tardis-machine 18.5.1 → 18.6.0

package/node_modules/tardis-dev/dist/realtimefeeds/realtimefeed.js

@@ -4,7 +4,7 @@ import { setTimeout as sleep } from 'node:timers/promises';
 import { createDebug } from "../debug.js";
 import { getProxyAgent, HttpClientError, ONE_SEC_IN_MS, optimizeFilters } from "../handy.js";
 import { getMessageParser } from "../parsemessage.js";
-import { createManagedRealTimeIterator, mergeRealTime } from "../realtimeiterator.js";
+import { closeIterator, createManagedRealTimeIterator, mergeRealTime } from "../realtimeiterator.js";
 let connectionCounter = 1;
 const ABORTED = Symbol('aborted');
 export class RealTimeFeedBase {
@@ -62,6 +62,7 @@ export class RealTimeFeedBase {
             let staleConnectionTimerId;
             let pingTimerId;
             let connectionError;
+            let delivered = false;
             try {
                 this.manualSnapshotsBuffer.length = 0;
                 const subscribeMessages = this.mapToSubscribeMessages(this._filters);
@@ -121,6 +122,7 @@ export class RealTimeFeedBase {
                     }
                     this.onMessage(messageDeserialized);
                     yield messageDeserialized;
+                    delivered = true;
                     if (retries > 0) {
                         // reset retries counter as we've received correct message from the connection
                         retries = 0;
@@ -158,21 +160,12 @@ export class RealTimeFeedBase {
             if (connectionError !== undefined) {
                 this._onError?.(connectionError);
                 retries++;
-                const MAX_DELAY = 32 * 1000;
-                const httpError = connectionError instanceof HttpClientError ? connectionError : undefined;
-                const isRateLimited = httpError?.status === 418 || httpError?.status === 429 || connectionError.message.includes('429');
-                if (isRateLimited) {
-                    const fallbackDelay = httpError?.status === 418 ? 2 * 60 * 1000 : (MAX_DELAY / 2) * retries;
-                    retryDelay = httpError?.retryAfterMS ?? fallbackDelay;
-                }
-                else {
-                    retryDelay = Math.min(Math.pow(2, retries - 1) * 1000, MAX_DELAY);
-                }
-                this.debug('(connection id: %d) %s real-time feed connection error, retries count: %d, next retry delay: %dms, rate limited: %s error message: %o', connectionId, this._exchange, retries, retryDelay, isRateLimited, connectionError);
+                retryDelay = getRetryDelay(connectionError, retries);
+                this.debug('(connection id: %d) %s real-time feed connection error, retries count: %d, next retry delay: %dms, error message: %o', connectionId, this._exchange, retries, retryDelay, connectionError);
             }
-            yield { __disconnect__: true };
+            yield { __disconnect__: true, error: connectionError, delivered };
             if (retryDelay !== undefined) {
-                await this._wait(retryDelay, this._closeController.signal);
+                await wait(retryDelay, this._closeController.signal);
             }
         }
     }
@@ -246,14 +239,14 @@ export class RealTimeFeedBase {
                 }
                 this._send(connection, message);
                 if (this.throttleSubscribeMS > 0) {
-                    await this._wait(this.throttleSubscribeMS, connection.controller.signal);
+                    await wait(this.throttleSubscribeMS, connection.controller.signal);
                 }
             }
             this.debug('(connection id: %d) established connection', connection.id);
             const messagesBeforeSnapshots = subscribeMessages.length === 0 ? 0 : subscribeMessages.length + 1;
             // Wait for subscription acknowledgements and the first data message before fetching snapshots.
             while (shouldCancel() === false && connection.receivedMessagesCount < messagesBeforeSnapshots) {
-                await this._wait(100, connection.controller.signal);
+                await wait(100, connection.controller.signal);
             }
             if (shouldCancel()) {
                 return;
@@ -302,17 +295,27 @@ export class RealTimeFeedBase {
             this.manualSnapshotsBuffer.length = 0;
         }
     }
-    async _wait(delayMS, signal) {
-        try {
-            await sleep(delayMS, undefined, { signal });
-        }
-        catch (error) {
-            if (signal.aborted === false) {
-                throw error;
-            }
+}
+async function wait(delayMS, signal) {
+    try {
+        await sleep(delayMS, undefined, { signal });
+    }
+    catch (error) {
+        if (signal.aborted === false) {
+            throw error;
         }
     }
 }
+function getRetryDelay(error, retries) {
+    const MAX_DELAY = 32 * 1000;
+    const httpError = error instanceof HttpClientError ? error : undefined;
+    const isRateLimited = httpError?.status === 418 || httpError?.status === 429 || error.message.includes('429');
+    if (isRateLimited) {
+        const fallbackDelay = httpError?.status === 418 ? 2 * 60 * 1000 : (MAX_DELAY / 2) * retries;
+        return httpError?.retryAfterMS ?? fallbackDelay;
+    }
+    return Math.min(Math.pow(2, retries - 1) * 1000, MAX_DELAY);
+}
 function resolveOrAbort(promise, signal) {
     if (signal.aborted) {
         return Promise.resolve(ABORTED);
@@ -332,11 +335,15 @@ function resolveOrAbort(promise, signal) {
         void promise.then((value) => settle(() => resolve(value)), (error) => settle(() => reject(error)));
     });
 }
+// A disconnect resets all normalized state, so when any connection drops, the feed closes all its connections and pollers,
+// yields one disconnect and opens them again after the retry delay of the failed connection.
 export class MultiConnectionRealTimeFeedBase {
     _exchange;
     _filters;
     _timeoutIntervalMS;
     _onError;
+    _closeController = new AbortController();
+    _connections;
     constructor(_exchange, _filters, _timeoutIntervalMS, _onError) {
         this._exchange = _exchange;
         this._filters = _filters;
@@ -344,9 +351,49 @@ export class MultiConnectionRealTimeFeedBase {
         this._onError = _onError;
     }
     [Symbol.asyncIterator]() {
-        const realTimeFeeds = Array.from(this._getRealTimeFeeds(this._exchange, this._filters, this._timeoutIntervalMS, this._onError));
-        return mergeRealTime(realTimeFeeds);
+        return createManagedRealTimeIterator(this._stream(), () => {
+            this._closeController.abort();
+            return this._connections?.return();
+        });
+    }
+    async *_stream() {
+        let retries = 0;
+        while (this._closeController.signal.aborted === false) {
+            this._connections = mergeRealTime(Array.from(this._getRealTimeFeeds(this._exchange, this._filters, this._timeoutIntervalMS, this._onError), untilDisconnect));
+            let disconnect;
+            for await (const message of this._connections) {
+                if (message.__disconnect__ === true) {
+                    disconnect = message;
+                    break;
+                }
+                yield message;
+            }
+            if (disconnect === undefined) {
+                return;
+            }
+            yield { __disconnect__: true };
+            if (disconnect.delivered === true) {
+                retries = 0;
+            }
+            if (disconnect.error !== undefined) {
+                retries++;
+                await wait(getRetryDelay(disconnect.error, retries), this._closeController.signal);
+            }
+        }
+    }
+}
+// A connection stops at its disconnect, so it cannot reconnect on its own before the feed restarts all connections.
+function untilDisconnect(feed) {
+    const messages = feed[Symbol.asyncIterator]();
+    async function* stream() {
+        for await (const message of messages) {
+            yield message;
+            if (message.__disconnect__ === true) {
+                return;
+            }
+        }
     }
+    return createManagedRealTimeIterator(stream(), () => closeIterator(messages));
 }
 export class PoolingClientBase {
     _poolingIntervalSeconds;

package/node_modules/tardis-dev/dist/realtimefeeds/realtimefeed.js.map

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package/node_modules/tardis-dev/package.json

@@ -1,6 +1,6 @@
 {
   "name": "tardis-dev",
-  "version": "18.5.1",
+  "version": "18.6.0",
   "engines": {
     "node": ">=24.19"
   },

package/node_modules/tardis-dev/src/downloaddatasets.ts

@@ -11,9 +11,8 @@ const MILLISECONDS_IN_SINGLE_DAY = 24 * 60 * 60 * 1000
 const DEFAULT_DOWNLOAD_DIR = './datasets'
 const DATASET_DOWNLOAD_ATTEMPT_TIMEOUT_MS = 120_000
 
-const options = getOptions()
-
 export async function downloadDatasets(downloadDatasetsOptions: DownloadDatasetsOptions) {
+  const options = getOptions()
   const { exchange, dataTypes, from, to, symbols } = downloadDatasetsOptions
   const apiKey = downloadDatasetsOptions.apiKey !== undefined ? downloadDatasetsOptions.apiKey : options.apiKey
   const downloadDir = downloadDatasetsOptions.downloadDir !== undefined ? downloadDatasetsOptions.downloadDir : DEFAULT_DOWNLOAD_DIR
@@ -37,6 +36,8 @@ export async function downloadDatasets(downloadDatasetsOptions: DownloadDatasets
             exchange,
             symbol,
             apiKey,
+            datasetsEndpoint: options.datasetsEndpoint,
+            userAgent: options._userAgent,
             downloadDir,
             dataType,
             format,
@@ -53,6 +54,8 @@ export async function downloadDatasets(downloadDatasetsOptions: DownloadDatasets
           exchange,
           symbol,
           apiKey,
+          datasetsEndpoint: options.datasetsEndpoint,
+          userAgent: options._userAgent,
           downloadDir,
           dataType,
           format,
@@ -72,6 +75,8 @@ export async function downloadDatasets(downloadDatasetsOptions: DownloadDatasets
               exchange,
               symbol,
               apiKey,
+              datasetsEndpoint: options.datasetsEndpoint,
+              userAgent: options._userAgent,
               downloadDir,
               dataType,
               format,
@@ -99,6 +104,8 @@ async function downloadDataSet(downloadOptions: DownloadOptions, skipIfExists: b
 
 function getDownloadOptions({
   apiKey,
+  datasetsEndpoint,
+  userAgent,
   exchange,
   dataType,
   date,
@@ -113,6 +120,8 @@ function getDownloadOptions({
   date: Date
   format: string
   apiKey: string
+  datasetsEndpoint: string
+  userAgent: string
   downloadDir: string
   getFilename: (options: GetFilenameOptions) => string
 }): DownloadOptions {
@@ -120,7 +129,7 @@ function getDownloadOptions({
   const month = doubleDigit(date.getUTCMonth() + 1)
   const day = doubleDigit(date.getUTCDate())
 
-  const url = `${options.datasetsEndpoint}/${exchange}/${dataType}/${year}/${month}/${day}/${encodeURIComponent(symbol)}.${format}.gz`
+  const url = `${datasetsEndpoint}/${exchange}/${dataType}/${year}/${month}/${day}/${encodeURIComponent(symbol)}.${format}.gz`
   const filename = getFilename({
     dataType,
     date,
@@ -134,7 +143,7 @@ function getDownloadOptions({
   return {
     url,
     downloadPath,
-    userAgent: options._userAgent,
+    userAgent,
     apiKey,
     attemptTimeoutMS: DATASET_DOWNLOAD_ATTEMPT_TIMEOUT_MS
   }

package/node_modules/tardis-dev/src/handy.ts

@@ -67,12 +67,16 @@ export function* sequence(end: number, seed = 0) {
 export const ONE_SEC_IN_MS = 1000
 
 export class HttpError extends Error {
+  public readonly retryAfterMS: number | undefined
+
   constructor(
     public readonly status: number,
     public readonly responseText: string,
-    public readonly url: string
+    public readonly url: string,
+    headers: Record<string, string> = {}
   ) {
     super(`HttpError: status code: ${status}, response text: ${responseText}`)
+    this.retryAfterMS = getRetryAfterDelayMS(headers)
   }
 }
 
@@ -616,6 +620,7 @@ export async function download({
   }
 
   const MAX_ATTEMPTS = 30
+  const MAX_RETRY_AFTER_MS = 300 * ONE_SEC_IN_MS
   let attempts = 0
 
   while (true) {
@@ -637,9 +642,11 @@ export async function download({
           error.status === 403 ||
           error.status === 404)
       const tooManyRequests = error instanceof HttpError && error.status === 429
+      const retryAfterMS = tooManyRequests ? error.retryAfterMS : undefined
+      const retryAfterTooLong = retryAfterMS !== undefined && retryAfterMS > MAX_RETRY_AFTER_MS
       const internalServiceError = error instanceof HttpError && error.status === 500
-      // do not retry when we've got bad or unauthorized request or enough attempts
-      if (unsupportedDataFeedEncoding || nonRetryableHttpError || attempts === MAX_ATTEMPTS) {
+      // do not retry when we've got bad or unauthorized request, too long Retry-After or enough attempts
+      if (unsupportedDataFeedEncoding || nonRetryableHttpError || retryAfterTooLong || attempts === MAX_ATTEMPTS) {
         throw error
       }
 
@@ -647,8 +654,11 @@ export async function download({
       const attemptsDelayMS = Math.min(Math.pow(2, attempts) * ONE_SEC_IN_MS, 120 * ONE_SEC_IN_MS)
       let nextAttemptDelayMS = randomIngridient + attemptsDelayMS
 
-      if (tooManyRequests) {
-        // when too many requests received wait one minute
+      if (retryAfterMS !== undefined) {
+        // wait as long as the API asked, with jitter so concurrent downloads do not retry at the same time
+        nextAttemptDelayMS = retryAfterMS + Math.random() * ONE_SEC_IN_MS
+      } else if (tooManyRequests) {
+        // when too many requests received without Retry-After wait one minute
         nextAttemptDelayMS += 60 * ONE_SEC_IN_MS
       }
       if (internalServiceError) {
@@ -695,11 +705,11 @@ async function _downloadFile(
     // based on https://github.com/nodejs/node/issues/28172 - only reliable way to consume response stream and avoiding all the 'gotchas'
     const response = await openDownloadResponse(url, requestOptions)
     const { statusCode } = response
+    const responseHeaders = parseNodeResponseHeaders(response.headers)
     if (statusCode !== 200) {
-      throw new HttpError(statusCode ?? 0, await readResponseText(response), url)
+      throw new HttpError(statusCode ?? 0, await readResponseText(response), url, responseHeaders)
     }
 
-    const responseHeaders = parseNodeResponseHeaders(response.headers)
     if (appendContentEncodingExtension) {
       const contentEncoding = asSingleHeaderValue(response.headers['content-encoding'])
       if (contentEncoding === 'zstd') {

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

@@ -13,7 +13,7 @@ export const bitflyerMappers = exchangeMappers({
 
 const bitflyerTradesMapper: Mapper<'bitflyer', Trade> = {
   canHandle(message: BitflyerExecutions | BitflyerBoard) {
-    return message.params.channel.startsWith('lightning_executions')
+    return message.params?.channel.startsWith('lightning_executions') === true
   },
 
   getFilters(symbols?: string[]) {
@@ -59,7 +59,7 @@ class BitflyerBookChangeMapper implements Mapper<'bitflyer', BookChange> {
   private readonly _snapshotsInfo: Map<string, boolean> = new Map()
 
   canHandle(message: BitflyerExecutions | BitflyerBoard) {
-    return message.params.channel.startsWith('lightning_board')
+    return message.params?.channel.startsWith('lightning_board') === true
   }
 
   getFilters(symbols?: string[]) {
@@ -106,7 +106,7 @@ class BitflyerBookChangeMapper implements Mapper<'bitflyer', BookChange> {
 
 const bitflyerBookTickerMapper: Mapper<'bitflyer', BookTicker> = {
   canHandle(message: BitflyerTicker) {
-    return message.params.channel.startsWith('lightning_ticker')
+    return message.params?.channel.startsWith('lightning_ticker') === true
   },
 
   getFilters(symbols?: string[]) {

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

@@ -45,7 +45,7 @@ class BitgetTradesMapper implements Mapper<'bitget' | 'bitget-futures', Trade> {
   constructor(private readonly _exchange: Exchange) {}
 
   canHandle(message: BitgetTradeMessage) {
-    return message.arg.channel === 'trade' && message.action === 'update'
+    return message.arg?.channel === 'trade' && message.action === 'update'
   }
 
   getFilters(symbols?: string[]) {
@@ -86,7 +86,7 @@ class BitgetBookChangeMapper implements Mapper<'bitget' | 'bitget-futures', Book
   constructor(private readonly _exchange: Exchange) {}
 
   canHandle(message: BitgetOrderbookMessage) {
-    return message.arg.channel === 'books15' && message.action === 'snapshot'
+    return message.arg?.channel === 'books15' && message.action === 'snapshot'
   }
 
   getFilters(symbols?: string[]) {
@@ -120,7 +120,7 @@ class BitgetBookTickerMapper implements Mapper<'bitget' | 'bitget-futures', Book
   constructor(private readonly _exchange: Exchange) {}
 
   canHandle(message: BitgetBBoMessage) {
-    return message.arg.channel === 'books1' && message.action === 'snapshot'
+    return message.arg?.channel === 'books1' && message.action === 'snapshot'
   }
 
   getFilters(symbols?: string[]) {
@@ -159,7 +159,7 @@ class BitgetDerivativeTickerMapper implements Mapper<'bitget-futures', Derivativ
   private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
 
   canHandle(message: BitgetTickerMessage) {
-    return message.arg.channel === 'ticker' && message.action === 'snapshot'
+    return message.arg?.channel === 'ticker' && message.action === 'snapshot'
   }
 
   getFilters(symbols?: string[]) {
@@ -198,7 +198,7 @@ class BitgetV3TradesMapper implements Mapper<'bitget' | 'bitget-futures', Trade>
   constructor(private readonly _exchange: Exchange) {}
 
   canHandle(message: BitgetV3TradeMessage) {
-    return message.arg.topic === 'publicTrade' && message.action === 'update'
+    return message.arg?.topic === 'publicTrade' && message.action === 'update'
   }
 
   getFilters(symbols?: string[]) {
@@ -233,7 +233,7 @@ class BitgetV3BookChangeMapper implements Mapper<'bitget' | 'bitget-futures', Bo
   constructor(private readonly _exchange: Exchange) {}
 
   canHandle(message: BitgetV3OrderbookMessage) {
-    return message.arg.topic === 'books' && (message.action === 'snapshot' || message.action === 'update')
+    return message.arg?.topic === 'books' && (message.action === 'snapshot' || message.action === 'update')
   }
 
   getFilters(symbols?: string[]) {
@@ -267,7 +267,7 @@ class BitgetV3BookTickerMapper implements Mapper<'bitget' | 'bitget-futures', Bo
   constructor(private readonly _exchange: Exchange) {}
 
   canHandle(message: BitgetV3BBoMessage) {
-    return message.arg.topic === 'books1' && message.action === 'snapshot'
+    return message.arg?.topic === 'books1' && message.action === 'snapshot'
   }
 
   getFilters(symbols?: string[]) {
@@ -302,7 +302,7 @@ class BitgetV3DerivativeTickerMapper implements Mapper<'bitget-futures', Derivat
   private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
 
   canHandle(message: BitgetV3TickerMessage) {
-    return message.arg.topic === 'ticker' && (message.action === 'snapshot' || message.action === 'update')
+    return message.arg?.topic === 'ticker' && (message.action === 'snapshot' || message.action === 'update')
   }
 
   getFilters(symbols?: string[]) {
@@ -340,7 +340,7 @@ class BitgetV3DerivativeTickerMapper implements Mapper<'bitget-futures', Derivat
 
 class BitgetV3LiquidationsMapper implements Mapper<'bitget-futures', Liquidation> {
   canHandle(message: BitgetV3LiquidationMessage) {
-    return message.arg.topic === 'liquidation' && message.action === 'update'
+    return message.arg?.topic === 'liquidation' && message.action === 'update'
   }
 
   getFilters() {

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

@@ -1,5 +1,5 @@
 import { Writable } from 'node:stream'
-import { batch, getJSON, optimizeFilters } from '../handy.ts'
+import { getJSON, optimizeFilters } from '../handy.ts'
 import { Filter } from '../types.ts'
 import { MultiConnectionRealTimeFeedBase, PoolingClientBase, RealTimeFeedBase } from './realtimefeed.ts'
 
@@ -12,16 +12,8 @@ export class CoinbaseDerivativesRealTimeFeed extends MultiConnectionRealTimeFeed
       }
     }
 
-    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)
+    if (wsFilters.length > 0) {
+      yield new CoinbaseDerivativesSingleConnectionRealTimeFeed(exchange, wsFilters, timeoutIntervalMS, onError)
     }
 
     const productFilters = filters.filter((f) => f.channel === 'products')