tardis-dev 13.1.15 → 13.4.1

package/src/mappers/okex.ts

@@ -51,34 +51,46 @@ const mapV5BookLevel = (level: OkexV5BookLevel) => {
 }
 
 export class OkexV5BookChangeMapper implements Mapper<OKEX_EXCHANGES, BookChange> {
-  constructor(private readonly _exchange: Exchange, private readonly _usePublicBooksChannel: boolean) {}
+  private _channelName: string
+
+  constructor(private readonly _exchange: Exchange, usePublicBooksChannel: boolean) {
+    this._channelName = this._getBooksChannelName(usePublicBooksChannel)
+  }
 
   canHandle(message: any) {
     if (message.event !== undefined || message.arg === undefined) {
       return false
     }
 
-    if (this._usePublicBooksChannel) {
-      return message.arg.channel === 'books'
+    return message.arg.channel === this._channelName
+  }
+
+  private _hasCredentials = process.env.OKX_API_KEY !== undefined
+  private _hasVip5Access = process.env.OKX_API_VIP_5 !== undefined
+
+  private _getBooksChannelName(usePublicBooksChannel: boolean) {
+    if (usePublicBooksChannel === false) {
+      // historical data always uses books-l2-tbt
+      return 'books-l2-tbt'
+    }
+
+    if (this._hasCredentials && this._hasVip5Access) {
+      return 'books-l2-tbt'
+    }
+
+    if (this._hasCredentials) {
+      return 'books50-l2-tbt'
     }
-    return message.arg.channel === 'books-l2-tbt'
+
+    return 'books'
   }
 
   getFilters(symbols?: string[]) {
     symbols = upperCaseSymbols(symbols)
 
-    if (this._usePublicBooksChannel) {
-      return [
-        {
-          channel: `books` as any,
-          symbols
-        }
-      ]
-    }
-
     return [
       {
-        channel: `books-l2-tbt` as const,
+        channel: this._channelName as any,
         symbols
       }
     ]
@@ -111,18 +123,31 @@ export class OkexV5BookChangeMapper implements Mapper<OKEX_EXCHANGES, BookChange
 }
 
 export class OkexV5BookTickerMapper implements Mapper<OKEX_EXCHANGES, BookTicker> {
-  constructor(private readonly _exchange: Exchange) {}
+  constructor(private readonly _exchange: Exchange, private readonly _useTbtTickerChannel: boolean) {}
 
   canHandle(message: any) {
     if (message.event !== undefined || message.arg === undefined) {
       return false
     }
+
+    if (this._useTbtTickerChannel) {
+      return message.arg.channel === 'bbo-tbt'
+    }
+
     return message.arg.channel === 'tickers'
   }
 
   getFilters(symbols?: string[]) {
     symbols = upperCaseSymbols(symbols)
 
+    if (this._useTbtTickerChannel) {
+      return [
+        {
+          channel: `bbo-tbt` as const,
+          symbols
+        }
+      ]
+    }
     return [
       {
         channel: `tickers` as const,
@@ -131,7 +156,42 @@ export class OkexV5BookTickerMapper implements Mapper<OKEX_EXCHANGES, BookTicker
     ]
   }
 
-  *map(message: OkexV5TickerMessage, localTimestamp: Date): IterableIterator<BookTicker> {
+  map(message: OkexV5TickerMessage | OkexBBOTbtData, localTimestamp: Date): IterableIterator<BookTicker> {
+    if (message.arg.channel === 'bbo-tbt') {
+      return this._mapFromTbtTicker(message as OkexBBOTbtData, localTimestamp)
+    } else {
+      return this._mapFromTicker(message as OkexV5TickerMessage, localTimestamp)
+    }
+  }
+
+  private *_mapFromTbtTicker(message: OkexBBOTbtData, localTimestamp: Date): IterableIterator<BookTicker> {
+    if (!message.data) {
+      return
+    }
+
+    for (const tbtTicker of message.data) {
+      const bestAsk = tbtTicker.asks !== undefined && tbtTicker.asks[0] ? mapBookLevel(tbtTicker.asks[0]) : undefined
+      const bestBid = tbtTicker.bids !== undefined && tbtTicker.bids[0] ? mapBookLevel(tbtTicker.bids[0]) : undefined
+
+      const ticker: BookTicker = {
+        type: 'book_ticker',
+        symbol: message.arg.instId,
+        exchange: this._exchange,
+
+        askAmount: bestAsk?.amount,
+        askPrice: bestAsk?.price,
+
+        bidPrice: bestBid?.price,
+        bidAmount: bestBid?.amount,
+        timestamp: new Date(Number(tbtTicker.ts)),
+        localTimestamp: localTimestamp
+      }
+
+      yield ticker
+    }
+  }
+
+  private *_mapFromTicker(message: OkexV5TickerMessage, localTimestamp: Date): IterableIterator<BookTicker> {
     for (const okexTicker of message.data) {
       const ticker: BookTicker = {
         type: 'book_ticker',
@@ -1049,3 +1109,8 @@ type OkexOptionSummaryData = {
     }
   ]
 }
+
+type OkexBBOTbtData = {
+  arg: { channel: 'bbo-tbt'; instId: 'WAVES-USDT-SWAP' }
+  data: [{ asks: [['16.083', '65', '0', '1']]; bids: [['16.082', '143', '0', '4']]; ts: '1651750920000' }]
+}

package/src/realtimefeeds/deribit.ts

@@ -1,13 +1,16 @@
+import { wait } from '../handy'
 import { Filter, FilterForExchange } from '../types'
 import { RealTimeFeedBase } from './realtimefeed'
 
 export class DeribitRealTimeDataFeed extends RealTimeFeedBase {
   protected wssURL = 'wss://www.deribit.com/ws/api/v2'
+  private _hasCredentials = process.env.DERIBIT_API_CLIENT_ID !== undefined && process.env.DERIBIT_API_CLIENT_SECRET !== undefined
 
   protected channelsWithIntervals: FilterForExchange['deribit']['channel'][] = ['book', 'perpetual', 'trades', 'ticker']
 
   protected mapToSubscribeMessages(filters: Filter<string>[]): any[] {
-    const hasCredentials = this.hasCredentials()
+    const hasCredentials = this._hasCredentials
+
     const channels = filters
       .map((filter) => {
         if (!filter.symbols || filter.symbols.length === 0) {
@@ -38,11 +41,7 @@ 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() {
+  protected async onConnected() {
     // set heartbeat so deribit won't close connection prematurely
     // https://docs.deribit.com/v2/#public-set_heartbeat
 
@@ -55,7 +54,7 @@ export class DeribitRealTimeDataFeed extends RealTimeFeedBase {
       }
     })
 
-    if (this.hasCredentials()) {
+    if (this._hasCredentials) {
       this.send({
         jsonrpc: '2.0',
         method: 'public/auth',
@@ -66,6 +65,8 @@ export class DeribitRealTimeDataFeed extends RealTimeFeedBase {
           client_secret: process.env.DERIBIT_API_CLIENT_SECRET
         }
       })
+
+      await wait(10)
     }
   }
 

package/src/realtimefeeds/okex.ts

@@ -1,10 +1,39 @@
 import { inflateRawSync } from 'zlib'
+import crypto from 'crypto'
+import { wait } from '../handy'
 import { Filter } from '../types'
 import { RealTimeFeedBase } from './realtimefeed'
 
 export class OkexRealTimeFeed extends RealTimeFeedBase {
   protected wssURL = 'wss://ws.okx.com:8443/ws/v5/public'
 
+  private _hasCredentials = process.env.OKX_API_KEY !== undefined
+
+  private secondsSinceEpoch() {
+    return Math.floor(Date.now() / 1000)
+  }
+
+  protected async onConnected() {
+    if (this._hasCredentials) {
+      const timestamp = this.secondsSinceEpoch().toString()
+      const sign = crypto.createHmac('sha256', process.env.OKX_API_SECRET_KEY!).update(`${timestamp}GET/users/self/verify`).digest('base64')
+
+      this.send({
+        op: 'login',
+        args: [
+          {
+            apiKey: process.env.OKX_API_KEY,
+            passphrase: process.env.OKX_API_PASSPHRASE,
+            timestamp,
+            sign
+          }
+        ]
+      })
+
+      await wait(50)
+    }
+  }
+
   protected mapToSubscribeMessages(filters: Filter<string>[]): any[] {
     const args = filters
       .map((filter) => {

package/src/realtimefeeds/realtimefeed.ts

@@ -204,7 +204,7 @@ export abstract class RealTimeFeedBase implements RealTimeFeedIterable {
 
   protected onMessage(_msg: any) {}
 
-  protected onConnected() {}
+  protected async onConnected() {}
 
   protected decompress?: (msg: any) => Buffer
 
@@ -254,7 +254,7 @@ export abstract class RealTimeFeedBase implements RealTimeFeedIterable {
         return prev
       }, new Set<string>()).size
 
-      this.onConnected()
+      await this.onConnected()
 
       for (const message of subscribeMessages) {
         this.send(message)