tardis-dev 16.6.0 → 16.6.2

package/dist/replay.js

@@ -7,7 +7,7 @@ import { BinarySplitStream } from "./binarysplit.js";
 import { clearCacheSync } from "./clearcache.js";
 import { EXCHANGES, EXCHANGE_CHANNELS_INFO } from "./consts.js";
 import { debug } from "./debug.js";
-import { addDays, getFilters, normalizeMessages, parseAsUTCDate, wait } from "./handy.js";
+import { addDays, createNormalizedSymbolFilter, getFilters, normalizeMessages, parseAsUTCDate, wait } from "./handy.js";
 import { normalizeBookChanges } from "./mappers/index.js";
 import { getOptions } from "./options.js";
 export async function* replay({ exchange, from, to, filters, skipDecoding = undefined, withDisconnects = undefined, apiKey = undefined, withMicroseconds = undefined, autoCleanup = undefined, waitWhenDataNotYetAvailable = undefined }) {
@@ -193,12 +193,9 @@ export function replayNormalized({ exchange, symbols, from, to, withDisconnectMe
     const filters = getFilters(mappers, symbols);
     // 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);
-    };
     const segments = getReplayNormalizedSegments(exchange, normalizers, fromDate, toDate);
     if (segments.length <= 1) {
+        const filter = createNormalizedSymbolFilter(symbols, filters);
         const messages = replay({
             exchange,
             from,
@@ -218,6 +215,7 @@ export function replayNormalized({ exchange, symbols, from, to, withDisconnectMe
             const { from: segmentFrom, to: segmentTo } = segments[i];
             const segmentMappers = i === 0 ? mappers : createMappers(segmentFrom);
             const segmentFilters = getFilters(segmentMappers, symbols);
+            const segmentFilter = createNormalizedSymbolFilter(symbols, segmentFilters);
             const segmentMessages = replay({
                 exchange,
                 from: segmentFrom.toISOString(),
@@ -229,7 +227,7 @@ export function replayNormalized({ exchange, symbols, from, to, withDisconnectMe
                 autoCleanup,
                 waitWhenDataNotYetAvailable
             });
-            yield* normalizeMessages(exchange, undefined, segmentMessages, segmentMappers, createMappers, withDisconnectMessages, filter);
+            yield* normalizeMessages(exchange, undefined, segmentMessages, segmentMappers, createMappers, withDisconnectMessages, segmentFilter);
         }
     }
 }

package/dist/replay.js.map

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

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

@@ -1,5 +1,5 @@
 import { debug } from "./debug.js";
-import { getFilters, normalizeMessages } from "./handy.js";
+import { createNormalizedSymbolFilter, getFilters, normalizeMessages } from "./handy.js";
 import { createRealTimeFeed } from "./realtimefeeds/index.js";
 async function* _stream({ exchange, filters, timeoutIntervalMS = 10000, withDisconnects = undefined, onError = undefined }) {
     validateStreamOptions(filters);
@@ -40,10 +40,7 @@ async function* _streamNormalized({ exchange, symbols, timeoutIntervalMS = 10000
             });
             // filter normalized messages by symbol as some exchanges do not offer subscribing to specific symbols for some of the channels
             // for example Phemex market24h channel
-            const upperCaseSymbols = symbols !== undefined ? symbols.map((s) => s.toUpperCase()) : undefined;
-            const filter = (symbol) => {
-                return upperCaseSymbols === undefined || upperCaseSymbols.length === 0 || upperCaseSymbols.includes(symbol);
-            };
+            const filter = createNormalizedSymbolFilter(symbols, filters);
             const normalizedMessages = normalizeMessages(exchange, symbols, messages, mappers, createMappers, withDisconnectMessages, filter, new Date());
             for await (const message of normalizedMessages) {
                 yield message;

package/dist/stream.js.map

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package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "tardis-dev",
-  "version": "16.6.0",
+  "version": "16.6.2",
   "engines": {
     "node": ">=25"
   },

package/src/consts.ts

@@ -124,7 +124,7 @@ const DERIBIT_CHANNELS = [
   'instrument.state.any'
 ] as const
 
-const KRAKEN_CHANNELS = ['trade', 'ticker', 'book', 'spread'] as const
+const KRAKEN_CHANNELS = ['trade', 'ticker', 'book', 'spread', 'instrument'] as const
 
 const OKEX_CHANNELS = [
   'spot/trade',

package/src/handy.ts

@@ -819,6 +819,28 @@ export function upperCaseSymbols(symbols?: string[]) {
   return
 }
 
+export function createNormalizedSymbolFilter(symbols: string[] | undefined, filters: Filter<any>[]) {
+  if (symbols === undefined || symbols.length === 0) {
+    return
+  }
+
+  const allowedSymbols = new Set<string>()
+  for (const symbol of symbols) {
+    allowedSymbols.add(symbol)
+    allowedSymbols.add(symbol.toUpperCase())
+  }
+
+  for (const filter of filters) {
+    if (filter.symbols !== undefined) {
+      for (const symbol of filter.symbols) {
+        allowedSymbols.add(symbol)
+      }
+    }
+  }
+
+  return (symbol: string) => allowedSymbols.has(symbol)
+}
+
 export function lowerCaseSymbols(symbols?: string[]) {
   if (symbols !== undefined) {
     return symbols.map((s) => s.toLowerCase())

package/src/instrumentinfo.ts

@@ -66,7 +66,10 @@ export async function findInstrumentSymbols(
 
       return {
         exchange,
-        symbols: instruments.map((instrument) => (selector === 'datasetId' ? (instrument.datasetId ?? instrument.id) : instrument.id))
+        symbols:
+          selector === 'datasetId'
+            ? instruments.flatMap((instrument) => instrument.datasetId ?? [])
+            : instruments.map((instrument) => instrument.id)
       }
     })
   )
@@ -112,7 +115,7 @@ export type UnderlyingType = 'native' | 'equity' | 'commodity' | 'fixed_income'
 export interface InstrumentInfo {
   /** symbol id */
   id: string
-  /** dataset symbol id, may differ from id */
+  /** dataset symbol id, present after the symbol appears in exported dataset metadata */
   datasetId?: string
   /** exchange id */
   exchange: string

package/src/mappers/kraken.ts

@@ -1,15 +1,22 @@
-import { asNonZeroNumberOrUndefined, upperCaseSymbols } from '../handy.ts'
+import { asNonZeroNumberOrUndefined, parseμs } from '../handy.ts'
 import { BookChange, BookTicker, Trade } from '../types.ts'
 import { Mapper } from './mapper.ts'
-import { exchangeMappers } from './registry.ts'
+import { exchangeMappers, mapper } from './registry.ts'
 
 // https://www.kraken.com/features/websocket-api
+const KRAKEN_V2_API_SWITCH_DATE = new Date('2026-07-10T00:00:00.000Z')
 
 export const krakenMappers = exchangeMappers({
   kraken: {
-    trades: () => krakenTradesMapper,
-    bookChanges: () => krakenBookChangeMapper,
-    bookTickers: () => krakenBookTickerMapper
+    trades: mapper([{ until: KRAKEN_V2_API_SWITCH_DATE, use: () => krakenTradesMapper }, { use: () => new KrakenV2TradesMapper() }]),
+    bookChanges: mapper([
+      { until: KRAKEN_V2_API_SWITCH_DATE, use: () => krakenBookChangeMapper },
+      { use: () => new KrakenV2BookChangeMapper() }
+    ]),
+    bookTickers: mapper([
+      { until: KRAKEN_V2_API_SWITCH_DATE, use: () => krakenBookTickerMapper },
+      { use: () => new KrakenV2BookTickerMapper() }
+    ])
   }
 })
 
@@ -24,8 +31,6 @@ const krakenTradesMapper: Mapper<'kraken', Trade> = {
   },
 
   getFilters(symbols?: string[]) {
-    symbols = upperCaseSymbols(symbols)
-
     return [
       {
         channel: 'trade',
@@ -84,8 +89,6 @@ const krakenBookChangeMapper: Mapper<'kraken', BookChange> = {
   },
 
   getFilters(symbols?: string[]) {
-    symbols = upperCaseSymbols(symbols)
-
     return [
       {
         channel: 'book',
@@ -142,8 +145,6 @@ const krakenBookTickerMapper: Mapper<'kraken', BookTicker> = {
   },
 
   getFilters(symbols?: string[]) {
-    symbols = upperCaseSymbols(symbols)
-
     return [
       {
         channel: 'spread',
@@ -226,3 +227,153 @@ type KrakenSpread = [
   'spread',
   'XBT/USD'
 ]
+
+/** @see https://docs.kraken.com/api/docs/websocket-v2/trade */
+class KrakenV2TradesMapper implements Mapper<'kraken', Trade> {
+  canHandle(message: KrakenV2Trades) {
+    return message.channel === 'trade' && message.type === 'update'
+  }
+
+  getFilters(symbols?: string[]) {
+    return [{ channel: 'trade', symbols } as const]
+  }
+
+  *map(message: KrakenV2Trades, localTimestamp: Date): IterableIterator<Trade> {
+    for (const trade of message.data) {
+      const timestamp = new Date(trade.timestamp)
+      timestamp.μs = parseμs(trade.timestamp)
+
+      yield {
+        type: 'trade',
+        symbol: trade.symbol,
+        exchange: 'kraken',
+        id: trade.trade_id.toString(),
+        price: trade.price,
+        amount: trade.qty,
+        side: trade.side,
+        timestamp,
+        localTimestamp
+      }
+    }
+  }
+}
+
+/** @see https://docs.kraken.com/api/docs/websocket-v2/book */
+class KrakenV2BookChangeMapper implements Mapper<'kraken', BookChange> {
+  canHandle(message: KrakenV2Book) {
+    return message.channel === 'book'
+  }
+
+  getFilters(symbols?: string[]) {
+    return [{ channel: 'book', symbols } as const]
+  }
+
+  *map(message: KrakenV2Book, localTimestamp: Date): IterableIterator<BookChange> {
+    for (const book of message.data) {
+      const timestamp = new Date(book.timestamp)
+      timestamp.μs = parseμs(book.timestamp)
+
+      yield {
+        type: 'book_change',
+        symbol: book.symbol,
+        exchange: 'kraken',
+        isSnapshot: message.type === 'snapshot',
+        bids: book.bids?.map(this.mapBookLevel) ?? [],
+        asks: book.asks?.map(this.mapBookLevel) ?? [],
+        timestamp,
+        localTimestamp
+      }
+    }
+  }
+
+  private mapBookLevel(level: KrakenV2BookLevel) {
+    return {
+      price: level.price,
+      amount: level.qty
+    }
+  }
+}
+
+/** @see https://docs.kraken.com/api/docs/websocket-v2/ticker  */
+class KrakenV2BookTickerMapper implements Mapper<'kraken', BookTicker> {
+  canHandle(message: KrakenV2Ticker) {
+    return message.channel === 'ticker'
+  }
+
+  getFilters(symbols?: string[]) {
+    return [{ channel: 'ticker', symbols } as const]
+  }
+
+  *map(message: KrakenV2Ticker, localTimestamp: Date): IterableIterator<BookTicker> {
+    for (const tickerMessage of message.data) {
+      const timestamp = new Date(tickerMessage.timestamp)
+      timestamp.μs = parseμs(tickerMessage.timestamp)
+
+      yield {
+        type: 'book_ticker',
+        symbol: tickerMessage.symbol,
+        exchange: 'kraken',
+        askAmount: tickerMessage.ask_qty === 0 ? undefined : tickerMessage.ask_qty,
+        askPrice: tickerMessage.ask === 0 ? undefined : tickerMessage.ask,
+        bidPrice: tickerMessage.bid === 0 ? undefined : tickerMessage.bid,
+        bidAmount: tickerMessage.bid_qty === 0 ? undefined : tickerMessage.bid_qty,
+        timestamp,
+        localTimestamp
+      }
+    }
+  }
+}
+
+type KrakenV2Message<Channel extends string, Data> = {
+  channel: Channel
+  type: 'snapshot' | 'update'
+  data: Data[]
+}
+
+type KrakenV2Trades = KrakenV2Message<
+  'trade',
+  {
+    symbol: string
+    side: 'buy' | 'sell'
+    price: number
+    qty: number
+    ord_type?: string
+    trade_id: number
+    timestamp: string
+  }
+>
+
+type KrakenV2Book = KrakenV2Message<
+  'book',
+  {
+    symbol: string
+    bids?: KrakenV2BookLevel[]
+    asks?: KrakenV2BookLevel[]
+    checksum?: number
+    timestamp: string
+  }
+>
+
+type KrakenV2BookLevel = {
+  price: number
+  qty: number
+}
+
+type KrakenV2Ticker = KrakenV2Message<
+  'ticker',
+  {
+    symbol: string
+    bid: number
+    bid_qty: number
+    ask: number
+    ask_qty: number
+    last: number
+    volume: number
+    vwap: number
+    low: number
+    high: number
+    change: number
+    change_pct: number
+    timestamp: string
+  }
+>