tardis-machine 17.0.0 → 18.0.0

package/node_modules/tardis-dev/dist/options.js

@@ -0,0 +1,21 @@
+import { createRequire } from 'module';
+import os from 'os';
+import path from 'path';
+const require = createRequire(import.meta.url);
+const packageJson = require('../package.json');
+const defaultOptions = {
+    endpoint: 'https://api.tardis.dev/v1',
+    datasetsEndpoint: 'https://datasets.tardis.dev/v1',
+    cacheDir: path.join(os.tmpdir(), '.tardis-cache'),
+    apiKey: '',
+    dataFeedCompression: 'zstd',
+    _userAgent: `tardis-dev/${packageJson.version} (+https://github.com/tardis-dev/tardis-node)`
+};
+let options = { ...defaultOptions };
+export function init(initOptions = {}) {
+    options = { ...defaultOptions, ...initOptions };
+}
+export function getOptions() {
+    return options;
+}
+//# sourceMappingURL=options.js.map

package/node_modules/tardis-dev/dist/options.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"options.js","sourceRoot":"","sources":["../src/options.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,aAAa,EAAE,MAAM,QAAQ,CAAA;AACtC,OAAO,EAAE,MAAM,IAAI,CAAA;AACnB,OAAO,IAAI,MAAM,MAAM,CAAA;AAEvB,MAAM,OAAO,GAAG,aAAa,CAAC,MAAM,CAAC,IAAI,CAAC,GAAG,CAAC,CAAA;AAC9C,MAAM,WAAW,GAAG,OAAO,CAAC,iBAAiB,CAAwB,CAAA;AAErE,MAAM,cAAc,GAAY;IAC9B,QAAQ,EAAE,2BAA2B;IACrC,gBAAgB,EAAE,gCAAgC;IAClD,QAAQ,EAAE,IAAI,CAAC,IAAI,CAAC,EAAE,CAAC,MAAM,EAAE,EAAE,eAAe,CAAC;IACjD,MAAM,EAAE,EAAE;IACV,mBAAmB,EAAE,MAAM;IAC3B,UAAU,EAAE,cAAc,WAAW,CAAC,OAAO,+CAA+C;CAC7F,CAAA;AAED,IAAI,OAAO,GAAY,EAAE,GAAG,cAAc,EAAE,CAAA;AAE5C,MAAM,UAAU,IAAI,CAAC,cAAgC,EAAE;IACrD,OAAO,GAAG,EAAE,GAAG,cAAc,EAAE,GAAG,WAAW,EAAE,CAAA;AACjD,CAAC;AAED,MAAM,UAAU,UAAU;IACxB,OAAO,OAA4B,CAAA;AACrC,CAAC"}

package/node_modules/tardis-dev/dist/orderbook.d.ts

@@ -0,0 +1,23 @@
+import { BookChange, BookPriceLevel } from './types.ts';
+export type OnLevelRemovedCB = (bookChange: BookChange, bestBidBeforeRemoval: BookPriceLevel | undefined, bestBidAfterRemoval: BookPriceLevel | undefined, bestAskBeforeRemoval: BookPriceLevel | undefined, bestAskAfterRemoval: BookPriceLevel | undefined) => void;
+export declare class OrderBook {
+    private readonly _bids;
+    private readonly _asks;
+    private readonly _removeCrossedLevels;
+    private _onCrossedLevelRemovedCallbacks;
+    private _receivedInitialSnapshot;
+    constructor({ removeCrossedLevels, onCrossedLevelRemoved }?: {
+        removeCrossedLevels?: boolean;
+        onCrossedLevelRemoved?: OnLevelRemovedCB;
+    });
+    addOnCrossedLevelRemovedCallback(callback: OnLevelRemovedCB): void;
+    update(bookChange: BookChange): void;
+    bestBid(): BookPriceLevel | undefined;
+    bestAsk(): BookPriceLevel | undefined;
+    private _removeCrossedLevelsIfNeeded;
+    private _removeBestAsk;
+    private _removeBestBid;
+    bids(): IterableIterator<BookPriceLevel>;
+    asks(): IterableIterator<BookPriceLevel>;
+}
+//# sourceMappingURL=orderbook.d.ts.map

package/node_modules/tardis-dev/dist/orderbook.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"orderbook.d.ts","sourceRoot":"","sources":["../src/orderbook.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,UAAU,EAAE,cAAc,EAAE,MAAM,YAAY,CAAA;AAEvD,MAAM,MAAM,gBAAgB,GAAG,CAC7B,UAAU,EAAE,UAAU,EACtB,oBAAoB,EAAE,cAAc,GAAG,SAAS,EAChD,mBAAmB,EAAE,cAAc,GAAG,SAAS,EAC/C,oBAAoB,EAAE,cAAc,GAAG,SAAS,EAChD,mBAAmB,EAAE,cAAc,GAAG,SAAS,KAC5C,IAAI,CAAA;AAET,qBAAa,SAAS;IACpB,OAAO,CAAC,QAAQ,CAAC,KAAK,CAAyB;IAC/C,OAAO,CAAC,QAAQ,CAAC,KAAK,CAAwB;IAC9C,OAAO,CAAC,QAAQ,CAAC,oBAAoB,CAAqB;IAC1D,OAAO,CAAC,+BAA+B,CAAmC;IAE1E,OAAO,CAAC,wBAAwB,CAAQ;gBAE5B,EACV,mBAAmB,EACnB,qBAAqB,EACtB,GAAE;QAAE,mBAAmB,CAAC,EAAE,OAAO,CAAC;QAAC,qBAAqB,CAAC,EAAE,gBAAgB,CAAA;KAAO;IAO5E,gCAAgC,CAAC,QAAQ,EAAE,gBAAgB;IAO3D,MAAM,CAAC,UAAU,EAAE,UAAU;IAkB7B,OAAO;IASP,OAAO;IASd,OAAO,CAAC,4BAA4B;IAwCpC,OAAO,CAAC,cAAc;IAatB,OAAO,CAAC,cAAc;IAad,IAAI,IAAI,gBAAgB,CAAC,cAAc,CAAC;IAUxC,IAAI,IAAI,gBAAgB,CAAC,cAAc,CAAC;CASjD"}

package/node_modules/tardis-dev/dist/orderbook.js

@@ -0,0 +1,133 @@
+import { PriceLevelTree } from "./priceleveltree.js";
+export class OrderBook {
+    _bids = new PriceLevelTree(-1);
+    _asks = new PriceLevelTree(1);
+    _removeCrossedLevels;
+    _onCrossedLevelRemovedCallbacks;
+    _receivedInitialSnapshot = false;
+    constructor({ removeCrossedLevels, onCrossedLevelRemoved } = {}) {
+        this._removeCrossedLevels = removeCrossedLevels;
+        if (onCrossedLevelRemoved !== undefined) {
+            this._onCrossedLevelRemovedCallbacks = new Set([onCrossedLevelRemoved]);
+        }
+    }
+    addOnCrossedLevelRemovedCallback(callback) {
+        if (this._onCrossedLevelRemovedCallbacks === undefined) {
+            this._onCrossedLevelRemovedCallbacks = new Set();
+        }
+        this._onCrossedLevelRemovedCallbacks.add(callback);
+    }
+    update(bookChange) {
+        // clear everything up, when snapshot received so we don't have stale levels by accident
+        if (bookChange.isSnapshot) {
+            this._bids.clear();
+            this._asks.clear();
+            this._receivedInitialSnapshot = true;
+        }
+        // process updates as long as we've received initial snapshot, otherwise ignore such messages
+        if (this._receivedInitialSnapshot) {
+            applyPriceLevelChanges(this._asks, bookChange.asks);
+            applyPriceLevelChanges(this._bids, bookChange.bids);
+        }
+        if (this._removeCrossedLevels) {
+            this._removeCrossedLevelsIfNeeded(bookChange);
+        }
+    }
+    bestBid() {
+        const result = this.bids().next();
+        if (result.done === false) {
+            return result.value;
+        }
+        return undefined;
+    }
+    bestAsk() {
+        const result = this.asks().next();
+        if (result.done === false) {
+            return result.value;
+        }
+        return undefined;
+    }
+    _removeCrossedLevelsIfNeeded(bookChange) {
+        let bestBid = this.bestBid();
+        let bestAsk = this.bestAsk();
+        let bookIsCrossed = bestBid !== undefined && bestAsk !== undefined && bestBid.price >= bestAsk.price;
+        // if after update we have crossed order book (best bid >= best ask)
+        // it most likely means that exchange has not published delete message for the other side of the book
+        // more info:
+        // https://www.reddit.com/r/KrakenSupport/comments/d1a4nx/websocket_orderbook_receiving_wrong_bid_price_for/
+        // https://www.reddit.com/r/BitMEX/comments/8lbj9e/bidask_ledger_weirdness/
+        // https://twitter.com/coinarb/status/931260529993170944
+        if (bookIsCrossed) {
+            // decide from which side of the book we should remove level so book isn't crossed anymore
+            // if current book update updated "best ask" it means we should remove "best bid" as exchange hasn't provided book change update
+            // that deletes it, and vice versa for for "best bids"
+            const shouldRemoveBestBid = bookChange.asks.some((s) => s.price === bestAsk.price);
+            while (bookIsCrossed) {
+                if (shouldRemoveBestBid) {
+                    this._removeBestBid();
+                }
+                else {
+                    this._removeBestAsk();
+                }
+                const newBestBid = this.bestBid();
+                const newBestAsk = this.bestAsk();
+                if (this._onCrossedLevelRemovedCallbacks !== undefined) {
+                    for (const callback of this._onCrossedLevelRemovedCallbacks) {
+                        callback(bookChange, bestBid, newBestBid, bestAsk, newBestAsk);
+                    }
+                }
+                bestBid = newBestBid;
+                bestAsk = newBestAsk;
+                bookIsCrossed = bestBid !== undefined && bestAsk !== undefined && bestBid.price >= bestAsk.price;
+            }
+        }
+    }
+    _removeBestAsk() {
+        const bestAsk = this.bestAsk();
+        if (bestAsk !== undefined) {
+            applyPriceLevelChanges(this._asks, [
+                {
+                    price: bestAsk.price,
+                    amount: 0
+                }
+            ]);
+        }
+    }
+    _removeBestBid() {
+        const bestBid = this.bestBid();
+        if (bestBid !== undefined) {
+            applyPriceLevelChanges(this._bids, [
+                {
+                    price: bestBid.price,
+                    amount: 0
+                }
+            ]);
+        }
+    }
+    *bids() {
+        const iterator = this._bids.iterator();
+        let level = iterator.next();
+        while (level !== null) {
+            yield level;
+            level = iterator.next();
+        }
+    }
+    *asks() {
+        const iterator = this._asks.iterator();
+        let level = iterator.next();
+        while (level !== null) {
+            yield level;
+            level = iterator.next();
+        }
+    }
+}
+function applyPriceLevelChanges(tree, priceLevelChanges) {
+    for (const priceLevel of priceLevelChanges) {
+        if (priceLevel.amount === 0) {
+            tree.remove(priceLevel);
+            continue;
+        }
+        tree.upsert(priceLevel);
+    }
+}
+//# sourceMappingURL=orderbook.js.map

package/node_modules/tardis-dev/dist/orderbook.js.map

@@ -0,0 +1 @@
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package/node_modules/tardis-dev/dist/priceleveltree.d.ts

@@ -0,0 +1,27 @@
+import { BookPriceLevel, Writeable } from './types.ts';
+declare class PriceLevelPage {
+    readonly levels: Writeable<BookPriceLevel>[];
+    count: number;
+}
+export declare class PriceLevelTree {
+    private readonly _direction;
+    private _pages;
+    constructor(_direction: 1 | -1);
+    clear(): void;
+    upsert(data: BookPriceLevel): void;
+    remove(data: BookPriceLevel): boolean;
+    iterator(): PriceLevelTreeIterator;
+    private _findPageIndex;
+    private _findLevelIndex;
+    private _comparePrices;
+    private _mergePage;
+}
+declare class PriceLevelTreeIterator {
+    private readonly _pages;
+    private _pageIndex;
+    private _levelIndex;
+    constructor(_pages: readonly PriceLevelPage[]);
+    next(): Writeable<BookPriceLevel> | null;
+}
+export {};
+//# sourceMappingURL=priceleveltree.d.ts.map

package/node_modules/tardis-dev/dist/priceleveltree.d.ts.map

@@ -0,0 +1 @@
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package/node_modules/tardis-dev/dist/priceleveltree.js

@@ -0,0 +1,165 @@
+const PAGE_CAPACITY = 64;
+const PAGE_MERGE_THRESHOLD = PAGE_CAPACITY >>> 2;
+class PriceLevelPage {
+    levels = [];
+    count = 0;
+}
+export class PriceLevelTree {
+    _direction;
+    _pages = [];
+    constructor(_direction) {
+        this._direction = _direction;
+    }
+    clear() {
+        this._pages = [];
+    }
+    upsert(data) {
+        if (this._pages.length === 0) {
+            const page = new PriceLevelPage();
+            page.levels[0] = { ...data };
+            page.count = 1;
+            this._pages.push(page);
+            return;
+        }
+        const pageIndex = this._findPageIndex(data.price);
+        const page = this._pages[pageIndex];
+        const levelIndex = this._findLevelIndex(page, data.price);
+        const existing = page.levels[levelIndex];
+        if (existing !== undefined && existing.price === data.price) {
+            existing.amount = data.amount;
+            return;
+        }
+        const storedData = { ...data };
+        if (page.count < PAGE_CAPACITY) {
+            insertIntoPage(page, levelIndex, storedData);
+            return;
+        }
+        const splitIndex = PAGE_CAPACITY >>> 1;
+        const rightPage = new PriceLevelPage();
+        for (let index = splitIndex; index < PAGE_CAPACITY; index++) {
+            rightPage.levels[rightPage.count++] = page.levels[index];
+        }
+        page.levels.length = splitIndex;
+        page.count = splitIndex;
+        this._pages.splice(pageIndex + 1, 0, rightPage);
+        if (levelIndex <= splitIndex) {
+            insertIntoPage(page, levelIndex, storedData);
+        }
+        else {
+            insertIntoPage(rightPage, levelIndex - splitIndex, storedData);
+        }
+    }
+    remove(data) {
+        if (this._pages.length === 0) {
+            return false;
+        }
+        const pageIndex = this._findPageIndex(data.price);
+        const page = this._pages[pageIndex];
+        const levelIndex = this._findLevelIndex(page, data.price);
+        const existing = page.levels[levelIndex];
+        if (existing === undefined || existing.price !== data.price) {
+            return false;
+        }
+        removeFromPage(page, levelIndex);
+        if (page.count === 0) {
+            this._pages.splice(pageIndex, 1);
+        }
+        else if (page.count <= PAGE_MERGE_THRESHOLD) {
+            this._mergePage(pageIndex);
+        }
+        return true;
+    }
+    iterator() {
+        return new PriceLevelTreeIterator(this._pages);
+    }
+    _findPageIndex(price) {
+        let low = 0;
+        let high = this._pages.length;
+        while (low < high) {
+            const middle = (low + high) >>> 1;
+            const page = this._pages[middle];
+            const lastLevel = page.levels[page.count - 1];
+            if (this._comparePrices(lastLevel.price, price) < 0) {
+                low = middle + 1;
+            }
+            else {
+                high = middle;
+            }
+        }
+        return low === this._pages.length ? low - 1 : low;
+    }
+    _findLevelIndex(page, price) {
+        let low = 0;
+        let high = page.count;
+        while (low < high) {
+            const middle = (low + high) >>> 1;
+            if (this._comparePrices(page.levels[middle].price, price) < 0) {
+                low = middle + 1;
+            }
+            else {
+                high = middle;
+            }
+        }
+        return low;
+    }
+    _comparePrices(priceA, priceB) {
+        return this._direction * (priceA - priceB);
+    }
+    _mergePage(pageIndex) {
+        const page = this._pages[pageIndex];
+        const previousPage = pageIndex > 0 ? this._pages[pageIndex - 1] : undefined;
+        const nextPage = pageIndex + 1 < this._pages.length ? this._pages[pageIndex + 1] : undefined;
+        const canMergePrevious = previousPage !== undefined && previousPage.count + page.count <= PAGE_CAPACITY;
+        const canMergeNext = nextPage !== undefined && page.count + nextPage.count <= PAGE_CAPACITY;
+        if (canMergePrevious && (!canMergeNext || previousPage.count <= nextPage.count)) {
+            appendPage(previousPage, page);
+            this._pages.splice(pageIndex, 1);
+        }
+        else if (canMergeNext) {
+            appendPage(page, nextPage);
+            this._pages.splice(pageIndex + 1, 1);
+        }
+    }
+}
+class PriceLevelTreeIterator {
+    _pages;
+    _pageIndex = 0;
+    _levelIndex = 0;
+    constructor(_pages) {
+        this._pages = _pages;
+    }
+    next() {
+        while (this._pageIndex < this._pages.length) {
+            const page = this._pages[this._pageIndex];
+            if (this._levelIndex < page.count) {
+                return page.levels[this._levelIndex++];
+            }
+            this._pageIndex++;
+            this._levelIndex = 0;
+        }
+        return null;
+    }
+}
+function insertIntoPage(page, index, data) {
+    for (let current = page.count; current > index; current--) {
+        page.levels[current] = page.levels[current - 1];
+    }
+    page.levels[index] = data;
+    page.count++;
+}
+function removeFromPage(page, index) {
+    page.count--;
+    for (let current = index; current < page.count; current++) {
+        page.levels[current] = page.levels[current + 1];
+    }
+    page.levels.pop();
+}
+function appendPage(target, source) {
+    for (let index = 0; index < source.count; index++) {
+        target.levels[target.count + index] = source.levels[index];
+    }
+    target.count += source.count;
+    source.levels.length = 0;
+    source.count = 0;
+}
+//# sourceMappingURL=priceleveltree.js.map

package/node_modules/tardis-dev/dist/priceleveltree.js.map

@@ -0,0 +1 @@
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package/node_modules/tardis-dev/dist/realtimefeeds/binance.d.ts

@@ -0,0 +1,99 @@
+import { Writable } from 'stream';
+import { Filter } from '../types.ts';
+import { MultiConnectionRealTimeFeedBase, PoolingClientBase, RealTimeFeedBase } from './realtimefeed.ts';
+declare const BINANCE_FUTURES_PUBLIC_STREAM_PATH = "/public/stream";
+declare const BINANCE_FUTURES_MARKET_STREAM_PATH = "/market/stream";
+type BinanceFuturesStreamPath = typeof BINANCE_FUTURES_PUBLIC_STREAM_PATH | typeof BINANCE_FUTURES_MARKET_STREAM_PATH;
+declare abstract class BinanceRealTimeFeedBase extends MultiConnectionRealTimeFeedBase {
+    protected abstract wssURL: string;
+    protected abstract httpURL: string;
+    protected abstract suffixes: {
+        [key: string]: string;
+    };
+    protected abstract depthRequestRequestWeight: number;
+    protected _getRealTimeFeeds(exchange: string, filters: Filter<string>[], timeoutIntervalMS?: number, onError?: (error: Error) => void): Generator<BinanceSingleConnectionRealTimeFeed | BinanceFuturesOpenInterestClient, void, unknown>;
+}
+declare class BinanceFuturesOpenInterestClient extends PoolingClientBase {
+    private readonly _exchange;
+    private readonly _httpURL;
+    private readonly _instruments;
+    private readonly _minPollingIntervalMS;
+    private readonly _minAvailableWeightBuffer;
+    private readonly _maxPollingIntervalMS;
+    private _currentPollingIntervalMS;
+    private _requestWeightLimit;
+    private _usedWeight;
+    constructor(_exchange: string, _httpURL: string, _instruments: string[], onError?: (error: Error) => void);
+    protected getPoolingDelayMS(): number;
+    protected poolDataToStream(outputStream: Writable): Promise<void>;
+    private _waitForAvailableWeight;
+    private _initializeRateLimitInfo;
+    private _getBatchSize;
+    private _notifyError;
+    private _updateUsedWeight;
+}
+declare class BinanceSingleConnectionRealTimeFeed extends RealTimeFeedBase {
+    protected wssURL: string;
+    private readonly _httpURL;
+    private readonly _suffixes;
+    private readonly _depthRequestRequestWeight;
+    constructor(exchange: string, filters: Filter<string>[], wssURL: string, _httpURL: string, _suffixes: {
+        [key: string]: string;
+    }, _depthRequestRequestWeight: number, timeoutIntervalMS: number | undefined, onError?: (error: Error) => void);
+    protected mapToSubscribeMessages(filters: Filter<string>[]): any[];
+    protected messageIsError(message: any): boolean;
+    protected provideManualSnapshots(filters: Filter<string>[], shouldCancel: () => boolean): Promise<void>;
+}
+declare class BinanceFuturesSingleConnectionRealTimeFeed extends BinanceSingleConnectionRealTimeFeed {
+    private readonly _streamPath;
+    constructor(exchange: string, filters: Filter<string>[], _streamPath: BinanceFuturesStreamPath, httpURL: string, suffixes: {
+        [key: string]: string;
+    }, depthRequestRequestWeight: number, timeoutIntervalMS: number | undefined, onError?: (error: Error) => void);
+    protected getWebSocketUrl(): Promise<string>;
+}
+export declare class BinanceRealTimeFeed extends BinanceRealTimeFeedBase {
+    protected wssURL: string;
+    protected httpURL: string;
+    protected suffixes: {
+        depth: string;
+    };
+    protected depthRequestRequestWeight: number;
+}
+export declare class BinanceJerseyRealTimeFeed extends BinanceRealTimeFeedBase {
+    protected wssURL: string;
+    protected httpURL: string;
+    protected suffixes: {
+        depth: string;
+    };
+    protected depthRequestRequestWeight: number;
+}
+export declare class BinanceUSRealTimeFeed extends BinanceRealTimeFeedBase {
+    protected wssURL: string;
+    protected httpURL: string;
+    protected suffixes: {
+        depth: string;
+    };
+    protected depthRequestRequestWeight: number;
+}
+export declare class BinanceFuturesRealTimeFeed extends BinanceRealTimeFeedBase {
+    protected wssURL: string;
+    protected httpURL: string;
+    protected suffixes: {
+        depth: string;
+        markPrice: string;
+    };
+    protected depthRequestRequestWeight: number;
+    protected _getRealTimeFeeds(exchange: string, filters: Filter<string>[], timeoutIntervalMS?: number, onError?: (error: Error) => void): Generator<BinanceFuturesOpenInterestClient | BinanceFuturesSingleConnectionRealTimeFeed, void, unknown>;
+}
+export declare class BinanceDeliveryRealTimeFeed extends BinanceRealTimeFeedBase {
+    protected wssURL: string;
+    protected httpURL: string;
+    protected suffixes: {
+        depth: string;
+        markPrice: string;
+        indexPrice: string;
+    };
+    protected depthRequestRequestWeight: number;
+}
+export {};
+//# sourceMappingURL=binance.d.ts.map

package/node_modules/tardis-dev/dist/realtimefeeds/binance.d.ts.map

@@ -0,0 +1 @@
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