tardis-dev 13.23.5 → 13.24.0

package/src/mappers/binanceeuropeanoptions.ts

@@ -0,0 +1,303 @@
+import { asNumberIfValid, upperCaseSymbols } from '../handy'
+import { BookChange, OptionSummary, Trade } from '../types'
+import { Mapper } from './mapper'
+
+// https://binance-docs.github.io/apidocs/voptions/en/#websocket-market-streams
+
+export class BinanceEuropeanOptionsTradesMapper implements Mapper<'binance-european-options', Trade> {
+  canHandle(message: BinanceResponse<any>) {
+    if (message.stream === undefined) {
+      return false
+    }
+
+    return message.stream.endsWith('@trade')
+  }
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
+    return [
+      {
+        channel: 'trade',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(binanceTradeResponse: BinanceResponse<BinanceOptionsTradeData>, localTimestamp: Date) {
+    const trade: Trade = {
+      type: 'trade',
+      symbol: binanceTradeResponse.data.s,
+      exchange: 'binance-european-options',
+      id: binanceTradeResponse.data.t,
+      price: Number(binanceTradeResponse.data.p),
+      amount: Number(binanceTradeResponse.data.q),
+      side: binanceTradeResponse.data.S === '-1' ? 'sell' : 'buy',
+      timestamp: new Date(binanceTradeResponse.data.T),
+      localTimestamp: localTimestamp
+    }
+
+    yield trade
+  }
+}
+
+export class BinanceEuropeanOptionsBookChangeMapper implements Mapper<'binance-european-options', BookChange> {
+  canHandle(message: BinanceResponse<any>) {
+    if (message.stream === undefined) {
+      return false
+    }
+
+    return message.stream.includes('@depth100')
+  }
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
+    return [
+      {
+        channel: 'depth100',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: BinanceResponse<BinanceOptionsDepthData>, localTimestamp: Date) {
+    const bookChange: BookChange = {
+      type: 'book_change',
+      symbol: message.data.s,
+      exchange: 'binance-european-options',
+      isSnapshot: true,
+      bids: message.data.b.map(this.mapBookLevel),
+      asks: message.data.a.map(this.mapBookLevel),
+      timestamp: new Date(message.data.E),
+      localTimestamp
+    }
+
+    yield bookChange
+  }
+
+  protected mapBookLevel(level: BinanceBookLevel) {
+    const price = Number(level[0])
+    const amount = Number(level[1])
+    return { price, amount }
+  }
+}
+
+export class BinanceEuropeanOptionSummaryMapper implements Mapper<'binance-european-options', OptionSummary> {
+  private readonly _indexPrices = new Map<string, number>()
+  private readonly _openInterests = new Map<string, number>()
+
+  canHandle(message: BinanceResponse<any>) {
+    if (message.stream === undefined) {
+      return false
+    }
+
+    return message.stream.endsWith('@ticker') || message.stream.endsWith('@index') || message.stream.includes('@openInterest')
+  }
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
+    const indexes =
+      symbols !== undefined
+        ? symbols.map((s) => {
+            const symbolParts = s.split('-')
+            return `${symbolParts[0]}USDT`
+          })
+        : undefined
+
+    const underlyings =
+      symbols !== undefined
+        ? symbols.map((s) => {
+            const symbolParts = s.split('-')
+            return `${symbolParts[0]}`
+          })
+        : undefined
+
+    return [
+      {
+        channel: 'ticker',
+        symbols
+      } as const,
+      {
+        channel: 'index',
+        symbols: indexes
+      } as const,
+      {
+        channel: 'openInterest',
+        symbols: underlyings
+      } as const
+    ]
+  }
+
+  *map(
+    message: BinanceResponse<BinanceOptionsTickerData | BinanceOptionsIndexData | BinanceOptionsOpenInterestData[]>,
+    localTimestamp: Date
+  ) {
+    if (message.stream.endsWith('@index')) {
+      const lastIndexPrice = Number((message.data as any).p)
+      if (lastIndexPrice > 0) {
+        this._indexPrices.set((message.data as any).s, lastIndexPrice)
+      }
+      return
+    }
+
+    if (message.stream.includes('@openInterest')) {
+      for (let data of message.data as BinanceOptionsOpenInterestData[]) {
+        const openInterest = Number(data.o)
+        if (openInterest > 0) {
+          this._openInterests.set(data.s, openInterest)
+        }
+      }
+
+      return
+    }
+
+    const optionInfo = message.data as BinanceOptionsTickerData
+
+    const [base, expiryPart, strikePrice, optionType] = optionInfo.s.split('-')
+
+    const expirationDate = new Date(`20${expiryPart.slice(0, 2)}-${expiryPart.slice(2, 4)}-${expiryPart.slice(4, 6)}Z`)
+    expirationDate.setUTCHours(8)
+
+    const isPut = optionType === 'P'
+
+    const underlyingIndex = `${base}USDT`
+
+    let bestBidPrice = asNumberIfValid(optionInfo.bo)
+    if (bestBidPrice === 0) {
+      bestBidPrice = undefined
+    }
+
+    let bestBidAmount = asNumberIfValid(optionInfo.bq)
+    if (bestBidAmount === 0) {
+      bestBidAmount = undefined
+    }
+    let bestAskPrice = asNumberIfValid(optionInfo.ao)
+    if (bestAskPrice === 0) {
+      bestAskPrice = undefined
+    }
+
+    let bestAskAmount = asNumberIfValid(optionInfo.aq)
+    if (bestAskAmount === 0) {
+      bestAskAmount = undefined
+    }
+
+    let bestBidIV = bestBidPrice !== undefined ? asNumberIfValid(optionInfo.b) : undefined
+    if (bestBidIV === -1) {
+      bestBidIV = undefined
+    }
+
+    let bestAskIV = bestAskPrice !== undefined ? asNumberIfValid(optionInfo.a) : undefined
+    if (bestAskIV === -1) {
+      bestAskIV = undefined
+    }
+
+    const optionSummary: OptionSummary = {
+      type: 'option_summary',
+      symbol: optionInfo.s,
+      exchange: 'binance-european-options',
+      optionType: isPut ? 'put' : 'call',
+      strikePrice: Number(strikePrice),
+      expirationDate,
+
+      bestBidPrice,
+      bestBidAmount,
+      bestBidIV,
+
+      bestAskPrice,
+      bestAskAmount,
+      bestAskIV,
+
+      lastPrice: asNumberIfValid(optionInfo.c),
+
+      openInterest: this._openInterests.get(optionInfo.s),
+
+      markPrice: asNumberIfValid(optionInfo.mp),
+      markIV: undefined,
+
+      delta: asNumberIfValid(optionInfo.d),
+      gamma: asNumberIfValid(optionInfo.g),
+      vega: asNumberIfValid(optionInfo.v),
+      theta: asNumberIfValid(optionInfo.t),
+      rho: undefined,
+
+      underlyingPrice: this._indexPrices.get(underlyingIndex),
+      underlyingIndex,
+
+      timestamp: new Date(optionInfo.E),
+      localTimestamp: localTimestamp
+    }
+
+    yield optionSummary
+  }
+}
+
+type BinanceResponse<T> = {
+  stream: string
+  data: T
+}
+
+type BinanceOptionsTradeData = {
+  e: 'trade'
+  E: 1696118408137
+  s: 'DOGE-231006-0.06-C'
+  t: '15'
+  p: '2.64'
+  q: '0.01'
+  b: '4647850284614262784'
+  a: '4719907951072796672'
+  T: 1696118408134
+  S: '-1'
+}
+
+type BinanceOptionsDepthData = {
+  e: 'depth'
+  E: 1696118400038
+  T: 1696118399082
+  s: 'BTC-231027-34000-C'
+  u: 1925729
+  pu: 1925729
+  b: [['60', '7.31'], ['55', '2.5'], ['50', '15'], ['45', '15'], ['40', '34.04']]
+  a: [['65', '8.28'], ['70', '38.88'], ['75', '15'], ['1200', '0.01'], ['4660', '0.42']]
+}
+
+type BinanceOptionsTickerData = {
+  e: '24hrTicker'
+  E: 1696118400043
+  T: 1696118400000
+  s: 'BNB-231013-200-P'
+  o: '1'
+  h: '1'
+  l: '0.9'
+  c: '0.9'
+  V: '11.08'
+  A: '9.97'
+  P: '-0.1'
+  p: '-0.1'
+  Q: '11'
+  F: '0'
+  L: '8'
+  n: 1
+  bo: '1'
+  ao: '1.7'
+  bq: '50'
+  aq: '50'
+  b: '0.35929501'
+  a: '0.43317497'
+  d: '-0.16872899'
+  t: '-0.16779034'
+  g: '0.0153237'
+  v: '0.09935076'
+  vo: '0.41658748'
+  mp: '1.5'
+  hl: '37.1'
+  ll: '0.1'
+  eep: '0'
+}
+
+type BinanceOptionsIndexData = { e: 'index'; E: 1696118400040; s: 'BNBUSDT'; p: '214.6133998' }
+
+type BinanceOptionsOpenInterestData = { e: 'openInterest'; E: 1696118400042; s: 'XRP-231006-0.46-P'; o: '39480.0'; h: '20326.64319' }
+
+type BinanceBookLevel = [string, string]

package/src/mappers/huobi.ts

@@ -545,6 +545,9 @@ export class HuobiBookTickerMapper implements Mapper<'huobi' | 'huobi-dm' | 'huo
     const symbol = message.ch.split('.')[1].toUpperCase()
 
     if ('quoteTime' in message.tick) {
+      if (message.tick.quoteTime === 0) {
+        return
+      }
       yield {
         type: 'book_ticker',
         symbol,
@@ -767,7 +770,7 @@ type HuobiBBOMessage =
         askSize: 2.323241
         bid: 7541.16
         bidSize: 0.002329
-        quoteTime: 1575158404057
+        quoteTime: number
         symbol: 'btcusdt'
       }
     }

package/src/mappers/index.ts

@@ -10,6 +10,11 @@ import {
   BinanceTradesMapper
 } from './binance'
 import { binanceDexBookChangeMapper, binanceDexBookTickerMapper, binanceDexTradesMapper } from './binancedex'
+import {
+  BinanceEuropeanOptionsBookChangeMapper,
+  BinanceEuropeanOptionsTradesMapper,
+  BinanceEuropeanOptionSummaryMapper
+} from './binanceeuropeanoptions'
 import { BinanceOptionsBookChangeMapper, BinanceOptionsTradesMapper, BinanceOptionSummaryMapper } from './binanceoptions'
 import {
   BitfinexBookChangeMapper,
@@ -238,7 +243,8 @@ const tradesMappers = {
   bitnomial: () => bitnomialTradesMapper,
   'woo-x': () => wooxTradesMapper,
   'blockchain-com': () => new BlockchainComTradesMapper(),
-  'bybit-options': () => new BybitV5TradesMapper('bybit-options')
+  'bybit-options': () => new BybitV5TradesMapper('bybit-options'),
+  'binance-european-options': () => new BinanceEuropeanOptionsTradesMapper()
 }
 
 const bookChangeMappers = {
@@ -322,7 +328,8 @@ const bookChangeMappers = {
   bitnomial: () => new BitnomialBookChangMapper(),
   'woo-x': () => new WooxBookChangeMapper(),
   'blockchain-com': () => new BlockchainComBookChangeMapper(),
-  'bybit-options': () => new BybitV5BookChangeMapper('bybit-options', 25)
+  'bybit-options': () => new BybitV5BookChangeMapper('bybit-options', 25),
+  'binance-european-options': () => new BinanceEuropeanOptionsBookChangeMapper()
 }
 
 const derivativeTickersMappers = {
@@ -363,7 +370,8 @@ const optionsSummaryMappers = {
     shouldUseOkexV5Mappers(localTimestamp) ? new OkexV5OptionSummaryMapper() : new OkexOptionSummaryMapper(),
   'binance-options': () => new BinanceOptionSummaryMapper(),
   'huobi-dm-options': () => new HuobiOptionsSummaryMapper(),
-  'bybit-options': () => new BybitV5OptionSummaryMapper()
+  'bybit-options': () => new BybitV5OptionSummaryMapper(),
+  'binance-european-options': () => new BinanceEuropeanOptionSummaryMapper()
 }
 
 const liquidationsMappers = {

package/src/realtimefeeds/binanceeuropeanoptions.ts

@@ -0,0 +1,36 @@
+import { Filter } from '../types'
+import { RealTimeFeedBase } from './realtimefeed'
+
+export class BinanceEuropeanOptionsRealTimeFeed extends RealTimeFeedBase {
+  protected wssURL = 'wss://nbstream.binance.com/eoptions/stream'
+
+  protected mapToSubscribeMessages(filters: Filter<string>[]): any[] {
+    const payload = filters.map((filter, index) => {
+      if (!filter.symbols || filter.symbols.length === 0) {
+        throw new Error('BinanceEuropeanOptionsRealTimeFeed requires explicitly specified symbols when subscribing to live feed')
+      }
+
+      return {
+        method: 'SUBSCRIBE',
+        params: filter.symbols.map((symbol) => {
+          if (filter.channel === 'depth100') {
+            return `${symbol}@${filter.channel}@100ms`
+          }
+
+          return `${symbol}@${filter.channel}`
+        }),
+        id: index + 1
+      }
+    })
+
+    return payload
+  }
+
+  protected messageIsError(message: any): boolean {
+    if (message.data !== undefined && message.data.e === 'error') {
+      return true
+    }
+
+    return false
+  }
+}

package/src/realtimefeeds/index.ts

@@ -46,6 +46,7 @@ import { KucoinRealTimeFeed } from './kucoin'
 import { BitnomialRealTimeFeed } from './bitnomial'
 import { WooxRealTimeFeed } from './woox'
 import { BlockchainComRealTimeFeed } from './blockchaincom'
+import { BinanceEuropeanOptionsRealTimeFeed } from './binanceeuropeanoptions'
 
 export * from './realtimefeed'
 
@@ -102,7 +103,8 @@ const realTimeFeedsMap: {
   kucoin: KucoinRealTimeFeed,
   bitnomial: BitnomialRealTimeFeed,
   'woo-x': WooxRealTimeFeed,
-  'blockchain-com': BlockchainComRealTimeFeed
+  'blockchain-com': BlockchainComRealTimeFeed,
+  'binance-european-options': BinanceEuropeanOptionsRealTimeFeed
 }
 
 export function getRealTimeFeedFactory(exchange: Exchange): RealTimeFeed {