tardis-dev 16.5.1 → 16.6.0

package/dist/realtimefeeds/okex.js

@@ -1,5 +1,6 @@
 import crypto from 'crypto';
 import { wait } from "../handy.js";
+import { getOkexOptionsFamilyOrIndex, getOkexOptionsUnderlyingIndex } from "../okexsymbols.js";
 import { MultiConnectionRealTimeFeedBase, RealTimeFeedBase } from "./realtimefeed.js";
 export class OkexRealTimeFeed extends MultiConnectionRealTimeFeedBase {
     *_getRealTimeFeeds(exchange, filters, timeoutIntervalMS, onError) {
@@ -102,7 +103,8 @@ class OkexOptionsSingleRealTimeFeed extends OkexSingleRealTimeFeed {
         super(wssURL, exchange, filters, timeoutIntervalMS, onError);
         this.wssURL = wssURL;
     }
-    _defaultIndexes = ['BTC-USD', 'ETH-USD'];
+    _defaultIndexes = ['BTC-USD', 'ETH-USD', 'SOL-USD'];
+    _defaultOptionSummaryInstrumentFamilies = ['BTC-USD', 'BTC-USD_UM', 'ETH-USD', 'ETH-USD_UM', 'SOL-USD_UM'];
     _channelRequiresIndexNotSymbol(channel) {
         if (channel === 'index-tickers' || channel === 'opt-summary') {
             return true;
@@ -115,7 +117,7 @@ class OkexOptionsSingleRealTimeFeed extends OkexSingleRealTimeFeed {
             let symbols = filter.symbols || [];
             const channelRequiresIndexNotSymbol = this._channelRequiresIndexNotSymbol(filter.channel);
             if (symbols.length === 0 && channelRequiresIndexNotSymbol) {
-                symbols = this._defaultIndexes;
+                symbols = filter.channel === 'opt-summary' ? this._defaultOptionSummaryInstrumentFamilies : this._defaultIndexes;
             }
             if (symbols.length === 0) {
                 throw new Error(`${this._exchange} RealTimeFeed requires explicitly specified symbols when subscribing to live feed`);
@@ -123,8 +125,7 @@ class OkexOptionsSingleRealTimeFeed extends OkexSingleRealTimeFeed {
             return symbols.map((symbol) => {
                 let finalSymbol = symbol;
                 if (channelRequiresIndexNotSymbol) {
-                    const symbolParts = symbol.split('-');
-                    finalSymbol = `${symbolParts[0]}-${symbolParts[1]}`;
+                    finalSymbol = filter.channel === 'opt-summary' ? getOkexOptionsFamilyOrIndex(symbol) : getOkexOptionsUnderlyingIndex(symbol);
                 }
                 return {
                     channel: filter.channel,
@@ -134,10 +135,11 @@ class OkexOptionsSingleRealTimeFeed extends OkexSingleRealTimeFeed {
             });
         })
             .flatMap((s) => s);
+        const uniqueArgs = [...new Map(args.map((arg) => [`${arg.channel}:${arg.instId ?? ''}:${arg.instFamily ?? ''}`, arg])).values()];
         return [
             {
                 op: 'subscribe',
-                args: [...new Set(args)]
+                args: uniqueArgs
             }
         ];
     }

package/dist/realtimefeeds/okex.js.map

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

@@ -28,6 +28,7 @@ export declare abstract class RealTimeFeedBase implements RealTimeFeedIterable {
     protected sendRaw(msg: string | Buffer): void;
     protected abstract mapToSubscribeMessages(filters: Filter<string>[]): any[];
     protected abstract messageIsError(message: any): boolean;
+    protected parseMessage(message: Buffer<ArrayBufferLike>): any;
     protected sendCustomPing: (() => void) | undefined;
     protected isIgnoredError(_message: any): boolean;
     protected messageIsHeartbeat(_msg: any): boolean;

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

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

@@ -79,7 +79,7 @@ export class RealTimeFeedBase {
                     if (this._exchange.startsWith('huobi-') && message.includes('.trade.detail')) {
                         message = message.toString().replace(/"id":([0-9]+),/g, '"id":"$1",');
                     }
-                    const messageDeserialized = JSON.parse(message);
+                    const messageDeserialized = this.parseMessage(message);
                     if (this.messageIsError(messageDeserialized)) {
                         if (this.isIgnoredError(messageDeserialized)) {
                             if (this._onError !== undefined) {
@@ -168,6 +168,9 @@ export class RealTimeFeedBase {
         }
         this._ws.send(msg);
     }
+    parseMessage(message) {
+        return JSON.parse(message);
+    }
     sendCustomPing = undefined;
     isIgnoredError(_message) {
         return false;

package/dist/realtimefeeds/realtimefeed.js.map

@@ -1 +1 @@
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package/dist/replay.d.ts.map

@@ -1 +1 @@
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package/dist/replay.js

@@ -186,29 +186,78 @@ async function terminateWorker(worker, waitTimeout) {
 }
 export function replayNormalized({ exchange, symbols, from, to, withDisconnectMessages = undefined, apiKey = undefined, autoCleanup = undefined, waitWhenDataNotYetAvailable = undefined }, ...normalizers) {
     const fromDate = parseAsUTCDate(from);
+    const toDate = parseAsUTCDate(to);
     validateReplayNormalizedOptions(fromDate, normalizers);
-    //TODO: zrovi replay dzien po dniu, tak ze kazdego dnia przekazuje swierze filters
     const createMappers = (localTimestamp) => normalizers.map((m) => m(exchange, localTimestamp));
     const mappers = createMappers(fromDate);
     const filters = getFilters(mappers, symbols);
-    const messages = replay({
-        exchange,
-        from,
-        to,
-        withDisconnects: true,
-        filters,
-        apiKey,
-        withMicroseconds: true,
-        autoCleanup,
-        waitWhenDataNotYetAvailable
-    });
     // filter normalized messages by symbol as some exchanges do not provide server side filtering so we could end up with messages
     // for symbols we've not requested for
     const upperCaseSymbols = symbols !== undefined ? symbols.map((s) => s.toUpperCase()) : undefined;
     const filter = (symbol) => {
         return upperCaseSymbols === undefined || upperCaseSymbols.length === 0 || upperCaseSymbols.includes(symbol);
     };
-    return normalizeMessages(exchange, undefined, messages, mappers, createMappers, withDisconnectMessages, filter);
+    const segments = getReplayNormalizedSegments(exchange, normalizers, fromDate, toDate);
+    if (segments.length <= 1) {
+        const messages = replay({
+            exchange,
+            from,
+            to,
+            withDisconnects: true,
+            filters,
+            apiKey,
+            withMicroseconds: true,
+            autoCleanup,
+            waitWhenDataNotYetAvailable
+        });
+        return normalizeMessages(exchange, undefined, messages, mappers, createMappers, withDisconnectMessages, filter);
+    }
+    return replayNormalizedSegments();
+    async function* replayNormalizedSegments() {
+        for (let i = 0; i < segments.length; i++) {
+            const { from: segmentFrom, to: segmentTo } = segments[i];
+            const segmentMappers = i === 0 ? mappers : createMappers(segmentFrom);
+            const segmentFilters = getFilters(segmentMappers, symbols);
+            const segmentMessages = replay({
+                exchange,
+                from: segmentFrom.toISOString(),
+                to: segmentTo.toISOString(),
+                withDisconnects: true,
+                filters: segmentFilters,
+                apiKey,
+                withMicroseconds: true,
+                autoCleanup,
+                waitWhenDataNotYetAvailable
+            });
+            yield* normalizeMessages(exchange, undefined, segmentMessages, segmentMappers, createMappers, withDisconnectMessages, filter);
+        }
+    }
+}
+function getReplayNormalizedSegments(exchange, normalizers, fromDate, toDate) {
+    const fromTime = fromDate.valueOf();
+    const toTime = toDate.valueOf();
+    if (Number.isFinite(fromTime) === false || Number.isFinite(toTime) === false || fromTime >= toTime) {
+        return [{ from: fromDate, to: toDate }];
+    }
+    const switchTimes = new Set();
+    for (const normalizer of normalizers) {
+        const switchDates = normalizer.getSwitchDates?.(exchange) ?? [];
+        for (const switchDate of switchDates) {
+            const switchTime = switchDate.valueOf();
+            if (fromTime < switchTime && switchTime < toTime) {
+                switchTimes.add(switchTime);
+            }
+        }
+    }
+    const switchDates = [...switchTimes].sort((a, b) => a - b).map((switchTime) => new Date(switchTime));
+    const segments = [];
+    let segmentFrom = fromDate;
+    for (const switchDate of switchDates) {
+        segments.push({ from: segmentFrom, to: switchDate });
+        segmentFrom = switchDate;
+    }
+    segments.push({ from: segmentFrom, to: toDate });
+    return segments;
 }
 function validateReplayOptions(exchange, from, to, filters) {
     if (!exchange || EXCHANGES.includes(exchange) === false) {

package/dist/replay.js.map

@@ -1 +1 @@
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package/example.js

@@ -1,35 +1,137 @@
-import { replayNormalized, streamNormalized, normalizeTrades, compute, computeTradeBars } from 'tardis-dev'
-
-const historicalMessages = replayNormalized(
-  {
-    exchange: 'binance',
-    symbols: ['btcusdt'],
-    from: '2024-03-01',
-    to: '2024-03-02'
-  },
-  normalizeTrades
-)
-
-const realTimeMessages = streamNormalized(
-  {
-    exchange: 'binance',
-    symbols: ['btcusdt']
-  },
-  normalizeTrades
-)
-
-async function produceVolumeBasedTradeBars(messages) {
-  // aggregate by 1 BTC traded volume
-  const withVolumeTradeBars = compute(messages, computeTradeBars({ kind: 'volume', interval: 1 }))
-
-  for await (const message of withVolumeTradeBars) {
-    if (message.type === 'trade_bar') {
-      console.log(message.name, message)
-    }
+import {
+  normalizeBookChanges,
+  normalizeBookTickers,
+  normalizeDerivativeTickers,
+  normalizeLiquidations,
+  normalizeOptionsSummary,
+  normalizeTrades,
+  replay,
+  replayNormalized,
+  stream,
+  streamNormalized
+} from './dist/index.js'
+
+const options = getOptions(process.argv.slice(2))
+const optionsError = getOptionsError(options)
+if (optionsError !== undefined) {
+  console.error(`${optionsError}
+
+Usage:
+  node example.js stream <exchange> <symbol> <channel>
+  node example.js replay <exchange> <symbol> <channel> <from> <to>
+  node example.js --normalized stream <exchange> <symbol> <data-type>
+  node example.js --normalized replay <exchange> <symbol> <data-type> <from> <to>
+
+Examples:
+  node example.js stream mexc-futures BTC_USDT push.depth
+  node example.js replay mexc-futures BTC_USDT push.depth 2026-06-17 2026-06-18
+  node example.js --normalized stream mexc-futures BTC_USDT book_change
+  node example.js --normalized replay mexc-futures BTC_USDT book_change 2026-06-17 2026-06-18`)
+  process.exit(1)
+}
+
+for await (const message of createMessageStream(options)) {
+  if (message === undefined || message?.type === 'disconnect') {
+    console.log({ type: 'disconnect' })
+    continue
+  }
+
+  console.log(message)
+}
+
+function getOptions(args) {
+  const normalized = args.includes('--normalized')
+  const positionalArgs = args.filter((arg) => arg !== '--normalized')
+
+  const normalizersByDataType = {
+    trade: normalizeTrades,
+    book_change: normalizeBookChanges,
+    derivative_ticker: normalizeDerivativeTickers,
+    option_summary: normalizeOptionsSummary,
+    liquidation: normalizeLiquidations,
+    book_ticker: normalizeBookTickers
+  }
+
+  return {
+    mode: positionalArgs[0], // 'stream' or 'replay'
+    normalized,
+    exchange: positionalArgs[1],
+    symbols: [positionalArgs[2]],
+    channel: normalized ? undefined : positionalArgs[3],
+    dataType: normalized ? positionalArgs[3] : undefined,
+    normalizer: normalized ? normalizersByDataType[positionalArgs[3]] : undefined,
+    from: positionalArgs[4],
+    to: positionalArgs[5]
+  }
+}
+
+function getOptionsError(options) {
+  if (options.mode !== 'stream' && options.mode !== 'replay') {
+    return 'Missing or invalid mode. Expected "stream" or "replay".'
+  }
+  if (options.exchange === undefined) {
+    return 'Missing exchange name.'
+  }
+  if (options.symbols[0] === undefined) {
+    return 'Missing symbol.'
+  }
+  if (options.normalized && options.dataType === undefined) {
+    return 'Missing normalized data type.'
+  }
+  if (options.normalized === false && options.channel === undefined) {
+    return 'Missing native channel.'
+  }
+  if (options.normalized && options.normalizer === undefined) {
+    return `Invalid normalized data type "${options.dataType}".`
+  }
+  if (options.mode === 'replay' && (options.from === undefined || options.to === undefined)) {
+    return 'Replay mode requires from and to dates.'
   }
 }
 
-await produceVolumeBasedTradeBars(historicalMessages)
+function createMessageStream(options) {
+  if (options.normalized) {
+    if (options.mode === 'stream') {
+      return streamNormalized(
+        {
+          exchange: options.exchange,
+          symbols: options.symbols,
+          timeoutIntervalMS: 20_000,
+          withDisconnectMessages: true,
+          onError: (error) => console.error(`[${options.exchange}] ${error.message}`)
+        },
+        options.normalizer
+      )
+    }
+
+    return replayNormalized(
+      {
+        exchange: options.exchange,
+        symbols: options.symbols,
+        from: options.from,
+        to: options.to,
+        withDisconnectMessages: true
+      },
+      options.normalizer
+    )
+  }
 
-// or for real time data
-//  await produceVolumeBasedTradeBars(realTimeMessages)
+  const nativeFilters = [{ channel: options.channel, symbols: options.symbols }]
+  if (options.mode === 'stream') {
+    return stream({
+      exchange: options.exchange,
+      filters: nativeFilters,
+      timeoutIntervalMS: 20_000,
+      withDisconnects: true,
+      onError: (error) => console.error(`[${options.exchange}] ${error.message}`)
+    })
+  }
+
+  return replay({
+    exchange: options.exchange,
+    from: options.from,
+    to: options.to,
+    filters: nativeFilters,
+    withDisconnects: true
+  })
+}

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "tardis-dev",
-  "version": "16.5.1",
+  "version": "16.6.0",
   "engines": {
     "node": ">=25"
   },
@@ -73,6 +73,7 @@
     "follow-redirects": "^1.15.9",
     "https-proxy-agent": "^8.0.0",
     "p-map": "^7.0.4",
+    "protobufjs": "^8.6.2",
     "socks-proxy-agent": "^9.0.0",
     "ws": "^8.18.3"
   },

package/src/consts.ts

@@ -32,6 +32,7 @@ export const EXCHANGES = [
   'ftx-us',
   'binance-us',
   'gate-io-futures',
+  'mexc-futures',
   'gate-io',
   'okcoin',
   'bitflyer',
@@ -58,6 +59,7 @@ export const EXCHANGES = [
   'hyperliquid',
   'lighter',
   'bullish',
+  'mexc',
   'polymarket'
 ] as const
 
@@ -433,6 +435,16 @@ const DELTA_CHANNELS = [
 
 const GATE_IO_CHANNELS = ['trades', 'depth', 'ticker', 'book_ticker', 'order_book_update', 'obu'] as const
 const GATE_IO_FUTURES_CHANNELS = ['trades', 'order_book', 'tickers', 'book_ticker'] as const
+const MEXC_FUTURES_CHANNELS = [
+  'push.deal',
+  'push.depth',
+  'push.depth.snapshot',
+  'push.ticker',
+  'push.index.price',
+  'push.fair.price',
+  'push.funding.rate',
+  'push.contract'
+] as const
 const POLONIEX_CHANNELS = ['price_aggregated_book', 'trades', 'ticker', 'book_lv2'] as const
 const UPBIT_CHANNELS = ['trade', 'orderbook', 'ticker'] as const
 const ASCENDEX_CHANNELS = ['trades', 'depth-realtime', 'depth-snapshot-realtime', 'bbo', 'futures-pricing-data'] as const
@@ -520,12 +532,19 @@ const BITGET_CHANNELS = ['trade', 'publicTrade', 'books1', 'books15', 'books']
 const BITGET_FUTURES_CHANNELS = ['trade', 'publicTrade', 'books1', 'books15', 'books', 'ticker', 'liquidation']
 const COINBASE_INTERNATIONAL_CHANNELS = ['INSTRUMENTS', 'MATCH', 'FUNDING', 'RISK', 'LEVEL1', 'LEVEL2', 'CANDLES_ONE_MINUTE']
 
-const HYPERLIQUID_CHANNELS = ['l2Book', 'trades', 'activeAssetCtx', 'activeSpotAssetCtx', 'bbo']
+const HYPERLIQUID_CHANNELS = ['l2Book', 'fastBook', 'trades', 'activeAssetCtx', 'activeSpotAssetCtx', 'bbo']
 
 const LIGHTER_CHANNELS = ['order_book', 'trade', 'ticker', 'market_stats', 'spot_market_stats'] as const
 
 const BULLISH_CHANNELS = ['V1TALevel2', 'V1TALevel1', 'V1TAAnonymousTradeUpdate', 'V1TATickerResponse', 'V1TAIndexPrice'] as const
 
+const MEXC_CHANNELS = [
+  'spot@public.aggre.deals.v3.api.pb@10ms',
+  'spot@public.aggre.depth.v3.api.pb@10ms',
+  'spot@public.aggre.depth.snapshot.v3.api.pb@10ms',
+  'spot@public.aggre.bookTicker.v3.api.pb@10ms'
+] as const
+
 const POLYMARKET_CHANNELS = [
   'book',
   'price_change',
@@ -575,6 +594,7 @@ export const EXCHANGE_CHANNELS_INFO = {
   delta: DELTA_CHANNELS,
   'gate-io': GATE_IO_CHANNELS,
   'gate-io-futures': GATE_IO_FUTURES_CHANNELS,
+  'mexc-futures': MEXC_FUTURES_CHANNELS,
   poloniex: POLONIEX_CHANNELS,
   upbit: UPBIT_CHANNELS,
   ascendex: ASCENDEX_CHANNELS,
@@ -597,5 +617,6 @@ export const EXCHANGE_CHANNELS_INFO = {
   hyperliquid: HYPERLIQUID_CHANNELS,
   lighter: LIGHTER_CHANNELS,
   bullish: BULLISH_CHANNELS,
+  mexc: MEXC_CHANNELS,
   polymarket: POLYMARKET_CHANNELS
 }

package/src/handy.ts

@@ -573,13 +573,16 @@ export async function download({
       }
     } catch (error) {
       const unsupportedDataFeedEncoding = error instanceof Error && error.message.startsWith('Unsupported data feed content encoding')
-      const badOrUnauthorizedRequest =
+      const nonRetryableHttpError =
         error instanceof HttpError &&
-        ((error.status === 400 && error.message.includes('ISO 8601 format') === false) || error.status === 401)
+        ((error.status === 400 && error.message.includes('ISO 8601 format') === false) ||
+          error.status === 401 ||
+          error.status === 403 ||
+          error.status === 404)
       const tooManyRequests = error instanceof HttpError && error.status === 429
       const internalServiceError = error instanceof HttpError && error.status === 500
       // do not retry when we've got bad or unauthorized request or enough attempts
-      if (unsupportedDataFeedEncoding || badOrUnauthorizedRequest || attempts === MAX_ATTEMPTS) {
+      if (unsupportedDataFeedEncoding || nonRetryableHttpError || attempts === MAX_ATTEMPTS) {
         throw error
       }