@jalmonter/ccxt
Version:
559 lines (555 loc) • 24.2 kB
JavaScript
'use strict';
var coinbase$1 = require('../coinbase.js');
var errors = require('../base/errors.js');
var Cache = require('../base/ws/Cache.js');
var sha256 = require('../static_dependencies/noble-hashes/sha256.js');
// ---------------------------------------------------------------------------
// ---------------------------------------------------------------------------
class coinbase extends coinbase$1 {
describe() {
return this.deepExtend(super.describe(), {
'has': {
'ws': true,
'cancelAllOrdersWs': false,
'cancelOrdersWs': false,
'cancelOrderWs': false,
'createOrderWs': false,
'editOrderWs': false,
'fetchBalanceWs': false,
'fetchOpenOrdersWs': false,
'fetchOrderWs': false,
'fetchTradesWs': false,
'watchBalance': false,
'watchMyTrades': false,
'watchOHLCV': false,
'watchOrderBook': true,
'watchOrders': true,
'watchTicker': true,
'watchTickers': true,
'watchTrades': true,
},
'urls': {
'api': {
'ws': 'wss://advanced-trade-ws.coinbase.com',
},
},
'options': {
'tradesLimit': 1000,
'ordersLimit': 1000,
'myTradesLimit': 1000,
'sides': {
'bid': 'bids',
'offer': 'asks',
},
},
});
}
async subscribe(name, symbol = undefined, params = {}) {
/**
* @ignore
* @method
* @description subscribes to a websocket channel
* @see https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-overview#subscribe
* @param {string} name the name of the channel
* @param {string|string[]} [symbol] unified market symbol
* @param {object} [params] extra parameters specific to the exchange API endpoint
* @returns {object} subscription to a websocket channel
*/
await this.loadMarkets();
this.checkRequiredCredentials();
let market = undefined;
let messageHash = name;
let productIds = [];
if (Array.isArray(symbol)) {
const symbols = this.marketSymbols(symbol);
const marketIds = this.marketIds(symbols);
productIds = marketIds;
messageHash = messageHash + '::' + symbol.join(',');
}
else if (symbol !== undefined) {
market = this.market(symbol);
messageHash = name + '::' + market['id'];
productIds = [market['id']];
}
const url = this.urls['api']['ws'];
const timestamp = this.numberToString(this.seconds());
const auth = timestamp + name + productIds.join(',');
const subscribe = {
'type': 'subscribe',
'product_ids': productIds,
'channel': name,
'api_key': this.apiKey,
'timestamp': timestamp,
'signature': this.hmac(this.encode(auth), this.encode(this.secret), sha256.sha256),
};
return await this.watch(url, messageHash, subscribe, messageHash);
}
async watchTicker(symbol, params = {}) {
/**
* @method
* @name coinbasepro#watchTicker
* @description watches a price ticker, a statistical calculation with the information calculated over the past 24 hours for a specific market
* @see https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#ticker-channel
* @param {string} [symbol] unified symbol of the market to fetch the ticker for
* @param {object} [params] extra parameters specific to the exchange API endpoint
* @returns {object} a [ticker structure]{@link https://docs.ccxt.com/#/?id=ticker-structure}
*/
const name = 'ticker';
return await this.subscribe(name, symbol, params);
}
async watchTickers(symbols = undefined, params = {}) {
/**
* @method
* @name coinbasepro#watchTickers
* @description watches a price ticker, a statistical calculation with the information calculated over the past 24 hours for a specific market
* @see https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#ticker-batch-channel
* @param {string[]} [symbols] unified symbol of the market to fetch the ticker for
* @param {object} [params] extra parameters specific to the exchange API endpoint
* @returns {object} a [ticker structure]{@link https://docs.ccxt.com/#/?id=ticker-structure}
*/
if (symbols === undefined) {
throw new errors.ArgumentsRequired(this.id + ' watchTickers requires a symbols argument');
}
const name = 'ticker_batch';
const tickers = await this.subscribe(name, symbols, params);
return tickers;
}
handleTickers(client, message) {
//
// {
// "channel": "ticker",
// "client_id": "",
// "timestamp": "2023-02-09T20:30:37.167359596Z",
// "sequence_num": 0,
// "events": [
// {
// "type": "snapshot",
// "tickers": [
// {
// "type": "ticker",
// "product_id": "BTC-USD",
// "price": "21932.98",
// "volume_24_h": "16038.28770938",
// "low_24_h": "21835.29",
// "high_24_h": "23011.18",
// "low_52_w": "15460",
// "high_52_w": "48240",
// "price_percent_chg_24_h": "-4.15775596190603"
// }
// ]
// }
// ]
// }
//
// {
// "channel": "ticker_batch",
// "client_id": "",
// "timestamp": "2023-03-01T12:15:18.382173051Z",
// "sequence_num": 0,
// "events": [
// {
// "type": "snapshot",
// "tickers": [
// {
// "type": "ticker",
// "product_id": "DOGE-USD",
// "price": "0.08212",
// "volume_24_h": "242556423.3",
// "low_24_h": "0.07989",
// "high_24_h": "0.08308",
// "low_52_w": "0.04908",
// "high_52_w": "0.1801",
// "price_percent_chg_24_h": "0.50177456859626"
// }
// ]
// }
// ]
// }
//
const channel = this.safeString(message, 'channel');
const events = this.safeValue(message, 'events', []);
const newTickers = [];
for (let i = 0; i < events.length; i++) {
const tickersObj = events[i];
const tickers = this.safeValue(tickersObj, 'tickers', []);
for (let j = 0; j < tickers.length; j++) {
const ticker = tickers[j];
const result = this.parseWsTicker(ticker);
const symbol = result['symbol'];
this.tickers[symbol] = result;
const wsMarketId = this.safeString(ticker, 'product_id');
const messageHash = channel + '::' + wsMarketId;
newTickers.push(result);
client.resolve(result, messageHash);
}
}
const messageHashes = this.findMessageHashes(client, 'ticker_batch::');
for (let i = 0; i < messageHashes.length; i++) {
const messageHash = messageHashes[i];
const parts = messageHash.split('::');
const symbolsString = parts[1];
const symbols = symbolsString.split(',');
const tickers = this.filterByArray(newTickers, 'symbol', symbols);
if (!this.isEmpty(tickers)) {
client.resolve(tickers, messageHash);
}
}
return message;
}
parseWsTicker(ticker, market = undefined) {
//
// {
// "type": "ticker",
// "product_id": "DOGE-USD",
// "price": "0.08212",
// "volume_24_h": "242556423.3",
// "low_24_h": "0.07989",
// "high_24_h": "0.08308",
// "low_52_w": "0.04908",
// "high_52_w": "0.1801",
// "price_percent_chg_24_h": "0.50177456859626"
// }
//
const marketId = this.safeString(ticker, 'product_id');
const timestamp = undefined;
const last = this.safeNumber(ticker, 'price');
return this.safeTicker({
'info': ticker,
'symbol': this.safeSymbol(marketId, market, '-'),
'timestamp': timestamp,
'datetime': this.iso8601(timestamp),
'high': this.safeString(ticker, 'high_24_h'),
'low': this.safeString(ticker, 'low_24_h'),
'bid': undefined,
'bidVolume': undefined,
'ask': undefined,
'askVolume': undefined,
'vwap': undefined,
'open': undefined,
'close': last,
'last': last,
'previousClose': undefined,
'change': undefined,
'percentage': this.safeString(ticker, 'price_percent_chg_24_h'),
'average': undefined,
'baseVolume': this.safeString(ticker, 'volume_24_h'),
'quoteVolume': undefined,
});
}
async watchTrades(symbol, since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name coinbasepro#watchTrades
* @description get the list of most recent trades for a particular symbol
* @see https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#market-trades-channel
* @param {string} symbol unified symbol of the market to fetch trades for
* @param {int} [since] timestamp in ms of the earliest trade to fetch
* @param {int} [limit] the maximum amount of trades to fetch
* @param {object} [params] extra parameters specific to the exchange API endpoint
* @returns {object[]} a list of [trade structures]{@link https://docs.ccxt.com/#/?id=public-trades}
*/
await this.loadMarkets();
symbol = this.symbol(symbol);
const name = 'market_trades';
const trades = await this.subscribe(name, symbol, params);
if (this.newUpdates) {
limit = trades.getLimit(symbol, limit);
}
return this.filterBySinceLimit(trades, since, limit, 'timestamp', true);
}
async watchOrders(symbol = undefined, since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name coinbasepro#watchOrders
* @description watches information on multiple orders made by the user
* @see https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#user-channel
* @param {string} [symbol] unified market symbol of the market orders were made in
* @param {int} [since] the earliest time in ms to fetch orders for
* @param {int} [limit] the maximum number of orde structures to retrieve
* @param {object} [params] extra parameters specific to the exchange API endpoint
* @returns {object[]} a list of [order structures]{@link https://docs.ccxt.com/#/?id=order-structure}
*/
await this.loadMarkets();
const name = 'user';
const orders = await this.subscribe(name, symbol, params);
if (this.newUpdates) {
limit = orders.getLimit(symbol, limit);
}
return this.filterBySinceLimit(orders, since, limit, 'timestamp', true);
}
async watchOrderBook(symbol, limit = undefined, params = {}) {
/**
* @method
* @name coinbasepro#watchOrderBook
* @description watches information on open orders with bid (buy) and ask (sell) prices, volumes and other data
* @see https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#level2-channel
* @param {string} symbol unified symbol of the market to fetch the order book for
* @param {int} [limit] the maximum amount of order book entries to return
* @param {object} [params] extra parameters specific to the exchange API endpoint
* @returns {object} A dictionary of [order book structures]{@link https://docs.ccxt.com/#/?id=order-book-structure} indexed by market symbols
*/
await this.loadMarkets();
const name = 'level2';
const market = this.market(symbol);
symbol = market['symbol'];
const orderbook = await this.subscribe(name, symbol, params);
return orderbook.limit();
}
handleTrade(client, message) {
//
// {
// "channel": "market_trades",
// "client_id": "",
// "timestamp": "2023-02-09T20:19:35.39625135Z",
// "sequence_num": 0,
// "events": [
// {
// "type": "snapshot",
// "trades": [
// {
// "trade_id": "000000000",
// "product_id": "ETH-USD",
// "price": "1260.01",
// "size": "0.3",
// "side": "BUY",
// "time": "2019-08-14T20:42:27.265Z",
// }
// ]
// }
// ]
// }
//
const events = this.safeValue(message, 'events');
const event = this.safeValue(events, 0);
const trades = this.safeValue(event, 'trades');
const trade = this.safeValue(trades, 0);
const marketId = this.safeString(trade, 'product_id');
const messageHash = 'market_trades::' + marketId;
const symbol = this.safeSymbol(marketId);
let tradesArray = this.safeValue(this.trades, symbol);
if (tradesArray === undefined) {
const tradesLimit = this.safeInteger(this.options, 'tradesLimit', 1000);
tradesArray = new Cache.ArrayCacheBySymbolById(tradesLimit);
this.trades[symbol] = tradesArray;
}
for (let i = 0; i < events.length; i++) {
const currentEvent = events[i];
const currentTrades = this.safeValue(currentEvent, 'trades');
for (let j = 0; j < currentTrades.length; j++) {
const item = currentTrades[i];
tradesArray.append(this.parseTrade(item));
}
}
client.resolve(tradesArray, messageHash);
return message;
}
handleOrder(client, message) {
//
// {
// "channel": "user",
// "client_id": "",
// "timestamp": "2023-02-09T20:33:57.609931463Z",
// "sequence_num": 0,
// "events": [
// {
// "type": "snapshot",
// "orders": [
// {
// "order_id": "XXX",
// "client_order_id": "YYY",
// "cumulative_quantity": "0",
// "leaves_quantity": "0.000994",
// "avg_price": "0",
// "total_fees": "0",
// "status": "OPEN",
// "product_id": "BTC-USD",
// "creation_time": "2022-12-07T19:42:18.719312Z",
// "order_side": "BUY",
// "order_type": "Limit"
// },
// ]
// }
// ]
// }
//
const events = this.safeValue(message, 'events');
const marketIds = [];
if (this.orders === undefined) {
const limit = this.safeInteger(this.options, 'ordersLimit', 1000);
this.orders = new Cache.ArrayCacheBySymbolById(limit);
}
for (let i = 0; i < events.length; i++) {
const event = events[i];
const responseOrders = this.safeValue(event, 'orders');
for (let j = 0; j < responseOrders.length; j++) {
const responseOrder = responseOrders[j];
const parsed = this.parseWsOrder(responseOrder);
const cachedOrders = this.orders;
const marketId = this.safeString(responseOrder, 'product_id');
if (!(marketId in marketIds)) {
marketIds.push(marketId);
}
cachedOrders.append(parsed);
}
}
for (let i = 0; i < marketIds.length; i++) {
const marketId = marketIds[i];
const messageHash = 'user::' + marketId;
client.resolve(this.orders, messageHash);
}
client.resolve(this.orders, 'user');
return message;
}
parseWsOrder(order, market = undefined) {
//
// {
// "order_id": "XXX",
// "client_order_id": "YYY",
// "cumulative_quantity": "0",
// "leaves_quantity": "0.000994",
// "avg_price": "0",
// "total_fees": "0",
// "status": "OPEN",
// "product_id": "BTC-USD",
// "creation_time": "2022-12-07T19:42:18.719312Z",
// "order_side": "BUY",
// "order_type": "Limit"
// }
//
const id = this.safeString(order, 'order_id');
const clientOrderId = this.safeString(order, 'client_order_id');
const marketId = this.safeString(order, 'product_id');
const datetime = this.safeString(order, 'time');
market = this.safeMarket(marketId, market);
return this.safeOrder({
'info': order,
'symbol': this.safeString(market, 'symbol'),
'id': id,
'clientOrderId': clientOrderId,
'timestamp': this.parse8601(datetime),
'datetime': datetime,
'lastTradeTimestamp': undefined,
'type': this.safeString(order, 'order_type'),
'timeInForce': undefined,
'postOnly': undefined,
'side': this.safeString(order, 'side'),
'price': undefined,
'stopPrice': undefined,
'triggerPrice': undefined,
'amount': undefined,
'cost': undefined,
'average': this.safeString(order, 'avg_price'),
'filled': this.safeString(order, 'cumulative_quantity'),
'remaining': this.safeString(order, 'leaves_quantity'),
'status': this.safeStringLower(order, 'status'),
'fee': {
'amount': this.safeString(order, 'total_fees'),
'currency': this.safeString(market, 'quote'),
},
'trades': undefined,
});
}
handleOrderBookHelper(orderbook, updates) {
for (let i = 0; i < updates.length; i++) {
const trade = updates[i];
const sideId = this.safeString(trade, 'side');
const side = this.safeString(this.options['sides'], sideId);
const price = this.safeNumber(trade, 'price_level');
const amount = this.safeNumber(trade, 'new_quantity');
orderbook[side].store(price, amount);
}
}
handleOrderBook(client, message) {
//
// {
// "channel": "l2_data",
// "client_id": "",
// "timestamp": "2023-02-09T20:32:50.714964855Z",
// "sequence_num": 0,
// "events": [
// {
// "type": "snapshot",
// "product_id": "BTC-USD",
// "updates": [
// {
// "side": "bid",
// "event_time": "1970-01-01T00:00:00Z",
// "price_level": "21921.73",
// "new_quantity": "0.06317902"
// },
// {
// "side": "bid",
// "event_time": "1970-01-01T00:00:00Z",
// "price_level": "21921.3",
// "new_quantity": "0.02"
// },
// ]
// }
// ]
// }
//
const events = this.safeValue(message, 'events');
const datetime = this.safeString(message, 'timestamp');
for (let i = 0; i < events.length; i++) {
const event = events[i];
const updates = this.safeValue(event, 'updates', []);
const marketId = this.safeString(event, 'product_id');
const messageHash = 'level2::' + marketId;
const subscription = this.safeValue(client.subscriptions, messageHash, {});
const limit = this.safeInteger(subscription, 'limit');
const symbol = this.safeSymbol(marketId);
const type = this.safeString(event, 'type');
if (type === 'snapshot') {
this.orderbooks[symbol] = this.orderBook({}, limit);
const orderbook = this.orderbooks[symbol];
this.handleOrderBookHelper(orderbook, updates);
orderbook['timestamp'] = undefined;
orderbook['datetime'] = undefined;
orderbook['symbol'] = symbol;
client.resolve(orderbook, messageHash);
}
else if (type === 'update') {
const orderbook = this.orderbooks[symbol];
this.handleOrderBookHelper(orderbook, updates);
orderbook['datetime'] = datetime;
orderbook['timestamp'] = this.parse8601(datetime);
orderbook['symbol'] = symbol;
client.resolve(orderbook, messageHash);
}
}
return message;
}
handleSubscriptionStatus(client, message) {
//
// {
// "type": "subscriptions",
// "channels": [
// {
// "name": "level2",
// "product_ids": [ "ETH-BTC" ]
// }
// ]
// }
//
return message;
}
handleMessage(client, message) {
const channel = this.safeString(message, 'channel');
const methods = {
'subscriptions': this.handleSubscriptionStatus,
'ticker': this.handleTickers,
'ticker_batch': this.handleTickers,
'market_trades': this.handleTrade,
'user': this.handleOrder,
'l2_data': this.handleOrderBook,
};
const type = this.safeString(message, 'type');
if (type === 'error') {
const errorMessage = this.safeString(message, 'message');
throw new errors.ExchangeError(errorMessage);
}
const method = this.safeValue(methods, channel);
return method.call(this, client, message);
}
}
module.exports = coinbase;