tardis-dev 14.2.0 → 14.2.2

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

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package/dist/realtimefeeds/binanceoptions.js

@@ -1,34 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.BinanceOptionsRealTimeFeed = void 0;
-const realtimefeed_1 = require("./realtimefeed");
-class BinanceOptionsRealTimeFeed extends realtimefeed_1.RealTimeFeedBase {
-    wssURL = 'wss://vstream.binance.com/stream';
-    httpURL = 'https://vapi.binance.com/vapi/v1';
-    mapToSubscribeMessages(filters) {
-        const payload = filters.map((filter, index) => {
-            if (!filter.symbols || filter.symbols.length === 0) {
-                throw new Error('BinanceOptionsRealTimeFeed requires explicitly specified symbols when subscribing to live feed');
-            }
-            return {
-                method: 'SUBSCRIBE',
-                params: filter.symbols.map((symbol) => `${symbol}@${filter.channel}`),
-                id: index + 1
-            };
-        });
-        const noBinary = {
-            method: 'BINARY',
-            params: ['false'],
-            id: 0
-        };
-        return [noBinary, ...payload];
-    }
-    messageIsError(message) {
-        if (message.data !== undefined && message.data.e === 'error') {
-            return true;
-        }
-        return false;
-    }
-}
-exports.BinanceOptionsRealTimeFeed = BinanceOptionsRealTimeFeed;
-//# sourceMappingURL=binanceoptions.js.map

package/dist/realtimefeeds/binanceoptions.js.map

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package/src/mappers/binanceoptions.ts

@@ -1,265 +0,0 @@
-import { asNumberIfValid, upperCaseSymbols } from '../handy'
-import { BookChange, OptionSummary, Trade } from '../types'
-import { Mapper } from './mapper'
-
-// https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md
-
-export class BinanceOptionsTradesMapper implements Mapper<'binance-options', Trade> {
-  private readonly _lastTradeId = new Map<string, number>()
-  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 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: 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
-    }
-  }
-}
-
-export class BinanceOptionsBookChangeMapper implements Mapper<'binance-options', BookChange> {
-  canHandle(message: BinanceResponse<any>) {
-    if (message.stream === undefined) {
-      return false
-    }
-
-    return message.stream.endsWith('@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-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 BinanceOptionSummaryMapper implements Mapper<'binance-options', OptionSummary> {
-  private readonly _indexPrices = new Map<string, number>()
-  canHandle(message: BinanceResponse<any>) {
-    if (message.stream === undefined) {
-      return false
-    }
-
-    return message.stream.endsWith('@TICKER') || message.stream.endsWith('@INDEX')
-  }
-
-  getFilters(symbols?: string[]) {
-    symbols = upperCaseSymbols(symbols)
-
-    const indexes =
-      symbols !== undefined
-        ? symbols.map((s) => {
-            const symbolParts = s.split('-')
-            return `${symbolParts[0]}USDT`
-          })
-        : undefined
-
-    return [
-      {
-        channel: 'TICKER',
-        symbols
-      } as const,
-      {
-        channel: 'INDEX',
-        symbols: indexes
-      } as const
-    ]
-  }
-
-  *map(message: BinanceResponse<BinanceOptionsTickerData | BinanceOptionsIndexData>, localTimestamp: Date) {
-    if (message.stream.endsWith('@INDEX')) {
-      const lastIndexPrice = Number(message.data.p)
-      if (lastIndexPrice > 0) {
-        this._indexPrices.set(message.data.s, lastIndexPrice)
-      }
-      return
-    }
-
-    const optionInfo = message.data as BinanceOptionsTickerData
-
-    const [base, expiryPart, strikePrice, optionType] = optionInfo.s.split('-')
-
-    const expirationDate = new Date(`20${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 bestAskPrice = asNumberIfValid(optionInfo.ao)
-    if (bestAskPrice === 0) {
-      bestAskPrice = 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-options',
-      optionType: isPut ? 'put' : 'call',
-      strikePrice: Number(strikePrice),
-      expirationDate,
-
-      bestBidPrice,
-      bestBidAmount: undefined,
-      bestBidIV,
-
-      bestAskPrice,
-      bestAskAmount: undefined,
-      bestAskIV,
-
-      lastPrice: asNumberIfValid(optionInfo.c),
-      openInterest: undefined,
-
-      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: 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' // event type
-  E: 1591677962357 // event time
-  s: 'BTC-200630-9000-P' // Option trading pair
-  o: '1000' // 24-hour opening price
-  h: '1000' // Highest price
-  l: '1000' // Lowest price
-  c: '1000' // latest price
-  V: '2' // Trading volume
-  A: '0' // trade amount
-  p: '0' // price change
-  Q: '2000' // volume of last completed trade
-  F: 1 // first trade ID
-  L: 1 // last trade ID
-  n: 1 // number of trades
-  b: '0' // BuyImplied volatility
-  a: '0' // SellImplied volatility
-  d: '0' // delta
-  t: '0' // theta
-  g: '0' // gamma
-  v: '0' // vega,
-  bo: '3.1' // best bid price
-  ao: '90.36' // best ask price
-  mp: '6.96' // mark price
-}
-
-type BinanceOptionsIndexData = { e: 'index'; E: 1614556800182; s: 'BTCUSDT'; p: '45160.127864' }
-
-type BinanceBookLevel = [string, string]

package/src/realtimefeeds/binanceoptions.ts

@@ -1,37 +0,0 @@
-import { Filter } from '../types'
-import { RealTimeFeedBase } from './realtimefeed'
-
-export class BinanceOptionsRealTimeFeed extends RealTimeFeedBase {
-  protected wssURL = 'wss://vstream.binance.com/stream'
-  protected httpURL = 'https://vapi.binance.com/vapi/v1'
-
-  protected mapToSubscribeMessages(filters: Filter<string>[]): any[] {
-    const payload = filters.map((filter, index) => {
-      if (!filter.symbols || filter.symbols.length === 0) {
-        throw new Error('BinanceOptionsRealTimeFeed requires explicitly specified symbols when subscribing to live feed')
-      }
-
-      return {
-        method: 'SUBSCRIBE',
-        params: filter.symbols.map((symbol) => `${symbol}@${filter.channel}`),
-        id: index + 1
-      }
-    })
-
-    const noBinary = {
-      method: 'BINARY',
-      params: ['false'],
-      id: 0
-    }
-
-    return [noBinary, ...payload]
-  }
-
-  protected messageIsError(message: any): boolean {
-    if (message.data !== undefined && message.data.e === 'error') {
-      return true
-    }
-
-    return false
-  }
-}