tardis-dev 13.20.5 → 13.21.1

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (20) hide show
  1. package/dist/consts.d.ts +1 -1
  2. package/dist/consts.js +1 -1
  3. package/dist/consts.js.map +1 -1
  4. package/dist/mappers/gateio.d.ts +116 -1
  5. package/dist/mappers/gateio.d.ts.map +1 -1
  6. package/dist/mappers/gateio.js +219 -2
  7. package/dist/mappers/gateio.js.map +1 -1
  8. package/dist/mappers/index.d.ts +1 -1
  9. package/dist/mappers/index.d.ts.map +1 -1
  10. package/dist/mappers/index.js +10 -3
  11. package/dist/mappers/index.js.map +1 -1
  12. package/dist/realtimefeeds/gateio.d.ts +3 -1
  13. package/dist/realtimefeeds/gateio.d.ts.map +1 -1
  14. package/dist/realtimefeeds/gateio.js +47 -16
  15. package/dist/realtimefeeds/gateio.js.map +1 -1
  16. package/package.json +1 -1
  17. package/src/consts.ts +1 -1
  18. package/src/mappers/gateio.ts +321 -3
  19. package/src/mappers/index.ts +21 -4
  20. package/src/realtimefeeds/gateio.ts +54 -16
package/dist/consts.d.ts CHANGED
@@ -34,7 +34,7 @@ export declare const EXCHANGE_CHANNELS_INFO: {
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  coinflex: readonly ["futures/depth", "trade", "ticker"];
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  phemex: readonly ["book", "orderbook_p", "trades", "trades_p", "market24h", "spot_market24h", "perp_market24h_pack_p"];
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  delta: readonly ["l2_orderbook", "recent_trade", "recent_trade_snapshot", "mark_price", "spot_price", "funding_rate", "product_updates", "announcements", "all_trades", "v2/ticker", "l1_orderbook", "l2_updates", "spot_30mtwap_price"];
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- 'gate-io': readonly ["trades", "depth", "ticker"];
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+ 'gate-io': readonly ["trades", "depth", "ticker", "book_ticker", "order_book_update"];
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  'gate-io-futures': readonly ["trades", "order_book", "tickers", "book_ticker"];
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  poloniex: readonly ["price_aggregated_book", "trades", "ticker", "book_lv2"];
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  'binance-options': readonly ["TRADE", "TICKER", "DEPTH100", "INDEX"];
package/dist/consts.js CHANGED
@@ -359,7 +359,7 @@ const DELTA_CHANNELS = [
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  'l2_updates',
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  'spot_30mtwap_price'
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  ];
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- const GATE_IO_CHANNELS = ['trades', 'depth', 'ticker'];
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+ const GATE_IO_CHANNELS = ['trades', 'depth', 'ticker', 'book_ticker', 'order_book_update'];
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  const GATE_IO_FUTURES_CHANNELS = ['trades', 'order_book', 'tickers', 'book_ticker'];
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  const POLONIEX_CHANNELS = ['price_aggregated_book', 'trades', 'ticker', 'book_lv2'];
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  const UPBIT_CHANNELS = ['trade', 'orderbook', 'ticker'];
package/dist/consts.js.map CHANGED
@@ -1 +1 @@
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package/dist/mappers/gateio.d.ts CHANGED
@@ -1,5 +1,45 @@
1
- import { BookChange, Exchange, Trade } from '../types';
1
+ import { CircularBuffer } from '../handy';
2
+ import { BookChange, BookTicker, Exchange, Trade } from '../types';
2
3
  import { Mapper } from './mapper';
4
+ export declare class GateIOV4BookChangeMapper implements Mapper<'gate-io', BookChange> {
5
+ protected readonly exchange: Exchange;
6
+ protected readonly ignoreBookSnapshotOverlapError: boolean;
7
+ protected readonly symbolToDepthInfoMapping: {
8
+ [key: string]: LocalDepthInfo;
9
+ };
10
+ constructor(exchange: Exchange, ignoreBookSnapshotOverlapError: boolean);
11
+ canHandle(message: GateV4OrderBookUpdate | Gatev4OrderBookSnapshot): boolean;
12
+ getFilters(symbols?: string[]): {
13
+ readonly channel: "order_book_update";
14
+ readonly symbols: string[] | undefined;
15
+ }[];
16
+ map(message: GateV4OrderBookUpdate | Gatev4OrderBookSnapshot, localTimestamp: Date): Generator<BookChange, void, unknown>;
17
+ protected mapBookDepthUpdate(depthUpdateData: DepthData, localTimestamp: Date): BookChange | undefined;
18
+ protected mapBookLevel(level: [string, string]): {
19
+ price: number;
20
+ amount: number;
21
+ };
22
+ }
23
+ export declare class GateIOV4BookTickerMapper implements Mapper<'gate-io', BookTicker> {
24
+ private readonly _exchange;
25
+ constructor(_exchange: Exchange);
26
+ canHandle(message: GateV4BookTicker): boolean;
27
+ getFilters(symbols?: string[]): {
28
+ readonly channel: "book_ticker";
29
+ readonly symbols: string[] | undefined;
30
+ }[];
31
+ map(bookTickerResponse: GateV4BookTicker, localTimestamp: Date): Generator<BookTicker, void, unknown>;
32
+ }
33
+ export declare class GateIOV4TradesMapper implements Mapper<'gate-io', Trade> {
34
+ private readonly _exchange;
35
+ constructor(_exchange: Exchange);
36
+ canHandle(message: GateV4Trade): boolean;
37
+ getFilters(symbols?: string[]): {
38
+ readonly channel: "trades";
39
+ readonly symbols: string[] | undefined;
40
+ }[];
41
+ map(tradesMessage: GateV4Trade, localTimestamp: Date): IterableIterator<Trade>;
42
+ }
3
43
  export declare class GateIOTradesMapper implements Mapper<'gate-io', Trade> {
4
44
  private readonly _exchange;
5
45
  private readonly _seenSymbols;
@@ -44,5 +84,80 @@ type GateIODepth = {
44
84
  string
45
85
  ];
46
86
  };
87
+ type GateV4Trade = {
88
+ time: 1682689046;
89
+ time_ms: 1682689046133;
90
+ channel: 'spot.trades';
91
+ event: 'update';
92
+ result: {
93
+ id: 5541729596;
94
+ create_time: 1682689046;
95
+ create_time_ms: '1682689046123.0';
96
+ side: 'sell';
97
+ currency_pair: 'SUSD_USDT';
98
+ amount: '8.5234';
99
+ price: '0.9782';
100
+ };
101
+ };
102
+ type GateV4BookTicker = {
103
+ time: 1682689046;
104
+ time_ms: 1682689046142;
105
+ channel: 'spot.book_ticker';
106
+ event: 'update';
107
+ result: {
108
+ t: 1682689046131;
109
+ u: 517377894;
110
+ s: 'ETC_ETH';
111
+ b: '0.010326';
112
+ B: '0.001';
113
+ a: '0.010366';
114
+ A: '10';
115
+ };
116
+ };
117
+ type Gatev4OrderBookSnapshot = {
118
+ channel: 'spot.order_book_update';
119
+ event: 'snapshot';
120
+ generated: true;
121
+ symbol: '1ART_USDT';
122
+ result: {
123
+ id: 154857784;
124
+ current: 1682689045318;
125
+ update: 1682689045056;
126
+ asks: [string, string][];
127
+ bids: [string, string][];
128
+ };
129
+ };
130
+ type GateV4OrderBookUpdate = {
131
+ time: 1682689045;
132
+ time_ms: 1682689045532;
133
+ channel: 'spot.order_book_update';
134
+ event: 'update';
135
+ result: {
136
+ lastUpdateId: undefined;
137
+ t: 1682689045424;
138
+ e: 'depthUpdate';
139
+ E: 1682689045;
140
+ s: '1ART_USDT';
141
+ U: 154857785;
142
+ u: 154857785;
143
+ b: [string, string][];
144
+ a: [string, string][];
145
+ };
146
+ };
147
+ type LocalDepthInfo = {
148
+ bufferedUpdates: CircularBuffer<DepthData>;
149
+ snapshotProcessed?: boolean;
150
+ lastUpdateId?: number;
151
+ validatedFirstUpdate?: boolean;
152
+ };
153
+ type DepthData = {
154
+ lastUpdateId: undefined;
155
+ t: number;
156
+ s: string;
157
+ U: number;
158
+ u: number;
159
+ b: [string, string][];
160
+ a: [string, string][];
161
+ };
47
162
  export {};
48
163
  //# sourceMappingURL=gateio.d.ts.map
package/dist/mappers/gateio.d.ts.map CHANGED
@@ -1 +1 @@
1
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package/dist/mappers/gateio.js CHANGED
@@ -1,8 +1,225 @@
1
1
  "use strict";
2
2
  Object.defineProperty(exports, "__esModule", { value: true });
3
- exports.GateIOBookChangeMapper = exports.GateIOTradesMapper = void 0;
3
+ exports.GateIOBookChangeMapper = exports.GateIOTradesMapper = exports.GateIOV4TradesMapper = exports.GateIOV4BookTickerMapper = exports.GateIOV4BookChangeMapper = void 0;
4
+ const debug_1 = require("../debug");
4
5
  const handy_1 = require("../handy");
5
- // https://www.gate.io/docs/websocket/index.html
6
+ //v4
7
+ class GateIOV4BookChangeMapper {
8
+ constructor(exchange, ignoreBookSnapshotOverlapError) {
9
+ this.exchange = exchange;
10
+ this.ignoreBookSnapshotOverlapError = ignoreBookSnapshotOverlapError;
11
+ this.symbolToDepthInfoMapping = {};
12
+ }
13
+ canHandle(message) {
14
+ if (message.channel === undefined) {
15
+ return false;
16
+ }
17
+ if (message.event !== 'update' && message.event !== 'snapshot') {
18
+ return false;
19
+ }
20
+ return message.channel.endsWith('order_book_update');
21
+ }
22
+ getFilters(symbols) {
23
+ symbols = (0, handy_1.upperCaseSymbols)(symbols);
24
+ return [
25
+ {
26
+ channel: 'order_book_update',
27
+ symbols
28
+ }
29
+ ];
30
+ }
31
+ *map(message, localTimestamp) {
32
+ const symbol = message.event === 'snapshot' ? message.symbol : message.result.s;
33
+ if (this.symbolToDepthInfoMapping[symbol] === undefined) {
34
+ this.symbolToDepthInfoMapping[symbol] = {
35
+ bufferedUpdates: new handy_1.CircularBuffer(2000)
36
+ };
37
+ }
38
+ const symbolDepthInfo = this.symbolToDepthInfoMapping[symbol];
39
+ const snapshotAlreadyProcessed = symbolDepthInfo.snapshotProcessed;
40
+ // first check if received message is snapshot and process it as such if it is
41
+ if (message.event === 'snapshot') {
42
+ // if we've already received 'manual' snapshot, ignore if there is another one
43
+ if (snapshotAlreadyProcessed) {
44
+ return;
45
+ }
46
+ // produce snapshot book_change
47
+ const snapshotData = message.result;
48
+ // mark given symbol depth info that has snapshot processed
49
+ symbolDepthInfo.lastUpdateId = snapshotData.id;
50
+ symbolDepthInfo.snapshotProcessed = true;
51
+ // if there were any depth updates buffered, let's proccess those by adding to or updating the initial snapshot
52
+ for (const update of symbolDepthInfo.bufferedUpdates.items()) {
53
+ const bookChange = this.mapBookDepthUpdate(update, localTimestamp);
54
+ if (bookChange !== undefined) {
55
+ for (const bid of update.b) {
56
+ const matchingBid = snapshotData.bids.find((b) => b[0] === bid[0]);
57
+ if (matchingBid !== undefined) {
58
+ matchingBid[1] = bid[1];
59
+ }
60
+ else {
61
+ snapshotData.bids.push(bid);
62
+ }
63
+ }
64
+ for (const ask of update.a) {
65
+ const matchingAsk = snapshotData.asks.find((a) => a[0] === ask[0]);
66
+ if (matchingAsk !== undefined) {
67
+ matchingAsk[1] = ask[1];
68
+ }
69
+ else {
70
+ snapshotData.asks.push(ask);
71
+ }
72
+ }
73
+ }
74
+ }
75
+ // remove all buffered updates
76
+ symbolDepthInfo.bufferedUpdates.clear();
77
+ const bookChange = {
78
+ type: 'book_change',
79
+ symbol,
80
+ exchange: this.exchange,
81
+ isSnapshot: true,
82
+ bids: snapshotData.bids.map(this.mapBookLevel),
83
+ asks: snapshotData.asks.map(this.mapBookLevel),
84
+ timestamp: new Date(snapshotData.update),
85
+ localTimestamp
86
+ };
87
+ yield bookChange;
88
+ }
89
+ else if (snapshotAlreadyProcessed) {
90
+ // snapshot was already processed let's map the message as normal book_change
91
+ const bookChange = this.mapBookDepthUpdate(message.result, localTimestamp);
92
+ if (bookChange !== undefined) {
93
+ yield bookChange;
94
+ }
95
+ }
96
+ else {
97
+ const depthUpdate = message.result;
98
+ symbolDepthInfo.bufferedUpdates.append(depthUpdate);
99
+ }
100
+ }
101
+ mapBookDepthUpdate(depthUpdateData, localTimestamp) {
102
+ // we can safely assume here that depthContext and lastUpdateId aren't null here as this is method only works
103
+ // when we've already processed the snapshot
104
+ const depthContext = this.symbolToDepthInfoMapping[depthUpdateData.s];
105
+ const lastUpdateId = depthContext.lastUpdateId;
106
+ // Drop any event where u is <= lastUpdateId in the snapshot
107
+ if (depthUpdateData.u <= lastUpdateId) {
108
+ return;
109
+ }
110
+ // The first processed event should have U <= lastUpdateId+1 AND u >= lastUpdateId+1.
111
+ if (!depthContext.validatedFirstUpdate) {
112
+ // if there is new instrument added it can have empty book at first and that's normal
113
+ const bookSnapshotIsEmpty = lastUpdateId == -1;
114
+ if ((depthUpdateData.U <= lastUpdateId + 1 && depthUpdateData.u >= lastUpdateId + 1) || bookSnapshotIsEmpty) {
115
+ depthContext.validatedFirstUpdate = true;
116
+ }
117
+ else {
118
+ const message = `Book depth snapshot has no overlap with first update, update ${JSON.stringify(depthUpdateData)}, lastUpdateId: ${lastUpdateId}, exchange ${this.exchange}`;
119
+ if (this.ignoreBookSnapshotOverlapError) {
120
+ depthContext.validatedFirstUpdate = true;
121
+ (0, debug_1.debug)(message);
122
+ }
123
+ else {
124
+ throw new Error(message);
125
+ }
126
+ }
127
+ }
128
+ return {
129
+ type: 'book_change',
130
+ symbol: depthUpdateData.s,
131
+ exchange: this.exchange,
132
+ isSnapshot: false,
133
+ bids: depthUpdateData.b.map(this.mapBookLevel),
134
+ asks: depthUpdateData.a.map(this.mapBookLevel),
135
+ timestamp: new Date(depthUpdateData.t),
136
+ localTimestamp: localTimestamp
137
+ };
138
+ }
139
+ mapBookLevel(level) {
140
+ const price = Number(level[0]);
141
+ const amount = Number(level[1]);
142
+ return { price, amount };
143
+ }
144
+ }
145
+ exports.GateIOV4BookChangeMapper = GateIOV4BookChangeMapper;
146
+ class GateIOV4BookTickerMapper {
147
+ constructor(_exchange) {
148
+ this._exchange = _exchange;
149
+ }
150
+ canHandle(message) {
151
+ if (message.channel === undefined) {
152
+ return false;
153
+ }
154
+ if (message.event !== 'update') {
155
+ return false;
156
+ }
157
+ return message.channel.endsWith('book_ticker');
158
+ }
159
+ getFilters(symbols) {
160
+ symbols = (0, handy_1.upperCaseSymbols)(symbols);
161
+ return [
162
+ {
163
+ channel: 'book_ticker',
164
+ symbols
165
+ }
166
+ ];
167
+ }
168
+ *map(bookTickerResponse, localTimestamp) {
169
+ const gateBookTicker = bookTickerResponse.result;
170
+ const ticker = {
171
+ type: 'book_ticker',
172
+ symbol: gateBookTicker.s,
173
+ exchange: this._exchange,
174
+ askAmount: gateBookTicker.A !== undefined ? Number(gateBookTicker.A) : undefined,
175
+ askPrice: gateBookTicker.a !== undefined ? Number(gateBookTicker.a) : undefined,
176
+ bidPrice: gateBookTicker.b !== undefined ? Number(gateBookTicker.b) : undefined,
177
+ bidAmount: gateBookTicker.B !== undefined ? Number(gateBookTicker.B) : undefined,
178
+ timestamp: gateBookTicker.t !== undefined ? new Date(gateBookTicker.t) : localTimestamp,
179
+ localTimestamp: localTimestamp
180
+ };
181
+ yield ticker;
182
+ }
183
+ }
184
+ exports.GateIOV4BookTickerMapper = GateIOV4BookTickerMapper;
185
+ class GateIOV4TradesMapper {
186
+ constructor(_exchange) {
187
+ this._exchange = _exchange;
188
+ }
189
+ canHandle(message) {
190
+ if (message.channel === undefined) {
191
+ return false;
192
+ }
193
+ if (message.event !== 'update') {
194
+ return false;
195
+ }
196
+ return message.channel.endsWith('trades');
197
+ }
198
+ getFilters(symbols) {
199
+ symbols = (0, handy_1.upperCaseSymbols)(symbols);
200
+ return [
201
+ {
202
+ channel: 'trades',
203
+ symbols
204
+ }
205
+ ];
206
+ }
207
+ *map(tradesMessage, localTimestamp) {
208
+ yield {
209
+ type: 'trade',
210
+ symbol: tradesMessage.result.currency_pair,
211
+ exchange: this._exchange,
212
+ id: tradesMessage.result.id.toString(),
213
+ price: Number(tradesMessage.result.price),
214
+ amount: Number(tradesMessage.result.amount),
215
+ side: tradesMessage.result.side == 'sell' ? 'sell' : 'buy',
216
+ timestamp: new Date(Number(tradesMessage.result.create_time_ms)),
217
+ localTimestamp: localTimestamp
218
+ };
219
+ }
220
+ }
221
+ exports.GateIOV4TradesMapper = GateIOV4TradesMapper;
222
+ // v3 https://www.gate.io/docs/websocket/index.html
6
223
  class GateIOTradesMapper {
7
224
  constructor(_exchange) {
8
225
  this._exchange = _exchange;
package/dist/mappers/gateio.js.map CHANGED
@@ -1 +1 @@
1
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package/dist/mappers/index.d.ts CHANGED
@@ -6,5 +6,5 @@ export declare const normalizeBookChanges: <T extends "bitmex" | "deribit" | "bi
6
6
  export declare const normalizeDerivativeTickers: <T extends "bitmex" | "deribit" | "binance-futures" | "binance-delivery" | "ftx" | "okex-futures" | "okex-swap" | "huobi-dm" | "huobi-dm-swap" | "huobi-dm-linear-swap" | "bitfinex-derivatives" | "cryptofacilities" | "bybit" | "phemex" | "delta" | "gate-io-futures" | "coinflex" | "ascendex" | "dydx" | "crypto-com" | "crypto-com-derivatives" | "woo-x">(exchange: T, localTimestamp: Date) => Mapper<T, DerivativeTicker>;
7
7
  export declare const normalizeOptionsSummary: <T extends "deribit" | "binance-options" | "okex-options" | "bybit-options" | "huobi-dm-options">(exchange: T, localTimestamp: Date) => Mapper<T, OptionSummary>;
8
8
  export declare const normalizeLiquidations: <T extends "bitmex" | "deribit" | "binance-futures" | "binance-delivery" | "ftx" | "okex-futures" | "okex-swap" | "huobi-dm" | "huobi-dm-swap" | "huobi-dm-linear-swap" | "bitfinex-derivatives" | "cryptofacilities" | "bybit">(exchange: T, localTimestamp: Date) => Mapper<T, Liquidation>;
9
- export declare const normalizeBookTickers: <T extends "bitmex" | "deribit" | "binance-futures" | "binance-delivery" | "binance" | "ftx" | "okex-futures" | "okex-options" | "okex-swap" | "okex" | "huobi-dm" | "huobi-dm-swap" | "huobi-dm-linear-swap" | "huobi" | "bitfinex-derivatives" | "bitfinex" | "coinbase" | "cryptofacilities" | "kraken" | "bybit" | "bybit-spot" | "delta" | "ftx-us" | "binance-us" | "gate-io-futures" | "okcoin" | "bitflyer" | "binance-dex" | "ascendex" | "serum" | "mango" | "star-atlas" | "crypto-com" | "crypto-com-derivatives" | "kucoin" | "woo-x">(exchange: T, localTimestamp: Date) => Mapper<T, BookTicker>;
9
+ export declare const normalizeBookTickers: <T extends "bitmex" | "deribit" | "binance-futures" | "binance-delivery" | "binance" | "ftx" | "okex-futures" | "okex-options" | "okex-swap" | "okex" | "huobi-dm" | "huobi-dm-swap" | "huobi-dm-linear-swap" | "huobi" | "bitfinex-derivatives" | "bitfinex" | "coinbase" | "cryptofacilities" | "kraken" | "bybit" | "bybit-spot" | "delta" | "ftx-us" | "binance-us" | "gate-io-futures" | "gate-io" | "okcoin" | "bitflyer" | "binance-dex" | "ascendex" | "serum" | "mango" | "star-atlas" | "crypto-com" | "crypto-com-derivatives" | "kucoin" | "woo-x">(exchange: T, localTimestamp: Date) => Mapper<T, BookTicker>;
10
10
  //# sourceMappingURL=index.d.ts.map
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;AAoFtG,OAAO,EAAE,MAAM,EAAE,MAAM,UAAU,CAAA;AAqBjC,cAAc,UAAU,CAAA;AAgUxB,eAAO,MAAM,eAAe,ywBAAuE,IAAI,qBAQtG,CAAA;AAED,eAAO,MAAM,oBAAoB,ywBAEf,IAAI,0BASrB,CAAA;AAED,eAAO,MAAM,0BAA0B,gYAErB,IAAI,gCASrB,CAAA;AAED,eAAO,MAAM,uBAAuB,iIAElB,IAAI,6BASrB,CAAA;AAED,eAAO,MAAM,qBAAqB,gQAEhB,IAAI,2BASrB,CAAA;AAED,eAAO,MAAM,oBAAoB,mjBAEf,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;AA0FtG,OAAO,EAAE,MAAM,EAAE,MAAM,UAAU,CAAA;AAqBjC,cAAc,UAAU,CAAA;AA2UxB,eAAO,MAAM,eAAe,ywBAAuE,IAAI,qBAQtG,CAAA;AAED,eAAO,MAAM,oBAAoB,ywBAEf,IAAI,0BASrB,CAAA;AAED,eAAO,MAAM,0BAA0B,gYAErB,IAAI,gCASrB,CAAA;AAED,eAAO,MAAM,uBAAuB,iIAElB,IAAI,6BASrB,CAAA;AAED,eAAO,MAAM,qBAAqB,gQAEhB,IAAI,2BASrB,CAAA;AAED,eAAO,MAAM,oBAAoB,+jBAEf,IAAI,0BASrB,CAAA"}
package/dist/mappers/index.js CHANGED
@@ -88,6 +88,10 @@ const OKCOIN_V5_API_SWITCH_DATE = new Date('2023-04-27T00:00:00.000Z');
88
88
  const shouldUseOkcoinV5Mappers = (localTimestamp) => {
89
89
  return isRealTime(localTimestamp) || localTimestamp.valueOf() >= OKCOIN_V5_API_SWITCH_DATE.valueOf();
90
90
  };
91
+ const GATE_IO_V4_API_SWITCH_DATE = new Date('2023-04-29T00:00:00.000Z');
92
+ const shouldUseGateIOV4Mappers = (localTimestamp) => {
93
+ return isRealTime(localTimestamp) || localTimestamp.valueOf() >= GATE_IO_V4_API_SWITCH_DATE.valueOf();
94
+ };
91
95
  const tradesMappers = {
92
96
  bitmex: () => bitmex_1.bitmexTradesMapper,
93
97
  binance: () => new binance_1.BinanceTradesMapper('binance'),
@@ -121,7 +125,7 @@ const tradesMappers = {
121
125
  hitbtc: () => hitbtc_1.hitBtcTradesMapper,
122
126
  phemex: () => phemex_1.phemexTradesMapper,
123
127
  delta: (localTimestamp) => new delta_1.DeltaTradesMapper(localTimestamp.valueOf() >= new Date('2020-10-14').valueOf()),
124
- 'gate-io': () => new gateio_1.GateIOTradesMapper('gate-io'),
128
+ 'gate-io': (localTimestamp) => shouldUseGateIOV4Mappers(localTimestamp) ? new gateio_1.GateIOV4TradesMapper('gate-io') : new gateio_1.GateIOTradesMapper('gate-io'),
125
129
  'gate-io-futures': () => new gateiofutures_1.GateIOFuturesTradesMapper('gate-io-futures'),
126
130
  poloniex: (localTimestamp) => shouldUsePoloniexV2Mappers(localTimestamp) ? new poloniex_1.PoloniexV2TradesMapper() : new poloniex_1.PoloniexTradesMapper(),
127
131
  coinflex: () => coinflex_1.coinflexTradesMapper,
@@ -187,7 +191,9 @@ const bookChangeMappers = {
187
191
  hitbtc: () => hitbtc_1.hitBtcBookChangeMapper,
188
192
  phemex: () => phemex_1.phemexBookChangeMapper,
189
193
  delta: (localTimestamp) => new delta_1.DeltaBookChangeMapper(localTimestamp.valueOf() >= new Date('2023-04-01').valueOf()),
190
- 'gate-io': () => new gateio_1.GateIOBookChangeMapper('gate-io'),
194
+ 'gate-io': (localTimestamp) => shouldUseGateIOV4Mappers(localTimestamp)
195
+ ? new gateio_1.GateIOV4BookChangeMapper('gate-io', isRealTime(localTimestamp) == false)
196
+ : new gateio_1.GateIOBookChangeMapper('gate-io'),
191
197
  'gate-io-futures': () => new gateiofutures_1.GateIOFuturesBookChangeMapper('gate-io-futures'),
192
198
  poloniex: (localTimestamp) => shouldUsePoloniexV2Mappers(localTimestamp) ? new poloniex_1.PoloniexV2BookChangeMapper() : new poloniex_1.PoloniexBookChangeMapper(),
193
199
  coinflex: () => coinflex_1.coinflexBookChangeMapper,
@@ -300,7 +306,8 @@ const bookTickersMappers = {
300
306
  kucoin: () => new kucoin_1.KucoinBookTickerMapper('kucoin'),
301
307
  'woo-x': () => new woox_1.WooxBookTickerMapper(),
302
308
  delta: () => new delta_1.DeltaBookTickerMapper(),
303
- bybit: () => new bybit_1.BybitV5BookTickerMapper('bybit')
309
+ bybit: () => new bybit_1.BybitV5BookTickerMapper('bybit'),
310
+ 'gate-io': () => new gateio_1.GateIOV4BookTickerMapper('gate-io')
304
311
  };
305
312
  const normalizeTrades = (exchange, localTimestamp) => {
306
313
  const createTradesMapper = tradesMappers[exchange];
package/dist/mappers/index.js.map CHANGED
@@ -1 +1 @@
1
- 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1
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package/dist/realtimefeeds/gateio.d.ts CHANGED
@@ -1,8 +1,10 @@
1
1
  import { Filter } from '../types';
2
2
  import { RealTimeFeedBase } from './realtimefeed';
3
3
  export declare class GateIORealTimeFeed extends RealTimeFeedBase {
4
- protected readonly wssURL = "wss://ws.gate.io/v3/";
4
+ protected readonly wssURL = "wss://api.gateio.ws/ws/v4/";
5
+ protected httpURL: string;
5
6
  protected mapToSubscribeMessages(filters: Filter<string>[]): any[];
6
7
  protected messageIsError(message: any): boolean;
8
+ protected provideManualSnapshots(filters: Filter<string>[], shouldCancel: () => boolean): Promise<void>;
7
9
  }
8
10
  //# sourceMappingURL=gateio.d.ts.map
package/dist/realtimefeeds/gateio.d.ts.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"gateio.d.ts","sourceRoot":"","sources":["../../src/realtimefeeds/gateio.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,MAAM,EAAE,MAAM,UAAU,CAAA;AACjC,OAAO,EAAE,gBAAgB,EAAE,MAAM,gBAAgB,CAAA;AAEjD,qBAAa,kBAAmB,SAAQ,gBAAgB;IACtD,SAAS,CAAC,QAAQ,CAAC,MAAM,0BAAyB;IAElD,SAAS,CAAC,sBAAsB,CAAC,OAAO,EAAE,MAAM,CAAC,MAAM,CAAC,EAAE,GAAG,GAAG,EAAE;IA2BlE,SAAS,CAAC,cAAc,CAAC,OAAO,EAAE,GAAG,GAAG,OAAO;CAOhD"}
1
+ {"version":3,"file":"gateio.d.ts","sourceRoot":"","sources":["../../src/realtimefeeds/gateio.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,MAAM,EAAE,MAAM,UAAU,CAAA;AACjC,OAAO,EAAE,gBAAgB,EAAE,MAAM,gBAAgB,CAAA;AAEjD,qBAAa,kBAAmB,SAAQ,gBAAgB;IACtD,SAAS,CAAC,QAAQ,CAAC,MAAM,gCAA+B;IACxD,SAAS,CAAC,OAAO,SAAiC;IAElD,SAAS,CAAC,sBAAsB,CAAC,OAAO,EAAE,MAAM,CAAC,MAAM,CAAC,EAAE,GAAG,GAAG,EAAE;IAgClE,SAAS,CAAC,cAAc,CAAC,OAAO,EAAE,GAAG,GAAG,OAAO;cAQ/B,sBAAsB,CAAC,OAAO,EAAE,MAAM,CAAC,MAAM,CAAC,EAAE,EAAE,YAAY,EAAE,MAAM,OAAO;CA8B9F"}
package/dist/realtimefeeds/gateio.js CHANGED
@@ -1,36 +1,43 @@
1
1
  "use strict";
2
2
  Object.defineProperty(exports, "__esModule", { value: true });
3
3
  exports.GateIORealTimeFeed = void 0;
4
+ const handy_1 = require("../handy");
4
5
  const realtimefeed_1 = require("./realtimefeed");
5
6
  class GateIORealTimeFeed extends realtimefeed_1.RealTimeFeedBase {
6
7
  constructor() {
7
8
  super(...arguments);
8
- this.wssURL = 'wss://ws.gate.io/v3/';
9
+ this.wssURL = 'wss://api.gateio.ws/ws/v4/';
10
+ this.httpURL = 'https://api.gateio.ws/api/v4';
9
11
  }
10
12
  mapToSubscribeMessages(filters) {
11
- const id = 1;
12
13
  const payload = filters.map((filter) => {
13
14
  if (!filter.symbols || filter.symbols.length === 0) {
14
15
  throw new Error('GateIORealTimeFeed requires explicitly specified symbols when subscribing to live feed');
15
16
  }
16
- if (filter.channel === 'depth') {
17
- return {
18
- id,
19
- method: `${filter.channel}.subscribe`,
20
- params: filter.symbols.map((s) => {
21
- return [s, 30, '0'];
22
- })
23
- };
17
+ if (filter.channel === 'order_book_update') {
18
+ return filter.symbols.map((symbol) => {
19
+ return {
20
+ time: new Date().valueOf(),
21
+ channel: `spot.${filter.channel}`,
22
+ event: 'subscribe',
23
+ method: `${filter.channel}.subscribe`,
24
+ payload: [symbol, '100ms']
25
+ };
26
+ });
24
27
  }
25
28
  else {
26
- return {
27
- id,
28
- method: `${filter.channel}.subscribe`,
29
- params: filter.symbols
30
- };
29
+ return filter.symbols.map((symbol) => {
30
+ return {
31
+ time: new Date().valueOf(),
32
+ channel: `spot.${filter.channel}`,
33
+ event: 'subscribe',
34
+ method: `${filter.channel}.subscribe`,
35
+ payload: [symbol]
36
+ };
37
+ });
31
38
  }
32
39
  });
33
- return payload;
40
+ return payload.flatMap((f) => f);
34
41
  }
35
42
  messageIsError(message) {
36
43
  if (message.error !== null && message.error !== undefined) {
@@ -38,6 +45,30 @@ class GateIORealTimeFeed extends realtimefeed_1.RealTimeFeedBase {
38
45
  }
39
46
  return false;
40
47
  }
48
+ async provideManualSnapshots(filters, shouldCancel) {
49
+ const orderBookFilter = filters.find((f) => f.channel === 'order_book_update');
50
+ if (!orderBookFilter) {
51
+ return;
52
+ }
53
+ this.debug('requesting manual snapshots for: %s', orderBookFilter.symbols);
54
+ for (let symbol of orderBookFilter.symbols) {
55
+ if (shouldCancel()) {
56
+ return;
57
+ }
58
+ const depthSnapshotResponse = await handy_1.httpClient
59
+ .get(`${this.httpURL}/spot/order_book?currency_pair=${symbol}&limit=100&with_id=true`)
60
+ .json();
61
+ const snapshot = {
62
+ result: depthSnapshotResponse,
63
+ event: 'snapshot',
64
+ channel: `spot.order_book_update`,
65
+ symbol,
66
+ generated: true
67
+ };
68
+ this.manualSnapshotsBuffer.push(snapshot);
69
+ }
70
+ this.debug('requested manual snapshots successfully for: %s ', orderBookFilter.symbols);
71
+ }
41
72
  }
42
73
  exports.GateIORealTimeFeed = GateIORealTimeFeed;
43
74
  //# sourceMappingURL=gateio.js.map
package/dist/realtimefeeds/gateio.js.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"gateio.js","sourceRoot":"","sources":["../../src/realtimefeeds/gateio.ts"],"names":[],"mappings":";;;AACA,iDAAiD;AAEjD,MAAa,kBAAmB,SAAQ,+BAAgB;IAAxD;;QACqB,WAAM,GAAG,sBAAsB,CAAA;IAoCpD,CAAC;IAlCW,sBAAsB,CAAC,OAAyB;QACxD,MAAM,EAAE,GAAG,CAAC,CAAA;QACZ,MAAM,OAAO,GAAG,OAAO,CAAC,GAAG,CAAC,CAAC,MAAM,EAAE,EAAE;YACrC,IAAI,CAAC,MAAM,CAAC,OAAO,IAAI,MAAM,CAAC,OAAO,CAAC,MAAM,KAAK,CAAC,EAAE;gBAClD,MAAM,IAAI,KAAK,CAAC,wFAAwF,CAAC,CAAA;aAC1G;YAED,IAAI,MAAM,CAAC,OAAO,KAAK,OAAO,EAAE;gBAC9B,OAAO;oBACL,EAAE;oBACF,MAAM,EAAE,GAAG,MAAM,CAAC,OAAO,YAAY;oBACrC,MAAM,EAAE,MAAM,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE;wBAC/B,OAAO,CAAC,CAAC,EAAE,EAAE,EAAE,GAAG,CAAC,CAAA;oBACrB,CAAC,CAAC;iBACH,CAAA;aACF;iBAAM;gBACL,OAAO;oBACL,EAAE;oBACF,MAAM,EAAE,GAAG,MAAM,CAAC,OAAO,YAAY;oBACrC,MAAM,EAAE,MAAM,CAAC,OAAO;iBACvB,CAAA;aACF;QACH,CAAC,CAAC,CAAA;QAEF,OAAO,OAAO,CAAA;IAChB,CAAC;IAES,cAAc,CAAC,OAAY;QACnC,IAAI,OAAO,CAAC,KAAK,KAAK,IAAI,IAAI,OAAO,CAAC,KAAK,KAAK,SAAS,EAAE;YACzD,OAAO,IAAI,CAAA;SACZ;QAED,OAAO,KAAK,CAAA;IACd,CAAC;CACF;AArCD,gDAqCC"}
1
+ {"version":3,"file":"gateio.js","sourceRoot":"","sources":["../../src/realtimefeeds/gateio.ts"],"names":[],"mappings":";;;AAAA,oCAAqC;AAErC,iDAAiD;AAEjD,MAAa,kBAAmB,SAAQ,+BAAgB;IAAxD;;QACqB,WAAM,GAAG,4BAA4B,CAAA;QAC9C,YAAO,GAAG,8BAA8B,CAAA;IAwEpD,CAAC;IAtEW,sBAAsB,CAAC,OAAyB;QACxD,MAAM,OAAO,GAAG,OAAO,CAAC,GAAG,CAAC,CAAC,MAAM,EAAE,EAAE;YACrC,IAAI,CAAC,MAAM,CAAC,OAAO,IAAI,MAAM,CAAC,OAAO,CAAC,MAAM,KAAK,CAAC,EAAE;gBAClD,MAAM,IAAI,KAAK,CAAC,wFAAwF,CAAC,CAAA;aAC1G;YAED,IAAI,MAAM,CAAC,OAAO,KAAK,mBAAmB,EAAE;gBAC1C,OAAO,MAAM,CAAC,OAAQ,CAAC,GAAG,CAAC,CAAC,MAAM,EAAE,EAAE;oBACpC,OAAO;wBACL,IAAI,EAAE,IAAI,IAAI,EAAE,CAAC,OAAO,EAAE;wBAC1B,OAAO,EAAE,QAAQ,MAAM,CAAC,OAAO,EAAE;wBACjC,KAAK,EAAE,WAAW;wBAClB,MAAM,EAAE,GAAG,MAAM,CAAC,OAAO,YAAY;wBACrC,OAAO,EAAE,CAAC,MAAM,EAAE,OAAO,CAAC;qBAC3B,CAAA;gBACH,CAAC,CAAC,CAAA;aACH;iBAAM;gBACL,OAAO,MAAM,CAAC,OAAQ,CAAC,GAAG,CAAC,CAAC,MAAM,EAAE,EAAE;oBACpC,OAAO;wBACL,IAAI,EAAE,IAAI,IAAI,EAAE,CAAC,OAAO,EAAE;wBAC1B,OAAO,EAAE,QAAQ,MAAM,CAAC,OAAO,EAAE;wBACjC,KAAK,EAAE,WAAW;wBAClB,MAAM,EAAE,GAAG,MAAM,CAAC,OAAO,YAAY;wBACrC,OAAO,EAAE,CAAC,MAAM,CAAC;qBAClB,CAAA;gBACH,CAAC,CAAC,CAAA;aACH;QACH,CAAC,CAAC,CAAA;QAEF,OAAO,OAAO,CAAC,OAAO,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,CAAA;IAClC,CAAC;IAES,cAAc,CAAC,OAAY;QACnC,IAAI,OAAO,CAAC,KAAK,KAAK,IAAI,IAAI,OAAO,CAAC,KAAK,KAAK,SAAS,EAAE;YACzD,OAAO,IAAI,CAAA;SACZ;QAED,OAAO,KAAK,CAAA;IACd,CAAC;IAES,KAAK,CAAC,sBAAsB,CAAC,OAAyB,EAAE,YAA2B;QAC3F,MAAM,eAAe,GAAG,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,OAAO,KAAK,mBAAmB,CAAC,CAAA;QAC9E,IAAI,CAAC,eAAe,EAAE;YACpB,OAAM;SACP;QAED,IAAI,CAAC,KAAK,CAAC,qCAAqC,EAAE,eAAe,CAAC,OAAQ,CAAC,CAAA;QAE3E,KAAK,IAAI,MAAM,IAAI,eAAe,CAAC,OAAQ,EAAE;YAC3C,IAAI,YAAY,EAAE,EAAE;gBAClB,OAAM;aACP;YAED,MAAM,qBAAqB,GAAG,MAAM,kBAAU;iBAC3C,GAAG,CAAC,GAAG,IAAI,CAAC,OAAO,kCAAkC,MAAM,yBAAyB,CAAC;iBACrF,IAAI,EAAE,CAAA;YAET,MAAM,QAAQ,GAAG;gBACf,MAAM,EAAE,qBAAqB;gBAC7B,KAAK,EAAE,UAAU;gBACjB,OAAO,EAAE,wBAAwB;gBACjC,MAAM;gBACN,SAAS,EAAE,IAAI;aAChB,CAAA;YAED,IAAI,CAAC,qBAAqB,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAA;SAC1C;QAED,IAAI,CAAC,KAAK,CAAC,kDAAkD,EAAE,eAAe,CAAC,OAAQ,CAAC,CAAA;IAC1F,CAAC;CACF;AA1ED,gDA0EC"}
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "tardis-dev",
3
- "version": "13.20.5",
3
+ "version": "13.21.1",
4
4
  "engines": {
5
5
  "node": ">=12"
6
6
  },
package/src/consts.ts CHANGED
@@ -391,7 +391,7 @@ const DELTA_CHANNELS = [
391
391
  'spot_30mtwap_price'
392
392
  ] as const
393
393
 
394
- const GATE_IO_CHANNELS = ['trades', 'depth', 'ticker'] as const
394
+ const GATE_IO_CHANNELS = ['trades', 'depth', 'ticker', 'book_ticker', 'order_book_update'] as const
395
395
  const GATE_IO_FUTURES_CHANNELS = ['trades', 'order_book', 'tickers', 'book_ticker'] as const
396
396
  const POLONIEX_CHANNELS = ['price_aggregated_book', 'trades', 'ticker', 'book_lv2'] as const
397
397
  const UPBIT_CHANNELS = ['trade', 'orderbook', 'ticker'] as const
package/src/mappers/gateio.ts CHANGED
@@ -1,8 +1,253 @@
1
- import { upperCaseSymbols } from '../handy'
2
- import { BookChange, Exchange, Trade } from '../types'
1
+ import { debug } from '../debug'
2
+ import { CircularBuffer, upperCaseSymbols } from '../handy'
3
+ import { BookChange, BookTicker, Exchange, Trade } from '../types'
3
4
  import { Mapper } from './mapper'
4
5
 
5
- // https://www.gate.io/docs/websocket/index.html
6
+ //v4
7
+
8
+ export class GateIOV4BookChangeMapper implements Mapper<'gate-io', BookChange> {
9
+ protected readonly symbolToDepthInfoMapping: {
10
+ [key: string]: LocalDepthInfo
11
+ } = {}
12
+
13
+ constructor(protected readonly exchange: Exchange, protected readonly ignoreBookSnapshotOverlapError: boolean) {}
14
+
15
+ canHandle(message: GateV4OrderBookUpdate | Gatev4OrderBookSnapshot) {
16
+ if (message.channel === undefined) {
17
+ return false
18
+ }
19
+ if (message.event !== 'update' && message.event !== 'snapshot') {
20
+ return false
21
+ }
22
+
23
+ return message.channel.endsWith('order_book_update')
24
+ }
25
+
26
+ getFilters(symbols?: string[]) {
27
+ symbols = upperCaseSymbols(symbols)
28
+
29
+ return [
30
+ {
31
+ channel: 'order_book_update',
32
+ symbols
33
+ } as const
34
+ ]
35
+ }
36
+
37
+ *map(message: GateV4OrderBookUpdate | Gatev4OrderBookSnapshot, localTimestamp: Date) {
38
+ const symbol = message.event === 'snapshot' ? message.symbol : message.result.s
39
+
40
+ if (this.symbolToDepthInfoMapping[symbol] === undefined) {
41
+ this.symbolToDepthInfoMapping[symbol] = {
42
+ bufferedUpdates: new CircularBuffer<DepthData>(2000)
43
+ }
44
+ }
45
+
46
+ const symbolDepthInfo = this.symbolToDepthInfoMapping[symbol]
47
+ const snapshotAlreadyProcessed = symbolDepthInfo.snapshotProcessed
48
+
49
+ // first check if received message is snapshot and process it as such if it is
50
+ if (message.event === 'snapshot') {
51
+ // if we've already received 'manual' snapshot, ignore if there is another one
52
+ if (snapshotAlreadyProcessed) {
53
+ return
54
+ }
55
+ // produce snapshot book_change
56
+ const snapshotData = message.result
57
+
58
+ // mark given symbol depth info that has snapshot processed
59
+ symbolDepthInfo.lastUpdateId = snapshotData.id
60
+ symbolDepthInfo.snapshotProcessed = true
61
+
62
+ // if there were any depth updates buffered, let's proccess those by adding to or updating the initial snapshot
63
+ for (const update of symbolDepthInfo.bufferedUpdates.items()) {
64
+ const bookChange = this.mapBookDepthUpdate(update, localTimestamp)
65
+ if (bookChange !== undefined) {
66
+ for (const bid of update.b) {
67
+ const matchingBid = snapshotData.bids.find((b) => b[0] === bid[0])
68
+ if (matchingBid !== undefined) {
69
+ matchingBid[1] = bid[1]
70
+ } else {
71
+ snapshotData.bids.push(bid)
72
+ }
73
+ }
74
+
75
+ for (const ask of update.a) {
76
+ const matchingAsk = snapshotData.asks.find((a) => a[0] === ask[0])
77
+ if (matchingAsk !== undefined) {
78
+ matchingAsk[1] = ask[1]
79
+ } else {
80
+ snapshotData.asks.push(ask)
81
+ }
82
+ }
83
+ }
84
+ }
85
+
86
+ // remove all buffered updates
87
+ symbolDepthInfo.bufferedUpdates.clear()
88
+
89
+ const bookChange: BookChange = {
90
+ type: 'book_change',
91
+ symbol,
92
+ exchange: this.exchange,
93
+ isSnapshot: true,
94
+ bids: snapshotData.bids.map(this.mapBookLevel),
95
+ asks: snapshotData.asks.map(this.mapBookLevel),
96
+ timestamp: new Date(snapshotData.update),
97
+ localTimestamp
98
+ }
99
+
100
+ yield bookChange
101
+ } else if (snapshotAlreadyProcessed) {
102
+ // snapshot was already processed let's map the message as normal book_change
103
+ const bookChange = this.mapBookDepthUpdate(message.result as DepthData, localTimestamp)
104
+ if (bookChange !== undefined) {
105
+ yield bookChange
106
+ }
107
+ } else {
108
+ const depthUpdate = message.result as DepthData
109
+
110
+ symbolDepthInfo.bufferedUpdates.append(depthUpdate)
111
+ }
112
+ }
113
+
114
+ protected mapBookDepthUpdate(depthUpdateData: DepthData, localTimestamp: Date): BookChange | undefined {
115
+ // we can safely assume here that depthContext and lastUpdateId aren't null here as this is method only works
116
+ // when we've already processed the snapshot
117
+ const depthContext = this.symbolToDepthInfoMapping[depthUpdateData.s]!
118
+ const lastUpdateId = depthContext.lastUpdateId!
119
+
120
+ // Drop any event where u is <= lastUpdateId in the snapshot
121
+ if (depthUpdateData.u <= lastUpdateId) {
122
+ return
123
+ }
124
+
125
+ // The first processed event should have U <= lastUpdateId+1 AND u >= lastUpdateId+1.
126
+ if (!depthContext.validatedFirstUpdate) {
127
+ // if there is new instrument added it can have empty book at first and that's normal
128
+ const bookSnapshotIsEmpty = lastUpdateId == -1
129
+
130
+ if ((depthUpdateData.U <= lastUpdateId + 1 && depthUpdateData.u >= lastUpdateId + 1) || bookSnapshotIsEmpty) {
131
+ depthContext.validatedFirstUpdate = true
132
+ } else {
133
+ const message = `Book depth snapshot has no overlap with first update, update ${JSON.stringify(
134
+ depthUpdateData
135
+ )}, lastUpdateId: ${lastUpdateId}, exchange ${this.exchange}`
136
+
137
+ if (this.ignoreBookSnapshotOverlapError) {
138
+ depthContext.validatedFirstUpdate = true
139
+ debug(message)
140
+ } else {
141
+ throw new Error(message)
142
+ }
143
+ }
144
+ }
145
+
146
+ return {
147
+ type: 'book_change',
148
+ symbol: depthUpdateData.s,
149
+ exchange: this.exchange,
150
+ isSnapshot: false,
151
+
152
+ bids: depthUpdateData.b.map(this.mapBookLevel),
153
+ asks: depthUpdateData.a.map(this.mapBookLevel),
154
+ timestamp: new Date(depthUpdateData.t),
155
+ localTimestamp: localTimestamp
156
+ }
157
+ }
158
+
159
+ protected mapBookLevel(level: [string, string]) {
160
+ const price = Number(level[0])
161
+ const amount = Number(level[1])
162
+ return { price, amount }
163
+ }
164
+ }
165
+
166
+ export class GateIOV4BookTickerMapper implements Mapper<'gate-io', BookTicker> {
167
+ constructor(private readonly _exchange: Exchange) {}
168
+
169
+ canHandle(message: GateV4BookTicker) {
170
+ if (message.channel === undefined) {
171
+ return false
172
+ }
173
+ if (message.event !== 'update') {
174
+ return false
175
+ }
176
+
177
+ return message.channel.endsWith('book_ticker')
178
+ }
179
+
180
+ getFilters(symbols?: string[]) {
181
+ symbols = upperCaseSymbols(symbols)
182
+
183
+ return [
184
+ {
185
+ channel: 'book_ticker',
186
+ symbols
187
+ } as const
188
+ ]
189
+ }
190
+
191
+ *map(bookTickerResponse: GateV4BookTicker, localTimestamp: Date) {
192
+ const gateBookTicker = bookTickerResponse.result
193
+
194
+ const ticker: BookTicker = {
195
+ type: 'book_ticker',
196
+ symbol: gateBookTicker.s,
197
+ exchange: this._exchange,
198
+ askAmount: gateBookTicker.A !== undefined ? Number(gateBookTicker.A) : undefined,
199
+ askPrice: gateBookTicker.a !== undefined ? Number(gateBookTicker.a) : undefined,
200
+ bidPrice: gateBookTicker.b !== undefined ? Number(gateBookTicker.b) : undefined,
201
+ bidAmount: gateBookTicker.B !== undefined ? Number(gateBookTicker.B) : undefined,
202
+ timestamp: gateBookTicker.t !== undefined ? new Date(gateBookTicker.t) : localTimestamp,
203
+ localTimestamp: localTimestamp
204
+ }
205
+
206
+ yield ticker
207
+ }
208
+ }
209
+
210
+ export class GateIOV4TradesMapper implements Mapper<'gate-io', Trade> {
211
+ constructor(private readonly _exchange: Exchange) {}
212
+
213
+ canHandle(message: GateV4Trade) {
214
+ if (message.channel === undefined) {
215
+ return false
216
+ }
217
+ if (message.event !== 'update') {
218
+ return false
219
+ }
220
+
221
+ return message.channel.endsWith('trades')
222
+ }
223
+
224
+ getFilters(symbols?: string[]) {
225
+ symbols = upperCaseSymbols(symbols)
226
+
227
+ return [
228
+ {
229
+ channel: 'trades',
230
+ symbols
231
+ } as const
232
+ ]
233
+ }
234
+
235
+ *map(tradesMessage: GateV4Trade, localTimestamp: Date): IterableIterator<Trade> {
236
+ yield {
237
+ type: 'trade',
238
+ symbol: tradesMessage.result.currency_pair,
239
+ exchange: this._exchange,
240
+ id: tradesMessage.result.id.toString(),
241
+ price: Number(tradesMessage.result.price),
242
+ amount: Number(tradesMessage.result.amount),
243
+ side: tradesMessage.result.side == 'sell' ? 'sell' : 'buy',
244
+ timestamp: new Date(Number(tradesMessage.result.create_time_ms)),
245
+ localTimestamp: localTimestamp
246
+ }
247
+ }
248
+ }
249
+
250
+ // v3 https://www.gate.io/docs/websocket/index.html
6
251
 
7
252
  export class GateIOTradesMapper implements Mapper<'gate-io', Trade> {
8
253
  private readonly _seenSymbols = new Set<string>()
@@ -124,3 +369,76 @@ type GateIODepth = {
124
369
  string
125
370
  ]
126
371
  }
372
+
373
+ type GateV4Trade = {
374
+ time: 1682689046
375
+ time_ms: 1682689046133
376
+ channel: 'spot.trades'
377
+ event: 'update'
378
+ result: {
379
+ id: 5541729596
380
+ create_time: 1682689046
381
+ create_time_ms: '1682689046123.0'
382
+ side: 'sell'
383
+ currency_pair: 'SUSD_USDT'
384
+ amount: '8.5234'
385
+ price: '0.9782'
386
+ }
387
+ }
388
+
389
+ type GateV4BookTicker = {
390
+ time: 1682689046
391
+ time_ms: 1682689046142
392
+ channel: 'spot.book_ticker'
393
+ event: 'update'
394
+ result: { t: 1682689046131; u: 517377894; s: 'ETC_ETH'; b: '0.010326'; B: '0.001'; a: '0.010366'; A: '10' }
395
+ }
396
+
397
+ type Gatev4OrderBookSnapshot = {
398
+ channel: 'spot.order_book_update'
399
+ event: 'snapshot'
400
+ generated: true
401
+ symbol: '1ART_USDT'
402
+ result: {
403
+ id: 154857784
404
+ current: 1682689045318
405
+ update: 1682689045056
406
+ asks: [string, string][]
407
+ bids: [string, string][]
408
+ }
409
+ }
410
+
411
+ type GateV4OrderBookUpdate = {
412
+ time: 1682689045
413
+ time_ms: 1682689045532
414
+ channel: 'spot.order_book_update'
415
+ event: 'update'
416
+ result: {
417
+ lastUpdateId: undefined
418
+ t: 1682689045424
419
+ e: 'depthUpdate'
420
+ E: 1682689045
421
+ s: '1ART_USDT'
422
+ U: 154857785
423
+ u: 154857785
424
+ b: [string, string][]
425
+ a: [string, string][]
426
+ }
427
+ }
428
+
429
+ type LocalDepthInfo = {
430
+ bufferedUpdates: CircularBuffer<DepthData>
431
+ snapshotProcessed?: boolean
432
+ lastUpdateId?: number
433
+ validatedFirstUpdate?: boolean
434
+ }
435
+
436
+ type DepthData = {
437
+ lastUpdateId: undefined
438
+ t: number
439
+ s: string
440
+ U: number
441
+ u: number
442
+ b: [string, string][]
443
+ a: [string, string][]
444
+ }
package/src/mappers/index.ts CHANGED
@@ -63,7 +63,13 @@ import {
63
63
  } from './deribit'
64
64
  import { DydxBookChangeMapper, DydxDerivativeTickerMapper, DydxTradesMapper } from './dydx'
65
65
  import { FTXBookChangeMapper, FTXDerivativeTickerMapper, FTXLiquidationsMapper, FTXBookTickerMapper, FTXTradesMapper } from './ftx'
66
- import { GateIOBookChangeMapper, GateIOTradesMapper } from './gateio'
66
+ import {
67
+ GateIOBookChangeMapper,
68
+ GateIOTradesMapper,
69
+ GateIOV4BookChangeMapper,
70
+ GateIOV4BookTickerMapper,
71
+ GateIOV4TradesMapper
72
+ } from './gateio'
67
73
  import {
68
74
  GateIOFuturesBookChangeMapper,
69
75
  GateIOFuturesBookTickerMapper,
@@ -158,6 +164,12 @@ const shouldUseOkcoinV5Mappers = (localTimestamp: Date) => {
158
164
  return isRealTime(localTimestamp) || localTimestamp.valueOf() >= OKCOIN_V5_API_SWITCH_DATE.valueOf()
159
165
  }
160
166
 
167
+ const GATE_IO_V4_API_SWITCH_DATE = new Date('2023-04-29T00:00:00.000Z')
168
+
169
+ const shouldUseGateIOV4Mappers = (localTimestamp: Date) => {
170
+ return isRealTime(localTimestamp) || localTimestamp.valueOf() >= GATE_IO_V4_API_SWITCH_DATE.valueOf()
171
+ }
172
+
161
173
  const tradesMappers = {
162
174
  bitmex: () => bitmexTradesMapper,
163
175
  binance: () => new BinanceTradesMapper('binance'),
@@ -201,7 +213,8 @@ const tradesMappers = {
201
213
  hitbtc: () => hitBtcTradesMapper,
202
214
  phemex: () => phemexTradesMapper,
203
215
  delta: (localTimestamp: Date) => new DeltaTradesMapper(localTimestamp.valueOf() >= new Date('2020-10-14').valueOf()),
204
- 'gate-io': () => new GateIOTradesMapper('gate-io'),
216
+ 'gate-io': (localTimestamp: Date) =>
217
+ shouldUseGateIOV4Mappers(localTimestamp) ? new GateIOV4TradesMapper('gate-io') : new GateIOTradesMapper('gate-io'),
205
218
  'gate-io-futures': () => new GateIOFuturesTradesMapper('gate-io-futures'),
206
219
  poloniex: (localTimestamp: Date) =>
207
220
  shouldUsePoloniexV2Mappers(localTimestamp) ? new PoloniexV2TradesMapper() : new PoloniexTradesMapper(),
@@ -284,7 +297,10 @@ const bookChangeMappers = {
284
297
  hitbtc: () => hitBtcBookChangeMapper,
285
298
  phemex: () => phemexBookChangeMapper,
286
299
  delta: (localTimestamp: Date) => new DeltaBookChangeMapper(localTimestamp.valueOf() >= new Date('2023-04-01').valueOf()),
287
- 'gate-io': () => new GateIOBookChangeMapper('gate-io'),
300
+ 'gate-io': (localTimestamp: Date) =>
301
+ shouldUseGateIOV4Mappers(localTimestamp)
302
+ ? new GateIOV4BookChangeMapper('gate-io', isRealTime(localTimestamp) == false)
303
+ : new GateIOBookChangeMapper('gate-io'),
288
304
  'gate-io-futures': () => new GateIOFuturesBookChangeMapper('gate-io-futures'),
289
305
  poloniex: (localTimestamp: Date) =>
290
306
  shouldUsePoloniexV2Mappers(localTimestamp) ? new PoloniexV2BookChangeMapper() : new PoloniexBookChangeMapper(),
@@ -421,7 +437,8 @@ const bookTickersMappers = {
421
437
  kucoin: () => new KucoinBookTickerMapper('kucoin'),
422
438
  'woo-x': () => new WooxBookTickerMapper(),
423
439
  delta: () => new DeltaBookTickerMapper(),
424
- bybit: () => new BybitV5BookTickerMapper('bybit')
440
+ bybit: () => new BybitV5BookTickerMapper('bybit'),
441
+ 'gate-io': () => new GateIOV4BookTickerMapper('gate-io')
425
442
  }
426
443
 
427
444
  export const normalizeTrades = <T extends keyof typeof tradesMappers>(exchange: T, localTimestamp: Date): Mapper<T, Trade> => {
package/src/realtimefeeds/gateio.ts CHANGED
@@ -1,34 +1,41 @@
1
+ import { httpClient } from '../handy'
1
2
  import { Filter } from '../types'
2
3
  import { RealTimeFeedBase } from './realtimefeed'
3
4
 
4
5
  export class GateIORealTimeFeed extends RealTimeFeedBase {
5
- protected readonly wssURL = 'wss://ws.gate.io/v3/'
6
+ protected readonly wssURL = 'wss://api.gateio.ws/ws/v4/'
7
+ protected httpURL = 'https://api.gateio.ws/api/v4'
6
8
 
7
9
  protected mapToSubscribeMessages(filters: Filter<string>[]): any[] {
8
- const id = 1
9
10
  const payload = filters.map((filter) => {
10
11
  if (!filter.symbols || filter.symbols.length === 0) {
11
12
  throw new Error('GateIORealTimeFeed requires explicitly specified symbols when subscribing to live feed')
12
13
  }
13
14
 
14
- if (filter.channel === 'depth') {
15
- return {
16
- id,
17
- method: `${filter.channel}.subscribe`,
18
- params: filter.symbols.map((s) => {
19
- return [s, 30, '0']
20
- })
21
- }
15
+ if (filter.channel === 'order_book_update') {
16
+ return filter.symbols!.map((symbol) => {
17
+ return {
18
+ time: new Date().valueOf(),
19
+ channel: `spot.${filter.channel}`,
20
+ event: 'subscribe',
21
+ method: `${filter.channel}.subscribe`,
22
+ payload: [symbol, '100ms']
23
+ }
24
+ })
22
25
  } else {
23
- return {
24
- id,
25
- method: `${filter.channel}.subscribe`,
26
- params: filter.symbols
27
- }
26
+ return filter.symbols!.map((symbol) => {
27
+ return {
28
+ time: new Date().valueOf(),
29
+ channel: `spot.${filter.channel}`,
30
+ event: 'subscribe',
31
+ method: `${filter.channel}.subscribe`,
32
+ payload: [symbol]
33
+ }
34
+ })
28
35
  }
29
36
  })
30
37
 
31
- return payload
38
+ return payload.flatMap((f) => f)
32
39
  }
33
40
 
34
41
  protected messageIsError(message: any): boolean {
@@ -38,4 +45,35 @@ export class GateIORealTimeFeed extends RealTimeFeedBase {
38
45
 
39
46
  return false
40
47
  }
48
+
49
+ protected async provideManualSnapshots(filters: Filter<string>[], shouldCancel: () => boolean) {
50
+ const orderBookFilter = filters.find((f) => f.channel === 'order_book_update')
51
+ if (!orderBookFilter) {
52
+ return
53
+ }
54
+
55
+ this.debug('requesting manual snapshots for: %s', orderBookFilter.symbols!)
56
+
57
+ for (let symbol of orderBookFilter.symbols!) {
58
+ if (shouldCancel()) {
59
+ return
60
+ }
61
+
62
+ const depthSnapshotResponse = await httpClient
63
+ .get(`${this.httpURL}/spot/order_book?currency_pair=${symbol}&limit=100&with_id=true`)
64
+ .json()
65
+
66
+ const snapshot = {
67
+ result: depthSnapshotResponse,
68
+ event: 'snapshot',
69
+ channel: `spot.order_book_update`,
70
+ symbol,
71
+ generated: true
72
+ }
73
+
74
+ this.manualSnapshotsBuffer.push(snapshot)
75
+ }
76
+
77
+ this.debug('requested manual snapshots successfully for: %s ', orderBookFilter.symbols!)
78
+ }
41
79
  }