tardis-dev 13.1.2 → 13.1.6

package/dist/combine.js

@@ -86,32 +86,40 @@ async function* combine(...iteratorsPayload) {
 }
 exports.combine = combine;
 async function* combineHistorical(iterators) {
-    // wait for all results to resolve
-    const results = await Promise.all(iterators.map(nextWithIndex));
-    let aliveIteratorsCount = results.length;
-    do {
-        // if we're dealing with historical data replay
-        // and need to return combined messages iterable sorted by local timestamp in ascending order
-        // find resolved one that is the 'oldest'
-        const oldestResult = results.reduce(findOldestResult, results[0]);
-        const { result, index } = oldestResult;
-        if (result.done) {
-            aliveIteratorsCount--;
-            // we don't want finished iterators to every be considered 'oldest' again
-            // hence provide them with result that has local timestamp set to DATE_MAX
-            // and that is not done
-            results[index].result = {
-                done: false,
-                value: {
-                    localTimestamp: DATE_MAX
-                }
-            };
-        }
-        else {
-            // yield oldest value and replace with next value from iterable for given index
-            yield result.value;
-            results[index] = await nextWithIndex(iterators[index], index);
+    try {
+        // wait for all results to resolve
+        const results = await Promise.all(iterators.map(nextWithIndex));
+        let aliveIteratorsCount = results.length;
+        do {
+            // if we're dealing with historical data replay
+            // and need to return combined messages iterable sorted by local timestamp in ascending order
+            // find resolved one that is the 'oldest'
+            const oldestResult = results.reduce(findOldestResult, results[0]);
+            const { result, index } = oldestResult;
+            if (result.done) {
+                aliveIteratorsCount--;
+                // we don't want finished iterators to every be considered 'oldest' again
+                // hence provide them with result that has local timestamp set to DATE_MAX
+                // and that is not done
+                results[index].result = {
+                    done: false,
+                    value: {
+                        localTimestamp: DATE_MAX
+                    }
+                };
+            }
+            else {
+                // yield oldest value and replace with next value from iterable for given index
+                yield result.value;
+                results[index] = await nextWithIndex(iterators[index], index);
+            }
+        } while (aliveIteratorsCount > 0);
+    }
+    finally {
+        for (let iterator of iterators) {
+            ;
+            iterator.return();
         }
-    } while (aliveIteratorsCount > 0);
+    }
 }
 //# sourceMappingURL=combine.js.map

package/dist/combine.js.map

@@ -1 +1 @@
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package/dist/computable/computable.d.ts.map

@@ -1 +1 @@
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package/dist/computable/computable.js

@@ -2,27 +2,32 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.compute = void 0;
 async function* _compute(messages, ...computables) {
-    const factory = new Computables(computables);
-    for await (const message of messages) {
-        // always pass through source message
-        yield message;
-        if (message.type === 'disconnect') {
-            // reset all computables for given exchange if we've received disconnect for it
-            factory.reset(message.exchange);
-            continue;
-        }
-        const normalizedMessage = message;
-        const id = normalizedMessage.name !== undefined ? `${normalizedMessage.symbol}:${normalizedMessage.name}` : normalizedMessage.symbol;
-        const computablesMap = factory.getOrCreate(normalizedMessage.exchange, id);
-        const computables = computablesMap[normalizedMessage.type];
-        if (!computables)
-            continue;
-        for (const computable of computables) {
-            for (const computedMessage of computable.compute(normalizedMessage)) {
-                yield computedMessage;
+    try {
+        const factory = new Computables(computables);
+        for await (const message of messages) {
+            // always pass through source message
+            yield message;
+            if (message.type === 'disconnect') {
+                // reset all computables for given exchange if we've received disconnect for it
+                factory.reset(message.exchange);
+                continue;
+            }
+            const normalizedMessage = message;
+            const id = normalizedMessage.name !== undefined ? `${normalizedMessage.symbol}:${normalizedMessage.name}` : normalizedMessage.symbol;
+            const computablesMap = factory.getOrCreate(normalizedMessage.exchange, id);
+            const computables = computablesMap[normalizedMessage.type];
+            if (!computables)
+                continue;
+            for (const computable of computables) {
+                for (const computedMessage of computable.compute(normalizedMessage)) {
+                    yield computedMessage;
+                }
             }
         }
     }
+    finally {
+        messages.return();
+    }
 }
 function compute(messages, ...computables) {
     let _iterator = _compute(messages, ...computables);

package/dist/computable/computable.js.map

@@ -1 +1 @@
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package/dist/mappers/bybit.d.ts.map

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package/dist/mappers/bybit.js

@@ -125,7 +125,9 @@ class BybitDerivativeTickerMapper {
         const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(instrumentInfo.symbol, 'bybit');
         pendingTickerInfo.updateFundingRate(instrumentInfo.funding_rate_e6 !== undefined ? Number(instrumentInfo.funding_rate_e6) / 1000000 : undefined);
         pendingTickerInfo.updatePredictedFundingRate(instrumentInfo.predicted_funding_rate_e6 !== undefined ? instrumentInfo.predicted_funding_rate_e6 / 1000000 : undefined);
-        pendingTickerInfo.updateFundingTimestamp(instrumentInfo.next_funding_time !== undefined ? new Date(instrumentInfo.next_funding_time) : undefined);
+        pendingTickerInfo.updateFundingTimestamp(instrumentInfo.next_funding_time !== undefined && new Date(instrumentInfo.next_funding_time).valueOf() > 0
+            ? new Date(instrumentInfo.next_funding_time)
+            : undefined);
         if (instrumentInfo.index_price !== undefined) {
             pendingTickerInfo.updateIndexPrice(Number(instrumentInfo.index_price));
         }

package/dist/mappers/bybit.js.map

@@ -1 +1 @@
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+{"version":3,"file":"bybit.js","sourceRoot":"","sources":["../../src/mappers/bybit.ts"],"names":[],"mappings":";;;AAAA,oCAA2C;AAE3C,qCAA0D;AAE1D,wFAAwF;AAExF,MAAa,iBAAiB;IAC5B,YAA6B,SAAmB;QAAnB,cAAS,GAAT,SAAS,CAAU;IAAG,CAAC;IACpD,SAAS,CAAC,OAAyB;QACjC,IAAI,OAAO,CAAC,KAAK,KAAK,SAAS,EAAE;YAC/B,OAAO,KAAK,CAAA;SACb;QAED,OAAO,OAAO,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,CAAC,CAAA;IAC3C,CAAC;IAED,UAAU,CAAC,OAAkB;QAC3B,OAAO,GAAG,IAAA,wBAAgB,EAAC,OAAO,CAAC,CAAA;QAEnC,OAAO;YACL;gBACE,OAAO,EAAE,OAAO;gBAChB,OAAO;aACC;SACX,CAAA;IACH,CAAC;IAED,CAAC,GAAG,CAAC,OAA8B,EAAE,cAAoB;QACvD,KAAK,MAAM,KAAK,IAAI,OAAO,CAAC,IAAI,EAAE;YAChC,MAAM,SAAS,GAAG,KAAK,CAAC,aAAa,KAAK,SAAS,CAAC,CAAC,CAAC,IAAI,IAAI,CAAC,MAAM,CAAC,KAAK,CAAC,aAAa,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,IAAI,CAAC,KAAK,CAAC,SAAS,CAAC,CAAA;YAEvH,MAAM;gBACJ,IAAI,EAAE,OAAO;gBACb,MAAM,EAAE,KAAK,CAAC,MAAM;gBACpB,QAAQ,EAAE,IAAI,CAAC,SAAS;gBACxB,EAAE,EAAE,KAAK,CAAC,QAAQ;gBAClB,KAAK,EAAE,MAAM,CAAC,KAAK,CAAC,KAAK,CAAC;gBAC1B,MAAM,EAAE,KAAK,CAAC,IAAI;gBAClB,IAAI,EAAE,KAAK,CAAC,IAAI,IAAI,KAAK,CAAC,CAAC,CAAC,KAAK,CAAC,CAAC,CAAC,KAAK,CAAC,IAAI,KAAK,MAAM,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,SAAS;gBAC9E,SAAS;gBACT,cAAc;aACf,CAAA;SACF;IACH,CAAC;CACF;AAtCD,8CAsCC;AAED,MAAa,qBAAqB;IAChC,YAA+B,SAAmB,EAAmB,qBAA8B;QAApE,cAAS,GAAT,SAAS,CAAU;QAAmB,0BAAqB,GAArB,qBAAqB,CAAS;IAAG,CAAC;IAEvG,SAAS,CAAC,OAAyB;QACjC,IAAI,OAAO,CAAC,KAAK,KAAK,SAAS,EAAE;YAC/B,OAAO,KAAK,CAAA;SACb;QAED,IAAI,IAAI,CAAC,qBAAqB,EAAE;YAC9B,OAAO,OAAO,CAAC,KAAK,CAAC,UAAU,CAAC,gBAAgB,CAAC,CAAA;SAClD;aAAM;YACL,OAAO,OAAO,CAAC,KAAK,CAAC,UAAU,CAAC,iBAAiB,CAAC,CAAA;SACnD;IACH,CAAC;IAED,UAAU,CAAC,OAAkB;QAC3B,OAAO,GAAG,IAAA,wBAAgB,EAAC,OAAO,CAAC,CAAA;QAEnC,IAAI,IAAI,CAAC,qBAAqB,EAAE;YAC9B,OAAO;gBACL;oBACE,OAAO,EAAE,eAAe;oBACxB,OAAO;iBACC;aACX,CAAA;SACF;QAED,OAAO;YACL;gBACE,OAAO,EAAE,gBAAgB;gBACzB,OAAO;aACC;SACX,CAAA;IACH,CAAC;IAED,CAAC,GAAG,CAAC,OAAsE,EAAE,cAAoB;QAC/F,MAAM,UAAU,GAAG,OAAO,CAAC,KAAK,CAAC,KAAK,CAAC,GAAG,CAAC,CAAA;QAC3C,MAAM,MAAM,GAAG,UAAU,CAAC,UAAU,CAAC,MAAM,GAAG,CAAC,CAAC,CAAA;QAChD,MAAM,IAAI,GACR,OAAO,CAAC,IAAI,KAAK,UAAU;YACzB,CAAC,CAAC,YAAY,IAAI,OAAO,CAAC,IAAI;gBAC5B,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,UAAU;gBACzB,CAAC,CAAC,OAAO,CAAC,IAAI;YAChB,CAAC,CAAC,CAAC,GAAG,OAAO,CAAC,IAAI,CAAC,MAAM,EAAE,GAAG,OAAO,CAAC,IAAI,CAAC,MAAM,EAAE,GAAG,OAAO,CAAC,IAAI,CAAC,MAAM,CAAC,CAAA;QAE9E,MAAM,cAAc,GAAG,MAAM,CAAC,OAAO,CAAC,YAAY,CAAC,CAAA;QACnD,MAAM,SAAS,GAAG,IAAI,IAAI,CAAC,cAAc,GAAG,IAAI,CAAC,CAAA;QACjD,SAAS,CAAC,EAAE,GAAG,cAAc,GAAG,IAAI,CAAA;QAEpC,MAAM;YACJ,IAAI,EAAE,aAAa;YACnB,MAAM;YACN,QAAQ,EAAE,IAAI,CAAC,SAAS;YACxB,UAAU,EAAE,OAAO,CAAC,IAAI,KAAK,UAAU;YACvC,IAAI,EAAE,IAAI,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,IAAI,KAAK,KAAK,CAAC,CAAC,GAAG,CAAC,IAAI,CAAC,aAAa,CAAC;YAClE,IAAI,EAAE,IAAI,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,IAAI,KAAK,MAAM,CAAC,CAAC,GAAG,CAAC,IAAI,CAAC,aAAa,CAAC;YACnE,SAAS;YACT,cAAc;SACN,CAAA;IACZ,CAAC;IAEO,aAAa,CAAC,KAAqB;QACzC,OAAO,EAAE,KAAK,EAAE,MAAM,CAAC,KAAK,CAAC,KAAK,CAAC,EAAE,MAAM,EAAE,KAAK,CAAC,IAAI,KAAK,SAAS,CAAC,CAAC,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,EAAE,CAAA;IAC1F,CAAC;CACF;AAhED,sDAgEC;AAED,MAAa,2BAA2B;IAAxC;QACmB,4BAAuB,GAAG,IAAI,gCAAuB,EAAE,CAAA;IA2E1E,CAAC;IAzEC,SAAS,CAAC,OAAyB;QACjC,IAAI,OAAO,CAAC,KAAK,KAAK,SAAS,EAAE;YAC/B,OAAO,KAAK,CAAA;SACb;QAED,OAAO,OAAO,CAAC,KAAK,CAAC,UAAU,CAAC,kBAAkB,CAAC,CAAA;IACrD,CAAC;IAED,UAAU,CAAC,OAAkB;QAC3B,OAAO,GAAG,IAAA,wBAAgB,EAAC,OAAO,CAAC,CAAA;QAEnC,OAAO;YACL;gBACE,OAAO,EAAE,iBAAiB;gBAC1B,OAAO;aACC;SACX,CAAA;IACH,CAAC;IAED,CAAC,GAAG,CAAC,OAAmC,EAAE,cAAoB;QAC5D,MAAM,cAAc,GAAG,QAAQ,IAAI,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC,CAAC,CAAA;QAEvF,MAAM,iBAAiB,GAAG,IAAI,CAAC,uBAAuB,CAAC,oBAAoB,CAAC,cAAc,CAAC,MAAM,EAAE,OAAO,CAAC,CAAA;QAE3G,iBAAiB,CAAC,iBAAiB,CACjC,cAAc,CAAC,eAAe,KAAK,SAAS,CAAC,CAAC,CAAC,MAAM,CAAC,cAAc,CAAC,eAAe,CAAC,GAAG,OAAO,CAAC,CAAC,CAAC,SAAS,CAC5G,CAAA;QACD,iBAAiB,CAAC,0BAA0B,CAC1C,cAAc,CAAC,yBAAyB,KAAK,SAAS,CAAC,CAAC,CAAC,cAAc,CAAC,yBAAyB,GAAG,OAAO,CAAC,CAAC,CAAC,SAAS,CACxH,CAAA;QACD,iBAAiB,CAAC,sBAAsB,CACtC,cAAc,CAAC,iBAAiB,KAAK,SAAS,IAAI,IAAI,IAAI,CAAC,cAAc,CAAC,iBAAiB,CAAC,CAAC,OAAO,EAAE,GAAG,CAAC;YACxG,CAAC,CAAC,IAAI,IAAI,CAAC,cAAc,CAAC,iBAAiB,CAAC;YAC5C,CAAC,CAAC,SAAS,CACd,CAAA;QAED,IAAI,cAAc,CAAC,WAAW,KAAK,SAAS,EAAE;YAC5C,iBAAiB,CAAC,gBAAgB,CAAC,MAAM,CAAC,cAAc,CAAC,WAAW,CAAC,CAAC,CAAA;SACvE;aAAM,IAAI,cAAc,CAAC,cAAc,KAAK,SAAS,EAAE;YACtD,iBAAiB,CAAC,gBAAgB,CAAC,MAAM,CAAC,cAAc,CAAC,cAAc,CAAC,GAAG,KAAK,CAAC,CAAA;SAClF;QAED,IAAI,cAAc,CAAC,UAAU,KAAK,SAAS,EAAE;YAC3C,iBAAiB,CAAC,eAAe,CAAC,MAAM,CAAC,cAAc,CAAC,UAAU,CAAC,CAAC,CAAA;SACrE;aAAM,IAAI,cAAc,CAAC,aAAa,KAAK,SAAS,EAAE;YACrD,iBAAiB,CAAC,eAAe,CAAC,cAAc,CAAC,aAAa,GAAG,KAAK,CAAC,CAAA;SACxE;QAED,IAAI,cAAc,CAAC,aAAa,KAAK,SAAS,EAAE;YAC9C,iBAAiB,CAAC,kBAAkB,CAAC,cAAc,CAAC,aAAa,CAAC,CAAA;SACnE;aAAM,IAAI,cAAc,CAAC,gBAAgB,KAAK,SAAS,EAAE;YACxD,iBAAiB,CAAC,kBAAkB,CAAC,cAAc,CAAC,gBAAgB,GAAG,SAAS,CAAC,CAAA;SAClF;QAED,IAAI,cAAc,CAAC,UAAU,KAAK,SAAS,EAAE;YAC3C,iBAAiB,CAAC,eAAe,CAAC,MAAM,CAAC,cAAc,CAAC,UAAU,CAAC,CAAC,CAAA;SACrE;aAAM,IAAI,cAAc,CAAC,aAAa,KAAK,SAAS,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package/dist/mappers/huobi.js

@@ -200,7 +200,7 @@ function normalizeSymbols(symbols) {
         return symbols.map((s) => {
             // huobi-dm and huobi-dm-swap expect symbols to be upper cased
             if (s.includes('_') || s.includes('-')) {
-                return s;
+                return s.toUpperCase();
             }
             // huobi global expects lower cased symbols
             return s.toLowerCase();

package/dist/mappers/huobi.js.map

@@ -1 +1 @@
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package/dist/mappers/okex.d.ts

@@ -193,13 +193,15 @@ declare type OkexV5FundingRateMessage = {
         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';
+        }
+    ];
 };
 declare type OkexV5LiquidationMessage = {
     arg: {

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

@@ -1 +1 @@
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package/dist/mappers/okex.js

@@ -199,9 +199,12 @@ class OkexV5DerivativeTickerMapper {
             }
             if (message.arg.channel === 'funding-rate') {
                 const fundingRateMessage = dataMessage;
-                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));
                 }

package/dist/mappers/okex.js.map

@@ -1 +1 @@
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package/dist/realtimefeeds/deribit.d.ts

@@ -5,6 +5,7 @@ export declare class DeribitRealTimeDataFeed extends RealTimeFeedBase {
     protected channelsWithIntervals: FilterForExchange['deribit']['channel'][];
     protected mapToSubscribeMessages(filters: Filter<string>[]): any[];
     protected messageIsError(message: any): boolean;
+    private hasCredentials;
     protected onConnected(): void;
     protected messageIsHeartbeat(msg: any): boolean;
     protected onMessage(msg: any): void;

package/dist/realtimefeeds/deribit.d.ts.map

@@ -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;IA0BlE,SAAS,CAAC,cAAc,CAAC,OAAO,EAAE,GAAG,GAAG,OAAO;IAI/C,SAAS,CAAC,WAAW;IAcrB,SAAS,CAAC,kBAAkB,CAAC,GAAG,EAAE,GAAG;IAIrC,SAAS,CAAC,SAAS,CAAC,GAAG,EAAE,GAAG;CAW7B"}
+{"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"}

package/dist/realtimefeeds/deribit.js

@@ -9,13 +9,14 @@ class DeribitRealTimeDataFeed extends realtimefeed_1.RealTimeFeedBase {
         this.channelsWithIntervals = ['book', 'perpetual', 'trades', 'ticker'];
     }
     mapToSubscribeMessages(filters) {
+        const hasCredentials = this.hasCredentials();
         const channels = filters
             .map((filter) => {
             if (!filter.symbols || filter.symbols.length === 0) {
                 throw new Error('DeribitRealTimeDataFeed requires explicitly specified symbols when subscribing to live feed');
             }
             return filter.symbols.map((symbol) => {
-                const suffix = this.channelsWithIntervals.includes(filter.channel) ? '.raw' : '';
+                const suffix = this.channelsWithIntervals.includes(filter.channel) ? (hasCredentials ? '.raw' : '.100ms') : '';
                 return `${filter.channel}.${symbol}${suffix}`;
             });
         })
@@ -23,8 +24,8 @@ class DeribitRealTimeDataFeed extends realtimefeed_1.RealTimeFeedBase {
         return [
             {
                 jsonrpc: '2.0',
-                id: 1,
-                method: 'public/subscribe',
+                id: 3,
+                method: hasCredentials ? 'private/subscribe' : 'public/subscribe',
                 params: {
                     channels
                 }
@@ -34,6 +35,9 @@ class DeribitRealTimeDataFeed extends realtimefeed_1.RealTimeFeedBase {
     messageIsError(message) {
         return message.error !== undefined;
     }
+    hasCredentials() {
+        return process.env.DERIBIT_API_CLIENT_ID !== undefined && process.env.DERIBIT_API_CLIENT_SECRET !== undefined;
+    }
     onConnected() {
         // set heartbeat so deribit won't close connection prematurely
         // https://docs.deribit.com/v2/#public-set_heartbeat
@@ -45,6 +49,18 @@ class DeribitRealTimeDataFeed extends realtimefeed_1.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
+                }
+            });
+        }
     }
     messageIsHeartbeat(msg) {
         return msg.method === 'heartbeat';

package/dist/realtimefeeds/deribit.js.map

@@ -1 +1 @@
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+{"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"}

package/dist/realtimefeeds/realtimefeed.js

@@ -30,6 +30,7 @@ class RealTimeFeedBase {
                     }
                     return prev;
                 }, new Set()).size;
+                this.onConnected();
                 for (const message of subscribeMessages) {
                     this.send(message);
                     if (this.throttleSubscribeMS > 0) {
@@ -37,7 +38,6 @@ class RealTimeFeedBase {
                     }
                 }
                 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 (0, handy_1.wait)(100);

package/dist/realtimefeeds/realtimefeed.js.map

@@ -1 +1 @@
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package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "tardis-dev",
-  "version": "13.1.2",
+  "version": "13.1.6",
   "engines": {
     "node": ">=12"
   },

package/src/combine.ts

@@ -119,34 +119,40 @@ export async function* combine<
 async function* combineHistorical(
   iterators: AsyncIterableIterator<Combinable>[] | { stream: AsyncIterableIterator<Combinable>; offsetMS: OffsetMS }[]
 ) {
-  // wait for all results to resolve
-  const results = await Promise.all(iterators.map(nextWithIndex))
-  let aliveIteratorsCount = results.length
-  do {
-    // if we're dealing with historical data replay
-    // and need to return combined messages iterable sorted by local timestamp in ascending order
-
-    // find resolved one that is the 'oldest'
-    const oldestResult = results.reduce(findOldestResult, results[0])
-    const { result, index } = oldestResult
-
-    if (result.done) {
-      aliveIteratorsCount--
-
-      // we don't want finished iterators to every be considered 'oldest' again
-      // hence provide them with result that has local timestamp set to DATE_MAX
-      // and that is not done
-
-      results[index].result = {
-        done: false,
-        value: {
-          localTimestamp: DATE_MAX
+  try {
+    // wait for all results to resolve
+    const results = await Promise.all(iterators.map(nextWithIndex))
+    let aliveIteratorsCount = results.length
+    do {
+      // if we're dealing with historical data replay
+      // and need to return combined messages iterable sorted by local timestamp in ascending order
+
+      // find resolved one that is the 'oldest'
+      const oldestResult = results.reduce(findOldestResult, results[0])
+      const { result, index } = oldestResult
+
+      if (result.done) {
+        aliveIteratorsCount--
+
+        // we don't want finished iterators to every be considered 'oldest' again
+        // hence provide them with result that has local timestamp set to DATE_MAX
+        // and that is not done
+
+        results[index].result = {
+          done: false,
+          value: {
+            localTimestamp: DATE_MAX
+          }
         }
+      } else {
+        // yield oldest value and replace with next value from iterable for given index
+        yield result.value
+        results[index] = await nextWithIndex(iterators[index], index)
       }
-    } else {
-      // yield oldest value and replace with next value from iterable for given index
-      yield result.value
-      results[index] = await nextWithIndex(iterators[index], index)
+    } while (aliveIteratorsCount > 0)
+  } finally {
+    for (let iterator of iterators) {
+      ;(iterator as any).return()
     }
-  } while (aliveIteratorsCount > 0)
+  }
 }

package/src/computable/computable.ts

@@ -11,30 +11,34 @@ async function* _compute<T extends ComputableFactory<any>[], U extends Normalize
   messages: AsyncIterableIterator<U>,
   ...computables: T
 ): AsyncIterableIterator<T extends ComputableFactory<infer Z>[] ? (U extends Disconnect ? U | Z | Disconnect : U | Z) : never> {
-  const factory = new Computables(computables)
+  try {
+    const factory = new Computables(computables)
 
-  for await (const message of messages) {
-    // always pass through source message
-    yield message as any
+    for await (const message of messages) {
+      // always pass through source message
+      yield message as any
 
-    if (message.type === 'disconnect') {
-      // reset all computables for given exchange if we've received disconnect for it
-      factory.reset(message.exchange)
-      continue
-    }
+      if (message.type === 'disconnect') {
+        // reset all computables for given exchange if we've received disconnect for it
+        factory.reset(message.exchange)
+        continue
+      }
 
-    const normalizedMessage = message as NormalizedData
-    const id = normalizedMessage.name !== undefined ? `${normalizedMessage.symbol}:${normalizedMessage.name}` : normalizedMessage.symbol
+      const normalizedMessage = message as NormalizedData
+      const id = normalizedMessage.name !== undefined ? `${normalizedMessage.symbol}:${normalizedMessage.name}` : normalizedMessage.symbol
 
-    const computablesMap = factory.getOrCreate(normalizedMessage.exchange, id)
-    const computables = computablesMap[normalizedMessage.type]
-    if (!computables) continue
+      const computablesMap = factory.getOrCreate(normalizedMessage.exchange, id)
+      const computables = computablesMap[normalizedMessage.type]
+      if (!computables) continue
 
-    for (const computable of computables) {
-      for (const computedMessage of computable.compute(normalizedMessage)) {
-        yield computedMessage
+      for (const computable of computables) {
+        for (const computedMessage of computable.compute(normalizedMessage)) {
+          yield computedMessage
+        }
       }
     }
+  } finally {
+    messages.return!()
   }
 }
 

package/src/mappers/bybit.ts

@@ -144,7 +144,9 @@ export class BybitDerivativeTickerMapper implements Mapper<'bybit', DerivativeTi
       instrumentInfo.predicted_funding_rate_e6 !== undefined ? instrumentInfo.predicted_funding_rate_e6 / 1000000 : undefined
     )
     pendingTickerInfo.updateFundingTimestamp(
-      instrumentInfo.next_funding_time !== undefined ? new Date(instrumentInfo.next_funding_time) : undefined
+      instrumentInfo.next_funding_time !== undefined && new Date(instrumentInfo.next_funding_time).valueOf() > 0
+        ? new Date(instrumentInfo.next_funding_time)
+        : undefined
     )
 
     if (instrumentInfo.index_price !== undefined) {

package/src/mappers/huobi.ts

@@ -228,7 +228,7 @@ function normalizeSymbols(symbols?: string[]) {
     return symbols.map((s) => {
       // huobi-dm and huobi-dm-swap expect symbols to be upper cased
       if (s.includes('_') || s.includes('-')) {
-        return s
+        return s.toUpperCase()
       }
       // huobi global expects lower cased symbols
       return s.toLowerCase()

package/src/mappers/okex.ts

@@ -236,9 +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))
@@ -544,7 +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 = {

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) {
@@ -14,7 +15,8 @@ export class DeribitRealTimeDataFeed extends RealTimeFeedBase {
         }
 
         return filter.symbols.map((symbol) => {
-          const suffix = this.channelsWithIntervals.includes(filter.channel as any) ? '.raw' : ''
+          const suffix = this.channelsWithIntervals.includes(filter.channel as any) ? (hasCredentials ? '.raw' : '.100ms') : ''
+
           return `${filter.channel}.${symbol}${suffix}`
         })
       })
@@ -23,8 +25,8 @@ export class DeribitRealTimeDataFeed extends RealTimeFeedBase {
     return [
       {
         jsonrpc: '2.0',
-        id: 1,
-        method: 'public/subscribe',
+        id: 3,
+        method: hasCredentials ? 'private/subscribe' : 'public/subscribe',
         params: {
           channels
         }
@@ -36,6 +38,10 @@ 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 +54,19 @@ 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)