tardis-machine 18.4.0 → 18.4.1

package/node_modules/tardis-dev/src/mappers/dydxv4.ts

@@ -111,6 +111,8 @@ class DydxV4BookChangeMapper implements Mapper<'dydx-v4', BookChange> {
 
 class DydxV4DerivativeTickerMapper implements Mapper<'dydx-v4', DerivativeTicker> {
   private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
+  // Oracle prices also cover price-only markets such as USDT-USD, so a price waits here until its market appears in a snapshot, trading update or trade.
+  private readonly _unconfirmedOraclePrices = new Map<string, number>()
 
   canHandle(message: DydxMarketsSnapshot | DyDxMarketsUpdate | DyDxTrade) {
     return message.channel === 'v4_markets' || (message.channel === 'v4_trades' && message.type === 'channel_data')
@@ -133,7 +135,7 @@ class DydxV4DerivativeTickerMapper implements Mapper<'dydx-v4', DerivativeTicker
 
   *map(message: DydxMarketsSnapshot | DyDxMarketsUpdate | DyDxTrade, localTimestamp: Date): IterableIterator<DerivativeTicker> {
     if (message.channel === 'v4_trades') {
-      const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(message.id, 'dydx-v4')
+      const pendingTickerInfo = this._getMarketTickerInfo(message.id)
       pendingTickerInfo.updateLastPrice(Number(message.contents.trades[message.contents.trades.length - 1].price))
 
       return
@@ -143,7 +145,7 @@ class DydxV4DerivativeTickerMapper implements Mapper<'dydx-v4', DerivativeTicker
       for (const key in contents) {
         const marketInfo = (contents as any)[key] as DydxMarketsSnapshotContent | DydxMarketTradeUpdate
 
-        const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(key, 'dydx-v4')
+        const pendingTickerInfo = this._getMarketTickerInfo(key)
 
         if (marketInfo.oraclePrice !== undefined) {
           pendingTickerInfo.updateMarkPrice(Number(marketInfo.oraclePrice))
@@ -167,6 +169,12 @@ class DydxV4DerivativeTickerMapper implements Mapper<'dydx-v4', DerivativeTicker
     if (message.type === 'channel_data' && message.contents.oraclePrices !== undefined) {
       for (const key in message.contents.oraclePrices) {
         const oraclePriceInfo = (message.contents.oraclePrices as any)[key] as OraclePriceInfo
+        if (this.pendingTickerInfoHelper.hasPendingTickerInfo(key) === false) {
+          if (oraclePriceInfo.oraclePrice !== undefined) {
+            this._unconfirmedOraclePrices.set(key, Number(oraclePriceInfo.oraclePrice))
+          }
+          continue
+        }
         const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(key, 'dydx-v4')
         if (oraclePriceInfo.oraclePrice !== undefined) {
           pendingTickerInfo.updateMarkPrice(Number(oraclePriceInfo.oraclePrice))
@@ -179,6 +187,16 @@ class DydxV4DerivativeTickerMapper implements Mapper<'dydx-v4', DerivativeTicker
       }
     }
   }
+
+  private _getMarketTickerInfo(market: string) {
+    const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(market, 'dydx-v4')
+    const oraclePrice = this._unconfirmedOraclePrices.get(market)
+    if (oraclePrice !== undefined) {
+      pendingTickerInfo.updateMarkPrice(oraclePrice)
+      this._unconfirmedOraclePrices.delete(market)
+    }
+    return pendingTickerInfo
+  }
 }
 
 class DydxV4LiquidationsMapper implements Mapper<'dydx-v4', Liquidation> {

package/node_modules/tardis-dev/src/mappers/index.ts

@@ -16,6 +16,7 @@ import { blockchainComMappers } from './blockchaincom.ts'
 import { bullishMappers } from './bullish.ts'
 import { bybitMappers } from './bybit.ts'
 import { coinbaseMappers } from './coinbase.ts'
+import { coinbaseDerivativesMappers } from './coinbasederivatives.ts'
 import { coinbaseInternationalMappers } from './coinbaseinternational.ts'
 import { coinflexMappers } from './coinflex.ts'
 import { cryptoComMappers } from './cryptocom.ts'
@@ -74,6 +75,7 @@ const registeredMappers = mergeExchangeMappers(
   bullishMappers,
   bybitMappers,
   coinbaseMappers,
+  coinbaseDerivativesMappers,
   coinbaseInternationalMappers,
   coinflexMappers,
   cryptoComMappers,

package/node_modules/tardis-dev/src/realtimefeeds/coinbasederivatives.ts

@@ -0,0 +1,103 @@
+import { Writable } from 'node:stream'
+import { batch, getJSON, optimizeFilters } from '../handy.ts'
+import { Filter } from '../types.ts'
+import { MultiConnectionRealTimeFeedBase, PoolingClientBase, RealTimeFeedBase } from './realtimefeed.ts'
+
+export class CoinbaseDerivativesRealTimeFeed extends MultiConnectionRealTimeFeedBase {
+  protected *_getRealTimeFeeds(exchange: string, filters: Filter<string>[], timeoutIntervalMS?: number, onError?: (error: Error) => void) {
+    const wsFilters = optimizeFilters(filters.filter((f) => f.channel !== 'products'))
+    for (const filter of wsFilters) {
+      if (!['heartbeats', 'subscriptions'].includes(filter.channel) && !filter.symbols?.length) {
+        throw new Error('Coinbase derivatives WebSocket subscriptions require explicit symbols')
+      }
+    }
+
+    const symbols = [...new Set(wsFilters.flatMap((f) => f.symbols ?? []))]
+    const groups: Iterable<string[]> = symbols.length > 0 ? batch(symbols, 25) : wsFilters.length > 0 ? [[]] : []
+    for (const group of groups) {
+      const groupedFilters = wsFilters
+        .map((f) => ({
+          ...f,
+          symbols: f.symbols?.filter((s) => group.includes(s))
+        }))
+        .filter((f) => f.symbols?.length || ['heartbeats', 'subscriptions'].includes(f.channel))
+      yield new CoinbaseDerivativesSingleConnectionRealTimeFeed(exchange, groupedFilters, timeoutIntervalMS, onError)
+    }
+
+    const productFilters = filters.filter((f) => f.channel === 'products')
+    if (productFilters.length > 0) {
+      const allProducts = productFilters.some((f) => !f.symbols?.length)
+      yield new CoinbaseDerivativesProductsClient(
+        exchange,
+        allProducts ? undefined : new Set(productFilters.flatMap((f) => f.symbols!)),
+        onError
+      )
+    }
+  }
+}
+
+class CoinbaseDerivativesSingleConnectionRealTimeFeed extends RealTimeFeedBase {
+  protected wssURL = 'wss://advanced-trade-ws.coinbase.com'
+  private sequence?: number
+
+  protected mapToSubscribeMessages(filters: Filter<string>[]) {
+    return [
+      {
+        type: 'subscribe',
+        channel: 'heartbeats'
+      },
+      ...filters
+        .filter((f) => !['heartbeats', 'subscriptions'].includes(f.channel))
+        .map((f) => ({
+          type: 'subscribe',
+          channel: f.channel === 'l2_data' ? 'level2' : f.channel,
+          product_ids: f.symbols
+        }))
+    ]
+  }
+
+  protected async onConnected() {
+    this.sequence = undefined
+  }
+
+  protected messageIsError(message: { type?: string }) {
+    return message.type === 'error'
+  }
+
+  protected onMessage(message: { sequence_num?: number }) {
+    if (message.sequence_num === undefined) return
+    if (this.sequence !== undefined && message.sequence_num !== this.sequence + 1) {
+      throw new Error(`Coinbase derivatives sequence gap: ${this.sequence} -> ${message.sequence_num}`)
+    }
+    this.sequence = message.sequence_num
+  }
+}
+
+class CoinbaseDerivativesProductsClient extends PoolingClientBase {
+  constructor(
+    exchange: string,
+    private readonly symbols: Set<string> | undefined,
+    onError?: (error: Error) => void
+  ) {
+    super(exchange, 5, onError)
+  }
+
+  protected async poolDataToStream(output: Writable) {
+    for (let offset = 0; !output.destroyed; offset += 100) {
+      const { data } = await getJSON<{ products: Product[]; pagination: { has_next: boolean } }>(
+        `https://api.coinbase.com/api/v3/brokerage/market/products?product_type=FUTURE&limit=100&offset=${offset}`
+      )
+
+      for (const product of data.products) {
+        if (output.destroyed) return
+
+        if (this.symbols === undefined || this.symbols.has(product.product_id)) {
+          output.write({ channel: 'products', generated: true, events: [product] })
+        }
+      }
+      if (!data.pagination.has_next) return
+    }
+  }
+}
+
+type Product = { product_id: string }

package/node_modules/tardis-dev/src/realtimefeeds/index.ts

@@ -15,6 +15,7 @@ import { BitstampRealTimeFeed } from './bitstamp.ts'
 import { BitvavoRealTimeFeed } from './bitvavo.ts'
 import { BybitOptionsRealTimeDataFeed, BybitRealTimeDataFeed, BybitSpotRealTimeDataFeed, BybitSpreadRealTimeDataFeed } from './bybit.ts'
 import { CoinbaseRealTimeFeed } from './coinbase.ts'
+import { CoinbaseDerivativesRealTimeFeed } from './coinbasederivatives.ts'
 import { CryptofacilitiesRealTimeFeed } from './cryptofacilities.ts'
 import { DeribitRealTimeDataFeed } from './deribit.ts'
 import { FtxRealTimeFeed, FtxUSRealTimeFeed } from './ftx.ts'
@@ -78,6 +79,7 @@ const realTimeFeedsMap: {
   bitstamp: BitstampRealTimeFeed,
   bitvavo: BitvavoRealTimeFeed,
   coinbase: CoinbaseRealTimeFeed,
+  'coinbase-derivatives': CoinbaseDerivativesRealTimeFeed,
   cryptofacilities: CryptofacilitiesRealTimeFeed,
   deribit: DeribitRealTimeDataFeed,
   ftx: FtxRealTimeFeed,

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "tardis-machine",
-  "version": "18.4.0",
+  "version": "18.4.1",
   "engines": {
     "node": ">=24.19"
   },
@@ -76,7 +76,7 @@
   "license": "MPL-2.0",
   "dependencies": {
     "debug": "^4.4.3",
-    "tardis-dev": "^18.4.0",
+    "tardis-dev": "^18.4.1",
     "ws": "^8.21.3"
   },
   "bundleDependencies": true,

package/src/ws/subscriptionsmappers.ts

@@ -58,6 +58,12 @@ const coinbaseMaper: SubscriptionMapper = {
   }
 }
 
+// https://docs.cdp.coinbase.com/coinbase-app/advanced-trade-apis/websocket/websocket-overview
+const coinbaseDerivativesMapper: SubscriptionMapper = {
+  canHandle: (message: any) => message.type === 'subscribe',
+  map: (message: any) => [{ channel: message.channel === 'level2' ? 'l2_data' : message.channel, symbols: message.product_ids }]
+}
+
 // https://docs.deribit.com/v2/#subscription-management
 const deribitMapper: SubscriptionMapper = {
   canHandle: (message: any) => {
@@ -811,6 +817,7 @@ const polymarketMapper: SubscriptionMapper = {
 export const subscriptionsMappers: Record<Exchange, SubscriptionMapper> = {
   bitmex: bitmexMapper,
   coinbase: coinbaseMaper,
+  'coinbase-derivatives': coinbaseDerivativesMapper,
   deribit: deribitMapper,
   cryptofacilities: cryptofacilitiesMapper,
   bitstamp: bitstampMapper,