tardis-dev 16.5.1 → 16.6.1

package/src/mappers/woox.ts

@@ -1,8 +1,31 @@
-import { upperCaseSymbols } from '../handy.ts'
-import { BookChange, BookTicker, DerivativeTicker, Exchange, FilterForExchange, Liquidation, Trade } from '../types.ts'
+import { asNumberOrUndefined, upperCaseSymbols } from '../handy.ts'
+import { BookChange, BookTicker, DerivativeTicker, Trade } from '../types.ts'
 import { Mapper, PendingTickerInfoHelper } from './mapper.ts'
+import { exchangeMappers, mapper } from './registry.ts'
+
+const WOOX_V3_SWITCH_DATE = new Date('2026-06-29T22:02:00.000Z')
+
+// WOO X kept Tardis channel names during the V3 rollout, but changed raw topic layout and payload fields.
+// Keep old and V3 mappers separate so replay uses the schema that was actually recorded at the message time.
+export const wooxMappers = exchangeMappers({
+  'woo-x': {
+    trades: mapper([{ until: WOOX_V3_SWITCH_DATE, use: () => wooxTradesMapper }, { use: () => wooxV3TradesMapper }]),
+    bookChanges: mapper([
+      { until: WOOX_V3_SWITCH_DATE, use: () => new WooxBookChangeMapper() },
+      { use: () => new WooxV3BookChangeMapper() }
+    ]),
+    derivativeTickers: mapper([
+      { until: WOOX_V3_SWITCH_DATE, use: () => new WooxDerivativeTickerMapper() },
+      { use: () => new WooxV3DerivativeTickerMapper() }
+    ]),
+    bookTickers: mapper([
+      { until: WOOX_V3_SWITCH_DATE, use: () => new WooxBookTickerMapper() },
+      { use: () => new WooxV3BookTickerMapper() }
+    ])
+  }
+})
 
-export const wooxTradesMapper: Mapper<'woo-x', Trade> = {
+const wooxTradesMapper: Mapper<'woo-x', Trade> = {
   canHandle(message: WooxTradeMessage) {
     return message.topic !== undefined && message.topic.endsWith('@trade')
   },
@@ -39,7 +62,42 @@ export const wooxTradesMapper: Mapper<'woo-x', Trade> = {
   }
 }
 
-export class WooxBookChangeMapper implements Mapper<'woo-x', BookChange> {
+const wooxV3TradesMapper: Mapper<'woo-x', Trade> = {
+  canHandle(message: WooxV3TradeMessage) {
+    return message.topic !== undefined && message.topic.startsWith('trade@')
+  },
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
+    return [
+      {
+        channel: 'trade',
+        symbols
+      }
+    ]
+  },
+
+  *map(message: WooxV3TradeMessage, localTimestamp: Date): IterableIterator<Trade> {
+    if (message.data.src === 0) {
+      return
+    }
+
+    yield {
+      type: 'trade',
+      symbol: message.data.s,
+      exchange: 'woo-x',
+      id: undefined,
+      price: Number(message.data.px),
+      amount: Number(message.data.sx),
+      side: message.data.sd === 'SELL' ? 'sell' : 'buy',
+      timestamp: new Date(message.data.ts),
+      localTimestamp
+    }
+  }
+}
+
+class WooxBookChangeMapper implements Mapper<'woo-x', BookChange> {
   private readonly _symbolToDepthInfoMapping: { [key: string]: LocalDepthInfo } = {}
 
   canHandle(message: WooxOrderbookMessage | WooxOrderbookupdateMessage) {
@@ -149,7 +207,130 @@ export class WooxBookChangeMapper implements Mapper<'woo-x', BookChange> {
   }
 }
 
-export class WooxDerivativeTickerMapper implements Mapper<'woo-x', DerivativeTicker> {
+class WooxV3BookChangeMapper implements Mapper<'woo-x', BookChange> {
+  private readonly _symbolToDepthInfoMapping: { [key: string]: WooxV3LocalDepthInfo } = {}
+
+  canHandle(message: WooxV3OrderbookMessage | WooxV3OrderbookupdateMessage) {
+    if (message.topic === undefined) {
+      return false
+    }
+
+    if (message.topic.startsWith('orderbook@')) {
+      return 'generated' in message && message.generated === true
+    }
+
+    return message.topic.startsWith('orderbookupdate@')
+  }
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
+    return [
+      {
+        channel: 'orderbook',
+        symbols
+      },
+      {
+        channel: 'orderbookupdate',
+        symbols
+      }
+    ]
+  }
+
+  *map(message: WooxV3OrderbookMessage | WooxV3OrderbookupdateMessage, localTimestamp: Date): IterableIterator<BookChange> {
+    if ('generated' in message) {
+      const symbol = message.data.s ?? message.topic.split('@')[1]
+      const timestamp = message.data.ts ?? message.ts
+
+      if (this._symbolToDepthInfoMapping[symbol] === undefined) {
+        this._symbolToDepthInfoMapping[symbol] = {
+          bufferedUpdates: []
+        }
+      }
+
+      const symbolDepthInfo = this._symbolToDepthInfoMapping[symbol]
+
+      yield {
+        type: 'book_change',
+        symbol,
+        exchange: 'woo-x',
+        isSnapshot: true,
+        bids: message.data.bids.map(this._mapSnapshotLevel),
+        asks: message.data.asks.map(this._mapSnapshotLevel),
+        timestamp: new Date(timestamp),
+        localTimestamp
+      }
+
+      symbolDepthInfo.lastUpdateTimestamp = timestamp
+      symbolDepthInfo.snapshotProcessed = true
+
+      for (const update of symbolDepthInfo.bufferedUpdates) {
+        const bookChange = this._mapBookDepthUpdate(update, localTimestamp, symbolDepthInfo, symbol)
+        if (bookChange !== undefined) {
+          yield bookChange
+        }
+      }
+      symbolDepthInfo.bufferedUpdates = []
+      return
+    }
+
+    const symbol = message.data.s
+
+    if (this._symbolToDepthInfoMapping[symbol] === undefined) {
+      this._symbolToDepthInfoMapping[symbol] = {
+        bufferedUpdates: []
+      }
+    }
+
+    const symbolDepthInfo = this._symbolToDepthInfoMapping[symbol]
+    const snapshotAlreadyProcessed = symbolDepthInfo.snapshotProcessed
+
+    if (snapshotAlreadyProcessed) {
+      const bookChange = this._mapBookDepthUpdate(message, localTimestamp, symbolDepthInfo, symbol)
+      if (bookChange !== undefined) {
+        yield bookChange
+      }
+    } else {
+      symbolDepthInfo.bufferedUpdates.push(message)
+    }
+  }
+
+  private _mapBookDepthUpdate(
+    wooxBookUpdate: WooxV3OrderbookupdateMessage,
+    localTimestamp: Date,
+    depthInfo: WooxV3LocalDepthInfo,
+    symbol: string
+  ): BookChange | undefined {
+    if (wooxBookUpdate.data.prevTs < depthInfo.lastUpdateTimestamp!) {
+      return
+    }
+
+    return {
+      type: 'book_change',
+      symbol,
+      exchange: 'woo-x',
+      isSnapshot: false,
+      bids: wooxBookUpdate.data.bids.map(this._mapUpdateLevel),
+      asks: wooxBookUpdate.data.asks.map(this._mapUpdateLevel),
+      timestamp: new Date(wooxBookUpdate.data.ts),
+      localTimestamp
+    }
+  }
+
+  private _mapSnapshotLevel(level: WooxV3OrderbookSnapshotLevel): { price: number; amount: number } {
+    if (Array.isArray(level)) {
+      return { price: Number(level[0]), amount: Number(level[1]) }
+    }
+
+    return { price: Number(level.price), amount: Number(level.quantity) }
+  }
+
+  private _mapUpdateLevel(level: WooxV3BookLevel) {
+    return { price: Number(level[0]), amount: Number(level[1]) }
+  }
+}
+
+class WooxDerivativeTickerMapper implements Mapper<'woo-x', DerivativeTicker> {
   private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
   private readonly _indexPrices = new Map<string, number>()
 
@@ -236,7 +417,100 @@ export class WooxDerivativeTickerMapper implements Mapper<'woo-x', DerivativeTic
   }
 }
 
-export class WooxBookTickerMapper implements Mapper<'woo-x', BookTicker> {
+class WooxV3DerivativeTickerMapper implements Mapper<'woo-x', DerivativeTicker> {
+  private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
+  private readonly _indexPrices = new Map<string, number>()
+
+  canHandle(message: WooxV3TradeMessage | WooxV3EstFundingRate | WooxV3MarkPrice | WooxV3IndexPrice | WooxV3OpenInterest) {
+    if (message.topic === undefined) {
+      return false
+    }
+    const symbol = (message.data && message.data.s) || ''
+    const isPerp = symbol.startsWith('PERP_')
+
+    return (
+      (message.topic.startsWith('trade@') && isPerp) ||
+      (message.topic.startsWith('markprice@') && isPerp) ||
+      (message.topic.startsWith('estfundingrate@') && isPerp) ||
+      message.topic.startsWith('indexprice@') ||
+      (message.topic.startsWith('openinterest@') && isPerp)
+    )
+  }
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+    const spotSymbols = symbols !== undefined ? symbols.map((s) => s.replace('PERP_', 'SPOT_')) : []
+
+    return [
+      {
+        channel: 'trade',
+        symbols
+      },
+      {
+        channel: 'markprice',
+        symbols
+      },
+      {
+        channel: 'estfundingrate',
+        symbols
+      },
+      {
+        channel: 'openinterest',
+        symbols
+      },
+      {
+        channel: 'indexprice',
+        symbols: spotSymbols
+      }
+    ]
+  }
+
+  *map(message: WooxV3TradeMessage | WooxV3EstFundingRate | WooxV3MarkPrice | WooxV3IndexPrice | WooxV3OpenInterest, localTimestamp: Date) {
+    if (message.topic.startsWith('indexprice@')) {
+      const data = message.data as WooxV3IndexPrice['data']
+      this._indexPrices.set(data.s.replace('SPOT_', 'PERP_'), Number(data.px))
+    } else {
+      const symbol = message.data.s
+      const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(symbol, 'woo-x')
+
+      const lastIndexPrice = this._indexPrices.get(symbol)
+      if (lastIndexPrice !== undefined) {
+        pendingTickerInfo.updateIndexPrice(lastIndexPrice)
+      }
+
+      if (message.topic.startsWith('markprice@')) {
+        const data = message.data as WooxV3MarkPrice['data']
+        pendingTickerInfo.updateMarkPrice(Number(data.px))
+        pendingTickerInfo.updateTimestamp(new Date(message.data.ts))
+      }
+
+      if (message.topic.startsWith('trade@')) {
+        const data = message.data as WooxV3TradeMessage['data']
+        pendingTickerInfo.updateLastPrice(Number(data.px))
+        pendingTickerInfo.updateTimestamp(new Date(message.data.ts))
+      }
+
+      if (message.topic.startsWith('estfundingrate@')) {
+        const data = message.data as WooxV3EstFundingRate['data']
+        pendingTickerInfo.updateFundingRate(Number(data.r))
+        pendingTickerInfo.updateFundingTimestamp(new Date(Number(data.ft)))
+        pendingTickerInfo.updateTimestamp(new Date(message.data.ts))
+      }
+
+      if (message.topic.startsWith('openinterest@')) {
+        const data = message.data as WooxV3OpenInterest['data']
+        pendingTickerInfo.updateOpenInterest(Number(data.oi))
+        pendingTickerInfo.updateTimestamp(new Date(message.data.ts))
+      }
+
+      if (pendingTickerInfo.hasChanged()) {
+        yield pendingTickerInfo.getSnapshot(localTimestamp)
+      }
+    }
+  }
+}
+
+class WooxBookTickerMapper implements Mapper<'woo-x', BookTicker> {
   canHandle(message: WooxTradeMessage) {
     return message.topic !== undefined && message.topic.endsWith('@bbo')
   }
@@ -272,6 +546,42 @@ export class WooxBookTickerMapper implements Mapper<'woo-x', BookTicker> {
   }
 }
 
+class WooxV3BookTickerMapper implements Mapper<'woo-x', BookTicker> {
+  canHandle(message: WooxV3BBOMessage) {
+    return message.topic !== undefined && message.topic.startsWith('bbo@')
+  }
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
+    return [
+      {
+        channel: 'bbo',
+        symbols
+      }
+    ]
+  }
+
+  *map(wooxBBOMessage: WooxV3BBOMessage, localTimestamp: Date) {
+    const wooxBookTicker = wooxBBOMessage.data
+
+    const ticker: BookTicker = {
+      type: 'book_ticker',
+      symbol: wooxBookTicker.s,
+      exchange: 'woo-x',
+      askAmount: asNumberOrUndefined(wooxBookTicker.aq),
+      askPrice: asNumberOrUndefined(wooxBookTicker.ap),
+
+      bidPrice: asNumberOrUndefined(wooxBookTicker.bp),
+      bidAmount: asNumberOrUndefined(wooxBookTicker.bq),
+      timestamp: new Date(wooxBookTicker.ts),
+      localTimestamp: localTimestamp
+    }
+
+    yield ticker
+  }
+}
+
 type LocalDepthInfo = {
   bufferedUpdates: WooxOrderbookupdateMessage[]
   snapshotProcessed?: boolean
@@ -284,6 +594,12 @@ type WooxTradeMessage = {
   data: { symbol: 'PERP_GALA_USDT'; price: 0.048756; size: 4109; side: 'SELL'; source: 0 }
 }
 
+type WooxV3TradeMessage = {
+  topic: string
+  ts: number
+  data: { s: string; px: string; sx: string; sd: 'BUY' | 'SELL'; src: number; ts: number }
+}
+
 type WooxOrderbookupdateMessage = {
   topic: 'PERP_BTC_USDT@orderbookupdate'
   ts: 1674432000020
@@ -308,19 +624,77 @@ type WooxOrderbookMessage = {
   }
 }
 
+type WooxV3LocalDepthInfo = {
+  bufferedUpdates: WooxV3OrderbookupdateMessage[]
+  snapshotProcessed?: boolean
+  lastUpdateTimestamp?: number
+}
+
+type WooxV3BookLevel = [string, string]
+
+type WooxV3OrderbookupdateMessage = {
+  topic: string
+  ts: number
+  data: {
+    s: string
+    prevTs: number
+    ts: number
+    asks: WooxV3BookLevel[]
+    bids: WooxV3BookLevel[]
+  }
+}
+
+type WooxV3OrderbookRestSnapshotLevel = {
+  price: string
+  quantity: string
+}
+
+type WooxV3OrderbookSnapshotLevel = WooxV3BookLevel | WooxV3OrderbookRestSnapshotLevel
+
+type WooxV3OrderbookMessage = {
+  topic: string
+  ts: number
+  generated: true
+  data: {
+    s?: string
+    ts?: number
+    asks: WooxV3OrderbookSnapshotLevel[]
+    bids: WooxV3OrderbookSnapshotLevel[]
+  }
+}
+
 type WooxBBOMessage = {
   topic: 'SPOT_ETH_USDT@bbo'
   ts: 1674431999996
   data: { symbol: 'SPOT_ETH_USDT'; ask: 1627.61; askSize: 38.3755; bid: 1627.26; bidSize: 20.424926 }
 }
 
+type WooxV3BBOMessage = {
+  topic: string
+  ts: number
+  data: { s: string; ts: number; ap?: string; aq?: string; bp?: string; bq?: string }
+}
+
 type WooxMarkPrice = { topic: 'PERP_BTC_USDT@markprice'; ts: 1674432000007; data: { symbol: 'PERP_BTC_USDT'; price: 22711.11 } }
 
+type WooxV3MarkPrice = { topic: string; ts: number; data: { s: string; ts: number; px: string } }
+
 type WooxEstFundingRate = {
   topic: 'PERP_BTC_USDT@estfundingrate'
   ts: 1674432059002
   data: { symbol: 'PERP_BTC_USDT'; fundingRate: 0.00000782; fundingTs: 1674435600005 }
 }
 
+type WooxV3EstFundingRate = {
+  topic: string
+  ts: number
+  data: { s: string; ts: number; r: string; ft: number | string }
+}
+
 type WooxIndexPrice = { topic: 'SPOT_BTC_USDT@indexprice'; ts: 1674432000024; data: { symbol: 'SPOT_BTC_USDT'; price: 22708.44 } }
+
+type WooxV3IndexPrice = { topic: string; ts: number; data: { s: string; ts: number; px: string } }
+
 type WooxOpenInterest = { topic: 'PERP_BTC_USDT@openinterest'; ts: 1674432013624; data: { symbol: 'PERP_BTC_USDT'; openInterest: 83.2241 } }
+
+type WooxV3OpenInterest = { topic: string; ts: number; data: { s: string; ts: number; oi: string } }

package/src/okexsymbols.ts

@@ -0,0 +1,10 @@
+export function getOkexOptionsFamilyOrIndex(symbol: string) {
+  const symbolParts = symbol.split('-')
+  return `${symbolParts[0]}-${symbolParts[1]}`
+}
+
+export function getOkexOptionsUnderlyingIndex(symbol: string) {
+  const symbolParts = symbol.split('-')
+  const quote = symbolParts[1].split('_')[0]
+  return `${symbolParts[0]}-${quote}`
+}

package/src/realtimefeeds/hyperliquid.ts

@@ -12,11 +12,14 @@ export class HyperliquidRealTimeFeed extends RealTimeFeedBase {
         }
 
         return filter.symbols.map((symbol) => {
+          const isFastBook = filter.channel === 'fastBook'
+
           return {
             method: 'subscribe',
             subscription: {
               coin: symbol,
-              type: filter.channel
+              type: isFastBook ? 'l2Book' : filter.channel,
+              fast: isFastBook ? true : undefined
             }
           }
         })

package/src/realtimefeeds/index.ts

@@ -54,6 +54,8 @@ import { CoinbaseInternationalRealTimeFeed } from './coinbaseinternational.ts'
 import { HyperliquidRealTimeFeed } from './hyperliquid.ts'
 import { LighterRealTimeFeed } from './lighter.ts'
 import { BullishRealTimeFeed } from './bullish.ts'
+import { MexcFuturesRealTimeFeed } from './mexcfutures.ts'
+import { MexcRealTimeFeed } from './mexc.ts'
 import { PolymarketRealTimeFeed } from './polymarket.ts'
 
 export * from './realtimefeed.ts'
@@ -94,6 +96,7 @@ const realTimeFeedsMap: {
   delta: DeltaRealTimeFeed,
   'gate-io': GateIORealTimeFeed,
   'gate-io-futures': GateIOFuturesRealTimeFeed,
+  'mexc-futures': MexcFuturesRealTimeFeed,
   poloniex: PoloniexRealTimeFeed,
   coinflex: CoinflexRealTimeFeed,
   upbit: UpbitRealTimeFeed,
@@ -120,6 +123,7 @@ const realTimeFeedsMap: {
   hyperliquid: HyperliquidRealTimeFeed,
   lighter: LighterRealTimeFeed,
   bullish: BullishRealTimeFeed,
+  mexc: MexcRealTimeFeed,
   polymarket: PolymarketRealTimeFeed
 }