tardis-dev 16.6.3 → 17.0.0

package/dist/replay.js

@@ -1,16 +1,61 @@
 import { createReadStream } from 'node:fs';
 import { rm } from 'node:fs/promises';
-import { EventEmitter } from 'events';
+import { EventEmitter, once } from 'events';
 import { Worker } from 'worker_threads';
 import { constants, createGunzip, createZstdDecompress } from 'zlib';
-import { BinarySplitStream } from "./binarysplit.js";
+import { BinarySplitBatchStream } from "./binarysplit.js";
 import { clearCacheSync } from "./clearcache.js";
 import { EXCHANGES, EXCHANGE_CHANNELS_INFO } from "./consts.js";
 import { debug } from "./debug.js";
-import { addDays, createNormalizedSymbolFilter, getFilters, normalizeMessages, parseAsUTCDate, wait } from "./handy.js";
+import { addDays, createNormalizedSymbolFilter, getFilters, parseAsUTCDate, wait } from "./handy.js";
 import { normalizeBookChanges } from "./mappers/index.js";
 import { getOptions } from "./options.js";
+const DATE_MESSAGE_SPLIT_INDEX = 28;
+const CHUNK_SIZE = 256 * 1024;
+// Keep decompression lenient for partial gzip responses.
+// See https://github.com/request/request/pull/2492 and https://github.com/node-fetch/node-fetch/pull/239.
+const GZIP_OPTIONS = {
+    chunkSize: CHUNK_SIZE,
+    flush: constants.Z_SYNC_FLUSH,
+    finishFlush: constants.Z_SYNC_FLUSH
+};
 export async function* replay({ exchange, from, to, filters, skipDecoding = undefined, withDisconnects = undefined, apiKey = undefined, withMicroseconds = undefined, autoCleanup = undefined, waitWhenDataNotYetAvailable = undefined }) {
+    let lastMessageWasUndefined = false;
+    const lineBatches = replayLineBatches({ exchange, from, to, filters, apiKey, autoCleanup, waitWhenDataNotYetAvailable });
+    for await (const bufferLines of lineBatches) {
+        // Decode one line batch in a tight loop, then preserve the public one-message-at-a-time iterator.
+        const messages = [];
+        for (let i = 0; i < bufferLines.length; i++) {
+            const bufferLine = bufferLines[i];
+            if (bufferLine.length > 0) {
+                lastMessageWasUndefined = false;
+                if (skipDecoding === true) {
+                    messages.push({
+                        localTimestamp: bufferLine.slice(0, DATE_MESSAGE_SPLIT_INDEX),
+                        message: bufferLine.slice(DATE_MESSAGE_SPLIT_INDEX + 1)
+                    });
+                }
+                else {
+                    const message = parseReplayMessage(exchange, bufferLine);
+                    const localTimestamp = parseReplayTimestamp(bufferLine);
+                    if (withMicroseconds) {
+                        localTimestamp.μs = parseReplayMicroseconds(bufferLine);
+                    }
+                    messages.push({ localTimestamp, message });
+                }
+            }
+            else if (withDisconnects === true && lastMessageWasUndefined === false) {
+                lastMessageWasUndefined = true;
+                messages.push(undefined);
+            }
+        }
+        // Drain a batch already received from the stream; its iterator surfaces later stream errors on the next read.
+        for (let i = 0; i < messages.length; i++) {
+            yield messages[i];
+        }
+    }
+}
+async function* replayLineBatches({ exchange, from, to, filters, apiKey = undefined, autoCleanup = undefined, waitWhenDataNotYetAvailable = undefined }) {
     validateReplayOptions(exchange, from, to, filters);
     const fromDate = parseAsUTCDate(from);
     const toDate = parseAsUTCDate(to);
@@ -43,19 +88,6 @@ export async function* replay({ exchange, from, to, filters, skipDecoding = unde
         replayError = err;
     });
     try {
-        // date is always formatted to have length of 28 so we can skip looking for first space in line and use it
-        // as hardcoded value
-        const DATE_MESSAGE_SPLIT_INDEX = 28;
-        // more lenient gzip decompression
-        // see https://github.com/request/request/pull/2492 and https://github.com/node-fetch/node-fetch/pull/239
-        const CHUNK_SIZE = 256 * 1024;
-        const GZIP_OPTIONS = {
-            chunkSize: CHUNK_SIZE,
-            flush: constants.Z_SYNC_FLUSH,
-            finishFlush: constants.Z_SYNC_FLUSH
-        };
-        // helper flag that helps us not yielding two subsequent undefined/disconnect messages
-        let lastMessageWasUndefined = false;
         let currentSliceDate = new Date(fromDate);
         // iterate over every minute in <=from,to> date range
         // get cached slice paths, read them as file streams, decompress, split by new lines and yield as messages
@@ -70,9 +102,9 @@ export async function* replay({ exchange, from, to, filters, skipDecoding = unde
                     throw replayError;
                 }
                 if (cachedSlice === undefined) {
-                    // if response for requested date is not ready yet wait 100ms and try again
+                    // if the requested slice is not ready yet, wait for the worker to report another cached slice
                     debug('waiting for slice: %s, exchange: %s', sliceKey, exchange);
-                    await wait(100);
+                    await once(worker, 'message');
                 }
             }
             // response is a path to file on disk let' read it as stream
@@ -86,51 +118,15 @@ export async function* replay({ exchange, from, to, filters, skipDecoding = unde
                 linesStream.destroy(err);
             })
                 // and split by new line
-                .pipe(new BinarySplitStream())
+                .pipe(new BinarySplitBatchStream())
                 .on('error', function onBinarySplitStreamError(err) {
                 debug('binary split stream error %o', err);
                 linesStream.destroy(err);
             });
             let linesCount = 0;
-            for await (const bufferLine of linesStream) {
-                linesCount++;
-                if (bufferLine.length > 0) {
-                    lastMessageWasUndefined = false;
-                    // as any due to https://github.com/Microsoft/TypeScript/issues/24929
-                    if (skipDecoding === true) {
-                        yield {
-                            localTimestamp: bufferLine.slice(0, DATE_MESSAGE_SPLIT_INDEX),
-                            message: bufferLine.slice(DATE_MESSAGE_SPLIT_INDEX + 1)
-                        };
-                    }
-                    else {
-                        let messageString = bufferLine.toString('utf8', DATE_MESSAGE_SPLIT_INDEX + 1);
-                        // hack to handle huobi long numeric id for trades
-                        if (exchange.startsWith('huobi-') && messageString.includes('.trade.detail')) {
-                            messageString = messageString.replace(/"id":([0-9]+),/g, '"id":"$1",');
-                        }
-                        // hack to handle upbit long numeric id for trades
-                        if (exchange === 'upbit' && messageString.includes('sequential_id')) {
-                            messageString = messageString.replace(/"sequential_id":([0-9]+),/g, '"sequential_id":"$1",');
-                        }
-                        const message = JSON.parse(messageString);
-                        const localTimestamp = new Date(bufferLine.toString('utf8', 0, DATE_MESSAGE_SPLIT_INDEX));
-                        if (withMicroseconds) {
-                            localTimestamp.μs = parseReplayMicroseconds(bufferLine);
-                        }
-                        yield {
-                            // when skipDecoding is not set, decode timestamp to Date and message to object
-                            localTimestamp,
-                            message
-                        };
-                    }
-                    // ignore empty lines unless withDisconnects is set to true
-                    // do not yield subsequent undefined messages
-                }
-                else if (withDisconnects === true && lastMessageWasUndefined === false) {
-                    lastMessageWasUndefined = true;
-                    yield undefined;
-                }
+            for await (const bufferLines of linesStream) {
+                linesCount += bufferLines.length;
+                yield bufferLines;
             }
             debug('processed slice: %s, exchange: %s, count: %d', sliceKey, exchange, linesCount);
             // remove slice key from the map as it's already processed
@@ -159,6 +155,18 @@ export async function* replay({ exchange, from, to, filters, skipDecoding = unde
         }
     }
 }
+function parseReplayMessage(exchange, bufferLine) {
+    let messageString = bufferLine.toString('utf8', DATE_MESSAGE_SPLIT_INDEX + 1);
+    // hack to handle huobi long numeric id for trades
+    if (exchange.startsWith('huobi-') && messageString.includes('.trade.detail')) {
+        messageString = messageString.replace(/"id":([0-9]+),/g, '"id":"$1",');
+    }
+    // hack to handle upbit long numeric id for trades
+    if (exchange === 'upbit' && messageString.includes('sequential_id')) {
+        messageString = messageString.replace(/"sequential_id":([0-9]+),/g, '"sequential_id":"$1",');
+    }
+    return JSON.parse(messageString);
+}
 async function cleanupSlice(slicePath) {
     try {
         await rm(slicePath, { force: true });
@@ -170,6 +178,16 @@ async function cleanupSlice(slicePath) {
 function parseReplayMicroseconds(bufferLine) {
     return (bufferLine[23] - 48) * 100 + (bufferLine[24] - 48) * 10 + (bufferLine[25] - 48);
 }
+function parseReplayTimestamp(bufferLine) {
+    // Recorder writes yyyy-MM-ddTHH:mm:ss.fffffffZ.
+    return new Date(Date.UTC(parseReplayTwoDigits(bufferLine, 0) * 100 + parseReplayTwoDigits(bufferLine, 2), parseReplayTwoDigits(bufferLine, 5) - 1, parseReplayTwoDigits(bufferLine, 8), parseReplayTwoDigits(bufferLine, 11), parseReplayTwoDigits(bufferLine, 14), parseReplayTwoDigits(bufferLine, 17), parseReplayThreeDigits(bufferLine, 20)));
+}
+function parseReplayTwoDigits(bufferLine, start) {
+    return (bufferLine[start] - 48) * 10 + (bufferLine[start + 1] - 48);
+}
+function parseReplayThreeDigits(bufferLine, start) {
+    return (bufferLine[start] - 48) * 100 + (bufferLine[start + 1] - 48) * 10 + (bufferLine[start + 2] - 48);
+}
 // gracefully terminate worker
 async function terminateWorker(worker, waitTimeout) {
     let cancelWait = () => { };
@@ -188,46 +206,114 @@ export function replayNormalized({ exchange, symbols, from, to, withDisconnectMe
     const fromDate = parseAsUTCDate(from);
     const toDate = parseAsUTCDate(to);
     validateReplayNormalizedOptions(fromDate, normalizers);
-    const createMappers = (localTimestamp) => normalizers.map((m) => m(exchange, localTimestamp));
-    const mappers = createMappers(fromDate);
-    const filters = getFilters(mappers, symbols);
+    const createMappersAt = (localTimestamp) => normalizers.map((normalizer) => normalizer(exchange, localTimestamp));
+    const initialMappers = createMappersAt(fromDate);
+    const filters = getFilters(initialMappers, 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 segments = getReplayNormalizedSegments(exchange, normalizers, fromDate, toDate);
     if (segments.length <= 1) {
         const filter = createNormalizedSymbolFilter(symbols, filters);
-        const messages = replay({
+        const lineBatches = replayLineBatches({
             exchange,
             from,
             to,
-            withDisconnects: true,
             filters,
             apiKey,
-            withMicroseconds: true,
             autoCleanup,
             waitWhenDataNotYetAvailable
         });
-        return normalizeMessages(exchange, undefined, messages, mappers, createMappers, withDisconnectMessages, filter);
+        return normalizeReplayLineBatches(exchange, undefined, lineBatches, initialMappers, createMappersAt, 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 segmentMappers = i === 0 ? initialMappers : createMappersAt(segmentFrom);
             const segmentFilters = getFilters(segmentMappers, symbols);
             const segmentFilter = createNormalizedSymbolFilter(symbols, segmentFilters);
-            const segmentMessages = replay({
+            const segmentLineBatches = replayLineBatches({
                 exchange,
                 from: segmentFrom.toISOString(),
                 to: segmentTo.toISOString(),
-                withDisconnects: true,
                 filters: segmentFilters,
                 apiKey,
-                withMicroseconds: true,
                 autoCleanup,
                 waitWhenDataNotYetAvailable
             });
-            yield* normalizeMessages(exchange, undefined, segmentMessages, segmentMappers, createMappers, withDisconnectMessages, segmentFilter);
+            yield* normalizeReplayLineBatches(exchange, undefined, segmentLineBatches, segmentMappers, createMappersAt, withDisconnectMessages, segmentFilter);
+        }
+    }
+}
+async function* normalizeReplayLineBatches(exchange, symbols, lineBatches, initialMappers, createMappersAt, withDisconnectMessages, filter) {
+    // This intentionally keeps mapper calls lazy. Custom normalizers must not process later raw messages before the consumer asks for them.
+    let previousLocalTimestamp;
+    let activeMappers = initialMappers;
+    if (activeMappers.length === 0) {
+        throw new Error(`Can't normalize data without any normalizers provided`);
+    }
+    for await (const bufferLines of lineBatches) {
+        const decodedMessages = [];
+        let decodingFailed = false;
+        let decodingError;
+        try {
+            for (let i = 0; i < bufferLines.length; i++) {
+                const bufferLine = bufferLines[i];
+                if (bufferLine.length === 0) {
+                    decodedMessages.push(undefined);
+                }
+                else {
+                    const message = parseReplayMessage(exchange, bufferLine);
+                    const localTimestamp = parseReplayTimestamp(bufferLine);
+                    localTimestamp.μs = parseReplayMicroseconds(bufferLine);
+                    decodedMessages.push({ localTimestamp, message });
+                }
+            }
+        }
+        catch (error) {
+            decodingFailed = true;
+            decodingError = error;
+        }
+        for (let i = 0; i < decodedMessages.length; i++) {
+            const decodedMessage = decodedMessages[i];
+            if (decodedMessage === undefined) {
+                if (activeMappers === undefined) {
+                    continue;
+                }
+                activeMappers = undefined;
+                if (withDisconnectMessages === true && previousLocalTimestamp !== undefined) {
+                    const disconnect = {
+                        type: 'disconnect',
+                        exchange,
+                        localTimestamp: previousLocalTimestamp,
+                        symbols
+                    };
+                    yield disconnect;
+                }
+                continue;
+            }
+            const { localTimestamp, message } = decodedMessage;
+            if (activeMappers === undefined) {
+                activeMappers = createMappersAt(localTimestamp);
+            }
+            previousLocalTimestamp = localTimestamp;
+            for (let mapperIndex = 0; mapperIndex < activeMappers.length; mapperIndex++) {
+                const mapper = activeMappers[mapperIndex];
+                if (mapper.canHandle(message)) {
+                    const mappedMessages = mapper.map(message, localTimestamp);
+                    if (!mappedMessages) {
+                        continue;
+                    }
+                    for (const normalizedMessage of mappedMessages) {
+                        if (filter === undefined || filter(normalizedMessage.symbol)) {
+                            yield normalizedMessage;
+                        }
+                    }
+                }
+            }
+        }
+        if (decodingFailed) {
+            throw decodingError;
         }
     }
 }

package/dist/replay.js.map

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

@@ -1,6 +1,6 @@
 {
   "name": "tardis-dev",
-  "version": "16.6.3",
+  "version": "17.0.0",
   "engines": {
     "node": ">=25"
   },

package/src/binarysplit.ts

@@ -1,25 +1,27 @@
 import { Transform } from 'stream'
 import type { TransformCallback } from 'stream'
 
-// Inspired by https://github.com/maxogden/binary-split/blob/master/index.js
-export class BinarySplitStream extends Transform {
-  private readonly _NEW_LINE_BYTE: number
+const NEW_LINE_BYTE = 10
+
+// Inspired by https://github.com/maxogden/binary-split/blob/master/index.js.
+// Batching lines lets replay cross the object-mode async iterator boundary once per decompressed chunk.
+export class BinarySplitBatchStream extends Transform {
   private _buffered?: Buffer
 
   constructor() {
     super({
-      readableObjectMode: true
+      readableObjectMode: true,
+      // A batch can hold a full decompression chunk, so keep read-ahead deliberately small.
+      readableHighWaterMark: 2
     })
-
-    this._NEW_LINE_BYTE = 10
-    this._buffered = undefined
   }
 
   _transform(chunk: Buffer, _: string, callback: TransformCallback) {
-    let chunkStart = 0
+    const lines: Buffer[] = []
+    let lineStart = 0
 
     if (this._buffered !== undefined) {
-      const firstNewLineIndex = chunk.indexOf(this._NEW_LINE_BYTE)
+      const firstNewLineIndex = chunk.indexOf(NEW_LINE_BYTE)
 
       if (firstNewLineIndex === -1) {
         this._buffered = Buffer.concat([this._buffered, chunk])
@@ -27,26 +29,22 @@ export class BinarySplitStream extends Transform {
         return
       }
 
-      this.push(Buffer.concat([this._buffered, chunk.subarray(0, firstNewLineIndex)]))
+      lines.push(Buffer.concat([this._buffered, chunk.subarray(0, firstNewLineIndex)]))
       this._buffered = undefined
-      chunkStart = firstNewLineIndex + 1
+      lineStart = firstNewLineIndex + 1
     }
 
-    let offset = chunkStart
-    let lineStart = chunkStart
-
-    while (true) {
-      const newLineIndex = chunk.indexOf(this._NEW_LINE_BYTE, offset)
-      if (newLineIndex === -1) {
-        break
-      }
-
-      this.push(chunk.subarray(lineStart, newLineIndex))
-      offset = newLineIndex + 1
-      lineStart = offset
+    let newLineIndex = chunk.indexOf(NEW_LINE_BYTE, lineStart)
+    while (newLineIndex !== -1) {
+      lines.push(chunk.subarray(lineStart, newLineIndex))
+      lineStart = newLineIndex + 1
+      newLineIndex = chunk.indexOf(NEW_LINE_BYTE, lineStart)
     }
 
     this._buffered = lineStart < chunk.length ? chunk.subarray(lineStart) : undefined
+    if (lines.length > 0) {
+      this.push(lines)
+    }
     callback()
   }
 }

package/src/handy.ts

@@ -208,6 +208,13 @@ export function parseμs(dateString: string): number {
   // check if we have ISO 8601 format date string, e.g: 2019-06-01T00:03:03.1238784Z or 2020-07-22T00:09:16.836773Z
   // or 2020-03-01T00:00:24.893456+00:00
   if (dateString.length === 27 || dateString.length === 28 || dateString.length === 32 || dateString.length === 30) {
+    const hundreds = dateString.charCodeAt(23) - 48
+    const tens = dateString.charCodeAt(24) - 48
+    const ones = dateString.charCodeAt(25) - 48
+    if (hundreds >= 0 && hundreds <= 9 && tens >= 0 && tens <= 9 && ones >= 0 && ones <= 9) {
+      return hundreds * 100 + tens * 10 + ones
+    }
+
     return Number(dateString.slice(23, 26))
   }
 

package/src/mappers/bullish.ts

@@ -13,6 +13,11 @@ export const bullishMappers = exchangeMappers({
   }
 })
 
+function getBullishOrderBookTimestamp(value: string, localTimestamp: Date) {
+  const timestamp = Number(value)
+  return value.length === 13 && Number.isSafeInteger(timestamp) ? new Date(timestamp) : localTimestamp
+}
+
 class BullishTradesMapper implements Mapper<'bullish', Trade> {
   canHandle(message: BullishMessage): message is BullishAnonymousTradeUpdateMessage {
     return message.dataType === 'V1TAAnonymousTradeUpdate' && message.type === 'update'
@@ -76,7 +81,7 @@ class BullishBookChangeMapper implements Mapper<'bullish', BookChange> {
       isSnapshot: message.type === 'snapshot',
       bids: this.mapLevels(message.data.bids),
       asks: this.mapLevels(message.data.asks),
-      timestamp: new Date(message.data.datetime),
+      timestamp: getBullishOrderBookTimestamp(message.data.timestamp, localTimestamp),
       localTimestamp
     }
   }
@@ -117,7 +122,7 @@ class BullishBookTickerMapper implements Mapper<'bullish', BookTicker> {
       bidAmount: asNonZeroNumberOrUndefined(message.data.bid[1]),
       askPrice: asNonZeroNumberOrUndefined(message.data.ask[0]),
       askAmount: asNonZeroNumberOrUndefined(message.data.ask[1]),
-      timestamp: new Date(message.data.datetime),
+      timestamp: getBullishOrderBookTimestamp(message.data.timestamp, localTimestamp),
       localTimestamp
     }
   }

package/src/mappers/coinbase.ts

@@ -133,13 +133,24 @@ class CoinbaseBookChangMapper implements Mapper<'coinbase', BookChange> {
         this._symbolLastTimestampMap.set(message.product_id, timestamp)
       }
 
+      const bids: BookPriceLevel[] = []
+      const asks: BookPriceLevel[] = []
+      for (let i = 0; i < message.changes.length; i++) {
+        const change = message.changes[i]
+        if (change[0] === 'buy') {
+          bids.push(mapUpdateBookLevel(change))
+        } else if (change[0] === 'sell') {
+          asks.push(mapUpdateBookLevel(change))
+        }
+      }
+
       yield {
         type: 'book_change',
         symbol: message.product_id,
         exchange: 'coinbase',
         isSnapshot: false,
-        bids: message.changes.filter((c) => c[0] === 'buy').map(mapUpdateBookLevel),
-        asks: message.changes.filter((c) => c[0] === 'sell').map(mapUpdateBookLevel),
+        bids,
+        asks,
         timestamp,
         localTimestamp: localTimestamp
       }