tardis-dev 16.4.1 → 16.5.0

package/dist/realtimefeeds/polymarket.js

@@ -0,0 +1,92 @@
+import { MultiConnectionRealTimeFeedBase, RealTimeFeedBase } from "./realtimefeed.js";
+export class PolymarketRealTimeFeed extends MultiConnectionRealTimeFeedBase {
+    clobChannels = new Set([
+        'book',
+        'price_change',
+        'last_trade_price',
+        'best_bid_ask',
+        'tick_size_change',
+        'new_market',
+        'market_resolved'
+    ]);
+    sportsChannel = 'sport_result';
+    *_getRealTimeFeeds(exchange, filters, timeoutIntervalMS, onError) {
+        const clobFilters = [];
+        const sportsFilters = [];
+        for (const filter of filters) {
+            if (this.clobChannels.has(filter.channel)) {
+                clobFilters.push(filter);
+            }
+            else if (filter.channel === this.sportsChannel) {
+                sportsFilters.push(filter);
+            }
+            else {
+                throw new Error(`PolymarketRealTimeFeed unsupported channel ${filter.channel}`);
+            }
+        }
+        if (clobFilters.length > 0) {
+            if (clobFilters.every((filter) => filter.symbols === undefined || filter.symbols.length === 0)) {
+                throw new Error('PolymarketRealTimeFeed requires explicitly specified symbols when subscribing to CLOB live feed');
+            }
+            yield new PolymarketClobRealTimeFeed(exchange, clobFilters, timeoutIntervalMS, onError);
+        }
+        if (sportsFilters.length > 0) {
+            yield new PolymarketSportsRealTimeFeed(exchange, sportsFilters, timeoutIntervalMS, onError);
+        }
+    }
+}
+export class PolymarketClobRealTimeFeed extends RealTimeFeedBase {
+    wssURL = 'wss://ws-subscriptions-clob.polymarket.com/ws/market';
+    pongMessage = Buffer.from('{"__pong__":true}');
+    decompress = (msg) => {
+        if (msg.toString() === 'PONG') {
+            return this.pongMessage;
+        }
+        return msg;
+    };
+    messageIsHeartbeat(msg) {
+        return msg.__pong__ === true;
+    }
+    sendCustomPing = () => {
+        this.sendRaw('PING');
+    };
+    mapToSubscribeMessages(filters) {
+        return [
+            {
+                type: 'market',
+                assets_ids: [...new Set(filters.flatMap((f) => f.symbols ?? []))],
+                initial_dump: true,
+                level: 2,
+                custom_feature_enabled: true
+            }
+        ];
+    }
+    messageIsError(message) {
+        return typeof message.error === 'string';
+    }
+}
+export class PolymarketSportsRealTimeFeed extends RealTimeFeedBase {
+    wssURL = 'wss://sports-api.polymarket.com/ws';
+    serverPingMessage = Buffer.from('{"__server_ping__":true}');
+    decompress = (msg) => {
+        if (msg.toString() === 'ping') {
+            return this.serverPingMessage;
+        }
+        return msg;
+    };
+    messageIsHeartbeat(msg) {
+        return msg.__server_ping__ === true;
+    }
+    onMessage(msg) {
+        if (msg.__server_ping__ === true) {
+            this.sendRaw('pong');
+        }
+    }
+    mapToSubscribeMessages(_filters) {
+        return [];
+    }
+    messageIsError(message) {
+        return typeof message.error === 'string';
+    }
+}
+//# sourceMappingURL=polymarket.js.map

package/dist/realtimefeeds/polymarket.js.map

@@ -0,0 +1 @@
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package/dist/realtimefeeds/realtimefeed.d.ts

@@ -25,6 +25,7 @@ export declare abstract class RealTimeFeedBase implements RealTimeFeedIterable {
     protected getWebSocketUrl(): Promise<string>;
     private _stream;
     protected send(msg: any): void;
+    protected sendRaw(msg: string | Buffer): void;
     protected abstract mapToSubscribeMessages(filters: Filter<string>[]): any[];
     protected abstract messageIsError(message: any): boolean;
     protected sendCustomPing: (() => void) | undefined;

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

@@ -1 +1 @@
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package/dist/realtimefeeds/realtimefeed.js

@@ -159,6 +159,15 @@ export class RealTimeFeedBase {
         }
         this._ws.send(JSON.stringify(msg));
     }
+    sendRaw(msg) {
+        if (this._ws === undefined) {
+            return;
+        }
+        if (this._ws.readyState !== WebSocket.OPEN) {
+            return;
+        }
+        this._ws.send(msg);
+    }
     sendCustomPing = undefined;
     isIgnoredError(_message) {
         return false;

package/dist/realtimefeeds/realtimefeed.js.map

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

@@ -1,6 +1,6 @@
 {
   "name": "tardis-dev",
-  "version": "16.4.1",
+  "version": "16.5.0",
   "engines": {
     "node": ">=25"
   },

package/src/consts.ts

@@ -57,7 +57,8 @@ export const EXCHANGES = [
   'bitget-futures',
   'hyperliquid',
   'lighter',
-  'bullish'
+  'bullish',
+  'polymarket'
 ] as const
 
 const BINANCE_CHANNELS = ['trade', 'aggTrade', 'ticker', 'depth', 'depthSnapshot', 'bookTicker', 'recentTrades', 'borrowInterest'] as const
@@ -525,6 +526,17 @@ const LIGHTER_CHANNELS = ['order_book', 'trade', 'ticker', 'market_stats', 'spot
 
 const BULLISH_CHANNELS = ['V1TALevel2', 'V1TALevel1', 'V1TAAnonymousTradeUpdate', 'V1TATickerResponse', 'V1TAIndexPrice'] as const
 
+const POLYMARKET_CHANNELS = [
+  'book',
+  'price_change',
+  'last_trade_price',
+  'best_bid_ask',
+  'tick_size_change',
+  'sport_result',
+  'new_market',
+  'market_resolved'
+] as const
+
 export const EXCHANGE_CHANNELS_INFO = {
   bitmex: BITMEX_CHANNELS,
   coinbase: COINBASE_CHANNELS,
@@ -584,5 +596,6 @@ export const EXCHANGE_CHANNELS_INFO = {
   'bitget-futures': BITGET_FUTURES_CHANNELS,
   hyperliquid: HYPERLIQUID_CHANNELS,
   lighter: LIGHTER_CHANNELS,
-  bullish: BULLISH_CHANNELS
+  bullish: BULLISH_CHANNELS,
+  polymarket: POLYMARKET_CHANNELS
 }

package/src/exchangedetails.ts

@@ -10,7 +10,7 @@ export async function getExchangeDetails<T extends Exchange>(exchange: T) {
   return data as ExchangeDetails<T>
 }
 
-export type SymbolType = 'spot' | 'future' | 'perpetual' | 'option' | 'combo'
+export type SymbolType = 'spot' | 'future' | 'perpetual' | 'option' | 'combo' | 'prediction'
 
 export type DatasetType =
   | 'trades'

package/src/handy.ts

@@ -771,38 +771,42 @@ export function decimalPlaces(n: number) {
 }
 
 /**
- * Parses optional numeric fields where `undefined`, `null`, `NaN`, `Infinity`, and `-Infinity` are treated as not valid and mapped to `undefined`.
- * `0` is valid and preserved. Use for nullable/optional numeric fields such as open interest, funding rates, and greeks.
+ * Parses optional numeric fields where:
+ * * `0` **is valid and preserved**
+ * * `undefined`, `null`, `NaN`, `Infinity`, and `-Infinity` are treated as not valid and mapped to `undefined`
+ *
+ * Use for nullable/optional numeric fields such as open interest, funding rates, and greeks.
  */
 export function asNumberOrUndefined(val: string | number | undefined | null) {
   if (val === undefined || val === null || val === '') {
     return
   }
 
+  if (typeof val === 'number') {
+    return Number.isFinite(val) ? val : undefined
+  }
+
   const asNumber = Number(val)
   return Number.isFinite(asNumber) ? asNumber : undefined
 }
 
 /**
- * Parses optional numeric fields where `0`, `undefined`, `null`, `NaN`, `Infinity`, and `-Infinity` are treated as not valid and mapped to `undefined`.
+ * Parses optional numeric fields where:
+ * * `0`, `undefined`, `null`, `NaN`, `Infinity`, and `-Infinity` are treated as not valid and mapped to `undefined`.
+ *
  * Use for empty quote/top-of-book values that exchanges encode as zero.
  */
-export function asNumberIfValid(val: string | number | undefined | null) {
-  if (val === undefined || val === null) {
-    return
-  }
-
-  var asNumber = Number(val)
-
-  if (isNaN(asNumber) || isFinite(asNumber) === false) {
+export function asNonZeroNumberOrUndefined(val: string | number | undefined | null) {
+  if (val === undefined || val === null || val === '' || val === 0) {
     return
   }
 
-  if (asNumber === 0) {
-    return
+  if (typeof val === 'number') {
+    return Number.isFinite(val) ? val : undefined
   }
 
-  return asNumber
+  const asNumber = Number(val)
+  return Number.isFinite(asNumber) && asNumber !== 0 ? asNumber : undefined
 }
 
 export function upperCaseSymbols(symbols?: string[]) {

package/src/mappers/binanceeuropeanoptions.ts

@@ -1,4 +1,4 @@
-import { asNumberIfValid, lowerCaseSymbols, upperCaseSymbols } from '../handy.ts'
+import { asNonZeroNumberOrUndefined, lowerCaseSymbols, upperCaseSymbols } from '../handy.ts'
 import { BookChange, BookTicker, OptionSummary, Trade } from '../types.ts'
 import { Mapper } from './mapper.ts'
 
@@ -285,34 +285,10 @@ export class BinanceEuropeanOptionSummaryMapper implements Mapper<'binance-europ
 
     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 bestBidPrice = asNonZeroNumberOrUndefined(optionInfo.bo)
+    const bestBidIV = bestBidPrice !== undefined ? asNonZeroNumberOrUndefined(optionInfo.b) : undefined
+    const bestAskPrice = asNonZeroNumberOrUndefined(optionInfo.ao)
+    const bestAskIV = bestAskPrice !== undefined ? asNonZeroNumberOrUndefined(optionInfo.a) : undefined
 
     const optionSummary: OptionSummary = {
       type: 'option_summary',
@@ -323,24 +299,24 @@ export class BinanceEuropeanOptionSummaryMapper implements Mapper<'binance-europ
       expirationDate,
 
       bestBidPrice,
-      bestBidAmount,
-      bestBidIV,
+      bestBidAmount: asNonZeroNumberOrUndefined(optionInfo.bq),
+      bestBidIV: bestBidIV === -1 ? undefined : bestBidIV,
 
       bestAskPrice,
-      bestAskAmount,
-      bestAskIV,
+      bestAskAmount: asNonZeroNumberOrUndefined(optionInfo.aq),
+      bestAskIV: bestAskIV === -1 ? undefined : bestAskIV,
 
-      lastPrice: asNumberIfValid(optionInfo.c),
+      lastPrice: asNonZeroNumberOrUndefined(optionInfo.c),
 
       openInterest: this._openInterests.get(optionInfo.s),
 
-      markPrice: asNumberIfValid(optionInfo.mp),
+      markPrice: asNonZeroNumberOrUndefined(optionInfo.mp),
       markIV: undefined,
 
-      delta: asNumberIfValid(optionInfo.d),
-      gamma: asNumberIfValid(optionInfo.g),
-      vega: asNumberIfValid(optionInfo.v),
-      theta: asNumberIfValid(optionInfo.t),
+      delta: asNonZeroNumberOrUndefined(optionInfo.d),
+      gamma: asNonZeroNumberOrUndefined(optionInfo.g),
+      vega: asNonZeroNumberOrUndefined(optionInfo.v),
+      theta: asNonZeroNumberOrUndefined(optionInfo.t),
       rho: undefined,
 
       underlyingPrice: this._indexPrices.get(underlyingIndex),
@@ -434,43 +410,18 @@ export class BinanceEuropeanOptionSummaryMapperV2 implements Mapper<'binance-eur
       const isPut = optionType === 'P'
       const underlyingIndex = `${base}USDT`
 
-      let bestBidPrice = asNumberIfValid(markData.bo)
-      if (bestBidPrice === 0) {
-        bestBidPrice = undefined
-      }
-
-      let bestBidAmount = asNumberIfValid(markData.bq)
-      if (bestBidAmount === 0) {
-        bestBidAmount = undefined
-      }
-
-      let bestAskPrice = asNumberIfValid(markData.ao)
-      if (bestAskPrice === 0) {
-        bestAskPrice = undefined
-      }
-
-      let bestAskAmount = asNumberIfValid(markData.aq)
-      if (bestAskAmount === 0) {
-        bestAskAmount = undefined
-      }
-
-      let bestBidIV = bestBidPrice !== undefined ? asNumberIfValid(markData.b) : undefined
-      if (bestBidIV === -1) {
-        bestBidIV = undefined
-      }
-
-      let bestAskIV = bestAskPrice !== undefined ? asNumberIfValid(markData.a) : undefined
-      if (bestAskIV === -1) {
-        bestAskIV = undefined
-      }
+      const bestBidPrice = asNonZeroNumberOrUndefined(markData.bo)
+      const bestBidIV = bestBidPrice !== undefined ? asNonZeroNumberOrUndefined(markData.b) : undefined
+      const bestAskPrice = asNonZeroNumberOrUndefined(markData.ao)
+      const bestAskIV = bestAskPrice !== undefined ? asNonZeroNumberOrUndefined(markData.a) : undefined
 
-      const markPrice = asNumberIfValid(markData.mp)
-      const markIV = asNumberIfValid(markData.vo)
-      const delta = asNumberIfValid(markData.d)
-      const gamma = asNumberIfValid(markData.g)
-      const vega = asNumberIfValid(markData.v)
-      const theta = asNumberIfValid(markData.t)
-      const underlyingPrice = asNumberIfValid(markData.i) // Index price is included in mark price data
+      const markPrice = asNonZeroNumberOrUndefined(markData.mp)
+      const markIV = asNonZeroNumberOrUndefined(markData.vo)
+      const delta = asNonZeroNumberOrUndefined(markData.d)
+      const gamma = asNonZeroNumberOrUndefined(markData.g)
+      const vega = asNonZeroNumberOrUndefined(markData.v)
+      const theta = asNonZeroNumberOrUndefined(markData.t)
+      const underlyingPrice = asNonZeroNumberOrUndefined(markData.i) // Index price is included in mark price data
 
       const optionSummary: OptionSummary = {
         type: 'option_summary',
@@ -481,12 +432,12 @@ export class BinanceEuropeanOptionSummaryMapperV2 implements Mapper<'binance-eur
         expirationDate,
 
         bestBidPrice,
-        bestBidAmount,
-        bestBidIV,
+        bestBidAmount: asNonZeroNumberOrUndefined(markData.bq),
+        bestBidIV: bestBidIV === -1 ? undefined : bestBidIV,
 
         bestAskPrice,
-        bestAskAmount,
-        bestAskIV,
+        bestAskAmount: asNonZeroNumberOrUndefined(markData.aq),
+        bestAskIV: bestAskIV === -1 ? undefined : bestAskIV,
 
         lastPrice: this._lastPrices.get(markData.s),
 

package/src/mappers/bitget.ts

@@ -1,4 +1,4 @@
-import { asNumberIfValid, upperCaseSymbols } from '../handy.ts'
+import { asNonZeroNumberOrUndefined, upperCaseSymbols } from '../handy.ts'
 import { BookChange, BookTicker, DerivativeTicker, Exchange, Liquidation, Trade } from '../types.ts'
 import { Mapper, PendingTickerInfoHelper } from './mapper.ts'
 
@@ -248,10 +248,10 @@ export class BitgetV3BookTickerMapper implements Mapper<'bitget' | 'bitget-futur
         type: 'book_ticker',
         symbol: message.arg.symbol,
         exchange: this._exchange,
-        askAmount: bboMessage.a[0] ? asNumberIfValid(bboMessage.a[0][1]) : undefined,
-        askPrice: bboMessage.a[0] ? asNumberIfValid(bboMessage.a[0][0]) : undefined,
-        bidPrice: bboMessage.b[0] ? asNumberIfValid(bboMessage.b[0][0]) : undefined,
-        bidAmount: bboMessage.b[0] ? asNumberIfValid(bboMessage.b[0][1]) : undefined,
+        askPrice: asNonZeroNumberOrUndefined(bboMessage.a[0]?.[0]),
+        askAmount: asNonZeroNumberOrUndefined(bboMessage.a[0]?.[1]),
+        bidPrice: asNonZeroNumberOrUndefined(bboMessage.b[0]?.[0]),
+        bidAmount: asNonZeroNumberOrUndefined(bboMessage.b[0]?.[1]),
         timestamp: new Date(Number(bboMessage.ts)),
         localTimestamp
       }

package/src/mappers/bitmex.ts

@@ -1,4 +1,4 @@
-import { asNumberIfValid, upperCaseSymbols } from '../handy.ts'
+import { asNonZeroNumberOrUndefined, upperCaseSymbols } from '../handy.ts'
 import { BookChange, BookPriceLevel, BookTicker, DerivativeTicker, FilterForExchange, Liquidation, Trade } from '../types.ts'
 import { Mapper, PendingTickerInfoHelper } from './mapper.ts'
 
@@ -267,11 +267,11 @@ export const bitmexBookTickerMapper: Mapper<'bitmex', BookTicker> = {
         type: 'book_ticker',
         symbol: bitmexQuote.symbol,
         exchange: 'bitmex',
-        askAmount: asNumberIfValid(bitmexQuote.askSize),
-        askPrice: asNumberIfValid(bitmexQuote.askPrice),
+        askAmount: asNonZeroNumberOrUndefined(bitmexQuote.askSize),
+        askPrice: asNonZeroNumberOrUndefined(bitmexQuote.askPrice),
 
-        bidPrice: asNumberIfValid(bitmexQuote.bidPrice),
-        bidAmount: asNumberIfValid(bitmexQuote.bidSize),
+        bidPrice: asNonZeroNumberOrUndefined(bitmexQuote.bidPrice),
+        bidAmount: asNonZeroNumberOrUndefined(bitmexQuote.bidSize),
         timestamp: new Date(bitmexQuote.timestamp),
         localTimestamp: localTimestamp
       }

package/src/mappers/bullish.ts

@@ -1,4 +1,4 @@
-import { asNumberIfValid, asNumberOrUndefined } from '../handy.ts'
+import { asNonZeroNumberOrUndefined, asNumberOrUndefined } from '../handy.ts'
 import { BookChange, BookPriceLevel, BookTicker, DerivativeTicker, OptionSummary, Trade } from '../types.ts'
 import { Mapper, PendingTickerInfoHelper } from './mapper.ts'
 
@@ -102,10 +102,10 @@ export class BullishBookTickerMapper implements Mapper<'bullish', BookTicker> {
       type: 'book_ticker',
       symbol: message.data.symbol,
       exchange: 'bullish',
-      bidPrice: asNumberIfValid(message.data.bid[0]),
-      bidAmount: asNumberIfValid(message.data.bid[1]),
-      askPrice: asNumberIfValid(message.data.ask[0]),
-      askAmount: asNumberIfValid(message.data.ask[1]),
+      bidPrice: asNonZeroNumberOrUndefined(message.data.bid[0]),
+      bidAmount: asNonZeroNumberOrUndefined(message.data.bid[1]),
+      askPrice: asNonZeroNumberOrUndefined(message.data.ask[0]),
+      askAmount: asNonZeroNumberOrUndefined(message.data.ask[1]),
       timestamp: new Date(message.data.datetime),
       localTimestamp
     }
@@ -145,7 +145,7 @@ export class BullishDerivativeTickerMapper implements Mapper<'bullish', Derivati
 
   *map(message: BullishDerivativeTickerMessage | BullishIndexPriceMessage, localTimestamp: Date): IterableIterator<DerivativeTicker> {
     if (message.dataType === 'V1TAIndexPrice') {
-      const price = asNumberIfValid(message.data.price)
+      const price = asNonZeroNumberOrUndefined(message.data.price)
       if (price !== undefined) {
         this.indexPrices.set(message.data.assetSymbol, {
           price,
@@ -160,8 +160,8 @@ export class BullishDerivativeTickerMapper implements Mapper<'bullish', Derivati
     const indexAsset = message.data.symbol.split('-')[0]
     const indexPrice = this.indexPrices.get(indexAsset)
 
-    pendingTickerInfo.updateLastPrice(asNumberIfValid(message.data.last))
-    pendingTickerInfo.updateMarkPrice(asNumberIfValid(message.data.markPrice))
+    pendingTickerInfo.updateLastPrice(asNonZeroNumberOrUndefined(message.data.last))
+    pendingTickerInfo.updateMarkPrice(asNonZeroNumberOrUndefined(message.data.markPrice))
     pendingTickerInfo.updateFundingRate(asNumberOrUndefined(message.data.fundingRate))
     pendingTickerInfo.updateOpenInterest(asNumberOrUndefined(message.data.openInterest))
     pendingTickerInfo.updateIndexPrice(indexPrice?.price)
@@ -205,7 +205,7 @@ export class BullishOptionSummaryMapper implements Mapper<'bullish', OptionSumma
 
   *map(message: BullishOptionTickerMessage | BullishIndexPriceMessage, localTimestamp: Date): IterableIterator<OptionSummary> {
     if (message.dataType === 'V1TAIndexPrice') {
-      const price = asNumberIfValid(message.data.price)
+      const price = asNonZeroNumberOrUndefined(message.data.price)
       if (price !== undefined) {
         this.indexPrices.set(message.data.assetSymbol, {
           price,
@@ -229,16 +229,16 @@ export class BullishOptionSummaryMapper implements Mapper<'bullish', OptionSumma
       optionType: optionType === 'P' ? 'put' : 'call',
       strikePrice: Number(strikePriceText),
       expirationDate,
-      bestBidPrice: asNumberIfValid(message.data.bestBid),
-      bestBidAmount: asNumberIfValid(message.data.bidVolume),
+      bestBidPrice: asNonZeroNumberOrUndefined(message.data.bestBid),
+      bestBidAmount: asNonZeroNumberOrUndefined(message.data.bidVolume),
       bestBidIV: undefined,
-      bestAskPrice: asNumberIfValid(message.data.bestAsk),
-      bestAskAmount: asNumberIfValid(message.data.askVolume),
+      bestAskPrice: asNonZeroNumberOrUndefined(message.data.bestAsk),
+      bestAskAmount: asNonZeroNumberOrUndefined(message.data.askVolume),
       bestAskIV: undefined,
-      lastPrice: asNumberIfValid(message.data.last),
+      lastPrice: asNonZeroNumberOrUndefined(message.data.last),
       openInterest: asNumberOrUndefined(message.data.openInterest),
       markPrice: asNumberOrUndefined(message.data.markPrice),
-      markIV: asNumberIfValid(message.data.impliedVolatility),
+      markIV: asNonZeroNumberOrUndefined(message.data.impliedVolatility),
       delta: asNumberOrUndefined(message.data.delta),
       gamma: asNumberOrUndefined(message.data.gamma),
       vega: asNumberOrUndefined(message.data.vega),

package/src/mappers/bybit.ts

@@ -1,4 +1,4 @@
-import { asNumberIfValid, upperCaseSymbols } from '../handy.ts'
+import { asNonZeroNumberOrUndefined, upperCaseSymbols } from '../handy.ts'
 import { BookChange, BookTicker, DerivativeTicker, Exchange, Liquidation, OptionSummary, Trade } from '../types.ts'
 import { Mapper, PendingTickerInfoHelper } from './mapper.ts'
 
@@ -332,27 +332,27 @@ export class BybitV5OptionSummaryMapper implements Mapper<'bybit-options', Optio
       strikePrice,
       expirationDate,
 
-      bestBidPrice: asNumberIfValid(message.data.bidPrice),
-      bestBidAmount: asNumberIfValid(message.data.bidSize),
-      bestBidIV: asNumberIfValid(message.data.bidIv),
+      bestBidPrice: asNonZeroNumberOrUndefined(message.data.bidPrice),
+      bestBidAmount: asNonZeroNumberOrUndefined(message.data.bidSize),
+      bestBidIV: asNonZeroNumberOrUndefined(message.data.bidIv),
 
-      bestAskPrice: asNumberIfValid(message.data.askPrice),
-      bestAskAmount: asNumberIfValid(message.data.askSize),
-      bestAskIV: asNumberIfValid(message.data.askIv),
+      bestAskPrice: asNonZeroNumberOrUndefined(message.data.askPrice),
+      bestAskAmount: asNonZeroNumberOrUndefined(message.data.askSize),
+      bestAskIV: asNonZeroNumberOrUndefined(message.data.askIv),
 
-      lastPrice: asNumberIfValid(message.data.lastPrice),
-      openInterest: asNumberIfValid(message.data.openInterest),
+      lastPrice: asNonZeroNumberOrUndefined(message.data.lastPrice),
+      openInterest: asNonZeroNumberOrUndefined(message.data.openInterest),
 
-      markPrice: asNumberIfValid(message.data.markPrice),
-      markIV: asNumberIfValid(message.data.markPriceIv),
+      markPrice: asNonZeroNumberOrUndefined(message.data.markPrice),
+      markIV: asNonZeroNumberOrUndefined(message.data.markPriceIv),
 
-      delta: asNumberIfValid(message.data.delta),
-      gamma: asNumberIfValid(message.data.gamma),
-      vega: asNumberIfValid(message.data.vega),
-      theta: asNumberIfValid(message.data.theta),
+      delta: asNonZeroNumberOrUndefined(message.data.delta),
+      gamma: asNonZeroNumberOrUndefined(message.data.gamma),
+      vega: asNonZeroNumberOrUndefined(message.data.vega),
+      theta: asNonZeroNumberOrUndefined(message.data.theta),
       rho: undefined,
 
-      underlyingPrice: asNumberIfValid(message.data.underlyingPrice),
+      underlyingPrice: asNonZeroNumberOrUndefined(message.data.underlyingPrice),
       underlyingIndex: '',
       timestamp: new Date(message.ts),
       localTimestamp: localTimestamp