tardis-dev 14.2.0 → 14.2.1

package/src/realtimefeeds/binance.ts

@@ -12,6 +12,62 @@ const binanceHttpOptions = {
   }
 }
 
+const DEFAULT_OPEN_INTEREST_MIN_AVAILABLE_WEIGHT_BUFFER = 100
+const DEFAULT_OPEN_INTEREST_POLLING_INTERVAL_MS = 5 * 1000
+const OPEN_INTEREST_BATCH_SIZE = 10
+const OPEN_INTEREST_REQUEST_WEIGHT = 1
+const OPEN_INTEREST_POLLING_RECOVERY_MS = 1000
+const OPEN_INTEREST_MAX_POLLING_INTERVAL_MS = 60 * 1000
+
+function parseBinanceWeightHeader(headerValue: string | string[] | undefined) {
+  if (headerValue === undefined) {
+    return undefined
+  }
+
+  const header = Array.isArray(headerValue) ? headerValue[0] : headerValue
+  const parsed = Number.parseInt(header, 10)
+
+  return Number.isFinite(parsed) ? parsed : undefined
+}
+
+function getExchangeScopedNumberEnv(exchange: string, suffix: string, fallback: number) {
+  const envName = `${exchange.toUpperCase().replace(/-/g, '_')}_${suffix}`
+  const rawValue = process.env[envName]
+
+  if (rawValue === undefined) {
+    return fallback
+  }
+
+  const parsed = Number.parseInt(rawValue, 10)
+
+  return Number.isFinite(parsed) ? parsed : fallback
+}
+
+function getBinanceRequestWeightLimit(exchange: string, exchangeInfo: any) {
+  const configuredLimit = getExchangeScopedNumberEnv(exchange, 'REQUEST_WEIGHT_LIMIT', 0)
+  if (configuredLimit > 0) {
+    return configuredLimit
+  }
+
+  const requestWeightLimit = exchangeInfo.rateLimits.find((d: any) => d.rateLimitType === 'REQUEST_WEIGHT')?.limit as number | undefined
+
+  if (!requestWeightLimit) {
+    throw new Error('Failed to determine Binance REQUEST_WEIGHT limit')
+  }
+
+  return requestWeightLimit
+}
+
+function getBinanceAvailableWeight(weightLimit: number, usedWeight: number, buffer: number) {
+  return weightLimit > 0 ? weightLimit - usedWeight - buffer : Infinity
+}
+
+function getDelayToNextMinuteMS() {
+  const now = new Date()
+
+  return Math.max((61 - now.getUTCSeconds()) * 1000 - now.getUTCMilliseconds(), 1)
+}
+
 abstract class BinanceRealTimeFeedBase extends MultiConnectionRealTimeFeedBase {
   protected abstract wssURL: string
   protected abstract httpURL: string
@@ -38,38 +94,179 @@ abstract class BinanceRealTimeFeedBase extends MultiConnectionRealTimeFeedBase {
     if (openInterestFilters.length > 0) {
       const instruments = openInterestFilters.flatMap((s) => s.symbols!)
 
-      yield new BinanceFuturesOpenInterestClient(exchange, this.httpURL, instruments)
+      yield new BinanceFuturesOpenInterestClient(exchange, this.httpURL, instruments, onError)
     }
   }
 }
 
 class BinanceFuturesOpenInterestClient extends PoolingClientBase {
-  constructor(exchange: string, private readonly _httpURL: string, private readonly _instruments: string[]) {
-    super(exchange, 3)
+  private readonly _minPollingIntervalMS: number
+  private readonly _minAvailableWeightBuffer: number
+  private readonly _maxPollingIntervalMS: number
+  private _currentPollingIntervalMS: number
+  private _requestWeightLimit: number
+  private _usedWeight = 0
+
+  constructor(
+    private readonly _exchange: string,
+    private readonly _httpURL: string,
+    private readonly _instruments: string[],
+    onError?: (error: Error) => void
+  ) {
+    const minPollingIntervalMS = Math.max(
+      getExchangeScopedNumberEnv(_exchange, 'OPEN_INTEREST_POLLING_INTERVAL_MS', DEFAULT_OPEN_INTEREST_POLLING_INTERVAL_MS),
+      1000
+    )
+
+    super(_exchange, minPollingIntervalMS / 1000, onError)
+
+    this._minPollingIntervalMS = minPollingIntervalMS
+    this._maxPollingIntervalMS = Math.max(this._minPollingIntervalMS, OPEN_INTEREST_MAX_POLLING_INTERVAL_MS)
+    this._currentPollingIntervalMS = minPollingIntervalMS
+    this._requestWeightLimit = getExchangeScopedNumberEnv(_exchange, 'REQUEST_WEIGHT_LIMIT', 0)
+    this._minAvailableWeightBuffer = getExchangeScopedNumberEnv(
+      _exchange,
+      'MIN_AVAILABLE_WEIGHT_BUFFER',
+      DEFAULT_OPEN_INTEREST_MIN_AVAILABLE_WEIGHT_BUFFER
+    )
+  }
+
+  protected getPoolingDelayMS() {
+    return this._currentPollingIntervalMS
   }
 
   protected async poolDataToStream(outputStream: Writable) {
-    for (const instruments of batch(this._instruments, 10)) {
-      await Promise.allSettled(
-        instruments.map(async (instrument) => {
-          if (outputStream.destroyed) {
-            return
-          }
-          const openInterestResponse = (await httpClient
-            .get(`${this._httpURL}/openInterest?symbol=${instrument.toUpperCase()}`, binanceHttpOptions)
-            .json()) as any
+    let waitedForRateLimit = false
 
-          const openInterestMessage = {
-            stream: `${instrument.toLocaleLowerCase()}@openInterest`,
-            generated: true,
-            data: openInterestResponse
-          }
+    if (!this._requestWeightLimit) {
+      await this._initializeRateLimitInfo()
+    }
+
+    for (let index = 0; index < this._instruments.length; ) {
+      if (outputStream.destroyed) {
+        return
+      }
+
+      waitedForRateLimit = (await this._waitForAvailableWeight()) || waitedForRateLimit
+      const batchSize = this._getBatchSize()
+
+      if (batchSize <= 0) {
+        break
+      }
+
+      const instrumentsBatch = this._instruments.slice(index, index + batchSize)
+      index += instrumentsBatch.length
+
+      const results = await Promise.allSettled(
+        instrumentsBatch.map(async (instrument) => {
+          const openInterestResponse = await httpClient.get(
+            `${this._httpURL}/openInterest?symbol=${instrument.toUpperCase()}`,
+            binanceHttpOptions
+          )
 
-          if (outputStream.writable) {
-            outputStream.write(openInterestMessage)
+          return {
+            instrument,
+            usedWeight: parseBinanceWeightHeader(openInterestResponse.headers['x-mbx-used-weight-1m'] as string | string[] | undefined),
+            data: JSON.parse(openInterestResponse.body)
           }
         })
       )
+
+      let maxUsedWeight: number | undefined
+      let fulfilledCount = 0
+
+      for (const result of results) {
+        if (result.status === 'rejected') {
+          this._notifyError(result.reason)
+          continue
+        }
+
+        fulfilledCount++
+        maxUsedWeight = Math.max(maxUsedWeight ?? 0, result.value.usedWeight ?? 0)
+
+        if (outputStream.writable) {
+          outputStream.write({
+            stream: `${result.value.instrument.toLowerCase()}@openInterest`,
+            generated: true,
+            data: result.value.data
+          })
+        }
+      }
+
+      this._updateUsedWeight(maxUsedWeight || undefined, fulfilledCount * OPEN_INTEREST_REQUEST_WEIGHT)
+    }
+
+    if (waitedForRateLimit) {
+      this._currentPollingIntervalMS = Math.min(this._currentPollingIntervalMS + this._minPollingIntervalMS, this._maxPollingIntervalMS)
+    } else {
+      this._currentPollingIntervalMS = Math.max(
+        this._minPollingIntervalMS,
+        this._currentPollingIntervalMS - OPEN_INTEREST_POLLING_RECOVERY_MS
+      )
+    }
+  }
+
+  private async _waitForAvailableWeight() {
+    const available = getBinanceAvailableWeight(this._requestWeightLimit, this._usedWeight, this._minAvailableWeightBuffer)
+
+    if (available >= OPEN_INTEREST_REQUEST_WEIGHT) {
+      return false
+    }
+
+    const delayMS = getDelayToNextMinuteMS()
+    this.debug(
+      'open interest reached rate limit (limit: %s, used: %s, minimum available buffer: %s), waiting %s ms',
+      this._requestWeightLimit,
+      this._usedWeight,
+      this._minAvailableWeightBuffer,
+      delayMS
+    )
+
+    await wait(delayMS)
+
+    // Binance request weight is tracked in a rolling 1-minute window. After waiting for the next minute
+    // we can resume and let the next REST response header refresh the exact current usage.
+    this._usedWeight = 0
+
+    return true
+  }
+
+  private async _initializeRateLimitInfo() {
+    const exchangeInfoResponse = await httpClient.get(`${this._httpURL}/exchangeInfo`, binanceHttpOptions)
+    const exchangeInfo = JSON.parse(exchangeInfoResponse.body)
+
+    this._requestWeightLimit = getBinanceRequestWeightLimit(this._exchange, exchangeInfo)
+
+    this._updateUsedWeight(
+      parseBinanceWeightHeader(exchangeInfoResponse.headers['x-mbx-used-weight-1m'] as string | string[] | undefined),
+      OPEN_INTEREST_REQUEST_WEIGHT
+    )
+  }
+
+  private _getBatchSize() {
+    const available = getBinanceAvailableWeight(this._requestWeightLimit, this._usedWeight, this._minAvailableWeightBuffer)
+
+    return Math.min(OPEN_INTEREST_BATCH_SIZE, Math.max(0, Math.floor(available)))
+  }
+
+  private _notifyError(error: unknown) {
+    const normalizedError = error instanceof Error ? error : new Error(String(error))
+
+    this.debug('open interest request error %o', normalizedError)
+
+    if (this.onError !== undefined) {
+      this.onError(normalizedError)
+    }
+  }
+
+  private _updateUsedWeight(usedWeight: number | undefined, fallbackIncrement = OPEN_INTEREST_REQUEST_WEIGHT) {
+    if (usedWeight !== undefined) {
+      this._usedWeight = usedWeight
+      return
+    }
+
+    if (this._requestWeightLimit > 0 && fallbackIncrement > 0) {
+      this._usedWeight += fallbackIncrement
     }
   }
 }
@@ -133,23 +330,11 @@ class BinanceSingleConnectionRealTimeFeed extends RealTimeFeedBase {
       return
     }
 
-    let currentWeightLimit: number = 0
-
     const exchangeInfoResponse = await httpClient.get(`${this._httpURL}/exchangeInfo`, binanceHttpOptions)
-
     const exchangeInfo = JSON.parse(exchangeInfoResponse.body)
 
-    const REQUEST_WEIGHT_LIMIT_ENV = `${this._exchange.toUpperCase().replace(/-/g, '_')}_REQUEST_WEIGHT_LIMIT`
-
     const DELAY_ENV = `${this._exchange.toUpperCase().replace(/-/g, '_')}_SNAPSHOTS_DELAY_MS`
-
-    if (process.env[REQUEST_WEIGHT_LIMIT_ENV] !== undefined) {
-      currentWeightLimit = Number.parseInt(process.env[REQUEST_WEIGHT_LIMIT_ENV] as string)
-    }
-
-    if (!currentWeightLimit) {
-      currentWeightLimit = exchangeInfo.rateLimits.find((d: any) => d.rateLimitType === 'REQUEST_WEIGHT').limit as number
-    }
+    const currentWeightLimit = getBinanceRequestWeightLimit(this._exchange, exchangeInfo)
 
     let usedWeight = Number.parseInt(exchangeInfoResponse.headers['x-mbx-used-weight-1m'] as string)
 
@@ -165,13 +350,11 @@ class BinanceSingleConnectionRealTimeFeed extends RealTimeFeedBase {
 
     this.debug('current snapshots requests concurrency limit: %s', concurrencyLimit)
 
-    let minWeightBuffer = 2 * concurrencyLimit * this._depthRequestRequestWeight
-
-    const MIN_WEIGHT_BUFFER_ENV = `${this._exchange.toUpperCase().replace(/-/g, '_')}_MIN_AVAILABLE_WEIGHT_BUFFER`
-
-    if (process.env[MIN_WEIGHT_BUFFER_ENV] !== undefined) {
-      minWeightBuffer = Number.parseInt(process.env[MIN_WEIGHT_BUFFER_ENV] as string)
-    }
+    const minWeightBuffer = getExchangeScopedNumberEnv(
+      this._exchange,
+      'MIN_AVAILABLE_WEIGHT_BUFFER',
+      2 * concurrencyLimit * this._depthRequestRequestWeight
+    )
 
     for (const symbolsBatch of batch(depthSnapshotFilter.symbols!, concurrencyLimit)) {
       if (shouldCancel()) {
@@ -186,19 +369,19 @@ class BinanceSingleConnectionRealTimeFeed extends RealTimeFeedBase {
             return 0
           }
 
-          const isOverRateLimit = currentWeightLimit - usedWeight < minWeightBuffer
+          const isOverRateLimit = getBinanceAvailableWeight(currentWeightLimit, usedWeight, minWeightBuffer) < 0
 
           if (isOverRateLimit) {
-            const secondsToWait = 61 - new Date().getUTCSeconds()
+            const delayMS = getDelayToNextMinuteMS()
             this.debug(
               'reached rate limit (x-mbx-used-weight-1m limit: %s, used weight: %s, minimum available weight buffer: %s), waiting: %s seconds',
               currentWeightLimit,
               usedWeight,
               minWeightBuffer,
-              secondsToWait
+              Math.ceil(delayMS / 1000)
             )
 
-            await wait(secondsToWait * 1000)
+            await wait(delayMS)
           }
 
           const depthSnapshotResponse = await httpClient.get(

package/src/realtimefeeds/index.ts

@@ -34,7 +34,6 @@ import { GateIORealTimeFeed } from './gateio'
 import { GateIOFuturesRealTimeFeed } from './gateiofutures'
 import { PoloniexRealTimeFeed } from './poloniex'
 import { CoinflexRealTimeFeed } from './coinflex'
-import { BinanceOptionsRealTimeFeed } from './binanceoptions'
 import { UpbitRealTimeFeed } from './upbit'
 import { AscendexRealTimeFeed } from './ascendex'
 import { DydxRealTimeFeed } from './dydx'
@@ -94,7 +93,6 @@ const realTimeFeedsMap: {
   'gate-io-futures': GateIOFuturesRealTimeFeed,
   poloniex: PoloniexRealTimeFeed,
   coinflex: CoinflexRealTimeFeed,
-  'binance-options': BinanceOptionsRealTimeFeed,
   upbit: UpbitRealTimeFeed,
   ascendex: AscendexRealTimeFeed,
   dydx: DydxRealTimeFeed,
@@ -105,7 +103,6 @@ const realTimeFeedsMap: {
   'bybit-spot': BybitSpotRealTimeDataFeed,
   'bybit-options': BybitOptionsRealTimeDataFeed,
   'crypto-com': CryptoComRealTimeFeed,
-  'crypto-com-derivatives': CryptoComRealTimeFeed,
   kucoin: KucoinRealTimeFeed,
   bitnomial: BitnomialRealTimeFeed,
   'woo-x': WooxRealTimeFeed,

package/src/realtimefeeds/realtimefeed.ts

@@ -382,21 +382,29 @@ export abstract class PoolingClientBase implements RealTimeFeedIterable {
 
   protected abstract poolDataToStream(outputStream: Writable): Promise<void>
 
-  private async _startPooling(outputStream: Writable) {
-    const timeoutInterval = this._poolingIntervalSeconds * ONE_SEC_IN_MS
+  protected getPoolingDelayMS() {
+    return this._poolingIntervalSeconds * ONE_SEC_IN_MS
+  }
 
+  private async _startPooling(outputStream: Writable) {
     const pool = async () => {
       try {
         await this.poolDataToStream(outputStream)
       } catch (e) {
-        this.debug('pooling error %o', e)
+        const error = e instanceof Error ? e : new Error(String(e))
+
+        this.debug('pooling error %o', error)
+
+        if (this.onError !== undefined) {
+          this.onError(error)
+        }
       }
     }
 
     const poolAndSchedule = () => {
       pool().then(() => {
         if (!outputStream.destroyed) {
-          this._tid = setTimeout(poolAndSchedule, timeoutInterval)
+          this._tid = setTimeout(poolAndSchedule, this.getPoolingDelayMS())
         }
       })
     }

package/dist/mappers/binanceoptions.d.ts

@@ -1,92 +0,0 @@
-import { BookChange, OptionSummary, Trade } from '../types';
-import { Mapper } from './mapper';
-export declare class BinanceOptionsTradesMapper implements Mapper<'binance-options', Trade> {
-    private readonly _lastTradeId;
-    canHandle(message: BinanceResponse<any>): boolean;
-    getFilters(symbols?: string[]): {
-        readonly channel: "TRADE";
-        readonly symbols: string[] | undefined;
-    }[];
-    map(binanceTradeResponse: BinanceResponse<BinanceOptionsTradeData>, localTimestamp: Date): Generator<Trade, void, unknown>;
-}
-export declare class BinanceOptionsBookChangeMapper implements Mapper<'binance-options', BookChange> {
-    canHandle(message: BinanceResponse<any>): boolean;
-    getFilters(symbols?: string[]): {
-        readonly channel: "DEPTH100";
-        readonly symbols: string[] | undefined;
-    }[];
-    map(message: BinanceResponse<BinanceOptionsDepthData>, localTimestamp: Date): Generator<BookChange, void, unknown>;
-    protected mapBookLevel(level: BinanceBookLevel): {
-        price: number;
-        amount: number;
-    };
-}
-export declare class BinanceOptionSummaryMapper implements Mapper<'binance-options', OptionSummary> {
-    private readonly _indexPrices;
-    canHandle(message: BinanceResponse<any>): boolean;
-    getFilters(symbols?: string[]): ({
-        readonly channel: "TICKER";
-        readonly symbols: string[] | undefined;
-    } | {
-        readonly channel: "INDEX";
-        readonly symbols: string[] | undefined;
-    })[];
-    map(message: BinanceResponse<BinanceOptionsTickerData | BinanceOptionsIndexData>, localTimestamp: Date): Generator<OptionSummary, void, unknown>;
-}
-type BinanceResponse<T> = {
-    stream: string;
-    data: T;
-};
-type BinanceOptionsTradeData = {
-    e: 'trade';
-    E: number;
-    s: string;
-    t: {
-        t: string;
-        p: string;
-        q: string;
-        T: number;
-        s: '-1' | '1';
-    }[];
-};
-type BinanceOptionsDepthData = {
-    e: 'depth';
-    E: number;
-    s: string;
-    b: BinanceBookLevel[];
-    a: BinanceBookLevel[];
-};
-type BinanceOptionsTickerData = {
-    e: 'ticker';
-    E: 1591677962357;
-    s: 'BTC-200630-9000-P';
-    o: '1000';
-    h: '1000';
-    l: '1000';
-    c: '1000';
-    V: '2';
-    A: '0';
-    p: '0';
-    Q: '2000';
-    F: 1;
-    L: 1;
-    n: 1;
-    b: '0';
-    a: '0';
-    d: '0';
-    t: '0';
-    g: '0';
-    v: '0';
-    bo: '3.1';
-    ao: '90.36';
-    mp: '6.96';
-};
-type BinanceOptionsIndexData = {
-    e: 'index';
-    E: 1614556800182;
-    s: 'BTCUSDT';
-    p: '45160.127864';
-};
-type BinanceBookLevel = [string, string];
-export {};
-//# sourceMappingURL=binanceoptions.d.ts.map

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

@@ -1 +0,0 @@
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package/dist/mappers/binanceoptions.js

@@ -1,177 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.BinanceOptionSummaryMapper = exports.BinanceOptionsBookChangeMapper = exports.BinanceOptionsTradesMapper = void 0;
-const handy_1 = require("../handy");
-// https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md
-class BinanceOptionsTradesMapper {
-    _lastTradeId = new Map();
-    canHandle(message) {
-        if (message.stream === undefined) {
-            return false;
-        }
-        return message.stream.endsWith('@TRADE');
-    }
-    getFilters(symbols) {
-        symbols = (0, handy_1.upperCaseSymbols)(symbols);
-        return [
-            {
-                channel: 'TRADE',
-                symbols
-            }
-        ];
-    }
-    *map(binanceTradeResponse, localTimestamp) {
-        const symbol = binanceTradeResponse.data.s;
-        for (const optionsTrade of binanceTradeResponse.data.t) {
-            // binance options does not only return real-time trade as it happens but just snapshot of last 'x' trades always
-            // so we need to decide which are real-time trades and which are stale/already processed
-            const timestamp = new Date(optionsTrade.T);
-            const tradeIdNumeric = Number(optionsTrade.t);
-            const lastProcessedTradeId = this._lastTradeId.get(symbol);
-            const isAlreadyProcessed = lastProcessedTradeId !== undefined && lastProcessedTradeId >= tradeIdNumeric;
-            const isStaleTrade = localTimestamp.valueOf() - timestamp.valueOf() > 10000;
-            if (isAlreadyProcessed || isStaleTrade) {
-                continue;
-            }
-            this._lastTradeId.set(symbol, Number(optionsTrade.t));
-            const trade = {
-                type: 'trade',
-                symbol,
-                exchange: 'binance-options',
-                id: optionsTrade.t,
-                price: Number(optionsTrade.p),
-                amount: Number(optionsTrade.q),
-                side: optionsTrade.s === '-1' ? 'sell' : 'buy',
-                timestamp,
-                localTimestamp: localTimestamp
-            };
-            yield trade;
-        }
-    }
-}
-exports.BinanceOptionsTradesMapper = BinanceOptionsTradesMapper;
-class BinanceOptionsBookChangeMapper {
-    canHandle(message) {
-        if (message.stream === undefined) {
-            return false;
-        }
-        return message.stream.endsWith('@DEPTH100');
-    }
-    getFilters(symbols) {
-        symbols = (0, handy_1.upperCaseSymbols)(symbols);
-        return [
-            {
-                channel: 'DEPTH100',
-                symbols
-            }
-        ];
-    }
-    *map(message, localTimestamp) {
-        const bookChange = {
-            type: 'book_change',
-            symbol: message.data.s,
-            exchange: 'binance-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;
-    }
-    mapBookLevel(level) {
-        const price = Number(level[0]);
-        const amount = Number(level[1]);
-        return { price, amount };
-    }
-}
-exports.BinanceOptionsBookChangeMapper = BinanceOptionsBookChangeMapper;
-class BinanceOptionSummaryMapper {
-    _indexPrices = new Map();
-    canHandle(message) {
-        if (message.stream === undefined) {
-            return false;
-        }
-        return message.stream.endsWith('@TICKER') || message.stream.endsWith('@INDEX');
-    }
-    getFilters(symbols) {
-        symbols = (0, handy_1.upperCaseSymbols)(symbols);
-        const indexes = symbols !== undefined
-            ? symbols.map((s) => {
-                const symbolParts = s.split('-');
-                return `${symbolParts[0]}USDT`;
-            })
-            : undefined;
-        return [
-            {
-                channel: 'TICKER',
-                symbols
-            },
-            {
-                channel: 'INDEX',
-                symbols: indexes
-            }
-        ];
-    }
-    *map(message, localTimestamp) {
-        if (message.stream.endsWith('@INDEX')) {
-            const lastIndexPrice = Number(message.data.p);
-            if (lastIndexPrice > 0) {
-                this._indexPrices.set(message.data.s, lastIndexPrice);
-            }
-            return;
-        }
-        const optionInfo = message.data;
-        const [base, expiryPart, strikePrice, optionType] = optionInfo.s.split('-');
-        const expirationDate = new Date(`20${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 = (0, handy_1.asNumberIfValid)(optionInfo.bo);
-        if (bestBidPrice === 0) {
-            bestBidPrice = undefined;
-        }
-        let bestAskPrice = (0, handy_1.asNumberIfValid)(optionInfo.ao);
-        if (bestAskPrice === 0) {
-            bestAskPrice = undefined;
-        }
-        let bestBidIV = bestBidPrice !== undefined ? (0, handy_1.asNumberIfValid)(optionInfo.b) : undefined;
-        if (bestBidIV === -1) {
-            bestBidIV = undefined;
-        }
-        let bestAskIV = bestAskPrice !== undefined ? (0, handy_1.asNumberIfValid)(optionInfo.a) : undefined;
-        if (bestAskIV === -1) {
-            bestAskIV = undefined;
-        }
-        const optionSummary = {
-            type: 'option_summary',
-            symbol: optionInfo.s,
-            exchange: 'binance-options',
-            optionType: isPut ? 'put' : 'call',
-            strikePrice: Number(strikePrice),
-            expirationDate,
-            bestBidPrice,
-            bestBidAmount: undefined,
-            bestBidIV,
-            bestAskPrice,
-            bestAskAmount: undefined,
-            bestAskIV,
-            lastPrice: (0, handy_1.asNumberIfValid)(optionInfo.c),
-            openInterest: undefined,
-            markPrice: (0, handy_1.asNumberIfValid)(optionInfo.mp),
-            markIV: undefined,
-            delta: (0, handy_1.asNumberIfValid)(optionInfo.d),
-            gamma: (0, handy_1.asNumberIfValid)(optionInfo.g),
-            vega: (0, handy_1.asNumberIfValid)(optionInfo.v),
-            theta: (0, handy_1.asNumberIfValid)(optionInfo.t),
-            rho: undefined,
-            underlyingPrice: this._indexPrices.get(underlyingIndex),
-            underlyingIndex,
-            timestamp: new Date(optionInfo.E),
-            localTimestamp: localTimestamp
-        };
-        yield optionSummary;
-    }
-}
-exports.BinanceOptionSummaryMapper = BinanceOptionSummaryMapper;
-//# sourceMappingURL=binanceoptions.js.map

package/dist/mappers/binanceoptions.js.map

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package/dist/realtimefeeds/binanceoptions.d.ts

@@ -1,9 +0,0 @@
-import { Filter } from '../types';
-import { RealTimeFeedBase } from './realtimefeed';
-export declare class BinanceOptionsRealTimeFeed extends RealTimeFeedBase {
-    protected wssURL: string;
-    protected httpURL: string;
-    protected mapToSubscribeMessages(filters: Filter<string>[]): any[];
-    protected messageIsError(message: any): boolean;
-}
-//# sourceMappingURL=binanceoptions.d.ts.map