tardis-dev 13.1.14 → 13.4.0

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Files changed (30) hide show
  1. package/dist/consts.d.ts +4 -4
  2. package/dist/consts.d.ts.map +1 -1
  3. package/dist/consts.js +4 -0
  4. package/dist/consts.js.map +1 -1
  5. package/dist/mappers/index.d.ts.map +1 -1
  6. package/dist/mappers/index.js +16 -8
  7. package/dist/mappers/index.js.map +1 -1
  8. package/dist/mappers/okex.d.ts +25 -4
  9. package/dist/mappers/okex.d.ts.map +1 -1
  10. package/dist/mappers/okex.js +62 -5
  11. package/dist/mappers/okex.js.map +1 -1
  12. package/dist/realtimefeeds/deribit.d.ts +2 -2
  13. package/dist/realtimefeeds/deribit.d.ts.map +1 -1
  14. package/dist/realtimefeeds/deribit.js +6 -6
  15. package/dist/realtimefeeds/deribit.js.map +1 -1
  16. package/dist/realtimefeeds/okex.d.ts +3 -0
  17. package/dist/realtimefeeds/okex.d.ts.map +1 -1
  18. package/dist/realtimefeeds/okex.js +28 -1
  19. package/dist/realtimefeeds/okex.js.map +1 -1
  20. package/dist/realtimefeeds/realtimefeed.d.ts +1 -1
  21. package/dist/realtimefeeds/realtimefeed.d.ts.map +1 -1
  22. package/dist/realtimefeeds/realtimefeed.js +2 -2
  23. package/dist/realtimefeeds/realtimefeed.js.map +1 -1
  24. package/package.json +1 -1
  25. package/src/consts.ts +4 -0
  26. package/src/mappers/index.ts +17 -9
  27. package/src/mappers/okex.ts +83 -5
  28. package/src/realtimefeeds/deribit.ts +8 -7
  29. package/src/realtimefeeds/okex.ts +30 -1
  30. package/src/realtimefeeds/realtimefeed.ts +2 -2
package/dist/consts.d.ts CHANGED
@@ -6,10 +6,10 @@ export declare const EXCHANGE_CHANNELS_INFO: {
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  cryptofacilities: readonly ["trade", "trade_snapshot", "book", "book_snapshot", "ticker", "heartbeat"];
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  bitstamp: readonly ["live_trades", "live_orders", "diff_order_book"];
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  kraken: readonly ["trade", "ticker", "book", "spread"];
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- okex: readonly ["spot/trade", "spot/depth", "spot/depth_l2_tbt", "spot/ticker", "system/status", "margin/interest_rate", "trades", "books-l2-tbt", "tickers", "interest-rate-loan-quota", "vip-interest-rate-loan-quota", "status", "instruments", "taker-volume"];
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- 'okex-swap': readonly ["swap/trade", "swap/depth", "swap/depth_l2_tbt", "swap/ticker", "swap/funding_rate", "swap/mark_price", "swap/liquidation", "index/ticker", "system/status", "information/sentiment", "information/long_short_ratio", "information/margin", "trades", "books-l2-tbt", "tickers", "open-interest", "mark-price", "price-limit", "funding-rate", "status", "instruments", "index-tickers", "long-short-account-ratio", "taker-volume", "liquidations"];
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- 'okex-futures': readonly ["futures/trade", "futures/depth", "futures/depth_l2_tbt", "futures/ticker", "futures/mark_price", "futures/liquidation", "index/ticker", "system/status", "information/sentiment", "information/long_short_ratio", "information/margin", "trades", "books-l2-tbt", "tickers", "open-interest", "mark-price", "price-limit", "status", "instruments", "index-tickers", "long-short-account-ratio", "taker-volume", "liquidations"];
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- 'okex-options': readonly ["option/trade", "option/depth", "option/depth_l2_tbt", "option/ticker", "option/summary", "option/instruments", "index/ticker", "system/status", "option/trades", "trades", "books-l2-tbt", "tickers", "opt-summary", "status", "instruments", "index-tickers", "open-interest", "mark-price", "price-limit"];
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+ okex: readonly ["spot/trade", "spot/depth", "spot/depth_l2_tbt", "spot/ticker", "system/status", "margin/interest_rate", "trades", "books-l2-tbt", "bbo-tbt", "tickers", "interest-rate-loan-quota", "vip-interest-rate-loan-quota", "status", "instruments", "taker-volume"];
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+ 'okex-swap': readonly ["swap/trade", "swap/depth", "swap/depth_l2_tbt", "swap/ticker", "swap/funding_rate", "swap/mark_price", "swap/liquidation", "index/ticker", "system/status", "information/sentiment", "information/long_short_ratio", "information/margin", "trades", "books-l2-tbt", "bbo-tbt", "tickers", "open-interest", "mark-price", "price-limit", "funding-rate", "status", "instruments", "index-tickers", "long-short-account-ratio", "taker-volume", "liquidations"];
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+ 'okex-futures': readonly ["futures/trade", "futures/depth", "futures/depth_l2_tbt", "futures/ticker", "futures/mark_price", "futures/liquidation", "index/ticker", "system/status", "information/sentiment", "information/long_short_ratio", "information/margin", "trades", "books-l2-tbt", "bbo-tbt", "tickers", "open-interest", "mark-price", "price-limit", "status", "instruments", "index-tickers", "long-short-account-ratio", "taker-volume", "liquidations"];
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+ 'okex-options': readonly ["option/trade", "option/depth", "option/depth_l2_tbt", "option/ticker", "option/summary", "option/instruments", "index/ticker", "system/status", "option/trades", "trades", "books-l2-tbt", "bbo-tbt", "tickers", "opt-summary", "status", "instruments", "index-tickers", "open-interest", "mark-price", "price-limit"];
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  binance: readonly ["trade", "aggTrade", "ticker", "depth", "depthSnapshot", "bookTicker", "recentTrades", "borrowInterest"];
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  'binance-jersey': readonly ["trade", "aggTrade", "ticker", "depth", "depthSnapshot", "bookTicker", "recentTrades", "borrowInterest"];
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  'binance-dex': readonly ["trades", "marketDiff", "depthSnapshot", "ticker"];
package/dist/consts.d.ts.map CHANGED
@@ -1 +1 @@
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- {"version":3,"file":"consts.d.ts","sourceRoot":"","sources":["../src/consts.ts"],"names":[],"mappings":"AAAA,eAAO,MAAM,SAAS,sjBA2CZ,CAAA;AAwTV,eAAO,MAAM,sBAAsB;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;CA2ClC,CAAA"}
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+ {"version":3,"file":"consts.d.ts","sourceRoot":"","sources":["../src/consts.ts"],"names":[],"mappings":"AAAA,eAAO,MAAM,SAAS,sjBA2CZ,CAAA;AA4TV,eAAO,MAAM,sBAAsB;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;CA2ClC,CAAA"}
package/dist/consts.js CHANGED
@@ -110,6 +110,7 @@ const OKEX_CHANNELS = [
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  // v5
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  'trades',
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  'books-l2-tbt',
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+ 'bbo-tbt',
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  'tickers',
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  'interest-rate-loan-quota',
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  'vip-interest-rate-loan-quota',
@@ -133,6 +134,7 @@ const OKEX_FUTURES_CHANNELS = [
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  // v5
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  'trades',
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  'books-l2-tbt',
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+ 'bbo-tbt',
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  'tickers',
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  'open-interest',
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  'mark-price',
@@ -160,6 +162,7 @@ const OKEX_SWAP_CHANNELS = [
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  //v5
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  'trades',
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  'books-l2-tbt',
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+ 'bbo-tbt',
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  'tickers',
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  'open-interest',
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  'mark-price',
@@ -185,6 +188,7 @@ const OKEX_OPTIONS_CHANNELS = [
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  //v5
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  'trades',
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  'books-l2-tbt',
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+ 'bbo-tbt',
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  'tickers',
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  'opt-summary',
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  'status',
package/dist/consts.js.map CHANGED
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1
+ 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package/dist/mappers/index.d.ts.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../src/mappers/index.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,UAAU,EAAE,gBAAgB,EAAE,WAAW,EAAE,aAAa,EAAE,UAAU,EAAE,KAAK,EAAE,MAAM,UAAU,CAAA;AA+DtG,OAAO,EAAE,MAAM,EAAE,MAAM,UAAU,CAAA;AAoBjC,cAAc,UAAU,CAAA;AA0OxB,eAAO,MAAM,eAAe,8nBAAuE,IAAI,qBAQtG,CAAA;AAED,eAAO,MAAM,oBAAoB,8nBAEf,IAAI,0BASrB,CAAA;AAED,eAAO,MAAM,0BAA0B,4UAErB,IAAI,gCASrB,CAAA;AAED,eAAO,MAAM,uBAAuB,+GAElB,IAAI,6BASrB,CAAA;AAED,eAAO,MAAM,qBAAqB,gQAEhB,IAAI,2BASrB,CAAA;AAED,eAAO,MAAM,oBAAoB,mbAEf,IAAI,0BASrB,CAAA"}
1
+ {"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../src/mappers/index.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,UAAU,EAAE,gBAAgB,EAAE,WAAW,EAAE,aAAa,EAAE,UAAU,EAAE,KAAK,EAAE,MAAM,UAAU,CAAA;AA+DtG,OAAO,EAAE,MAAM,EAAE,MAAM,UAAU,CAAA;AAoBjC,cAAc,UAAU,CAAA;AAkPxB,eAAO,MAAM,eAAe,8nBAAuE,IAAI,qBAQtG,CAAA;AAED,eAAO,MAAM,oBAAoB,8nBAEf,IAAI,0BASrB,CAAA;AAED,eAAO,MAAM,0BAA0B,4UAErB,IAAI,gCASrB,CAAA;AAED,eAAO,MAAM,uBAAuB,+GAElB,IAAI,6BASrB,CAAA;AAED,eAAO,MAAM,qBAAqB,gQAEhB,IAAI,2BASrB,CAAA;AAED,eAAO,MAAM,oBAAoB,mbAEf,IAAI,0BASrB,CAAA"}
package/dist/mappers/index.js CHANGED
@@ -52,9 +52,13 @@ const isRealTime = (date) => {
52
52
  return date.valueOf() + THREE_MINUTES_IN_MS > new Date().valueOf();
53
53
  };
54
54
  const OKEX_V5_API_SWITCH_DATE = new Date('2021-12-23T00:00:00.000Z');
55
+ const OKEX_V5_TBT_BOOK_TICKER_RELEASE_DATE = new Date('2022-05-06T00:00:00.000Z');
55
56
  const shouldUseOkexV5Mappers = (localTimestamp) => {
56
57
  return isRealTime(localTimestamp) || localTimestamp.valueOf() >= OKEX_V5_API_SWITCH_DATE.valueOf();
57
58
  };
59
+ const canUseOkexTbtBookTicker = (localTimestamp) => {
60
+ return isRealTime(localTimestamp) || localTimestamp.valueOf() >= OKEX_V5_TBT_BOOK_TICKER_RELEASE_DATE.valueOf();
61
+ };
58
62
  const tradesMappers = {
59
63
  bitmex: () => bitmex_1.bitmexTradesMapper,
60
64
  binance: () => new binance_1.BinanceTradesMapper('binance'),
@@ -119,16 +123,16 @@ const bookChangeMappers = {
119
123
  gemini: () => gemini_1.geminiBookChangeMapper,
120
124
  kraken: () => kraken_1.krakenBookChangeMapper,
121
125
  okex: (localTimestamp) => shouldUseOkexV5Mappers(localTimestamp)
122
- ? new okex_1.OkexV5BookChangeMapper('okex')
126
+ ? new okex_1.OkexV5BookChangeMapper('okex', isRealTime(localTimestamp))
123
127
  : new okex_1.OkexBookChangeMapper('okex', 'spot', localTimestamp.valueOf() >= new Date('2020-04-10').valueOf()),
124
128
  'okex-futures': (localTimestamp) => shouldUseOkexV5Mappers(localTimestamp)
125
- ? new okex_1.OkexV5BookChangeMapper('okex-futures')
129
+ ? new okex_1.OkexV5BookChangeMapper('okex-futures', isRealTime(localTimestamp))
126
130
  : new okex_1.OkexBookChangeMapper('okex-futures', 'futures', localTimestamp.valueOf() >= new Date('2019-12-05').valueOf()),
127
131
  'okex-swap': (localTimestamp) => shouldUseOkexV5Mappers(localTimestamp)
128
- ? new okex_1.OkexV5BookChangeMapper('okex-swap')
132
+ ? new okex_1.OkexV5BookChangeMapper('okex-swap', isRealTime(localTimestamp))
129
133
  : new okex_1.OkexBookChangeMapper('okex-swap', 'swap', localTimestamp.valueOf() >= new Date('2020-02-08').valueOf()),
130
134
  'okex-options': (localTimestamp) => shouldUseOkexV5Mappers(localTimestamp)
131
- ? new okex_1.OkexV5BookChangeMapper('okex-options')
135
+ ? new okex_1.OkexV5BookChangeMapper('okex-options', isRealTime(localTimestamp))
132
136
  : new okex_1.OkexBookChangeMapper('okex-options', 'option', localTimestamp.valueOf() >= new Date('2020-02-08').valueOf()),
133
137
  huobi: (localTimestamp) => localTimestamp.valueOf() >= new Date('2020-07-03').valueOf()
134
138
  ? new huobi_1.HuobiMBPBookChangeMapper('huobi')
@@ -220,13 +224,17 @@ const bookTickersMappers = {
220
224
  'huobi-dm-swap': () => new huobi_1.HuobiBookTickerMapper('huobi-dm-swap'),
221
225
  'huobi-dm-linear-swap': () => new huobi_1.HuobiBookTickerMapper('huobi-dm-linear-swap'),
222
226
  kraken: () => kraken_1.krakenBookTickerMapper,
223
- okex: (localTimestamp) => shouldUseOkexV5Mappers(localTimestamp) ? new okex_1.OkexV5BookTickerMapper('okex') : new okex_1.OkexBookTickerMapper('okex', 'spot'),
227
+ okex: (localTimestamp) => shouldUseOkexV5Mappers(localTimestamp)
228
+ ? new okex_1.OkexV5BookTickerMapper('okex', canUseOkexTbtBookTicker(localTimestamp))
229
+ : new okex_1.OkexBookTickerMapper('okex', 'spot'),
224
230
  'okex-futures': (localTimestamp) => shouldUseOkexV5Mappers(localTimestamp)
225
- ? new okex_1.OkexV5BookTickerMapper('okex-futures')
231
+ ? new okex_1.OkexV5BookTickerMapper('okex-futures', canUseOkexTbtBookTicker(localTimestamp))
226
232
  : new okex_1.OkexBookTickerMapper('okex-futures', 'futures'),
227
- 'okex-swap': (localTimestamp) => shouldUseOkexV5Mappers(localTimestamp) ? new okex_1.OkexV5BookTickerMapper('okex-swap') : new okex_1.OkexBookTickerMapper('okex-swap', 'swap'),
233
+ 'okex-swap': (localTimestamp) => shouldUseOkexV5Mappers(localTimestamp)
234
+ ? new okex_1.OkexV5BookTickerMapper('okex-swap', canUseOkexTbtBookTicker(localTimestamp))
235
+ : new okex_1.OkexBookTickerMapper('okex-swap', 'swap'),
228
236
  'okex-options': (localTimestamp) => shouldUseOkexV5Mappers(localTimestamp)
229
- ? new okex_1.OkexV5BookTickerMapper('okex-options')
237
+ ? new okex_1.OkexV5BookTickerMapper('okex-options', canUseOkexTbtBookTicker(localTimestamp))
230
238
  : new okex_1.OkexBookTickerMapper('okex-options', 'option'),
231
239
  okcoin: () => new okex_1.OkexBookTickerMapper('okcoin', 'spot'),
232
240
  serum: () => new serum_1.SerumBookTickerMapper('serum'),
package/dist/mappers/index.js.map CHANGED
@@ -1 +1 @@
1
- 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1
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package/dist/mappers/okex.d.ts CHANGED
@@ -12,23 +12,33 @@ export declare class OkexV5TradesMapper implements Mapper<OKEX_EXCHANGES, Trade>
12
12
  }
13
13
  export declare class OkexV5BookChangeMapper implements Mapper<OKEX_EXCHANGES, BookChange> {
14
14
  private readonly _exchange;
15
- constructor(_exchange: Exchange);
15
+ private _channelName;
16
+ constructor(_exchange: Exchange, usePublicBooksChannel: boolean);
16
17
  canHandle(message: any): boolean;
18
+ private _hasCredentials;
19
+ private _hasVip5Access;
20
+ private _getBooksChannelName;
17
21
  getFilters(symbols?: string[]): {
18
- channel: "books-l2-tbt";
22
+ channel: any;
19
23
  symbols: string[] | undefined;
20
24
  }[];
21
25
  map(okexDepthDataMessage: OkexV5BookMessage, localTimestamp: Date): IterableIterator<BookChange>;
22
26
  }
23
27
  export declare class OkexV5BookTickerMapper implements Mapper<OKEX_EXCHANGES, BookTicker> {
24
28
  private readonly _exchange;
25
- constructor(_exchange: Exchange);
29
+ private readonly _useTbtTickerChannel;
30
+ constructor(_exchange: Exchange, _useTbtTickerChannel: boolean);
26
31
  canHandle(message: any): boolean;
27
32
  getFilters(symbols?: string[]): {
33
+ channel: "bbo-tbt";
34
+ symbols: string[] | undefined;
35
+ }[] | {
28
36
  channel: "tickers";
29
37
  symbols: string[] | undefined;
30
38
  }[];
31
- map(message: OkexV5TickerMessage, localTimestamp: Date): IterableIterator<BookTicker>;
39
+ map(message: OkexV5TickerMessage | OkexBBOTbtData, localTimestamp: Date): IterableIterator<BookTicker>;
40
+ private _mapFromTbtTicker;
41
+ private _mapFromTicker;
32
42
  }
33
43
  export declare class OkexV5DerivativeTickerMapper implements Mapper<'okex-futures' | 'okex-swap', DerivativeTicker> {
34
44
  private readonly _exchange;
@@ -410,5 +420,16 @@ declare type OkexOptionSummaryData = {
410
420
  }
411
421
  ];
412
422
  };
423
+ declare type OkexBBOTbtData = {
424
+ arg: {
425
+ channel: 'bbo-tbt';
426
+ instId: 'WAVES-USDT-SWAP';
427
+ };
428
+ data: [{
429
+ asks: [['16.083', '65', '0', '1']];
430
+ bids: [['16.082', '143', '0', '4']];
431
+ ts: '1651750920000';
432
+ }];
433
+ };
413
434
  export {};
414
435
  //# sourceMappingURL=okex.d.ts.map
package/dist/mappers/okex.d.ts.map CHANGED
@@ -1 +1 @@
1
- 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1
+ 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package/dist/mappers/okex.js CHANGED
@@ -47,20 +47,36 @@ const mapV5BookLevel = (level) => {
47
47
  return { price, amount };
48
48
  };
49
49
  class OkexV5BookChangeMapper {
50
- constructor(_exchange) {
50
+ constructor(_exchange, usePublicBooksChannel) {
51
51
  this._exchange = _exchange;
52
+ this._hasCredentials = process.env.OKX_API_KEY !== undefined;
53
+ this._hasVip5Access = process.env.OKX_API_VIP_5 !== undefined;
54
+ this._channelName = this._getBooksChannelName(usePublicBooksChannel);
52
55
  }
53
56
  canHandle(message) {
54
57
  if (message.event !== undefined || message.arg === undefined) {
55
58
  return false;
56
59
  }
57
- return message.arg.channel === 'books-l2-tbt';
60
+ return message.arg.channel === this._channelName;
61
+ }
62
+ _getBooksChannelName(usePublicBooksChannel) {
63
+ if (usePublicBooksChannel === false) {
64
+ // historical data always uses books-l2-tbt
65
+ return 'books-l2-tbt';
66
+ }
67
+ if (this._hasCredentials && this._hasVip5Access) {
68
+ return 'books-l2-tbt';
69
+ }
70
+ if (this._hasCredentials) {
71
+ return 'books50-l2-tbt';
72
+ }
73
+ return 'books';
58
74
  }
59
75
  getFilters(symbols) {
60
76
  symbols = (0, handy_1.upperCaseSymbols)(symbols);
61
77
  return [
62
78
  {
63
- channel: `books-l2-tbt`,
79
+ channel: this._channelName,
64
80
  symbols
65
81
  }
66
82
  ];
@@ -89,17 +105,29 @@ class OkexV5BookChangeMapper {
89
105
  }
90
106
  exports.OkexV5BookChangeMapper = OkexV5BookChangeMapper;
91
107
  class OkexV5BookTickerMapper {
92
- constructor(_exchange) {
108
+ constructor(_exchange, _useTbtTickerChannel) {
93
109
  this._exchange = _exchange;
110
+ this._useTbtTickerChannel = _useTbtTickerChannel;
94
111
  }
95
112
  canHandle(message) {
96
113
  if (message.event !== undefined || message.arg === undefined) {
97
114
  return false;
98
115
  }
116
+ if (this._useTbtTickerChannel) {
117
+ return message.arg.channel === 'bbo-tbt';
118
+ }
99
119
  return message.arg.channel === 'tickers';
100
120
  }
101
121
  getFilters(symbols) {
102
122
  symbols = (0, handy_1.upperCaseSymbols)(symbols);
123
+ if (this._useTbtTickerChannel) {
124
+ return [
125
+ {
126
+ channel: `bbo-tbt`,
127
+ symbols
128
+ }
129
+ ];
130
+ }
103
131
  return [
104
132
  {
105
133
  channel: `tickers`,
@@ -107,7 +135,36 @@ class OkexV5BookTickerMapper {
107
135
  }
108
136
  ];
109
137
  }
110
- *map(message, localTimestamp) {
138
+ map(message, localTimestamp) {
139
+ if (message.arg.channel === 'bbo-tbt') {
140
+ return this._mapFromTbtTicker(message, localTimestamp);
141
+ }
142
+ else {
143
+ return this._mapFromTicker(message, localTimestamp);
144
+ }
145
+ }
146
+ *_mapFromTbtTicker(message, localTimestamp) {
147
+ if (!message.data) {
148
+ return;
149
+ }
150
+ for (const tbtTicker of message.data) {
151
+ const bestAsk = tbtTicker.asks !== undefined && tbtTicker.asks[0] ? mapBookLevel(tbtTicker.asks[0]) : undefined;
152
+ const bestBid = tbtTicker.bids !== undefined && tbtTicker.bids[0] ? mapBookLevel(tbtTicker.bids[0]) : undefined;
153
+ const ticker = {
154
+ type: 'book_ticker',
155
+ symbol: message.arg.instId,
156
+ exchange: this._exchange,
157
+ askAmount: bestAsk === null || bestAsk === void 0 ? void 0 : bestAsk.amount,
158
+ askPrice: bestAsk === null || bestAsk === void 0 ? void 0 : bestAsk.price,
159
+ bidPrice: bestBid === null || bestBid === void 0 ? void 0 : bestBid.price,
160
+ bidAmount: bestBid === null || bestBid === void 0 ? void 0 : bestBid.amount,
161
+ timestamp: new Date(Number(tbtTicker.ts)),
162
+ localTimestamp: localTimestamp
163
+ };
164
+ yield ticker;
165
+ }
166
+ }
167
+ *_mapFromTicker(message, localTimestamp) {
111
168
  for (const okexTicker of message.data) {
112
169
  const ticker = {
113
170
  type: 'book_ticker',
package/dist/mappers/okex.js.map CHANGED
@@ -1 +1 @@
1
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1
+ 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package/dist/realtimefeeds/deribit.d.ts CHANGED
@@ -2,11 +2,11 @@ import { Filter, FilterForExchange } from '../types';
2
2
  import { RealTimeFeedBase } from './realtimefeed';
3
3
  export declare class DeribitRealTimeDataFeed extends RealTimeFeedBase {
4
4
  protected wssURL: string;
5
+ private _hasCredentials;
5
6
  protected channelsWithIntervals: FilterForExchange['deribit']['channel'][];
6
7
  protected mapToSubscribeMessages(filters: Filter<string>[]): any[];
7
8
  protected messageIsError(message: any): boolean;
8
- private hasCredentials;
9
- protected onConnected(): void;
9
+ protected onConnected(): Promise<void>;
10
10
  protected messageIsHeartbeat(msg: any): boolean;
11
11
  protected onMessage(msg: any): void;
12
12
  }
package/dist/realtimefeeds/deribit.d.ts.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"deribit.d.ts","sourceRoot":"","sources":["../../src/realtimefeeds/deribit.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,MAAM,EAAE,iBAAiB,EAAE,MAAM,UAAU,CAAA;AACpD,OAAO,EAAE,gBAAgB,EAAE,MAAM,gBAAgB,CAAA;AAEjD,qBAAa,uBAAwB,SAAQ,gBAAgB;IAC3D,SAAS,CAAC,MAAM,SAAoC;IAEpD,SAAS,CAAC,qBAAqB,EAAE,iBAAiB,CAAC,SAAS,CAAC,CAAC,SAAS,CAAC,EAAE,CAA4C;IAEtH,SAAS,CAAC,sBAAsB,CAAC,OAAO,EAAE,MAAM,CAAC,MAAM,CAAC,EAAE,GAAG,GAAG,EAAE;IA4BlE,SAAS,CAAC,cAAc,CAAC,OAAO,EAAE,GAAG,GAAG,OAAO;IAI/C,OAAO,CAAC,cAAc;IAItB,SAAS,CAAC,WAAW;IA2BrB,SAAS,CAAC,kBAAkB,CAAC,GAAG,EAAE,GAAG;IAIrC,SAAS,CAAC,SAAS,CAAC,GAAG,EAAE,GAAG;CAW7B"}
1
+ {"version":3,"file":"deribit.d.ts","sourceRoot":"","sources":["../../src/realtimefeeds/deribit.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,MAAM,EAAE,iBAAiB,EAAE,MAAM,UAAU,CAAA;AACpD,OAAO,EAAE,gBAAgB,EAAE,MAAM,gBAAgB,CAAA;AAEjD,qBAAa,uBAAwB,SAAQ,gBAAgB;IAC3D,SAAS,CAAC,MAAM,SAAoC;IACpD,OAAO,CAAC,eAAe,CAAyG;IAEhI,SAAS,CAAC,qBAAqB,EAAE,iBAAiB,CAAC,SAAS,CAAC,CAAC,SAAS,CAAC,EAAE,CAA4C;IAEtH,SAAS,CAAC,sBAAsB,CAAC,OAAO,EAAE,MAAM,CAAC,MAAM,CAAC,EAAE,GAAG,GAAG,EAAE;IA6BlE,SAAS,CAAC,cAAc,CAAC,OAAO,EAAE,GAAG,GAAG,OAAO;cAI/B,WAAW;IA6B3B,SAAS,CAAC,kBAAkB,CAAC,GAAG,EAAE,GAAG;IAIrC,SAAS,CAAC,SAAS,CAAC,GAAG,EAAE,GAAG;CAW7B"}
package/dist/realtimefeeds/deribit.js CHANGED
@@ -1,15 +1,17 @@
1
1
  "use strict";
2
2
  Object.defineProperty(exports, "__esModule", { value: true });
3
3
  exports.DeribitRealTimeDataFeed = void 0;
4
+ const handy_1 = require("../handy");
4
5
  const realtimefeed_1 = require("./realtimefeed");
5
6
  class DeribitRealTimeDataFeed extends realtimefeed_1.RealTimeFeedBase {
6
7
  constructor() {
7
8
  super(...arguments);
8
9
  this.wssURL = 'wss://www.deribit.com/ws/api/v2';
10
+ this._hasCredentials = process.env.DERIBIT_API_CLIENT_ID !== undefined && process.env.DERIBIT_API_CLIENT_SECRET !== undefined;
9
11
  this.channelsWithIntervals = ['book', 'perpetual', 'trades', 'ticker'];
10
12
  }
11
13
  mapToSubscribeMessages(filters) {
12
- const hasCredentials = this.hasCredentials();
14
+ const hasCredentials = this._hasCredentials;
13
15
  const channels = filters
14
16
  .map((filter) => {
15
17
  if (!filter.symbols || filter.symbols.length === 0) {
@@ -35,10 +37,7 @@ class DeribitRealTimeDataFeed extends realtimefeed_1.RealTimeFeedBase {
35
37
  messageIsError(message) {
36
38
  return message.error !== undefined;
37
39
  }
38
- hasCredentials() {
39
- return process.env.DERIBIT_API_CLIENT_ID !== undefined && process.env.DERIBIT_API_CLIENT_SECRET !== undefined;
40
- }
41
- onConnected() {
40
+ async onConnected() {
42
41
  // set heartbeat so deribit won't close connection prematurely
43
42
  // https://docs.deribit.com/v2/#public-set_heartbeat
44
43
  this.send({
@@ -49,7 +48,7 @@ class DeribitRealTimeDataFeed extends realtimefeed_1.RealTimeFeedBase {
49
48
  interval: 10
50
49
  }
51
50
  });
52
- if (this.hasCredentials()) {
51
+ if (this._hasCredentials) {
53
52
  this.send({
54
53
  jsonrpc: '2.0',
55
54
  method: 'public/auth',
@@ -60,6 +59,7 @@ class DeribitRealTimeDataFeed extends realtimefeed_1.RealTimeFeedBase {
60
59
  client_secret: process.env.DERIBIT_API_CLIENT_SECRET
61
60
  }
62
61
  });
62
+ await (0, handy_1.wait)(10);
63
63
  }
64
64
  }
65
65
  messageIsHeartbeat(msg) {
package/dist/realtimefeeds/deribit.js.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"deribit.js","sourceRoot":"","sources":["../../src/realtimefeeds/deribit.ts"],"names":[],"mappings":";;;AACA,iDAAiD;AAEjD,MAAa,uBAAwB,SAAQ,+BAAgB;IAA7D;;QACY,WAAM,GAAG,iCAAiC,CAAA;QAE1C,0BAAqB,GAA8C,CAAC,MAAM,EAAE,WAAW,EAAE,QAAQ,EAAE,QAAQ,CAAC,CAAA;IAgFxH,CAAC;IA9EW,sBAAsB,CAAC,OAAyB;QACxD,MAAM,cAAc,GAAG,IAAI,CAAC,cAAc,EAAE,CAAA;QAC5C,MAAM,QAAQ,GAAG,OAAO;aACrB,GAAG,CAAC,CAAC,MAAM,EAAE,EAAE;YACd,IAAI,CAAC,MAAM,CAAC,OAAO,IAAI,MAAM,CAAC,OAAO,CAAC,MAAM,KAAK,CAAC,EAAE;gBAClD,MAAM,IAAI,KAAK,CAAC,6FAA6F,CAAC,CAAA;aAC/G;YAED,OAAO,MAAM,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC,MAAM,EAAE,EAAE;gBACnC,MAAM,MAAM,GAAG,IAAI,CAAC,qBAAqB,CAAC,QAAQ,CAAC,MAAM,CAAC,OAAc,CAAC,CAAC,CAAC,CAAC,CAAC,cAAc,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,QAAQ,CAAC,CAAC,CAAC,CAAC,EAAE,CAAA;gBAErH,OAAO,GAAG,MAAM,CAAC,OAAO,IAAI,MAAM,GAAG,MAAM,EAAE,CAAA;YAC/C,CAAC,CAAC,CAAA;QACJ,CAAC,CAAC;aACD,OAAO,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,CAAA;QAEpB,OAAO;YACL;gBACE,OAAO,EAAE,KAAK;gBACd,EAAE,EAAE,CAAC;gBACL,MAAM,EAAE,cAAc,CAAC,CAAC,CAAC,mBAAmB,CAAC,CAAC,CAAC,kBAAkB;gBACjE,MAAM,EAAE;oBACN,QAAQ;iBACT;aACF;SACF,CAAA;IACH,CAAC;IAES,cAAc,CAAC,OAAY;QACnC,OAAO,OAAO,CAAC,KAAK,KAAK,SAAS,CAAA;IACpC,CAAC;IAEO,cAAc;QACpB,OAAO,OAAO,CAAC,GAAG,CAAC,qBAAqB,KAAK,SAAS,IAAI,OAAO,CAAC,GAAG,CAAC,yBAAyB,KAAK,SAAS,CAAA;IAC/G,CAAC;IAES,WAAW;QACnB,8DAA8D;QAC9D,oDAAoD;QAEpD,IAAI,CAAC,IAAI,CAAC;YACR,OAAO,EAAE,KAAK;YACd,MAAM,EAAE,sBAAsB;YAC9B,EAAE,EAAE,CAAC;YACL,MAAM,EAAE;gBACN,QAAQ,EAAE,EAAE;aACb;SACF,CAAC,CAAA;QAEF,IAAI,IAAI,CAAC,cAAc,EAAE,EAAE;YACzB,IAAI,CAAC,IAAI,CAAC;gBACR,OAAO,EAAE,KAAK;gBACd,MAAM,EAAE,aAAa;gBACrB,EAAE,EAAE,CAAC;gBACL,MAAM,EAAE;oBACN,UAAU,EAAE,oBAAoB;oBAChC,SAAS,EAAE,OAAO,CAAC,GAAG,CAAC,qBAAqB;oBAC5C,aAAa,EAAE,OAAO,CAAC,GAAG,CAAC,yBAAyB;iBACrD;aACF,CAAC,CAAA;SACH;IACH,CAAC;IAES,kBAAkB,CAAC,GAAQ;QACnC,OAAO,GAAG,CAAC,MAAM,KAAK,WAAW,CAAA;IACnC,CAAC;IAES,SAAS,CAAC,GAAQ;QAC1B,4DAA4D;QAC5D,IAAI,GAAG,CAAC,MAAM,KAAK,SAAS,IAAI,GAAG,CAAC,MAAM,CAAC,IAAI,KAAK,cAAc,EAAE;YAClE,IAAI,CAAC,IAAI,CAAC;gBACR,OAAO,EAAE,KAAK;gBACd,MAAM,EAAE,aAAa;gBACrB,EAAE,EAAE,CAAC;gBACL,MAAM,EAAE,EAAE;aACX,CAAC,CAAA;SACH;IACH,CAAC;CACF;AAnFD,0DAmFC"}
1
+ {"version":3,"file":"deribit.js","sourceRoot":"","sources":["../../src/realtimefeeds/deribit.ts"],"names":[],"mappings":";;;AAAA,oCAA+B;AAE/B,iDAAiD;AAEjD,MAAa,uBAAwB,SAAQ,+BAAgB;IAA7D;;QACY,WAAM,GAAG,iCAAiC,CAAA;QAC5C,oBAAe,GAAG,OAAO,CAAC,GAAG,CAAC,qBAAqB,KAAK,SAAS,IAAI,OAAO,CAAC,GAAG,CAAC,yBAAyB,KAAK,SAAS,CAAA;QAEtH,0BAAqB,GAA8C,CAAC,MAAM,EAAE,WAAW,EAAE,QAAQ,EAAE,QAAQ,CAAC,CAAA;IA+ExH,CAAC;IA7EW,sBAAsB,CAAC,OAAyB;QACxD,MAAM,cAAc,GAAG,IAAI,CAAC,eAAe,CAAA;QAE3C,MAAM,QAAQ,GAAG,OAAO;aACrB,GAAG,CAAC,CAAC,MAAM,EAAE,EAAE;YACd,IAAI,CAAC,MAAM,CAAC,OAAO,IAAI,MAAM,CAAC,OAAO,CAAC,MAAM,KAAK,CAAC,EAAE;gBAClD,MAAM,IAAI,KAAK,CAAC,6FAA6F,CAAC,CAAA;aAC/G;YAED,OAAO,MAAM,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC,MAAM,EAAE,EAAE;gBACnC,MAAM,MAAM,GAAG,IAAI,CAAC,qBAAqB,CAAC,QAAQ,CAAC,MAAM,CAAC,OAAc,CAAC,CAAC,CAAC,CAAC,CAAC,cAAc,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,QAAQ,CAAC,CAAC,CAAC,CAAC,EAAE,CAAA;gBAErH,OAAO,GAAG,MAAM,CAAC,OAAO,IAAI,MAAM,GAAG,MAAM,EAAE,CAAA;YAC/C,CAAC,CAAC,CAAA;QACJ,CAAC,CAAC;aACD,OAAO,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,CAAA;QAEpB,OAAO;YACL;gBACE,OAAO,EAAE,KAAK;gBACd,EAAE,EAAE,CAAC;gBACL,MAAM,EAAE,cAAc,CAAC,CAAC,CAAC,mBAAmB,CAAC,CAAC,CAAC,kBAAkB;gBACjE,MAAM,EAAE;oBACN,QAAQ;iBACT;aACF;SACF,CAAA;IACH,CAAC;IAES,cAAc,CAAC,OAAY;QACnC,OAAO,OAAO,CAAC,KAAK,KAAK,SAAS,CAAA;IACpC,CAAC;IAES,KAAK,CAAC,WAAW;QACzB,8DAA8D;QAC9D,oDAAoD;QAEpD,IAAI,CAAC,IAAI,CAAC;YACR,OAAO,EAAE,KAAK;YACd,MAAM,EAAE,sBAAsB;YAC9B,EAAE,EAAE,CAAC;YACL,MAAM,EAAE;gBACN,QAAQ,EAAE,EAAE;aACb;SACF,CAAC,CAAA;QAEF,IAAI,IAAI,CAAC,eAAe,EAAE;YACxB,IAAI,CAAC,IAAI,CAAC;gBACR,OAAO,EAAE,KAAK;gBACd,MAAM,EAAE,aAAa;gBACrB,EAAE,EAAE,CAAC;gBACL,MAAM,EAAE;oBACN,UAAU,EAAE,oBAAoB;oBAChC,SAAS,EAAE,OAAO,CAAC,GAAG,CAAC,qBAAqB;oBAC5C,aAAa,EAAE,OAAO,CAAC,GAAG,CAAC,yBAAyB;iBACrD;aACF,CAAC,CAAA;YAEF,MAAM,IAAA,YAAI,EAAC,EAAE,CAAC,CAAA;SACf;IACH,CAAC;IAES,kBAAkB,CAAC,GAAQ;QACnC,OAAO,GAAG,CAAC,MAAM,KAAK,WAAW,CAAA;IACnC,CAAC;IAES,SAAS,CAAC,GAAQ;QAC1B,4DAA4D;QAC5D,IAAI,GAAG,CAAC,MAAM,KAAK,SAAS,IAAI,GAAG,CAAC,MAAM,CAAC,IAAI,KAAK,cAAc,EAAE;YAClE,IAAI,CAAC,IAAI,CAAC;gBACR,OAAO,EAAE,KAAK;gBACd,MAAM,EAAE,aAAa;gBACrB,EAAE,EAAE,CAAC;gBACL,MAAM,EAAE,EAAE;aACX,CAAC,CAAA;SACH;IACH,CAAC;CACF;AAnFD,0DAmFC"}
package/dist/realtimefeeds/okex.d.ts CHANGED
@@ -2,6 +2,9 @@ import { Filter } from '../types';
2
2
  import { RealTimeFeedBase } from './realtimefeed';
3
3
  export declare class OkexRealTimeFeed extends RealTimeFeedBase {
4
4
  protected wssURL: string;
5
+ private _hasCredentials;
6
+ private secondsSinceEpoch;
7
+ protected onConnected(): Promise<void>;
5
8
  protected mapToSubscribeMessages(filters: Filter<string>[]): any[];
6
9
  protected messageIsError(message: any): boolean;
7
10
  }
package/dist/realtimefeeds/okex.d.ts.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"okex.d.ts","sourceRoot":"","sources":["../../src/realtimefeeds/okex.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,MAAM,EAAE,MAAM,UAAU,CAAA;AACjC,OAAO,EAAE,gBAAgB,EAAE,MAAM,gBAAgB,CAAA;AAEjD,qBAAa,gBAAiB,SAAQ,gBAAgB;IACpD,SAAS,CAAC,MAAM,SAAwC;IAExD,SAAS,CAAC,sBAAsB,CAAC,OAAO,EAAE,MAAM,CAAC,MAAM,CAAC,EAAE,GAAG,GAAG,EAAE;IAwBlE,SAAS,CAAC,cAAc,CAAC,OAAO,EAAE,GAAG,GAAG,OAAO;CAGhD;AAED,qBAAa,kBAAmB,SAAQ,gBAAgB;IACtD,SAAS,CAAC,MAAM,SAAqC;IAErD,SAAS,CAAC,sBAAsB,CAAC,OAAO,EAAE,MAAM,CAAC,MAAM,CAAC,EAAE,GAAG,GAAG,EAAE;IAqBlE,SAAS,CAAC,cAAc,CAAC,OAAO,EAAE,GAAG,GAAG,OAAO;IAI/C,SAAS,CAAC,UAAU,YAAa,GAAG,SAInC;CACF;AAED,qBAAa,uBAAwB,SAAQ,gBAAgB;IAC3D,OAAO,CAAC,eAAe,CAAyB;IAEhD,OAAO,CAAC,8BAA8B;IAMtC,SAAS,CAAC,sBAAsB,CAAC,OAAO,EAAE,MAAM,CAAC,MAAM,CAAC,EAAE,GAAG,GAAG,EAAE;CAoCnE"}
1
+ {"version":3,"file":"okex.d.ts","sourceRoot":"","sources":["../../src/realtimefeeds/okex.ts"],"names":[],"mappings":"AAGA,OAAO,EAAE,MAAM,EAAE,MAAM,UAAU,CAAA;AACjC,OAAO,EAAE,gBAAgB,EAAE,MAAM,gBAAgB,CAAA;AAEjD,qBAAa,gBAAiB,SAAQ,gBAAgB;IACpD,SAAS,CAAC,MAAM,SAAuC;IAEvD,OAAO,CAAC,eAAe,CAAwC;IAE/D,OAAO,CAAC,iBAAiB;cAIT,WAAW;IAqB3B,SAAS,CAAC,sBAAsB,CAAC,OAAO,EAAE,MAAM,CAAC,MAAM,CAAC,EAAE,GAAG,GAAG,EAAE;IAwBlE,SAAS,CAAC,cAAc,CAAC,OAAO,EAAE,GAAG,GAAG,OAAO;CAGhD;AAED,qBAAa,kBAAmB,SAAQ,gBAAgB;IACtD,SAAS,CAAC,MAAM,SAAqC;IAErD,SAAS,CAAC,sBAAsB,CAAC,OAAO,EAAE,MAAM,CAAC,MAAM,CAAC,EAAE,GAAG,GAAG,EAAE;IAqBlE,SAAS,CAAC,cAAc,CAAC,OAAO,EAAE,GAAG,GAAG,OAAO;IAI/C,SAAS,CAAC,UAAU,YAAa,GAAG,SAInC;CACF;AAED,qBAAa,uBAAwB,SAAQ,gBAAgB;IAC3D,OAAO,CAAC,eAAe,CAAyB;IAEhD,OAAO,CAAC,8BAA8B;IAMtC,SAAS,CAAC,sBAAsB,CAAC,OAAO,EAAE,MAAM,CAAC,MAAM,CAAC,EAAE,GAAG,GAAG,EAAE;CAoCnE"}
package/dist/realtimefeeds/okex.js CHANGED
@@ -1,12 +1,39 @@
1
1
  "use strict";
2
+ var __importDefault = (this && this.__importDefault) || function (mod) {
3
+ return (mod && mod.__esModule) ? mod : { "default": mod };
4
+ };
2
5
  Object.defineProperty(exports, "__esModule", { value: true });
3
6
  exports.OkexOptionsRealTimeFeed = exports.OKCoinRealTimeFeed = exports.OkexRealTimeFeed = void 0;
4
7
  const zlib_1 = require("zlib");
8
+ const crypto_1 = __importDefault(require("crypto"));
9
+ const handy_1 = require("../handy");
5
10
  const realtimefeed_1 = require("./realtimefeed");
6
11
  class OkexRealTimeFeed extends realtimefeed_1.RealTimeFeedBase {
7
12
  constructor() {
8
13
  super(...arguments);
9
- this.wssURL = 'wss://ws.okex.com:8443/ws/v5/public';
14
+ this.wssURL = 'wss://ws.okx.com:8443/ws/v5/public';
15
+ this._hasCredentials = process.env.OKX_API_KEY !== undefined;
16
+ }
17
+ secondsSinceEpoch() {
18
+ return Math.floor(Date.now() / 1000);
19
+ }
20
+ async onConnected() {
21
+ if (this._hasCredentials) {
22
+ const timestamp = this.secondsSinceEpoch().toString();
23
+ const sign = crypto_1.default.createHmac('sha256', process.env.OKX_API_SECRET_KEY).update(`${timestamp}GET/users/self/verify`).digest('base64');
24
+ this.send({
25
+ op: 'login',
26
+ args: [
27
+ {
28
+ apiKey: process.env.OKX_API_KEY,
29
+ passphrase: process.env.OKX_API_PASSPHRASE,
30
+ timestamp,
31
+ sign
32
+ }
33
+ ]
34
+ });
35
+ await (0, handy_1.wait)(50);
36
+ }
10
37
  }
11
38
  mapToSubscribeMessages(filters) {
12
39
  const args = filters
package/dist/realtimefeeds/okex.js.map CHANGED
@@ -1 +1 @@
1
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1
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package/dist/realtimefeeds/realtimefeed.d.ts CHANGED
@@ -28,7 +28,7 @@ export declare abstract class RealTimeFeedBase implements RealTimeFeedIterable {
28
28
  protected messageIsHeartbeat(_msg: any): boolean;
29
29
  protected provideManualSnapshots(_filters: Filter<string>[], _shouldCancel: () => boolean): Promise<void>;
30
30
  protected onMessage(_msg: any): void;
31
- protected onConnected(): void;
31
+ protected onConnected(): Promise<void>;
32
32
  protected decompress?: (msg: any) => Buffer;
33
33
  private _monitorConnectionIfStale;
34
34
  private _sendPeriodicPing;
package/dist/realtimefeeds/realtimefeed.d.ts.map CHANGED
@@ -1 +1 @@
1
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package/dist/realtimefeeds/realtimefeed.js CHANGED
@@ -30,7 +30,7 @@ class RealTimeFeedBase {
30
30
  }
31
31
  return prev;
32
32
  }, new Set()).size;
33
- this.onConnected();
33
+ await this.onConnected();
34
34
  for (const message of subscribeMessages) {
35
35
  this.send(message);
36
36
  if (this.throttleSubscribeMS > 0) {
@@ -176,7 +176,7 @@ class RealTimeFeedBase {
176
176
  }
177
177
  async provideManualSnapshots(_filters, _shouldCancel) { }
178
178
  onMessage(_msg) { }
179
- onConnected() { }
179
+ async onConnected() { }
180
180
  _monitorConnectionIfStale() {
181
181
  if (this._timeoutIntervalMS === undefined || this._timeoutIntervalMS === 0) {
182
182
  return;
package/dist/realtimefeeds/realtimefeed.js.map CHANGED
@@ -1 +1 @@
1
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1
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package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "tardis-dev",
3
- "version": "13.1.14",
3
+ "version": "13.4.0",
4
4
  "engines": {
5
5
  "node": ">=12"
6
6
  },
package/src/consts.ts CHANGED
@@ -115,6 +115,7 @@ const OKEX_CHANNELS = [
115
115
  // v5
116
116
  'trades',
117
117
  'books-l2-tbt',
118
+ 'bbo-tbt',
118
119
  'tickers',
119
120
  'interest-rate-loan-quota',
120
121
  'vip-interest-rate-loan-quota',
@@ -141,6 +142,7 @@ const OKEX_FUTURES_CHANNELS = [
141
142
  // v5
142
143
  'trades',
143
144
  'books-l2-tbt',
145
+ 'bbo-tbt',
144
146
  'tickers',
145
147
  'open-interest',
146
148
  'mark-price',
@@ -170,6 +172,7 @@ const OKEX_SWAP_CHANNELS = [
170
172
  //v5
171
173
  'trades',
172
174
  'books-l2-tbt',
175
+ 'bbo-tbt',
173
176
  'tickers',
174
177
  'open-interest',
175
178
  'mark-price',
@@ -197,6 +200,7 @@ const OKEX_OPTIONS_CHANNELS = [
197
200
  //v5
198
201
  'trades',
199
202
  'books-l2-tbt',
203
+ 'bbo-tbt',
200
204
  'tickers',
201
205
  'opt-summary',
202
206
  'status',
package/src/mappers/index.ts CHANGED
@@ -94,11 +94,15 @@ const isRealTime = (date: Date) => {
94
94
  }
95
95
 
96
96
  const OKEX_V5_API_SWITCH_DATE = new Date('2021-12-23T00:00:00.000Z')
97
-
97
+ const OKEX_V5_TBT_BOOK_TICKER_RELEASE_DATE = new Date('2022-05-06T00:00:00.000Z')
98
98
  const shouldUseOkexV5Mappers = (localTimestamp: Date) => {
99
99
  return isRealTime(localTimestamp) || localTimestamp.valueOf() >= OKEX_V5_API_SWITCH_DATE.valueOf()
100
100
  }
101
101
 
102
+ const canUseOkexTbtBookTicker = (localTimestamp: Date) => {
103
+ return isRealTime(localTimestamp) || localTimestamp.valueOf() >= OKEX_V5_TBT_BOOK_TICKER_RELEASE_DATE.valueOf()
104
+ }
105
+
102
106
  const tradesMappers = {
103
107
  bitmex: () => bitmexTradesMapper,
104
108
  binance: () => new BinanceTradesMapper('binance'),
@@ -174,20 +178,20 @@ const bookChangeMappers = {
174
178
  kraken: () => krakenBookChangeMapper,
175
179
  okex: (localTimestamp: Date) =>
176
180
  shouldUseOkexV5Mappers(localTimestamp)
177
- ? new OkexV5BookChangeMapper('okex')
181
+ ? new OkexV5BookChangeMapper('okex', isRealTime(localTimestamp))
178
182
  : new OkexBookChangeMapper('okex', 'spot', localTimestamp.valueOf() >= new Date('2020-04-10').valueOf()),
179
183
  'okex-futures': (localTimestamp: Date) =>
180
184
  shouldUseOkexV5Mappers(localTimestamp)
181
- ? new OkexV5BookChangeMapper('okex-futures')
185
+ ? new OkexV5BookChangeMapper('okex-futures', isRealTime(localTimestamp))
182
186
  : new OkexBookChangeMapper('okex-futures', 'futures', localTimestamp.valueOf() >= new Date('2019-12-05').valueOf()),
183
187
 
184
188
  'okex-swap': (localTimestamp: Date) =>
185
189
  shouldUseOkexV5Mappers(localTimestamp)
186
- ? new OkexV5BookChangeMapper('okex-swap')
190
+ ? new OkexV5BookChangeMapper('okex-swap', isRealTime(localTimestamp))
187
191
  : new OkexBookChangeMapper('okex-swap', 'swap', localTimestamp.valueOf() >= new Date('2020-02-08').valueOf()),
188
192
  'okex-options': (localTimestamp: Date) =>
189
193
  shouldUseOkexV5Mappers(localTimestamp)
190
- ? new OkexV5BookChangeMapper('okex-options')
194
+ ? new OkexV5BookChangeMapper('okex-options', isRealTime(localTimestamp))
191
195
  : new OkexBookChangeMapper('okex-options', 'option', localTimestamp.valueOf() >= new Date('2020-02-08').valueOf()),
192
196
 
193
197
  huobi: (localTimestamp: Date) =>
@@ -296,19 +300,23 @@ const bookTickersMappers = {
296
300
  'huobi-dm-linear-swap': () => new HuobiBookTickerMapper('huobi-dm-linear-swap'),
297
301
  kraken: () => krakenBookTickerMapper,
298
302
  okex: (localTimestamp: Date) =>
299
- shouldUseOkexV5Mappers(localTimestamp) ? new OkexV5BookTickerMapper('okex') : new OkexBookTickerMapper('okex', 'spot'),
303
+ shouldUseOkexV5Mappers(localTimestamp)
304
+ ? new OkexV5BookTickerMapper('okex', canUseOkexTbtBookTicker(localTimestamp))
305
+ : new OkexBookTickerMapper('okex', 'spot'),
300
306
 
301
307
  'okex-futures': (localTimestamp: Date) =>
302
308
  shouldUseOkexV5Mappers(localTimestamp)
303
- ? new OkexV5BookTickerMapper('okex-futures')
309
+ ? new OkexV5BookTickerMapper('okex-futures', canUseOkexTbtBookTicker(localTimestamp))
304
310
  : new OkexBookTickerMapper('okex-futures', 'futures'),
305
311
 
306
312
  'okex-swap': (localTimestamp: Date) =>
307
- shouldUseOkexV5Mappers(localTimestamp) ? new OkexV5BookTickerMapper('okex-swap') : new OkexBookTickerMapper('okex-swap', 'swap'),
313
+ shouldUseOkexV5Mappers(localTimestamp)
314
+ ? new OkexV5BookTickerMapper('okex-swap', canUseOkexTbtBookTicker(localTimestamp))
315
+ : new OkexBookTickerMapper('okex-swap', 'swap'),
308
316
 
309
317
  'okex-options': (localTimestamp: Date) =>
310
318
  shouldUseOkexV5Mappers(localTimestamp)
311
- ? new OkexV5BookTickerMapper('okex-options')
319
+ ? new OkexV5BookTickerMapper('okex-options', canUseOkexTbtBookTicker(localTimestamp))
312
320
  : new OkexBookTickerMapper('okex-options', 'option'),
313
321
 
314
322
  okcoin: () => new OkexBookTickerMapper('okcoin', 'spot'),
package/src/mappers/okex.ts CHANGED
@@ -51,13 +51,38 @@ const mapV5BookLevel = (level: OkexV5BookLevel) => {
51
51
  }
52
52
 
53
53
  export class OkexV5BookChangeMapper implements Mapper<OKEX_EXCHANGES, BookChange> {
54
- constructor(private readonly _exchange: Exchange) {}
54
+ private _channelName: string
55
+
56
+ constructor(private readonly _exchange: Exchange, usePublicBooksChannel: boolean) {
57
+ this._channelName = this._getBooksChannelName(usePublicBooksChannel)
58
+ }
55
59
 
56
60
  canHandle(message: any) {
57
61
  if (message.event !== undefined || message.arg === undefined) {
58
62
  return false
59
63
  }
60
- return message.arg.channel === 'books-l2-tbt'
64
+
65
+ return message.arg.channel === this._channelName
66
+ }
67
+
68
+ private _hasCredentials = process.env.OKX_API_KEY !== undefined
69
+ private _hasVip5Access = process.env.OKX_API_VIP_5 !== undefined
70
+
71
+ private _getBooksChannelName(usePublicBooksChannel: boolean) {
72
+ if (usePublicBooksChannel === false) {
73
+ // historical data always uses books-l2-tbt
74
+ return 'books-l2-tbt'
75
+ }
76
+
77
+ if (this._hasCredentials && this._hasVip5Access) {
78
+ return 'books-l2-tbt'
79
+ }
80
+
81
+ if (this._hasCredentials) {
82
+ return 'books50-l2-tbt'
83
+ }
84
+
85
+ return 'books'
61
86
  }
62
87
 
63
88
  getFilters(symbols?: string[]) {
@@ -65,7 +90,7 @@ export class OkexV5BookChangeMapper implements Mapper<OKEX_EXCHANGES, BookChange
65
90
 
66
91
  return [
67
92
  {
68
- channel: `books-l2-tbt` as const,
93
+ channel: this._channelName as any,
69
94
  symbols
70
95
  }
71
96
  ]
@@ -98,18 +123,31 @@ export class OkexV5BookChangeMapper implements Mapper<OKEX_EXCHANGES, BookChange
98
123
  }
99
124
 
100
125
  export class OkexV5BookTickerMapper implements Mapper<OKEX_EXCHANGES, BookTicker> {
101
- constructor(private readonly _exchange: Exchange) {}
126
+ constructor(private readonly _exchange: Exchange, private readonly _useTbtTickerChannel: boolean) {}
102
127
 
103
128
  canHandle(message: any) {
104
129
  if (message.event !== undefined || message.arg === undefined) {
105
130
  return false
106
131
  }
132
+
133
+ if (this._useTbtTickerChannel) {
134
+ return message.arg.channel === 'bbo-tbt'
135
+ }
136
+
107
137
  return message.arg.channel === 'tickers'
108
138
  }
109
139
 
110
140
  getFilters(symbols?: string[]) {
111
141
  symbols = upperCaseSymbols(symbols)
112
142
 
143
+ if (this._useTbtTickerChannel) {
144
+ return [
145
+ {
146
+ channel: `bbo-tbt` as const,
147
+ symbols
148
+ }
149
+ ]
150
+ }
113
151
  return [
114
152
  {
115
153
  channel: `tickers` as const,
@@ -118,7 +156,42 @@ export class OkexV5BookTickerMapper implements Mapper<OKEX_EXCHANGES, BookTicker
118
156
  ]
119
157
  }
120
158
 
121
- *map(message: OkexV5TickerMessage, localTimestamp: Date): IterableIterator<BookTicker> {
159
+ map(message: OkexV5TickerMessage | OkexBBOTbtData, localTimestamp: Date): IterableIterator<BookTicker> {
160
+ if (message.arg.channel === 'bbo-tbt') {
161
+ return this._mapFromTbtTicker(message as OkexBBOTbtData, localTimestamp)
162
+ } else {
163
+ return this._mapFromTicker(message as OkexV5TickerMessage, localTimestamp)
164
+ }
165
+ }
166
+
167
+ private *_mapFromTbtTicker(message: OkexBBOTbtData, localTimestamp: Date): IterableIterator<BookTicker> {
168
+ if (!message.data) {
169
+ return
170
+ }
171
+
172
+ for (const tbtTicker of message.data) {
173
+ const bestAsk = tbtTicker.asks !== undefined && tbtTicker.asks[0] ? mapBookLevel(tbtTicker.asks[0]) : undefined
174
+ const bestBid = tbtTicker.bids !== undefined && tbtTicker.bids[0] ? mapBookLevel(tbtTicker.bids[0]) : undefined
175
+
176
+ const ticker: BookTicker = {
177
+ type: 'book_ticker',
178
+ symbol: message.arg.instId,
179
+ exchange: this._exchange,
180
+
181
+ askAmount: bestAsk?.amount,
182
+ askPrice: bestAsk?.price,
183
+
184
+ bidPrice: bestBid?.price,
185
+ bidAmount: bestBid?.amount,
186
+ timestamp: new Date(Number(tbtTicker.ts)),
187
+ localTimestamp: localTimestamp
188
+ }
189
+
190
+ yield ticker
191
+ }
192
+ }
193
+
194
+ private *_mapFromTicker(message: OkexV5TickerMessage, localTimestamp: Date): IterableIterator<BookTicker> {
122
195
  for (const okexTicker of message.data) {
123
196
  const ticker: BookTicker = {
124
197
  type: 'book_ticker',
@@ -1036,3 +1109,8 @@ type OkexOptionSummaryData = {
1036
1109
  }
1037
1110
  ]
1038
1111
  }
1112
+
1113
+ type OkexBBOTbtData = {
1114
+ arg: { channel: 'bbo-tbt'; instId: 'WAVES-USDT-SWAP' }
1115
+ data: [{ asks: [['16.083', '65', '0', '1']]; bids: [['16.082', '143', '0', '4']]; ts: '1651750920000' }]
1116
+ }
package/src/realtimefeeds/deribit.ts CHANGED
@@ -1,13 +1,16 @@
1
+ import { wait } from '../handy'
1
2
  import { Filter, FilterForExchange } from '../types'
2
3
  import { RealTimeFeedBase } from './realtimefeed'
3
4
 
4
5
  export class DeribitRealTimeDataFeed extends RealTimeFeedBase {
5
6
  protected wssURL = 'wss://www.deribit.com/ws/api/v2'
7
+ private _hasCredentials = process.env.DERIBIT_API_CLIENT_ID !== undefined && process.env.DERIBIT_API_CLIENT_SECRET !== undefined
6
8
 
7
9
  protected channelsWithIntervals: FilterForExchange['deribit']['channel'][] = ['book', 'perpetual', 'trades', 'ticker']
8
10
 
9
11
  protected mapToSubscribeMessages(filters: Filter<string>[]): any[] {
10
- const hasCredentials = this.hasCredentials()
12
+ const hasCredentials = this._hasCredentials
13
+
11
14
  const channels = filters
12
15
  .map((filter) => {
13
16
  if (!filter.symbols || filter.symbols.length === 0) {
@@ -38,11 +41,7 @@ export class DeribitRealTimeDataFeed extends RealTimeFeedBase {
38
41
  return message.error !== undefined
39
42
  }
40
43
 
41
- private hasCredentials() {
42
- return process.env.DERIBIT_API_CLIENT_ID !== undefined && process.env.DERIBIT_API_CLIENT_SECRET !== undefined
43
- }
44
-
45
- protected onConnected() {
44
+ protected async onConnected() {
46
45
  // set heartbeat so deribit won't close connection prematurely
47
46
  // https://docs.deribit.com/v2/#public-set_heartbeat
48
47
 
@@ -55,7 +54,7 @@ export class DeribitRealTimeDataFeed extends RealTimeFeedBase {
55
54
  }
56
55
  })
57
56
 
58
- if (this.hasCredentials()) {
57
+ if (this._hasCredentials) {
59
58
  this.send({
60
59
  jsonrpc: '2.0',
61
60
  method: 'public/auth',
@@ -66,6 +65,8 @@ export class DeribitRealTimeDataFeed extends RealTimeFeedBase {
66
65
  client_secret: process.env.DERIBIT_API_CLIENT_SECRET
67
66
  }
68
67
  })
68
+
69
+ await wait(10)
69
70
  }
70
71
  }
71
72
 
package/src/realtimefeeds/okex.ts CHANGED
@@ -1,9 +1,38 @@
1
1
  import { inflateRawSync } from 'zlib'
2
+ import crypto from 'crypto'
3
+ import { wait } from '../handy'
2
4
  import { Filter } from '../types'
3
5
  import { RealTimeFeedBase } from './realtimefeed'
4
6
 
5
7
  export class OkexRealTimeFeed extends RealTimeFeedBase {
6
- protected wssURL = 'wss://ws.okex.com:8443/ws/v5/public'
8
+ protected wssURL = 'wss://ws.okx.com:8443/ws/v5/public'
9
+
10
+ private _hasCredentials = process.env.OKX_API_KEY !== undefined
11
+
12
+ private secondsSinceEpoch() {
13
+ return Math.floor(Date.now() / 1000)
14
+ }
15
+
16
+ protected async onConnected() {
17
+ if (this._hasCredentials) {
18
+ const timestamp = this.secondsSinceEpoch().toString()
19
+ const sign = crypto.createHmac('sha256', process.env.OKX_API_SECRET_KEY!).update(`${timestamp}GET/users/self/verify`).digest('base64')
20
+
21
+ this.send({
22
+ op: 'login',
23
+ args: [
24
+ {
25
+ apiKey: process.env.OKX_API_KEY,
26
+ passphrase: process.env.OKX_API_PASSPHRASE,
27
+ timestamp,
28
+ sign
29
+ }
30
+ ]
31
+ })
32
+
33
+ await wait(50)
34
+ }
35
+ }
7
36
 
8
37
  protected mapToSubscribeMessages(filters: Filter<string>[]): any[] {
9
38
  const args = filters
package/src/realtimefeeds/realtimefeed.ts CHANGED
@@ -204,7 +204,7 @@ export abstract class RealTimeFeedBase implements RealTimeFeedIterable {
204
204
 
205
205
  protected onMessage(_msg: any) {}
206
206
 
207
- protected onConnected() {}
207
+ protected async onConnected() {}
208
208
 
209
209
  protected decompress?: (msg: any) => Buffer
210
210
 
@@ -254,7 +254,7 @@ export abstract class RealTimeFeedBase implements RealTimeFeedIterable {
254
254
  return prev
255
255
  }, new Set<string>()).size
256
256
 
257
- this.onConnected()
257
+ await this.onConnected()
258
258
 
259
259
  for (const message of subscribeMessages) {
260
260
  this.send(message)