@hackape/tardis-dev
Version:
Convenient access to tick-level historical and real-time cryptocurrency market data via Node.js
105 lines • 3.62 kB
JavaScript
;
Object.defineProperty(exports, "__esModule", { value: true });
exports.CoinbaseBookChangMapper = exports.coinbaseTradesMapper = void 0;
const handy_1 = require("../handy");
// https://docs.pro.coinbase.com/#websocket-feed
exports.coinbaseTradesMapper = {
canHandle(message) {
return message.type === 'match';
},
getFilters(symbols) {
return [
{
channel: 'match',
symbols
}
];
},
*map(message, localTimestamp) {
const timestamp = new Date(message.time);
timestamp.μs = handy_1.parseμs(message.time);
yield {
type: 'trade',
symbol: message.product_id,
exchange: 'coinbase',
id: String(message.trade_id),
price: Number(message.price),
amount: Number(message.size),
side: message.side === 'sell' ? 'buy' : 'sell',
timestamp,
localTimestamp: localTimestamp
};
}
};
const mapUpdateBookLevel = (level) => {
const price = Number(level[1]);
const amount = Number(level[2]);
return { price, amount };
};
const mapSnapshotBookLevel = (level) => {
const price = Number(level[0]);
const amount = Number(level[1]);
return { price, amount };
};
class CoinbaseBookChangMapper {
constructor() {
this._symbolLastTimestampMap = new Map();
}
canHandle(message) {
return message.type === 'l2update' || message.type === 'snapshot';
}
getFilters(symbols) {
return [
{
channel: 'snapshot',
symbols
},
{
channel: 'l2update',
symbols
}
];
}
*map(message, localTimestamp) {
if (message.type === 'snapshot') {
yield {
type: 'book_change',
symbol: message.product_id,
exchange: 'coinbase',
isSnapshot: true,
bids: message.bids.map(mapSnapshotBookLevel),
asks: message.asks.map(mapSnapshotBookLevel),
timestamp: localTimestamp,
localTimestamp
};
}
else {
// in very rare cases, Coinbase was returning timestamps that aren't valid, like: "time":"0001-01-01T00:00:00.000000Z"
// but l2update message was still valid and we need to process it, in such case use timestamp of previous message
let timestamp = new Date(message.time);
if (timestamp.valueOf() < 0) {
let previousValidTimestamp = this._symbolLastTimestampMap.get(message.product_id);
if (previousValidTimestamp === undefined) {
return;
}
timestamp = previousValidTimestamp;
}
else {
timestamp.μs = handy_1.parseμs(message.time);
this._symbolLastTimestampMap.set(message.product_id, timestamp);
}
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),
timestamp,
localTimestamp: localTimestamp
};
}
}
}
exports.CoinbaseBookChangMapper = CoinbaseBookChangMapper;
//# sourceMappingURL=coinbase.js.map