      dailyLiquidationQuoteVolume: '6047.074828'
-    }
-  }
-}
+import { Mapper, PendingTickerInfoHelper } from './mapper'
+import { Trade, BookChange, DerivativeTicker, BookPriceLevel } from '../types'
+
+export class DydxTradesMapper implements Mapper<'dydx', Trade> {
+  canHandle(message: DyDxTrade) {
+    return message.channel === 'v3_trades' && message.type === 'channel_data'
+  }
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'v3_trades',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: DyDxTrade, localTimestamp: Date): IterableIterator<Trade> {
+    for (let trade of message.contents.trades) {
+      yield {
+        type: 'trade',
+        symbol: message.id,
+        exchange: 'dydx',
+        id: undefined,
+        price: Number(trade.price),
+        amount: Number(trade.size),
+        side: trade.side === 'SELL' ? 'sell' : 'buy',
+        timestamp: trade.createdAt ? new Date(trade.createdAt) : localTimestamp,
+        localTimestamp: localTimestamp
+      }
+    }
+  }
+}
+
+export class DydxBookChangeMapper implements Mapper<'dydx', BookChange> {
+  private _offsets: { [key: string]: { [key: string]: number | undefined } } = {}
+
+  canHandle(message: DyDxOrderbookSnapshot | DyDxOrderBookUpdate) {
+    return message.channel === 'v3_orderbook'
+  }
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'v3_orderbook',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: DyDxOrderbookSnapshot | DyDxOrderBookUpdate, localTimestamp: Date): IterableIterator<BookChange> {
+    if (message.type === 'subscribed') {
+      this._offsets[message.id] = {}
+
+      yield {
+        type: 'book_change',
+        symbol: message.id,
+        exchange: 'dydx',
+        isSnapshot: true,
+        bids: message.contents.bids.map((bid) => {
+          this._offsets[message.id][bid.price] = Number(bid.offset)
+          return {
+            price: Number(bid.price),
+            amount: Number(bid.size)
+          }
+        }),
+
+        asks: message.contents.asks.map((ask) => {
+          this._offsets[message.id][ask.price] = Number(ask.offset)
+          return {
+            price: Number(ask.price),
+            amount: Number(ask.size)
+          }
+        }),
+        timestamp: localTimestamp,
+        localTimestamp
+      }
+    } else {
+      // https://docs.dydx.exchange/#orderbook
+      const updateOffset = Number(message.contents.offset)
+
+      const bookChange: BookChange = {
+        type: 'book_change',
+        symbol: message.id,
+        exchange: 'dydx',
+        isSnapshot: false,
+
+        bids: message.contents.bids
+          .map((bid) => {
+            const lastPriceLevelOffset = this._offsets[message.id][bid[0]]
+            if (lastPriceLevelOffset !== undefined && lastPriceLevelOffset >= updateOffset) {
+              return
+            }
+
+            return {
+              price: Number(bid[0]),
+              amount: Number(bid[1])
+            }
+          })
+          .filter((b) => b !== undefined) as BookPriceLevel[],
+
+        asks: message.contents.asks
+          .map((ask) => {
+            const lastPriceLevelOffset = this._offsets[message.id][ask[0]]
+            if (lastPriceLevelOffset !== undefined && lastPriceLevelOffset >= updateOffset) {
+              return
+            }
+
+            return {
+              price: Number(ask[0]),
+              amount: Number(ask[1])
+            }
+          })
+          .filter((b) => b !== undefined) as BookPriceLevel[],
+
+        timestamp: localTimestamp,
+        localTimestamp
+      }
+
+      for (const bid of message.contents.bids) {
+        this._offsets[message.id][bid[0]] = updateOffset
+      }
+
+      for (const ask of message.contents.asks) {
+        this._offsets[message.id][ask[0]] = updateOffset
+      }
+
+      if (bookChange.bids.length > 0 || bookChange.asks.length > 0) {
+        yield bookChange
+      }
+    }
+  }
+}
+
+export class DydxDerivativeTickerMapper implements Mapper<'dydx', DerivativeTicker> {
+  private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
+
+  canHandle(message: DydxMarketsSnapshot | DyDxMarketsUpdate | DyDxTrade) {
+    return message.channel === 'v3_markets' || (message.channel === 'v3_trades' && message.type === 'channel_data')
+  }
+
+  getFilters(symbols?: string[]) {
+    return [
+      {
+        channel: 'v3_markets',
+        symbols: [] as string[]
+      } as const,
+      {
+        channel: 'v3_trades',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: DydxMarketsSnapshot | DyDxMarketsUpdate | DyDxTrade, localTimestamp: Date): IterableIterator<DerivativeTicker> {
+    if (message.channel === 'v3_trades') {
+      const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(message.id, 'dydx')
+      pendingTickerInfo.updateLastPrice(Number(message.contents.trades[message.contents.trades.length - 1].price))
+
+      return
+    }
+
+    const contents = message.type === 'subscribed' ? message.contents.markets : message.contents
+
+    for (const key in contents) {
+      const marketInfo = contents[key]
+
+      const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(key, 'dydx')
+
+      if (marketInfo.indexPrice !== undefined) {
+        pendingTickerInfo.updateIndexPrice(Number(marketInfo.indexPrice))
+      }
+      if (marketInfo.oraclePrice !== undefined) {
+        pendingTickerInfo.updateMarkPrice(Number(marketInfo.oraclePrice))
+      }
+      if (marketInfo.openInterest !== undefined) {
+        pendingTickerInfo.updateOpenInterest(Number(marketInfo.openInterest))
+      }
+
+      if (marketInfo.nextFundingRate !== undefined) {
+        pendingTickerInfo.updateFundingRate(Number(marketInfo.nextFundingRate))
+      }
+
+      if (marketInfo.nextFundingAt !== undefined) {
+        pendingTickerInfo.updateFundingTimestamp(new Date(marketInfo.nextFundingAt))
+      }
+
+      pendingTickerInfo.updateTimestamp(localTimestamp)
+
+      if (pendingTickerInfo.hasChanged()) {
+        yield pendingTickerInfo.getSnapshot(localTimestamp)
+      }
+    }
+  }
+}
+
+type DyDxTrade = {
+  type: 'channel_data'
+  connection_id: 'e368fe1e-a007-44bd-9532-8eacc81a8bbc'
+  message_id: 229
+  id: 'BTC-USD'
+  channel: 'v3_trades'
+  contents: {
+    trades: [{ size: '0.075'; side: 'SELL'; price: '57696'; createdAt: '2021-05-01T00:00:34.046Z' | undefined }]
+  }
+}
+
+type DyDxOrderbookSnapshot = {
+  type: 'subscribed'
+  connection_id: '22be6448-1464-45ff-ae7d-1204eac64d0f'
+  message_id: 1
+  channel: 'v3_orderbook'
+  id: '1INCH-USD'
+  contents: {
+    bids: [{ price: '5'; offset: '118546101'; size: '50' }]
+    asks: [{ price: '7'; offset: '120842096'; size: '20' }]
+  }
+}
+
+type DyDxOrderBookUpdate = {
+  type: 'channel_data'
+  connection_id: '22be6448-1464-45ff-ae7d-1204eac64d0f'
+  message_id: 161
+  id: '1INCH-USD'
+  channel: 'v3_orderbook'
+  contents: {
+    offset: '125090042'
+    bids: [string, string][]
+    asks: [string, string][]
+  }
+}
+
+type DydxMarketsSnapshot = {
+  type: 'subscribed'
+  connection_id: '8c11ee31-dbca-49fa-9df0-fc973948b7b5'
+  message_id: 3
+  channel: 'v3_markets'
+  contents: {
+    markets: {
+      [key: string]: {
+        market: 'BTC-USD'
+        status: 'ONLINE'
+        baseAsset: 'BTC'
+        quoteAsset: 'USD'
+        stepSize: '0.0001'
+        tickSize: '1'
+        indexPrice: '57794.7000'
+        oraclePrice: '57880.5200'
+        priceChange24H: '4257.9'
+        nextFundingRate: '0.0000587260'
+        nextFundingAt: '2021-05-01T00:00:00.000Z'
+        minOrderSize: '0.001'
+        type: 'PERPETUAL'
+        initialMarginFraction: '0.04'
+        maintenanceMarginFraction: '0.03'
+        volume24H: '4710467.697100'
+        trades24H: '663'
+        openInterest: '101.2026'
+        incrementalInitialMarginFraction: '0.01'
+        incrementalPositionSize: '0.5'
+        maxPositionSize: '30'
+        baselinePositionSize: '1.0'
+        allTimeLiquidationQuoteVolume: '3001153.615633'
+        dailyLiquidationQuoteVolume: '6047.074828'
+      }
+    }
+  }
+}
+
+type DyDxMarketsUpdate = {
+  type: 'channel_data'
+  connection_id: '8c11ee31-dbca-49fa-9df0-fc973948b7b5'
+  message_id: 221
+  channel: 'v3_markets'
+  contents: {
+    [key: string]: {
+      market: 'BTC-USD'
+      status: 'ONLINE'
+      baseAsset: 'BTC'
+      quoteAsset: 'USD'
+      stepSize: '0.0001'
+      tickSize: '1'
+      indexPrice: '57794.7000'
+      oraclePrice: '57880.5200'
+      priceChange24H: '4257.9'
+      nextFundingRate: '0.0000587260'
+      nextFundingAt: '2021-05-01T00:00:00.000Z'
+      minOrderSize: '0.001'
+      type: 'PERPETUAL'
+      initialMarginFraction: '0.04'
+      maintenanceMarginFraction: '0.03'
+      volume24H: '4710467.697100'
+      trades24H: '663'
+      openInterest: '101.2026'
+      incrementalInitialMarginFraction: '0.01'
+      incrementalPositionSize: '0.5'
+      maxPositionSize: '30'
+      baselinePositionSize: '1.0'
+      allTimeLiquidationQuoteVolume: '3001153.615633'
+      dailyLiquidationQuoteVolume: '6047.074828'
+    }
+  }
+}