@hackape/tardis-dev
Version:
Convenient access to tick-level historical and real-time cryptocurrency market data via Node.js
155 lines • 6.23 kB
JavaScript
;
Object.defineProperty(exports, "__esModule", { value: true });
exports.BitstampBookChangeMapper = exports.bitstampTradesMapper = void 0;
// https://www.bitstamp.net/websocket/v2/
exports.bitstampTradesMapper = {
canHandle(message) {
if (message.data === undefined) {
return false;
}
return message.channel.startsWith('live_trades') && message.event === 'trade';
},
getFilters(symbols) {
symbols = lowerCaseSymbols(symbols);
return [
{
channel: 'live_trades',
symbols
}
];
},
*map(bitstampTradeResponse, localTimestamp) {
const bitstampTrade = bitstampTradeResponse.data;
const symbol = bitstampTradeResponse.channel.slice(bitstampTradeResponse.channel.lastIndexOf('_') + 1);
const microtimestamp = Number(bitstampTrade.microtimestamp);
const timestamp = new Date(microtimestamp / 1000);
timestamp.μs = microtimestamp % 1000;
yield {
type: 'trade',
symbol: symbol.toUpperCase(),
exchange: 'bitstamp',
id: String(bitstampTrade.id),
price: Number(bitstampTrade.price),
amount: Number(bitstampTrade.amount),
side: bitstampTrade.type === 0 ? 'buy' : 'sell',
timestamp,
localTimestamp
};
}
};
class BitstampBookChangeMapper {
constructor() {
this._symbolToDepthInfoMapping = {};
}
canHandle(message) {
if (message.data === undefined) {
return false;
}
return message.channel.startsWith('diff_order_book') && (message.event === 'data' || message.event === 'snapshot');
}
getFilters(symbols) {
symbols = lowerCaseSymbols(symbols);
return [
{
channel: 'diff_order_book',
symbols
}
];
}
*map(message, localTimestamp) {
const symbol = message.channel.slice(message.channel.lastIndexOf('_') + 1).toUpperCase();
if (this._symbolToDepthInfoMapping[symbol] === undefined) {
this._symbolToDepthInfoMapping[symbol] = {
bufferedUpdates: []
};
}
const symbolDepthInfo = this._symbolToDepthInfoMapping[symbol];
const snapshotAlreadyProcessed = symbolDepthInfo.snapshotProcessed;
// first check if received message is snapshot and process it as such if it is
if (message.event === 'snapshot') {
// produce snapshot book_change
let timestamp;
if (message.data.microtimestamp !== undefined) {
const microtimestamp = Number(message.data.microtimestamp);
timestamp = new Date(microtimestamp / 1000);
timestamp.μs = microtimestamp % 1000;
}
else {
timestamp = new Date(Number(message.data.timestamp) * 1000);
}
yield {
type: 'book_change',
symbol,
exchange: 'bitstamp',
isSnapshot: true,
bids: message.data.bids.map(this._mapBookLevel),
asks: message.data.asks.map(this._mapBookLevel),
timestamp,
localTimestamp
};
// mark given symbol depth info that has snapshot processed
symbolDepthInfo.lastUpdateTimestamp = Number(message.data.timestamp);
if (message.data.microtimestamp !== undefined) {
symbolDepthInfo.lastUpdateMicroTimestamp = Number(message.data.microtimestamp);
}
symbolDepthInfo.snapshotProcessed = true;
// if there were any depth updates buffered, let's proccess those
for (const update of symbolDepthInfo.bufferedUpdates) {
const bookChange = this._mapBookDepthUpdate(update, localTimestamp, symbolDepthInfo, symbol);
if (bookChange !== undefined) {
yield bookChange;
}
}
// remove all buffered updates
symbolDepthInfo.bufferedUpdates = [];
}
else if (snapshotAlreadyProcessed) {
// snapshot was already processed let's map the message as normal book_change
const bookChange = this._mapBookDepthUpdate(message, localTimestamp, symbolDepthInfo, symbol);
if (bookChange !== undefined) {
yield bookChange;
}
}
else {
// if snapshot hasn't been yet processed and we've got depthUpdate message, let's buffer it for later processing
symbolDepthInfo.bufferedUpdates.push(message);
}
}
_mapBookDepthUpdate(bitstampBookUpdate, localTimestamp, depthInfo, symbol) {
const microtimestamp = Number(bitstampBookUpdate.data.microtimestamp);
// skip all book updates that preceed book snapshot
// REST API not always returned microtimestamps for initial order book snapshots
// fallback to timestamp
if (depthInfo.lastUpdateMicroTimestamp !== undefined && microtimestamp <= depthInfo.lastUpdateMicroTimestamp) {
return;
}
else if (Number(bitstampBookUpdate.data.timestamp) < depthInfo.lastUpdateTimestamp) {
return;
}
const timestamp = new Date(microtimestamp / 1000);
timestamp.μs = microtimestamp % 1000;
return {
type: 'book_change',
symbol,
exchange: 'bitstamp',
isSnapshot: false,
bids: bitstampBookUpdate.data.bids.map(this._mapBookLevel),
asks: bitstampBookUpdate.data.asks.map(this._mapBookLevel),
timestamp: timestamp,
localTimestamp
};
}
_mapBookLevel(level) {
const price = Number(level[0]);
const amount = Number(level[1]);
return { price, amount };
}
}
exports.BitstampBookChangeMapper = BitstampBookChangeMapper;
function lowerCaseSymbols(symbols) {
if (symbols !== undefined) {
return symbols.map((s) => s.toLowerCase());
}
return;
}
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