tardis-dev 13.10.4 → 13.12.0

package/dist/types.d.ts

@@ -1,7 +1,7 @@
 import { EXCHANGES, EXCHANGE_CHANNELS_INFO } from './consts';
-export type Exchange = typeof EXCHANGES[number];
+export type Exchange = (typeof EXCHANGES)[number];
 export type FilterForExchange = {
-    [key in Exchange]: Filter<typeof EXCHANGE_CHANNELS_INFO[key][number]>;
+    [key in Exchange]: Filter<(typeof EXCHANGE_CHANNELS_INFO)[key][number]>;
 };
 export type Filter<T> = {
     channel: T;

package/dist/types.d.ts.map

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

@@ -1,6 +1,6 @@
 {
   "name": "tardis-dev",
-  "version": "13.10.4",
+  "version": "13.12.0",
   "engines": {
     "node": ">=12"
   },

package/src/consts.ts

@@ -45,7 +45,9 @@ export const EXCHANGES = [
   'star-atlas',
   'crypto-com',
   'crypto-com-derivatives',
-  'kucoin'
+  'kucoin',
+  'bitnomial',
+  'woo-x'
 ] as const
 
 const BINANCE_CHANNELS = ['trade', 'aggTrade', 'ticker', 'depth', 'depthSnapshot', 'bookTicker', 'recentTrades', 'borrowInterest'] as const
@@ -383,6 +385,20 @@ const CRYPTO_COM_DERIVATIVES = ['trade', 'book', 'ticker', 'settlement', 'index'
 
 const KUCOIN_CHANNELS = ['market/ticker', 'market/snapshot', 'market/level2', 'market/match', 'market/level2Snapshot']
 
+const BITNOMIAL_CHANNELS = ['trade', 'level', 'book', 'block', 'status']
+
+const WOOX_CHANNELS = [
+  'trade',
+  'orderbook',
+  'orderbookupdate',
+  'ticker',
+  'bbo',
+  'indexprice',
+  'markprice',
+  'openinterest',
+  'estfundingrate'
+]
+
 export const EXCHANGE_CHANNELS_INFO = {
   bitmex: BITMEX_CHANNELS,
   coinbase: COINBASE_CHANNELS,
@@ -430,5 +446,7 @@ export const EXCHANGE_CHANNELS_INFO = {
   mango: MANGO_CHANNELS,
   'crypto-com': CRYPTO_COM_CHANNELS,
   'crypto-com-derivatives': CRYPTO_COM_DERIVATIVES,
-  kucoin: KUCOIN_CHANNELS
+  kucoin: KUCOIN_CHANNELS,
+  bitnomial: BITNOMIAL_CHANNELS,
+  'woo-x': WOOX_CHANNELS
 }

package/src/handy.ts

@@ -179,7 +179,7 @@ export function* batch(symbols: string[], batchSize: number) {
 export function parseμs(dateString: string): number {
   // check if we have ISO 8601 format date string, e.g: 2019-06-01T00:03:03.1238784Z or 2020-07-22T00:09:16.836773Z
   // or 2020-03-01T00:00:24.893456+00:00
-  if (dateString.length === 27 || dateString.length === 28 || dateString.length === 32) {
+  if (dateString.length === 27 || dateString.length === 28 || dateString.length === 32 || dateString.length === 30) {
     return Number(dateString.slice(23, 26))
   }
 

package/src/mappers/binance.ts

@@ -259,7 +259,7 @@ export class BinanceFuturesBookChangeMapper
 
       bids: binanceDepthUpdateData.b.map(this.mapBookLevel),
       asks: binanceDepthUpdateData.a.map(this.mapBookLevel),
-      timestamp: new Date(binanceDepthUpdateData.T),
+      timestamp: new Date(binanceDepthUpdateData.E),
       localTimestamp: localTimestamp
     }
   }
@@ -395,7 +395,7 @@ export class BinanceLiquidationsMapper implements Mapper<'binance-futures' | 'bi
       symbol: binanceLiquidation.s,
       exchange: this._exchange,
       id: undefined,
-      price: Number(binanceLiquidation.ap), // use Average Price that matches trade
+      price: Number(binanceLiquidation.p),
       amount: Number(binanceLiquidation.z), // use  Order Filled Accumulated Quantity
       side: binanceLiquidation.S === 'SELL' ? 'sell' : 'buy',
       timestamp: new Date(binanceLiquidation.T),

package/src/mappers/bitnomial.ts

@@ -0,0 +1,126 @@
+import { parseμs, upperCaseSymbols } from '../handy'
+import { BookChange, Trade } from '../types'
+import { Mapper } from './mapper'
+
+export const bitnomialTradesMapper: Mapper<'bitnomial', Trade> = {
+  canHandle(message: BitnomialTrade) {
+    return message.type === 'trade'
+  },
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
+    return [
+      {
+        channel: 'trade',
+        symbols
+      }
+    ]
+  },
+
+  *map(message: BitnomialTrade, localTimestamp: Date): IterableIterator<Trade> {
+    const timestamp = new Date(message.timestamp)
+    timestamp.μs = parseμs(message.timestamp)
+
+    yield {
+      type: 'trade',
+      symbol: message.symbol,
+      exchange: 'bitnomial',
+      id: String(message.ack_id),
+      price: Number(message.price),
+      amount: Number(message.quantity),
+      side: message.taker_side === 'Bid' ? 'buy' : 'sell',
+      timestamp,
+      localTimestamp: localTimestamp
+    }
+  }
+}
+
+const mapBookLevel = (level: BookLevel) => {
+  return { price: level[0], amount: level[1] }
+}
+
+export class BitnomialBookChangMapper implements Mapper<'bitnomial', BookChange> {
+  canHandle(message: BitnomialBookMessage) {
+    return message.type === 'book' || message.type === 'level'
+  }
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
+    return [
+      {
+        channel: 'book',
+        symbols
+      } as const,
+      {
+        channel: 'level',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: BitnomialBookMessage, localTimestamp: Date): IterableIterator<BookChange> {
+    const timestamp = new Date(message.timestamp)
+    timestamp.μs = parseμs(message.timestamp)
+
+    if (message.type === 'book') {
+      yield {
+        type: 'book_change',
+        symbol: message.symbol,
+        exchange: 'bitnomial',
+        isSnapshot: true,
+        bids: message.bids.map(mapBookLevel),
+        asks: message.asks.map(mapBookLevel),
+        timestamp,
+        localTimestamp
+      }
+    } else {
+      const update = {
+        price: message.price,
+        amount: message.quantity
+      }
+      yield {
+        type: 'book_change',
+        symbol: message.symbol,
+        exchange: 'bitnomial',
+        isSnapshot: false,
+        bids: message.side === 'Bid' ? [update] : [],
+        asks: message.side === 'Ask' ? [update] : [],
+        timestamp,
+        localTimestamp: localTimestamp
+      }
+    }
+  }
+}
+
+type BitnomialTrade = {
+  type: 'trade'
+  ack_id: '7148460953766461527'
+  price: 19000
+  quantity: 10
+  symbol: 'BUSZ2'
+  taker_side: 'Bid'
+  timestamp: '2022-09-28T16:06:39.022836179Z'
+}
+
+type BookLevel = [number, number]
+
+type BitnomialBookMessage =
+  | {
+      ack_id: '7187577067767395971'
+      price: 18970
+      quantity: 5
+      side: 'Ask' | 'Bid'
+      symbol: 'BUIH23'
+      timestamp: '2023-01-12T20:03:28.292532617Z'
+      type: 'level'
+    }
+  | {
+      ack_id: '7187577067767395784'
+      asks: BookLevel[]
+      bids: BookLevel[]
+      symbol: 'BUSH23'
+      timestamp: '2023-01-12T20:03:06.479197763Z'
+      type: 'book'
+    }

package/src/mappers/index.ts

@@ -26,6 +26,7 @@ import {
   bitmexBookTickerMapper,
   bitmexTradesMapper
 } from './bitmex'
+import { BitnomialBookChangMapper, bitnomialTradesMapper } from './bitnomial'
 import { BitstampBookChangeMapper, bitstampTradesMapper } from './bitstamp'
 import { BybitBookChangeMapper, BybitDerivativeTickerMapper, BybitLiquidationsMapper, BybitTradesMapper } from './bybit'
 import { BybitSpotBookChangeMapper, BybitSpotBookTickerMapper, BybitSpotTradesMapper } from './bybitspot'
@@ -89,6 +90,7 @@ import { phemexBookChangeMapper, PhemexDerivativeTickerMapper, phemexTradesMappe
 import { PoloniexBookChangeMapper, PoloniexTradesMapper, PoloniexV2BookChangeMapper, PoloniexV2TradesMapper } from './poloniex'
 import { SerumBookChangeMapper, SerumBookTickerMapper, SerumTradesMapper } from './serum'
 import { UpbitBookChangeMapper, UpbitTradesMapper } from './upbit'
+import { WooxBookChangeMapper, WooxBookTickerMapper, WooxDerivativeTickerMapper, wooxTradesMapper } from './woox'
 
 export * from './mapper'
 
@@ -181,7 +183,9 @@ const tradesMappers = {
   'bybit-spot': () => new BybitSpotTradesMapper('bybit-spot'),
   'crypto-com': () => new CryptoComTradesMapper('crypto-com'),
   'crypto-com-derivatives': () => new CryptoComTradesMapper('crypto-com-derivatives'),
-  kucoin: () => new KucoinTradesMapper('kucoin')
+  kucoin: () => new KucoinTradesMapper('kucoin'),
+  bitnomial: () => bitnomialTradesMapper,
+  'woo-x': () => wooxTradesMapper
 }
 
 const bookChangeMappers = {
@@ -254,7 +258,9 @@ const bookChangeMappers = {
   mango: () => new SerumBookChangeMapper('mango'),
   'crypto-com': () => new CryptoComBookChangeMapper('crypto-com'),
   'crypto-com-derivatives': () => new CryptoComBookChangeMapper('crypto-com-derivatives'),
-  kucoin: (localTimestamp: Date) => new KucoinBookChangeMapper('kucoin', isRealTime(localTimestamp) === false)
+  kucoin: (localTimestamp: Date) => new KucoinBookChangeMapper('kucoin', isRealTime(localTimestamp) === false),
+  bitnomial: () => new BitnomialBookChangMapper(),
+  'woo-x': () => new WooxBookChangeMapper()
 }
 
 const derivativeTickersMappers = {
@@ -284,7 +290,8 @@ const derivativeTickersMappers = {
   ascendex: () => new AscendexDerivativeTickerMapper(),
   dydx: () => new DydxDerivativeTickerMapper(),
   'crypto-com-derivatives': () => new CryptoComDerivativeTickerMapper('crypto-com-derivatives'),
-  'crypto-com': () => new CryptoComDerivativeTickerMapper('crypto-com')
+  'crypto-com': () => new CryptoComDerivativeTickerMapper('crypto-com'),
+  'woo-x': () => new WooxDerivativeTickerMapper()
 }
 
 const optionsSummaryMappers = {
@@ -364,7 +371,8 @@ const bookTickersMappers = {
   'bybit-spot': () => new BybitSpotBookTickerMapper('bybit-spot'),
   'crypto-com': () => new CryptoComBookTickerMapper('crypto-com'),
   'crypto-com-derivatives': () => new CryptoComBookTickerMapper('crypto-com-derivatives'),
-  kucoin: () => new KucoinBookTickerMapper('kucoin')
+  kucoin: () => new KucoinBookTickerMapper('kucoin'),
+  'woo-x': () => new WooxBookTickerMapper()
 }
 
 export const normalizeTrades = <T extends keyof typeof tradesMappers>(exchange: T, localTimestamp: Date): Mapper<T, Trade> => {

package/src/mappers/woox.ts

@@ -0,0 +1,322 @@
+import { upperCaseSymbols } from '../handy'
+import { BookChange, BookTicker, DerivativeTicker, Exchange, FilterForExchange, Liquidation, Trade } from '../types'
+import { Mapper, PendingTickerInfoHelper } from './mapper'
+
+export const wooxTradesMapper: Mapper<'woo-x', Trade> = {
+  canHandle(message: WooxTradeMessage) {
+    return message.topic !== undefined && message.topic.endsWith('@trade')
+  },
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
+    return [
+      {
+        channel: 'trade',
+        symbols
+      }
+    ]
+  },
+
+  *map(message: WooxTradeMessage, localTimestamp: Date): IterableIterator<Trade> {
+    const timestamp = new Date(message.ts)
+
+    yield {
+      type: 'trade',
+      symbol: message.data.symbol,
+      exchange: 'woo-x',
+      id: undefined,
+      price: message.data.price,
+      amount: message.data.size,
+      side: message.data.side === 'SELL' ? 'sell' : 'buy',
+      timestamp,
+      localTimestamp: localTimestamp
+    }
+  }
+}
+
+export class WooxBookChangeMapper implements Mapper<'woo-x', BookChange> {
+  private readonly _symbolToDepthInfoMapping: { [key: string]: LocalDepthInfo } = {}
+
+  canHandle(message: WooxOrderbookMessage | WooxOrderbookupdateMessage) {
+    if ('id' in message) {
+      return message.id.endsWith('@orderbook')
+    }
+
+    if ('topic' in message) {
+      return message.topic.endsWith('@orderbookupdate')
+    }
+
+    return false
+  }
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
+    return [
+      {
+        channel: 'orderbook',
+        symbols
+      },
+      {
+        channel: 'orderbookupdate',
+        symbols
+      }
+    ]
+  }
+
+  *map(message: WooxOrderbookMessage | WooxOrderbookupdateMessage, localTimestamp: Date): IterableIterator<BookChange> {
+    const symbol = message.data.symbol
+
+    if (this._symbolToDepthInfoMapping[symbol] === undefined) {
+      this._symbolToDepthInfoMapping[symbol] = {
+        bufferedUpdates: []
+      }
+    }
+
+    const symbolDepthInfo = this._symbolToDepthInfoMapping[symbol]
+    const snapshotAlreadyProcessed = symbolDepthInfo.snapshotProcessed
+
+    // first check if received message is snapshot and process it as such if it is
+    if ('id' in message && message.success) {
+      yield {
+        type: 'book_change',
+        symbol,
+        exchange: 'woo-x',
+        isSnapshot: true,
+        bids: message.data.bids.map(this._mapBookLevel),
+        asks: message.data.asks.map(this._mapBookLevel),
+        timestamp: new Date(message.data.ts),
+        localTimestamp
+      }
+
+      //  mark given symbol depth info that has snapshot processed
+      symbolDepthInfo.lastUpdateTimestamp = message.data.ts
+      symbolDepthInfo.snapshotProcessed = true
+
+      // if there were any depth updates buffered, let's proccess those
+      for (const update of symbolDepthInfo.bufferedUpdates) {
+        const bookChange = this._mapBookDepthUpdate(update, localTimestamp, symbolDepthInfo, symbol)
+        if (bookChange !== undefined) {
+          yield bookChange
+        }
+      }
+      // remove all buffered updates
+      symbolDepthInfo.bufferedUpdates = []
+    } else if (snapshotAlreadyProcessed) {
+      // snapshot was already processed let's map the message as normal book_change
+      const bookChange = this._mapBookDepthUpdate(message as WooxOrderbookupdateMessage, localTimestamp, symbolDepthInfo, symbol)
+      if (bookChange !== undefined) {
+        yield bookChange
+      }
+    } else {
+      // if snapshot hasn't been yet processed and we've got depthUpdate message, let's buffer it for later processing
+      symbolDepthInfo.bufferedUpdates.push(message as WooxOrderbookupdateMessage)
+    }
+  }
+
+  private _mapBookDepthUpdate(
+    wooxBookUpdate: WooxOrderbookupdateMessage,
+    localTimestamp: Date,
+    depthInfo: LocalDepthInfo,
+    symbol: string
+  ): BookChange | undefined {
+    if (wooxBookUpdate.data.prevTs < depthInfo.lastUpdateTimestamp!) {
+      return
+    }
+
+    return {
+      type: 'book_change',
+      symbol,
+      exchange: 'woo-x',
+      isSnapshot: false,
+      bids: wooxBookUpdate.data.bids.map(this._mapBookLevel),
+      asks: wooxBookUpdate.data.asks.map(this._mapBookLevel),
+      timestamp: new Date(wooxBookUpdate.ts),
+      localTimestamp
+    }
+  }
+
+  private _mapBookLevel(level: [number, number]) {
+    const price = level[0]
+    const amount = level[1]
+
+    return { price, amount }
+  }
+}
+
+export class WooxDerivativeTickerMapper implements Mapper<'woo-x', DerivativeTicker> {
+  private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
+  private readonly _indexPrices = new Map<string, number>()
+
+  canHandle(message: WooxTradeMessage | WooxEstFundingRate | WooxMarkPrice | WooxIndexPrice | WooxOpenInterest) {
+    if (message.topic === undefined) {
+      return false
+    }
+    const symbol = (message.data && message.data.symbol) || ''
+    const isPerp = symbol.startsWith('PERP_')
+
+    return (
+      (message.topic.endsWith('@trade') && isPerp) ||
+      (message.topic.endsWith('@markprice') && isPerp) ||
+      (message.topic.endsWith('@estfundingrate') && isPerp) ||
+      message.topic.endsWith('@indexprice') ||
+      (message.topic.endsWith('@openinterest') && isPerp)
+    )
+  }
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+    const spotSymbols = symbols !== undefined ? symbols.map((s) => s.replace('PERP_', 'SPOT_')) : []
+    return [
+      {
+        channel: 'trade',
+        symbols
+      },
+      {
+        channel: 'markprice',
+        symbols
+      },
+      {
+        channel: 'estfundingrate',
+        symbols
+      },
+      {
+        channel: 'openinterest',
+        symbols
+      },
+      {
+        channel: 'indexprice',
+        symbols: spotSymbols
+      }
+    ]
+  }
+
+  *map(message: any, localTimestamp: Date): IterableIterator<DerivativeTicker> {
+    if (message.topic.endsWith('@indexprice')) {
+      this._indexPrices.set(message.data.symbol.replace('SPOT_', 'PERP_'), message.data.price)
+    } else {
+      const symbol = message.data.symbol
+      const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(symbol, 'woo-x')
+
+      const lastIndexPrice = this._indexPrices.get(symbol)
+      if (lastIndexPrice !== undefined) {
+        pendingTickerInfo.updateIndexPrice(lastIndexPrice)
+      }
+
+      if (message.topic.endsWith('@markprice')) {
+        pendingTickerInfo.updateMarkPrice(message.data.price)
+        pendingTickerInfo.updateTimestamp(new Date(message.ts))
+      }
+
+      if (message.topic.endsWith('@trade')) {
+        pendingTickerInfo.updateLastPrice(message.data.price)
+        pendingTickerInfo.updateTimestamp(new Date(message.ts))
+      }
+
+      if (message.topic.endsWith('@estfundingrate')) {
+        pendingTickerInfo.updateFundingRate(message.data.fundingRate)
+        pendingTickerInfo.updateFundingTimestamp(new Date(message.data.fundingTs))
+        pendingTickerInfo.updateTimestamp(new Date(message.ts))
+      }
+
+      if (message.topic.endsWith('@openinterest')) {
+        pendingTickerInfo.updateOpenInterest(message.data.openInterest)
+        pendingTickerInfo.updateTimestamp(new Date(message.ts))
+      }
+
+      if (pendingTickerInfo.hasChanged()) {
+        yield pendingTickerInfo.getSnapshot(localTimestamp)
+      }
+    }
+  }
+}
+
+export class WooxBookTickerMapper implements Mapper<'woo-x', BookTicker> {
+  canHandle(message: WooxTradeMessage) {
+    return message.topic !== undefined && message.topic.endsWith('@bbo')
+  }
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
+    return [
+      {
+        channel: 'bbo',
+        symbols
+      }
+    ]
+  }
+
+  *map(wooxBBOMessage: WooxBBOMessage, localTimestamp: Date) {
+    const wooxBookTicker = wooxBBOMessage.data
+
+    const ticker: BookTicker = {
+      type: 'book_ticker',
+      symbol: wooxBookTicker.symbol,
+      exchange: 'woo-x',
+      askAmount: wooxBookTicker.askSize !== undefined ? wooxBookTicker.askSize : undefined,
+      askPrice: wooxBookTicker.ask !== undefined ? wooxBookTicker.ask : undefined,
+
+      bidPrice: wooxBookTicker.bid !== undefined ? wooxBookTicker.bid : undefined,
+      bidAmount: wooxBookTicker.bidSize !== undefined ? wooxBookTicker.bidSize : undefined,
+      timestamp: new Date(wooxBBOMessage.ts),
+      localTimestamp: localTimestamp
+    }
+
+    yield ticker
+  }
+}
+
+type LocalDepthInfo = {
+  bufferedUpdates: WooxOrderbookupdateMessage[]
+  snapshotProcessed?: boolean
+  lastUpdateTimestamp?: number
+}
+
+type WooxTradeMessage = {
+  topic: 'PERP_GALA_USDT@trade'
+  ts: 1674431999995
+  data: { symbol: 'PERP_GALA_USDT'; price: 0.048756; size: 4109; side: 'SELL'; source: 0 }
+}
+
+type WooxOrderbookupdateMessage = {
+  topic: 'PERP_BTC_USDT@orderbookupdate'
+  ts: 1674432000020
+  data: {
+    symbol: 'PERP_BTC_USDT'
+    prevTs: 1674432000030
+    asks: [[22712.7, 15.4675]]
+    bids: [[22708.0, 4.503]]
+  }
+}
+
+type WooxOrderbookMessage = {
+  id: 'PERP_BTC_USDT@orderbook'
+  event: 'request'
+  success: true
+  ts: 1674432000034
+  data: {
+    symbol: 'PERP_BTC_USDT'
+    ts: 1674432000020
+    asks: [[22712.7, 15.4675], [26772.1, 0.248]]
+    bids: [[22708.0, 4.503], [18555.0, 0.002]]
+  }
+}
+
+type WooxBBOMessage = {
+  topic: 'SPOT_ETH_USDT@bbo'
+  ts: 1674431999996
+  data: { symbol: 'SPOT_ETH_USDT'; ask: 1627.61; askSize: 38.3755; bid: 1627.26; bidSize: 20.424926 }
+}
+
+type WooxMarkPrice = { topic: 'PERP_BTC_USDT@markprice'; ts: 1674432000007; data: { symbol: 'PERP_BTC_USDT'; price: 22711.11 } }
+
+type WooxEstFundingRate = {
+  topic: 'PERP_BTC_USDT@estfundingrate'
+  ts: 1674432059002
+  data: { symbol: 'PERP_BTC_USDT'; fundingRate: 0.00000782; fundingTs: 1674435600005 }
+}
+
+type WooxIndexPrice = { topic: 'SPOT_BTC_USDT@indexprice'; ts: 1674432000024; data: { symbol: 'SPOT_BTC_USDT'; price: 22708.44 } }
+type WooxOpenInterest = { topic: 'PERP_BTC_USDT@openinterest'; ts: 1674432013624; data: { symbol: 'PERP_BTC_USDT'; openInterest: 83.2241 } }

package/src/realtimefeeds/bitnomial.ts

@@ -0,0 +1,57 @@
+import { Filter } from '../types'
+import { RealTimeFeedBase } from './realtimefeed'
+
+export class BitnomialRealTimeFeed extends RealTimeFeedBase {
+  protected wssURL = 'wss://bitnomial.com/exchange/ws'
+
+  protected channelMappings = {
+    book: ['book', 'level']
+  }
+
+  protected mapToSubscribeMessages(filters: Filter<string>[]): any[] {
+    const channelsToSubscribe = filters
+      .map((filter) => {
+        if (!filter.symbols || filter.symbols.length === 0) {
+          throw new Error('BitnomialRealTimeFeed requires explicitly specified symbols when subscribing to live feed')
+        }
+        const subscribeToBookChannel = this.channelMappings.book.includes(filter.channel)
+        let channel
+        if (subscribeToBookChannel) {
+          channel = 'book'
+        } else {
+          channel = filter.channel
+        }
+
+        return {
+          name: channel,
+          product_codes: filter.symbols
+        }
+      })
+      .reduce((prev, current) => {
+        const matchingExisting = prev.find((c) => c.name === current.name)
+        if (matchingExisting !== undefined) {
+          for (const symbol of current.product_codes) {
+            if (matchingExisting.product_codes.includes(symbol) === false) {
+              matchingExisting.product_codes.push(symbol)
+            }
+          }
+        } else {
+          prev.push(current)
+        }
+
+        return prev
+      }, [] as { name: string; product_codes: string[] }[])
+
+    return [
+      {
+        type: 'subscribe',
+        product_codes: [],
+        channels: channelsToSubscribe
+      }
+    ]
+  }
+
+  protected messageIsError(message: any): boolean {
+    return message.type === 'error' || message.type === 'disconnect'
+  }
+}