@hackape/tardis-dev

import { EXCHANGES, EXCHANGE_CHANNELS_INFO } from './consts' export type Exchange = typeof EXCHANGES[number] export type FilterForExchange = { [key in Exchange]: Filter<typeof EXCHANGE_CHANNELS_INFO[key][number]> } export type Filter<T> = { channel: T symbols?: string[] } export type Writeable<T> = { -readonly [P in keyof T]: T[P] } export type NormalizedData = { readonly type: string readonly symbol: string readonly exchange: Exchange readonly timestamp: Date readonly localTimestamp: Date readonly name?: string } export type Trade = { readonly type: 'trade' readonly symbol: string readonly exchange: Exchange readonly id: string | undefined readonly price: number readonly amount: number readonly side: 'buy' | 'sell' | 'unknown' // liquidity taker side (aggressor) readonly timestamp: Date readonly localTimestamp: Date } export type BookPriceLevel = { readonly price: number readonly amount: number } export type BookChange = { readonly type: 'book_change' readonly symbol: string readonly exchange: Exchange readonly isSnapshot: boolean readonly bids: BookPriceLevel[] readonly asks: BookPriceLevel[] readonly timestamp: Date readonly localTimestamp: Date } export type DerivativeTicker = { readonly type: 'derivative_ticker' readonly symbol: string readonly exchange: Exchange readonly lastPrice: number | undefined readonly openInterest: number | undefined readonly fundingRate: number | undefined readonly fundingTimestamp: Date | undefined readonly predictedFundingRate: number | undefined readonly indexPrice: number | undefined readonly markPrice: number | undefined readonly timestamp: Date readonly localTimestamp: Date } export type OptionSummary = NormalizedData & { type: 'option_summary' optionType: 'put' | 'call' strikePrice: number expirationDate: Date bestBidPrice: number | undefined bestBidAmount: number | undefined bestBidIV: number | undefined bestAskPrice: number | undefined bestAskAmount: number | undefined bestAskIV: number | undefined lastPrice: number | undefined openInterest: number | undefined markPrice: number | undefined markIV: number | undefined delta: number | undefined gamma: number | undefined vega: number | undefined theta: number | undefined rho: number | undefined underlyingPrice: number | undefined underlyingIndex: string } export type Liquidation = { readonly type: 'liquidation' readonly symbol: string readonly exchange: Exchange readonly id: string | undefined readonly price: number readonly amount: number readonly side: 'buy' | 'sell' readonly timestamp: Date readonly localTimestamp: Date } export type Disconnect = { readonly type: 'disconnect' readonly exchange: Exchange readonly localTimestamp: Date } export type TradeBar = { readonly type: 'trade_bar' readonly symbol: string readonly exchange: Exchange readonly name: string readonly interval: number readonly kind: 'time' | 'volume' | 'tick' readonly open: number readonly high: number readonly low: number readonly close: number readonly volume: number readonly buyVolume: number readonly sellVolume: number readonly trades: number readonly vwap: number readonly openTimestamp: Date readonly closeTimestamp: Date readonly timestamp: Date readonly localTimestamp: Date } export type BookSnapshot = { readonly type: 'book_snapshot' readonly symbol: string readonly exchange: Exchange readonly name: string readonly depth: number readonly interval: number readonly bids: Optional<BookPriceLevel>[] readonly asks: Optional<BookPriceLevel>[] readonly timestamp: Date readonly localTimestamp: Date } declare global { interface Date { μs?: number } } export type Optional<T> = { [P in keyof T]: T[P] | undefined }