tardis-dev 13.1.1 → 13.1.5

package/src/mappers/okex.ts

@@ -1,5 +1,5 @@
-import { asNumberIfValid } from '../handy'
-import { BookChange, DerivativeTicker, Exchange, Trade, OptionSummary, Liquidation, BookTicker } from '../types'
+import { asNumberIfValid, upperCaseSymbols } from '../handy'
+import { BookChange, BookTicker, DerivativeTicker, Exchange, Liquidation, OptionSummary, Trade } from '../types'
 import { Mapper, PendingTickerInfoHelper } from './mapper'
 
 // V5 Okex API mappers
@@ -16,6 +16,8 @@ export class OkexV5TradesMapper implements Mapper<OKEX_EXCHANGES, Trade> {
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     return [
       {
         channel: `trades` as const,
@@ -59,6 +61,8 @@ export class OkexV5BookChangeMapper implements Mapper<OKEX_EXCHANGES, BookChange
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     return [
       {
         channel: `books-l2-tbt` as const,
@@ -104,6 +108,8 @@ export class OkexV5BookTickerMapper implements Mapper<OKEX_EXCHANGES, BookTicker
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     return [
       {
         channel: `tickers` as const,
@@ -154,6 +160,8 @@ export class OkexV5DerivativeTickerMapper implements Mapper<'okex-futures' | 'ok
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     const channels = this._exchange === 'okex-futures' ? this._futuresChannels : this._swapChannels
     return channels.map((channel) => {
       if (channel === 'index-tickers') {
@@ -228,9 +236,12 @@ export class OkexV5DerivativeTickerMapper implements Mapper<'okex-futures' | 'ok
       if (message.arg.channel === 'funding-rate') {
         const fundingRateMessage = dataMessage as OkexV5FundingRateMessage['data'][0]
 
-        pendingTickerInfo.updateFundingRate(Number(fundingRateMessage.fundingRate))
-        //
-        pendingTickerInfo.updateFundingTimestamp(new Date(Number(fundingRateMessage.fundingTime)))
+        if (fundingRateMessage.fundingRate !== undefined) {
+          pendingTickerInfo.updateFundingRate(Number(fundingRateMessage.fundingRate))
+        }
+        if (fundingRateMessage.fundingTime !== undefined) {
+          pendingTickerInfo.updateFundingTimestamp(new Date(Number(fundingRateMessage.fundingTime)))
+        }
 
         if (fundingRateMessage.nextFundingRate !== undefined) {
           pendingTickerInfo.updatePredictedFundingRate(Number(fundingRateMessage.nextFundingRate))
@@ -266,6 +277,8 @@ export class OkexV5LiquidationsMapper implements Mapper<OKEX_EXCHANGES, Liquidat
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     return [
       {
         channel: 'liquidations',
@@ -314,6 +327,8 @@ export class OkexV5OptionSummaryMapper implements Mapper<'okex-options', OptionS
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     const indexes =
       symbols !== undefined
         ? symbols.map((s) => {
@@ -532,7 +547,9 @@ type OkexV5IndexTickerMessage = {
 
 type OkexV5FundingRateMessage = {
   arg: { channel: 'funding-rate'; instId: string }
-  data: [{ fundingRate: '0.00048105'; fundingTime: '1640131200000'; instId: string; instType: 'SWAP'; nextFundingRate: '0.00114' }]
+  data: [
+    { fundingRate: '0.00048105' | undefined; fundingTime: '1640131200000'; instId: string; instType: 'SWAP'; nextFundingRate: '0.00114' }
+  ]
 }
 
 type OkexV5LiquidationMessage = {
@@ -577,6 +594,8 @@ export class OkexTradesMapper implements Mapper<OKEX_EXCHANGES, Trade> {
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     return [
       {
         channel: `${this._market}/trade` as const,
@@ -625,6 +644,8 @@ export class OkexBookChangeMapper implements Mapper<OKEX_EXCHANGES, BookChange>
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     if (this._canUseTickByTickChannel) {
       return [
         {
@@ -689,6 +710,8 @@ export class OkexDerivativeTickerMapper implements Mapper<'okex-futures' | 'okex
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     const channels = this._exchange === 'okex-futures' ? this._futuresChannels : this._swapChannels
     return channels.map((channel) => {
       return {
@@ -745,6 +768,8 @@ export class OkexOptionSummaryMapper implements Mapper<'okex-options', OptionSum
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     const indexes =
       symbols !== undefined
         ? symbols.map((s) => {
@@ -834,6 +859,8 @@ export class OkexLiquidationsMapper implements Mapper<OKEX_EXCHANGES, Liquidatio
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     return [
       {
         channel: `${this._market}/liquidation`,
@@ -868,6 +895,8 @@ export class OkexBookTickerMapper implements Mapper<OKEX_EXCHANGES, BookTicker>
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     return [
       {
         channel: `${this._market}/ticker`,

package/src/mappers/poloniex.ts

@@ -1,3 +1,4 @@
+import { upperCaseSymbols } from '../handy'
 import { BookChange, Trade } from '../types'
 import { Mapper } from './mapper'
 
@@ -19,6 +20,8 @@ export class PoloniexTradesMapper implements Mapper<'poloniex', Trade> {
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     return [
       {
         channel: 'price_aggregated_book',
@@ -89,6 +92,8 @@ export class PoloniexBookChangeMapper implements Mapper<'poloniex', BookChange>
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     return [
       {
         channel: 'price_aggregated_book',

package/src/mappers/serum.ts

@@ -1,6 +1,6 @@
+import { asNumberIfValid, upperCaseSymbols } from '../handy'
+import { BookChange, BookTicker, Exchange, Trade } from '../types'
 import { Mapper } from './mapper'
-import { Trade, BookChange, BookTicker, Exchange } from '../types'
-import { asNumberIfValid } from '../handy'
 
 export class SerumTradesMapper implements Mapper<'serum' | 'star-atlas', Trade> {
   constructor(private readonly _exchange: Exchange) {}
@@ -10,6 +10,10 @@ export class SerumTradesMapper implements Mapper<'serum' | 'star-atlas', Trade>
   }
 
   getFilters(symbols?: string[]) {
+    if (this._exchange === 'serum') {
+      symbols = upperCaseSymbols(symbols)
+    }
+
     return [
       {
         channel: 'trade',
@@ -41,6 +45,10 @@ export class SerumBookChangeMapper implements Mapper<'serum' | 'star-atlas', Boo
   }
 
   getFilters(symbols?: string[]) {
+    if (this._exchange === 'serum') {
+      symbols = upperCaseSymbols(symbols)
+    }
+
     return [
       {
         channel: 'l2snapshot',
@@ -81,6 +89,10 @@ export class SerumBookTickerMapper implements Mapper<'serum' | 'star-atlas', Boo
   }
 
   getFilters(symbols?: string[]) {
+    if (this._exchange === 'serum') {
+      symbols = upperCaseSymbols(symbols)
+    }
+
     return [
       {
         channel: 'quote',

package/src/mappers/upbit.ts

@@ -1,5 +1,6 @@
+import { upperCaseSymbols } from '../handy'
+import { BookChange, BookPriceLevel, Trade } from '../types'
 import { Mapper } from './mapper'
-import { Trade, BookChange, BookPriceLevel } from '../types'
 
 export class UpbitTradesMapper implements Mapper<'upbit', Trade> {
   canHandle(message: UpbitTrade) {
@@ -7,6 +8,8 @@ export class UpbitTradesMapper implements Mapper<'upbit', Trade> {
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     return [
       {
         channel: 'trade',
@@ -36,6 +39,8 @@ export class UpbitBookChangeMapper implements Mapper<'upbit', BookChange> {
   }
 
   getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
     return [
       {
         channel: 'orderbook',

package/src/realtimefeeds/deribit.ts

@@ -7,6 +7,7 @@ export class DeribitRealTimeDataFeed extends RealTimeFeedBase {
   protected channelsWithIntervals: FilterForExchange['deribit']['channel'][] = ['book', 'perpetual', 'trades', 'ticker']
 
   protected mapToSubscribeMessages(filters: Filter<string>[]): any[] {
+    const hasCredentials = this.hasCredentials()
     const channels = filters
       .map((filter) => {
         if (!filter.symbols || filter.symbols.length === 0) {
@@ -14,17 +15,21 @@ export class DeribitRealTimeDataFeed extends RealTimeFeedBase {
         }
 
         return filter.symbols.map((symbol) => {
-          const suffix = this.channelsWithIntervals.includes(filter.channel as any) ? '.raw' : ''
+          let suffix = this.channelsWithIntervals.includes(filter.channel as any) ? '.raw' : ''
+          if (hasCredentials === false && filter.channel === 'book') {
+            // deribit requires authentications for raw book data feed
+            suffix = '.100ms'
+          }
+
           return `${filter.channel}.${symbol}${suffix}`
         })
       })
       .flatMap((f) => f)
-
     return [
       {
         jsonrpc: '2.0',
-        id: 1,
-        method: 'public/subscribe',
+        id: 3,
+        method: hasCredentials ? 'private/subscribe' : 'public/subscribe',
         params: {
           channels
         }
@@ -36,6 +41,10 @@ export class DeribitRealTimeDataFeed extends RealTimeFeedBase {
     return message.error !== undefined
   }
 
+  private hasCredentials() {
+    return process.env.DERIBIT_API_CLIENT_ID !== undefined && process.env.DERIBIT_API_CLIENT_SECRET !== undefined
+  }
+
   protected onConnected() {
     // set heartbeat so deribit won't close connection prematurely
     // https://docs.deribit.com/v2/#public-set_heartbeat
@@ -48,6 +57,19 @@ export class DeribitRealTimeDataFeed extends RealTimeFeedBase {
         interval: 10
       }
     })
+
+    if (this.hasCredentials()) {
+      this.send({
+        jsonrpc: '2.0',
+        method: 'public/auth',
+        id: 1,
+        params: {
+          grant_type: 'client_credentials',
+          client_id: process.env.DERIBIT_API_CLIENT_ID,
+          client_secret: process.env.DERIBIT_API_CLIENT_SECRET
+        }
+      })
+    }
   }
 
   protected messageIsHeartbeat(msg: any) {

package/src/realtimefeeds/realtimefeed.ts

@@ -246,6 +246,8 @@ export abstract class RealTimeFeedBase implements RealTimeFeedIterable {
         return prev
       }, new Set<string>()).size
 
+      this.onConnected()
+
       for (const message of subscribeMessages) {
         this.send(message)
         if (this.throttleSubscribeMS > 0) {
@@ -255,8 +257,6 @@ export abstract class RealTimeFeedBase implements RealTimeFeedIterable {
 
       this.debug('(connection id: %d) estabilished connection', this._connectionId)
 
-      this.onConnected()
-
       //wait before fetching snapshots until we're sure we've got proper connection estabilished (received some messages)
       while (this._receivedMessagesCount < symbolsCount * 2) {
         await wait(100)