tardis-dev 12.7.7 → 13.1.0

package/dist/mappers/okex.d.ts

@@ -1,5 +1,249 @@
 import { BookChange, DerivativeTicker, Exchange, Trade, OptionSummary, Liquidation, BookTicker } from '../types';
 import { Mapper } from './mapper';
+export declare class OkexV5TradesMapper implements Mapper<OKEX_EXCHANGES, Trade> {
+    private readonly _exchange;
+    constructor(_exchange: Exchange);
+    canHandle(message: any): boolean;
+    getFilters(symbols?: string[]): {
+        channel: "trades";
+        symbols: string[] | undefined;
+    }[];
+    map(okexTradesMessage: OkexV5TradeMessage, localTimestamp: Date): IterableIterator<Trade>;
+}
+export declare class OkexV5BookChangeMapper implements Mapper<OKEX_EXCHANGES, BookChange> {
+    private readonly _exchange;
+    constructor(_exchange: Exchange);
+    canHandle(message: any): boolean;
+    getFilters(symbols?: string[]): {
+        channel: "books-l2-tbt";
+        symbols: string[] | undefined;
+    }[];
+    map(okexDepthDataMessage: OkexV5BookMessage, localTimestamp: Date): IterableIterator<BookChange>;
+}
+export declare class OkexV5BookTickerMapper implements Mapper<OKEX_EXCHANGES, BookTicker> {
+    private readonly _exchange;
+    constructor(_exchange: Exchange);
+    canHandle(message: any): boolean;
+    getFilters(symbols?: string[]): {
+        channel: "tickers";
+        symbols: string[] | undefined;
+    }[];
+    map(message: OkexV5TickerMessage, localTimestamp: Date): IterableIterator<BookTicker>;
+}
+export declare class OkexV5DerivativeTickerMapper implements Mapper<'okex-futures' | 'okex-swap', DerivativeTicker> {
+    private readonly _exchange;
+    private readonly pendingTickerInfoHelper;
+    private readonly _indexPrices;
+    private _futuresChannels;
+    private _swapChannels;
+    constructor(_exchange: Exchange);
+    canHandle(message: any): boolean;
+    getFilters(symbols?: string[]): ({
+        channel: "index-tickers";
+        symbols: string[] | undefined;
+    } | {
+        channel: "tickers" | "open-interest" | "mark-price" | "funding-rate";
+        symbols: string[] | undefined;
+    })[];
+    map(message: OkexV5TickerMessage | OkexV5OpenInterestMessage | OkexV5MarkPriceMessage | OkexV5IndexTickerMessage | OkexV5FundingRateMessage, localTimestamp: Date): IterableIterator<DerivativeTicker>;
+}
+export declare class OkexV5LiquidationsMapper implements Mapper<OKEX_EXCHANGES, Liquidation> {
+    private readonly _exchange;
+    constructor(_exchange: Exchange);
+    canHandle(message: any): boolean;
+    getFilters(symbols?: string[]): any[];
+    map(okexLiquidationMessage: OkexV5LiquidationMessage, localTimestamp: Date): IterableIterator<Liquidation>;
+}
+export declare class OkexV5OptionSummaryMapper implements Mapper<'okex-options', OptionSummary> {
+    private readonly _indexPrices;
+    private readonly _openInterests;
+    private readonly _markPrices;
+    private readonly _tickers;
+    private readonly expiration_regex;
+    canHandle(message: any): boolean;
+    getFilters(symbols?: string[]): ({
+        readonly channel: "opt-summary";
+        readonly symbols: string[];
+    } | {
+        readonly channel: "index-tickers";
+        readonly symbols: string[] | undefined;
+    } | {
+        readonly channel: "tickers";
+        readonly symbols: string[] | undefined;
+    } | {
+        readonly channel: "open-interest";
+        readonly symbols: string[] | undefined;
+    } | {
+        readonly channel: "mark-price";
+        readonly symbols: string[] | undefined;
+    })[];
+    map(message: OkexV5SummaryMessage | OkexV5IndexTickerMessage | OkexV5TickerMessage | OkexV5OpenInterestMessage | OkexV5MarkPriceMessage, localTimestamp: Date): IterableIterator<OptionSummary> | undefined;
+}
+declare type OkexV5TradeMessage = {
+    arg: {
+        channel: 'trades';
+        instId: 'CRV-USDT';
+    };
+    data: [{
+        instId: 'CRV-USDT';
+        tradeId: '21300150';
+        px: '3.973';
+        sz: '13.491146';
+        side: 'buy';
+        ts: '1639999319938';
+    }];
+};
+declare type OkexV5BookLevel = [string, string, string, string];
+declare type OkexV5BookMessage = {
+    arg: {
+        channel: 'books-l2-tbt';
+        instId: string;
+    };
+    action: 'snapshot';
+    data: [
+        {
+            asks: OkexV5BookLevel[];
+            bids: OkexV5BookLevel[];
+            ts: string;
+        }
+    ];
+} | {
+    arg: {
+        channel: 'books-l2-tbt';
+        instId: string;
+    };
+    action: 'update';
+    data: [{
+        asks: OkexV5BookLevel[];
+        bids: OkexV5BookLevel[];
+        ts: string;
+    }];
+};
+declare type OkexV5TickerMessage = {
+    arg: {
+        channel: 'tickers';
+        instId: string;
+    };
+    data: [
+        {
+            instType: 'SPOT';
+            instId: 'ACT-USDT';
+            last: '0.00718';
+            lastSz: '8052.117146';
+            askPx: '0.0072';
+            askSz: '54969.407534';
+            bidPx: '0.00713';
+            bidSz: '4092.326';
+            open24h: '0.00717';
+            high24h: '0.00722';
+            low24h: '0.00696';
+            sodUtc0: '0.00714';
+            sodUtc8: '0.00721';
+            volCcy24h: '278377.765301';
+            vol24h: '39168761.49997';
+            ts: '1639999318686';
+        }
+    ];
+};
+declare type OkexV5OpenInterestMessage = {
+    arg: {
+        channel: 'open-interest';
+        instId: string;
+    };
+    data: [{
+        instId: 'FIL-USDT-220325';
+        instType: 'FUTURES';
+        oi: '236870';
+        oiCcy: '23687';
+        ts: '1640131202886';
+    }];
+};
+declare type OkexV5MarkPriceMessage = {
+    arg: {
+        channel: 'mark-price';
+        instId: string;
+    };
+    data: [{
+        instId: 'FIL-USDT-220325';
+        instType: 'FUTURES';
+        markPx: '36.232';
+        ts: '1640131204676';
+    }];
+};
+declare type OkexV5IndexTickerMessage = {
+    arg: {
+        channel: 'index-tickers';
+        instId: string;
+    };
+    data: [
+        {
+            instId: 'FIL-USDT';
+            idxPx: '35.583';
+            open24h: '34.558';
+            high24h: '35.862';
+            low24h: '34.529';
+            sodUtc0: '35.309';
+            sodUtc8: '34.83';
+            ts: '1640140200581';
+        }
+    ];
+};
+declare type OkexV5FundingRateMessage = {
+    arg: {
+        channel: 'funding-rate';
+        instId: string;
+    };
+    data: [{
+        fundingRate: '0.00048105';
+        fundingTime: '1640131200000';
+        instId: string;
+        instType: 'SWAP';
+        nextFundingRate: '0.00114';
+    }];
+};
+declare type OkexV5LiquidationMessage = {
+    arg: {
+        channel: 'liquidations';
+        instId: 'BTC-USDT-211231';
+        generated: true;
+    };
+    data: [{
+        bkLoss: '0';
+        bkPx: '49674.2';
+        ccy: '';
+        posSide: 'short';
+        side: 'buy';
+        sz: '40';
+        ts: '1640140211925';
+    }];
+};
+declare type OkexV5SummaryMessage = {
+    arg: {
+        channel: 'opt-summary';
+        uly: 'ETH-USD';
+    };
+    data: [
+        {
+            instType: 'OPTION';
+            instId: 'ETH-USD-211222-4000-C';
+            uly: 'ETH-USD';
+            delta: '0.1975745164';
+            gamma: '4.7290833601';
+            vega: '0.0002005415';
+            theta: '-0.004262964';
+            lever: '162.472613953';
+            markVol: '0.7794507758';
+            bidVol: '0.7421960156';
+            askVol: '0.8203208593';
+            realVol: '';
+            deltaBS: '0.2038286081';
+            gammaBS: '0.0013437829';
+            thetaBS: '-16.4798150221';
+            vegaBS: '0.7647227087';
+            ts: '1640001659301';
+        }
+    ];
+};
 export declare class OkexTradesMapper implements Mapper<OKEX_EXCHANGES, Trade> {
     private readonly _exchange;
     private readonly _market;

package/dist/mappers/okex.d.ts.map

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package/dist/mappers/okex.js

@@ -1,8 +1,391 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.OkexBookTickerMapper = exports.OkexLiquidationsMapper = exports.OkexOptionSummaryMapper = exports.OkexDerivativeTickerMapper = exports.OkexBookChangeMapper = exports.OkexTradesMapper = void 0;
+exports.OkexBookTickerMapper = exports.OkexLiquidationsMapper = exports.OkexOptionSummaryMapper = exports.OkexDerivativeTickerMapper = exports.OkexBookChangeMapper = exports.OkexTradesMapper = exports.OkexV5OptionSummaryMapper = exports.OkexV5LiquidationsMapper = exports.OkexV5DerivativeTickerMapper = exports.OkexV5BookTickerMapper = exports.OkexV5BookChangeMapper = exports.OkexV5TradesMapper = void 0;
 const handy_1 = require("../handy");
 const mapper_1 = require("./mapper");
+// V5 Okex API mappers
+// https://www.okex.com/docs-v5/en/#websocket-api-public-channel-trades-channel
+class OkexV5TradesMapper {
+    constructor(_exchange) {
+        this._exchange = _exchange;
+    }
+    canHandle(message) {
+        if (message.event !== undefined || message.arg === undefined) {
+            return false;
+        }
+        return message.arg.channel === 'trades';
+    }
+    getFilters(symbols) {
+        return [
+            {
+                channel: `trades`,
+                symbols
+            }
+        ];
+    }
+    *map(okexTradesMessage, localTimestamp) {
+        for (const okexTrade of okexTradesMessage.data) {
+            yield {
+                type: 'trade',
+                symbol: okexTrade.instId,
+                exchange: this._exchange,
+                id: okexTrade.tradeId,
+                price: Number(okexTrade.px),
+                amount: Number(okexTrade.sz),
+                side: okexTrade.side === 'buy' ? 'buy' : 'sell',
+                timestamp: new Date(Number(okexTrade.ts)),
+                localTimestamp: localTimestamp
+            };
+        }
+    }
+}
+exports.OkexV5TradesMapper = OkexV5TradesMapper;
+const mapV5BookLevel = (level) => {
+    const price = Number(level[0]);
+    const amount = Number(level[1]);
+    return { price, amount };
+};
+class OkexV5BookChangeMapper {
+    constructor(_exchange) {
+        this._exchange = _exchange;
+    }
+    canHandle(message) {
+        if (message.event !== undefined || message.arg === undefined) {
+            return false;
+        }
+        return message.arg.channel === 'books-l2-tbt';
+    }
+    getFilters(symbols) {
+        return [
+            {
+                channel: `books-l2-tbt`,
+                symbols
+            }
+        ];
+    }
+    *map(okexDepthDataMessage, localTimestamp) {
+        for (const message of okexDepthDataMessage.data) {
+            if (okexDepthDataMessage.action === 'update' && message.bids.length === 0 && message.asks.length === 0) {
+                continue;
+            }
+            const timestamp = new Date(Number(message.ts));
+            if (timestamp.valueOf() === 0) {
+                continue;
+            }
+            yield {
+                type: 'book_change',
+                symbol: okexDepthDataMessage.arg.instId,
+                exchange: this._exchange,
+                isSnapshot: okexDepthDataMessage.action === 'snapshot',
+                bids: message.bids.map(mapV5BookLevel),
+                asks: message.asks.map(mapV5BookLevel),
+                timestamp,
+                localTimestamp: localTimestamp
+            };
+        }
+    }
+}
+exports.OkexV5BookChangeMapper = OkexV5BookChangeMapper;
+class OkexV5BookTickerMapper {
+    constructor(_exchange) {
+        this._exchange = _exchange;
+    }
+    canHandle(message) {
+        if (message.event !== undefined || message.arg === undefined) {
+            return false;
+        }
+        return message.arg.channel === 'tickers';
+    }
+    getFilters(symbols) {
+        return [
+            {
+                channel: `tickers`,
+                symbols
+            }
+        ];
+    }
+    *map(message, localTimestamp) {
+        for (const okexTicker of message.data) {
+            const ticker = {
+                type: 'book_ticker',
+                symbol: okexTicker.instId,
+                exchange: this._exchange,
+                askAmount: (0, handy_1.asNumberIfValid)(okexTicker.askSz),
+                askPrice: (0, handy_1.asNumberIfValid)(okexTicker.askPx),
+                bidPrice: (0, handy_1.asNumberIfValid)(okexTicker.bidPx),
+                bidAmount: (0, handy_1.asNumberIfValid)(okexTicker.bidSz),
+                timestamp: new Date(Number(okexTicker.ts)),
+                localTimestamp: localTimestamp
+            };
+            yield ticker;
+        }
+    }
+}
+exports.OkexV5BookTickerMapper = OkexV5BookTickerMapper;
+class OkexV5DerivativeTickerMapper {
+    constructor(_exchange) {
+        this._exchange = _exchange;
+        this.pendingTickerInfoHelper = new mapper_1.PendingTickerInfoHelper();
+        this._indexPrices = new Map();
+        this._futuresChannels = ['tickers', 'open-interest', 'mark-price', 'index-tickers'];
+        this._swapChannels = ['tickers', 'open-interest', 'mark-price', 'index-tickers', 'funding-rate'];
+    }
+    canHandle(message) {
+        const channels = this._exchange === 'okex-futures' ? this._futuresChannels : this._swapChannels;
+        if (message.event !== undefined || message.arg === undefined) {
+            return false;
+        }
+        return channels.includes(message.arg.channel);
+    }
+    getFilters(symbols) {
+        const channels = this._exchange === 'okex-futures' ? this._futuresChannels : this._swapChannels;
+        return channels.map((channel) => {
+            if (channel === 'index-tickers') {
+                const indexes = symbols !== undefined
+                    ? symbols.map((s) => {
+                        const symbolParts = s.split('-');
+                        return `${symbolParts[0]}-${symbolParts[1]}`;
+                    })
+                    : undefined;
+                return {
+                    channel,
+                    symbols: indexes
+                };
+            }
+            return {
+                channel,
+                symbols
+            };
+        });
+    }
+    *map(message, localTimestamp) {
+        if (message.arg.channel === 'index-tickers') {
+            for (const dataMessage of message.data) {
+                const indexTickerMessage = dataMessage;
+                const lastIndexPrice = Number(indexTickerMessage.idxPx);
+                if (lastIndexPrice > 0) {
+                    this._indexPrices.set(indexTickerMessage.instId, lastIndexPrice);
+                }
+            }
+            return;
+        }
+        for (const dataMessage of message.data) {
+            const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(dataMessage.instId, this._exchange);
+            const symbolParts = dataMessage.instId.split('-');
+            const indexSymbol = `${symbolParts[0]}-${symbolParts[1]}`;
+            const indexPrice = this._indexPrices.get(indexSymbol);
+            if (indexPrice !== undefined) {
+                pendingTickerInfo.updateIndexPrice(indexPrice);
+            }
+            if (message.arg.channel === 'mark-price') {
+                const markPriceMessage = dataMessage;
+                const markPrice = Number(markPriceMessage.markPx);
+                if (markPrice > 0) {
+                    pendingTickerInfo.updateMarkPrice(markPrice);
+                    pendingTickerInfo.updateTimestamp(new Date(Number(markPriceMessage.ts)));
+                }
+            }
+            if (message.arg.channel === 'open-interest') {
+                const openInterestMessage = dataMessage;
+                const openInterest = Number(openInterestMessage.oi);
+                if (openInterest > 0) {
+                    pendingTickerInfo.updateOpenInterest(openInterest);
+                    pendingTickerInfo.updateTimestamp(new Date(Number(openInterestMessage.ts)));
+                }
+            }
+            if (message.arg.channel === 'funding-rate') {
+                const fundingRateMessage = dataMessage;
+                pendingTickerInfo.updateFundingRate(Number(fundingRateMessage.fundingRate));
+                //
+                pendingTickerInfo.updateFundingTimestamp(new Date(Number(fundingRateMessage.fundingTime)));
+                if (fundingRateMessage.nextFundingRate !== undefined) {
+                    pendingTickerInfo.updatePredictedFundingRate(Number(fundingRateMessage.nextFundingRate));
+                }
+            }
+            if (message.arg.channel === 'tickers') {
+                const tickerMessage = dataMessage;
+                const lastPrice = Number(tickerMessage.last);
+                if (lastPrice > 0) {
+                    pendingTickerInfo.updateLastPrice(lastPrice);
+                    pendingTickerInfo.updateTimestamp(new Date(Number(tickerMessage.ts)));
+                }
+            }
+            if (pendingTickerInfo.hasChanged()) {
+                yield pendingTickerInfo.getSnapshot(localTimestamp);
+            }
+        }
+    }
+}
+exports.OkexV5DerivativeTickerMapper = OkexV5DerivativeTickerMapper;
+class OkexV5LiquidationsMapper {
+    constructor(_exchange) {
+        this._exchange = _exchange;
+    }
+    canHandle(message) {
+        if (message.event !== undefined || message.arg === undefined) {
+            return false;
+        }
+        return message.arg.channel === 'liquidations';
+    }
+    getFilters(symbols) {
+        return [
+            {
+                channel: 'liquidations',
+                symbols
+            }
+        ];
+    }
+    *map(okexLiquidationMessage, localTimestamp) {
+        for (const okexLiquidation of okexLiquidationMessage.data) {
+            const liquidation = {
+                type: 'liquidation',
+                symbol: okexLiquidationMessage.arg.instId,
+                exchange: this._exchange,
+                id: undefined,
+                price: Number(okexLiquidation.bkPx),
+                amount: Number(okexLiquidation.sz),
+                side: okexLiquidation.side === 'buy' ? 'buy' : 'sell',
+                timestamp: new Date(Number(okexLiquidation.ts)),
+                localTimestamp: localTimestamp
+            };
+            yield liquidation;
+        }
+    }
+}
+exports.OkexV5LiquidationsMapper = OkexV5LiquidationsMapper;
+class OkexV5OptionSummaryMapper {
+    constructor() {
+        this._indexPrices = new Map();
+        this._openInterests = new Map();
+        this._markPrices = new Map();
+        this._tickers = new Map();
+        this.expiration_regex = /(\d{2})(\d{2})(\d{2})/;
+    }
+    canHandle(message) {
+        if (message.event !== undefined || message.arg === undefined) {
+            return false;
+        }
+        return (message.arg.channel === 'opt-summary' ||
+            message.arg.channel === 'index-tickers' ||
+            message.arg.channel === 'tickers' ||
+            message.arg.channel === 'open-interest' ||
+            message.arg.channel === 'mark-price');
+    }
+    getFilters(symbols) {
+        const indexes = symbols !== undefined
+            ? symbols.map((s) => {
+                const symbolParts = s.split('-');
+                return `${symbolParts[0]}-${symbolParts[1]}`;
+            })
+            : undefined;
+        return [
+            {
+                channel: `opt-summary`,
+                symbols: []
+            },
+            {
+                channel: `index-tickers`,
+                symbols: indexes
+            },
+            {
+                channel: `tickers`,
+                symbols: symbols
+            },
+            {
+                channel: `open-interest`,
+                symbols: symbols
+            },
+            {
+                channel: `mark-price`,
+                symbols: symbols
+            }
+        ];
+    }
+    *map(message, localTimestamp) {
+        if (message.arg.channel === 'index-tickers') {
+            for (const dataMessage of message.data) {
+                const indexTickerMessage = dataMessage;
+                const lastIndexPrice = Number(indexTickerMessage.idxPx);
+                if (lastIndexPrice > 0) {
+                    this._indexPrices.set(indexTickerMessage.instId, lastIndexPrice);
+                }
+            }
+            return;
+        }
+        if (message.arg.channel === 'open-interest') {
+            for (const dataMessage of message.data) {
+                const openInterestMessage = dataMessage;
+                const openInterestValue = Number(openInterestMessage.oi);
+                if (openInterestValue > 0) {
+                    this._openInterests.set(openInterestMessage.instId, openInterestValue);
+                }
+            }
+            return;
+        }
+        if (message.arg.channel === 'mark-price') {
+            for (const dataMessage of message.data) {
+                const markPriceMessage = dataMessage;
+                const markPrice = Number(markPriceMessage.markPx);
+                if (markPrice > 0) {
+                    this._markPrices.set(markPriceMessage.instId, markPrice);
+                }
+            }
+            return;
+        }
+        if (message.arg.channel === 'tickers') {
+            for (const dataMessage of message.data) {
+                const tickerMessage = dataMessage;
+                this._tickers.set(tickerMessage.instId, tickerMessage);
+            }
+            return;
+        }
+        if (message.arg.channel === 'opt-summary') {
+            for (const dataMessage of message.data) {
+                const summary = dataMessage;
+                const symbolParts = summary.instId.split('-');
+                const isPut = symbolParts[4] === 'P';
+                const strikePrice = Number(symbolParts[3]);
+                var dateArray = this.expiration_regex.exec(symbolParts[2]);
+                const expirationDate = new Date(Date.UTC(+('20' + dateArray[1]), +dateArray[2] - 1, +dateArray[3], 8, 0, 0, 0));
+                const lastUnderlyingPrice = this._indexPrices.get(summary.uly);
+                const lastOpenInterest = this._openInterests.get(summary.instId);
+                const lastMarkPrice = this._markPrices.get(summary.instId);
+                const lastTickerInfo = this._tickers.get(summary.instId);
+                const optionSummary = {
+                    type: 'option_summary',
+                    symbol: summary.instId,
+                    exchange: 'okex-options',
+                    optionType: isPut ? 'put' : 'call',
+                    strikePrice,
+                    expirationDate,
+                    bestBidPrice: lastTickerInfo !== undefined ? (0, handy_1.asNumberIfValid)(lastTickerInfo.bidPx) : undefined,
+                    bestBidAmount: lastTickerInfo !== undefined ? (0, handy_1.asNumberIfValid)(lastTickerInfo.bidSz) : undefined,
+                    bestBidIV: (0, handy_1.asNumberIfValid)(summary.bidVol),
+                    bestAskPrice: lastTickerInfo !== undefined ? (0, handy_1.asNumberIfValid)(lastTickerInfo.askPx) : undefined,
+                    bestAskAmount: lastTickerInfo !== undefined ? (0, handy_1.asNumberIfValid)(lastTickerInfo.askSz) : undefined,
+                    bestAskIV: (0, handy_1.asNumberIfValid)(summary.askVol),
+                    lastPrice: lastTickerInfo !== undefined ? (0, handy_1.asNumberIfValid)(lastTickerInfo.last) : undefined,
+                    openInterest: lastOpenInterest,
+                    markPrice: lastMarkPrice,
+                    markIV: (0, handy_1.asNumberIfValid)(summary.markVol),
+                    delta: (0, handy_1.asNumberIfValid)(summary.delta),
+                    gamma: (0, handy_1.asNumberIfValid)(summary.gamma),
+                    vega: (0, handy_1.asNumberIfValid)(summary.vega),
+                    theta: (0, handy_1.asNumberIfValid)(summary.theta),
+                    rho: undefined,
+                    underlyingPrice: lastUnderlyingPrice,
+                    underlyingIndex: summary.uly,
+                    timestamp: new Date(Number(summary.ts)),
+                    localTimestamp: localTimestamp
+                };
+                yield optionSummary;
+            }
+        }
+    }
+}
+exports.OkexV5OptionSummaryMapper = OkexV5OptionSummaryMapper;
+//---
+//V3 Okex API mappers
 // https://www.okex.com/docs/en/#ws_swap-README
 class OkexTradesMapper {
     constructor(_exchange, _market) {