@jalmonter/ccxt
Version:
650 lines (646 loc) • 27 kB
JavaScript
'use strict';
var gemini$1 = require('../gemini.js');
var Cache = require('../base/ws/Cache.js');
var errors = require('../base/errors.js');
var sha512 = require('../static_dependencies/noble-hashes/sha512.js');
// ---------------------------------------------------------------------------
// ---------------------------------------------------------------------------
class gemini extends gemini$1 {
describe() {
return this.deepExtend(super.describe(), {
'has': {
'ws': true,
'watchBalance': false,
'watchTicker': false,
'watchTickers': false,
'watchTrades': true,
'watchMyTrades': false,
'watchOrders': true,
'watchOrderBook': true,
'watchOHLCV': true,
},
'hostname': 'api.gemini.com',
'urls': {
'api': {
'ws': 'wss://api.gemini.com',
},
'test': {
'ws': 'wss://api.sandbox.gemini.com',
},
},
});
}
async watchTrades(symbol, since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name gemini#watchTrades
* @description watch the list of most recent trades for a particular symbol
* @see https://docs.gemini.com/websocket-api/#market-data-version-2
* @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();
const market = this.market(symbol);
const messageHash = 'trades:' + market['symbol'];
const marketId = market['id'];
const request = {
'type': 'subscribe',
'subscriptions': [
{
'name': 'l2',
'symbols': [
marketId.toUpperCase(),
],
},
],
};
const subscribeHash = 'l2:' + market['symbol'];
const url = this.urls['api']['ws'] + '/v2/marketdata';
const trades = await this.watch(url, messageHash, request, subscribeHash);
if (this.newUpdates) {
limit = trades.getLimit(market['symbol'], limit);
}
return this.filterBySinceLimit(trades, since, limit, 'timestamp', true);
}
parseWsTrade(trade, market = undefined) {
//
// {
// "type": "trade",
// "symbol": "BTCUSD",
// "event_id": 122258166738,
// "timestamp": 1655330221424,
// "price": "22269.14",
// "quantity": "0.00004473",
// "side": "buy"
// }
//
const timestamp = this.safeInteger(trade, 'timestamp');
const id = this.safeString(trade, 'event_id');
const priceString = this.safeString(trade, 'price');
const amountString = this.safeString(trade, 'quantity');
const side = this.safeStringLower(trade, 'side');
const marketId = this.safeStringLower(trade, 'symbol');
const symbol = this.safeSymbol(marketId, market);
return this.safeTrade({
'id': id,
'order': undefined,
'info': trade,
'timestamp': timestamp,
'datetime': this.iso8601(timestamp),
'symbol': symbol,
'type': undefined,
'side': side,
'takerOrMaker': undefined,
'price': priceString,
'cost': undefined,
'amount': amountString,
'fee': undefined,
}, market);
}
handleTrade(client, message) {
//
// {
// "type": "trade",
// "symbol": "BTCUSD",
// "event_id": 122278173770,
// "timestamp": 1655335880981,
// "price": "22530.80",
// "quantity": "0.04",
// "side": "buy"
// }
//
const trade = this.parseWsTrade(message);
const symbol = trade['symbol'];
const tradesLimit = this.safeInteger(this.options, 'tradesLimit', 1000);
let stored = this.safeValue(this.trades, symbol);
if (stored === undefined) {
stored = new Cache.ArrayCache(tradesLimit);
this.trades[symbol] = stored;
}
stored.append(trade);
const messageHash = 'trades:' + symbol;
client.resolve(stored, messageHash);
}
handleTrades(client, message) {
//
// {
// "type": "l2_updates",
// "symbol": "BTCUSD",
// "changes": [
// [ "buy", '22252.37', "0.02" ],
// [ "buy", '22251.61', "0.04" ],
// [ "buy", '22251.60', "0.04" ],
// // some asks as well
// ],
// "trades": [
// { type: 'trade', symbol: 'BTCUSD', event_id: 122258166738, timestamp: 1655330221424, price: '22269.14', quantity: "0.00004473", side: "buy" },
// { type: 'trade', symbol: 'BTCUSD', event_id: 122258141090, timestamp: 1655330213216, price: '22250.00', quantity: "0.00704098", side: "buy" },
// { type: 'trade', symbol: 'BTCUSD', event_id: 122258118291, timestamp: 1655330206753, price: '22250.00', quantity: "0.03", side: "buy" },
// ],
// "auction_events": [
// {
// "type": "auction_result",
// "symbol": "BTCUSD",
// "time_ms": 1655323200000,
// "result": "failure",
// "highest_bid_price": "21590.88",
// "lowest_ask_price": "21602.30",
// "collar_price": "21634.73"
// },
// {
// "type": "auction_indicative",
// "symbol": "BTCUSD",
// "time_ms": 1655323185000,
// "result": "failure",
// "highest_bid_price": "21661.90",
// "lowest_ask_price": "21663.79",
// "collar_price": "21662.845"
// },
// ]
// }
//
const marketId = this.safeStringLower(message, 'symbol');
const market = this.safeMarket(marketId);
const trades = this.safeValue(message, 'trades');
if (trades !== undefined) {
const symbol = market['symbol'];
const tradesLimit = this.safeInteger(this.options, 'tradesLimit', 1000);
let stored = this.safeValue(this.trades, symbol);
if (stored === undefined) {
stored = new Cache.ArrayCache(tradesLimit);
this.trades[symbol] = stored;
}
for (let i = 0; i < trades.length; i++) {
const trade = this.parseWsTrade(trades[i], market);
stored.append(trade);
}
const messageHash = 'trades:' + symbol;
client.resolve(stored, messageHash);
}
}
async watchOHLCV(symbol, timeframe = '1m', since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name gemini#fetchOHLCV
* @description watches historical candlestick data containing the open, high, low, and close price, and the volume of a market
* @see https://docs.gemini.com/websocket-api/#candles-data-feed
* @param {string} symbol unified symbol of the market to fetch OHLCV data for
* @param {string} timeframe the length of time each candle represents
* @param {int} [since] timestamp in ms of the earliest candle to fetch
* @param {int} [limit] the maximum amount of candles to fetch
* @param {object} [params] extra parameters specific to the exchange API endpoint
* @returns {int[][]} A list of candles ordered as timestamp, open, high, low, close, volume
*/
await this.loadMarkets();
const market = this.market(symbol);
const timeframeId = this.safeString(this.timeframes, timeframe, timeframe);
const request = {
'type': 'subscribe',
'subscriptions': [
{
'name': 'candles_' + timeframeId,
'symbols': [
market['id'].toUpperCase(),
],
},
],
};
const messageHash = 'ohlcv:' + market['symbol'] + ':' + timeframeId;
const url = this.urls['api']['ws'] + '/v2/marketdata';
const ohlcv = await this.watch(url, messageHash, request, messageHash);
if (this.newUpdates) {
limit = ohlcv.getLimit(symbol, limit);
}
return this.filterBySinceLimit(ohlcv, since, limit, 0, true);
}
handleOHLCV(client, message) {
//
// {
// "type": "candles_15m_updates",
// "symbol": "BTCUSD",
// "changes": [
// [
// 1561054500000,
// 9350.18,
// 9358.35,
// 9350.18,
// 9355.51,
// 2.07
// ],
// [
// 1561053600000,
// 9357.33,
// 9357.33,
// 9350.18,
// 9350.18,
// 1.5900161
// ]
// ...
// ]
// }
//
const type = this.safeString(message, 'type', '');
let timeframeId = type.slice(8);
const timeframeEndIndex = timeframeId.indexOf('_');
timeframeId = timeframeId.slice(0, timeframeEndIndex);
const marketId = this.safeString(message, 'symbol', '').toLowerCase();
const market = this.safeMarket(marketId);
const symbol = this.safeSymbol(marketId, market);
const changes = this.safeValue(message, 'changes', []);
const timeframe = this.findTimeframe(timeframeId);
const ohlcvsBySymbol = this.safeValue(this.ohlcvs, symbol);
if (ohlcvsBySymbol === undefined) {
this.ohlcvs[symbol] = {};
}
let stored = this.safeValue(this.ohlcvs[symbol], timeframe);
if (stored === undefined) {
const limit = this.safeInteger(this.options, 'OHLCVLimit', 1000);
stored = new Cache.ArrayCacheByTimestamp(limit);
this.ohlcvs[symbol][timeframe] = stored;
}
const changesLength = changes.length;
// reverse order of array to store candles in ascending order
for (let i = 0; i < changesLength; i++) {
const index = changesLength - i - 1;
const parsed = this.parseOHLCV(changes[index], market);
stored.append(parsed);
}
const messageHash = 'ohlcv:' + symbol + ':' + timeframeId;
client.resolve(stored, messageHash);
return message;
}
async watchOrderBook(symbol, limit = undefined, params = {}) {
/**
* @method
* @name gemini#watchOrderBook
* @description watches information on open orders with bid (buy) and ask (sell) prices, volumes and other data
* @see https://docs.gemini.com/websocket-api/#market-data-version-2
* @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 market = this.market(symbol);
const messageHash = 'orderbook:' + market['symbol'];
const marketId = market['id'];
const request = {
'type': 'subscribe',
'subscriptions': [
{
'name': 'l2',
'symbols': [
marketId.toUpperCase(),
],
},
],
};
const subscribeHash = 'l2:' + market['symbol'];
const url = this.urls['api']['ws'] + '/v2/marketdata';
const orderbook = await this.watch(url, messageHash, request, subscribeHash);
return orderbook.limit();
}
handleOrderBook(client, message) {
const changes = this.safeValue(message, 'changes', []);
const marketId = this.safeStringLower(message, 'symbol');
const market = this.safeMarket(marketId);
const symbol = market['symbol'];
const messageHash = 'orderbook:' + symbol;
let orderbook = this.safeValue(this.orderbooks, symbol);
if (orderbook === undefined) {
orderbook = this.orderBook();
}
for (let i = 0; i < changes.length; i++) {
const delta = changes[i];
const price = this.safeNumber(delta, 1);
const size = this.safeNumber(delta, 2);
const side = (delta[0] === 'buy') ? 'bids' : 'asks';
const bookside = orderbook[side];
bookside.store(price, size);
orderbook[side] = bookside;
}
orderbook['symbol'] = symbol;
this.orderbooks[symbol] = orderbook;
client.resolve(orderbook, messageHash);
}
handleL2Updates(client, message) {
//
// {
// "type": "l2_updates",
// "symbol": "BTCUSD",
// "changes": [
// [ "buy", '22252.37', "0.02" ],
// [ "buy", '22251.61', "0.04" ],
// [ "buy", '22251.60', "0.04" ],
// // some asks as well
// ],
// "trades": [
// { type: 'trade', symbol: 'BTCUSD', event_id: 122258166738, timestamp: 1655330221424, price: '22269.14', quantity: "0.00004473", side: "buy" },
// { type: 'trade', symbol: 'BTCUSD', event_id: 122258141090, timestamp: 1655330213216, price: '22250.00', quantity: "0.00704098", side: "buy" },
// { type: 'trade', symbol: 'BTCUSD', event_id: 122258118291, timestamp: 1655330206753, price: '22250.00', quantity: "0.03", side: "buy" },
// ],
// "auction_events": [
// {
// "type": "auction_result",
// "symbol": "BTCUSD",
// "time_ms": 1655323200000,
// "result": "failure",
// "highest_bid_price": "21590.88",
// "lowest_ask_price": "21602.30",
// "collar_price": "21634.73"
// },
// {
// "type": "auction_indicative",
// "symbol": "BTCUSD",
// "time_ms": 1655323185000,
// "result": "failure",
// "highest_bid_price": "21661.90",
// "lowest_ask_price": "21663.79",
// "collar_price": "21662.845"
// },
// ]
// }
//
this.handleOrderBook(client, message);
this.handleTrades(client, message);
}
async watchOrders(symbol = undefined, since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name gemini#fetchOrders
* @description watches information on multiple orders made by the user
* @see https://docs.gemini.com/websocket-api/#order-events
* @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}
*/
const url = this.urls['api']['ws'] + '/v1/order/events?eventTypeFilter=initial&eventTypeFilter=accepted&eventTypeFilter=rejected&eventTypeFilter=fill&eventTypeFilter=cancelled&eventTypeFilter=booked';
await this.loadMarkets();
const authParams = {
'url': url,
};
await this.authenticate(authParams);
if (symbol !== undefined) {
const market = this.market(symbol);
symbol = market['symbol'];
}
const messageHash = 'orders';
const orders = await this.watch(url, messageHash, undefined, messageHash);
if (this.newUpdates) {
limit = orders.getLimit(symbol, limit);
}
return this.filterBySymbolSinceLimit(orders, symbol, since, limit, true);
}
handleHeartbeat(client, message) {
//
// {
// "type": "heartbeat",
// "timestampms": 1659740268958,
// "sequence": 7,
// "trace_id": "25b3d92476dd3a9a5c03c9bd9e0a0dba",
// "socket_sequence": 7
// }
//
return message;
}
handleSubscription(client, message) {
//
// {
// "type": "subscription_ack",
// "accountId": 19433282,
// "subscriptionId": "orderevents-websocket-25b3d92476dd3a9a5c03c9bd9e0a0dba",
// "symbolFilter": [],
// "apiSessionFilter": [],
// "eventTypeFilter": []
// }
//
return message;
}
handleOrder(client, message) {
//
// [
// {
// "type": "accepted",
// "order_id": "134150423884",
// "event_id": "134150423886",
// "account_name": "primary",
// "client_order_id": "1659739406916",
// "api_session": "account-pnBFSS0XKGvDamX4uEIt",
// "symbol": "batbtc",
// "side": "sell",
// "order_type": "exchange limit",
// "timestamp": "1659739407",
// "timestampms": 1659739407576,
// "is_live": true,
// "is_cancelled": false,
// "is_hidden": false,
// "original_amount": "1",
// "price": "1",
// "socket_sequence": 139
// }
// ]
//
const messageHash = 'orders';
if (this.orders === undefined) {
const limit = this.safeInteger(this.options, 'ordersLimit', 1000);
this.orders = new Cache.ArrayCacheBySymbolById(limit);
}
const orders = this.orders;
for (let i = 0; i < message.length; i++) {
const order = this.parseWsOrder(message[i]);
orders.append(order);
}
client.resolve(this.orders, messageHash);
}
parseWsOrder(order, market = undefined) {
//
// {
// "type": "accepted",
// "order_id": "134150423884",
// "event_id": "134150423886",
// "account_name": "primary",
// "client_order_id": "1659739406916",
// "api_session": "account-pnBFSS0XKGvDamX4uEIt",
// "symbol": "batbtc",
// "side": "sell",
// "order_type": "exchange limit",
// "timestamp": "1659739407",
// "timestampms": 1659739407576,
// "is_live": true,
// "is_cancelled": false,
// "is_hidden": false,
// "original_amount": "1",
// "price": "1",
// "socket_sequence": 139
// }
//
const timestamp = this.safeNumber(order, 'timestampms');
const status = this.safeString(order, 'type');
const marketId = this.safeString(order, 'symbol');
const typeId = this.safeString(order, 'order_type');
const behavior = this.safeString(order, 'behavior');
let timeInForce = 'GTC';
let postOnly = false;
if (behavior === 'immediate-or-cancel') {
timeInForce = 'IOC';
}
else if (behavior === 'fill-or-kill') {
timeInForce = 'FOK';
}
else if (behavior === 'maker-or-cancel') {
timeInForce = 'PO';
postOnly = true;
}
return this.safeOrder({
'id': this.safeString(order, 'order_id'),
'clientOrderId': this.safeString(order, 'client_order_id'),
'info': order,
'timestamp': timestamp,
'datetime': this.iso8601(timestamp),
'lastTradeTimestamp': undefined,
'status': this.parseWsOrderStatus(status),
'symbol': this.safeSymbol(marketId, market),
'type': this.parseWsOrderType(typeId),
'timeInForce': timeInForce,
'postOnly': postOnly,
'side': this.safeString(order, 'side'),
'price': this.safeNumber(order, 'price'),
'stopPrice': undefined,
'average': this.safeNumber(order, 'avg_execution_price'),
'cost': undefined,
'amount': this.safeNumber(order, 'original_amount'),
'filled': this.safeNumber(order, 'executed_amount'),
'remaining': this.safeNumber(order, 'remaining_amount'),
'fee': undefined,
'trades': undefined,
}, market);
}
parseWsOrderStatus(status) {
const statuses = {
'accepted': 'open',
'booked': 'open',
'fill': 'closed',
'cancelled': 'canceled',
'cancel_rejected': 'rejected',
'rejected': 'rejected',
};
return this.safeString(statuses, status, status);
}
parseWsOrderType(type) {
const types = {
'exchange limit': 'limit',
'market buy': 'market',
'market sell': 'market',
};
return this.safeString(types, type, type);
}
handleError(client, message) {
//
// {
// "reason": "NoValidTradingPairs",
// "result": "error"
// }
//
throw new errors.ExchangeError(this.json(message));
}
handleMessage(client, message) {
//
// public
// {
// "type": "trade",
// "symbol": "BTCUSD",
// "event_id": 122278173770,
// "timestamp": 1655335880981,
// "price": "22530.80",
// "quantity": "0.04",
// "side": "buy"
// }
//
// private
// [
// {
// "type": "accepted",
// "order_id": "134150423884",
// "event_id": "134150423886",
// "account_name": "primary",
// "client_order_id": "1659739406916",
// "api_session": "account-pnBFSS0XKGvDamX4uEIt",
// "symbol": "batbtc",
// "side": "sell",
// "order_type": "exchange limit",
// "timestamp": "1659739407",
// "timestampms": 1659739407576,
// "is_live": true,
// "is_cancelled": false,
// "is_hidden": false,
// "original_amount": "1",
// "price": "1",
// "socket_sequence": 139
// }
// ]
//
const isArray = Array.isArray(message);
if (isArray) {
return this.handleOrder(client, message);
}
const reason = this.safeString(message, 'reason');
if (reason === 'error') {
this.handleError(client, message);
}
const methods = {
'l2_updates': this.handleL2Updates,
'trade': this.handleTrade,
'subscription_ack': this.handleSubscription,
'heartbeat': this.handleHeartbeat,
};
const type = this.safeString(message, 'type', '');
if (type.indexOf('candles') >= 0) {
return this.handleOHLCV(client, message);
}
const method = this.safeValue(methods, type);
if (method !== undefined) {
method.call(this, client, message);
}
}
async authenticate(params = {}) {
const url = this.safeString(params, 'url');
if ((this.clients !== undefined) && (url in this.clients)) {
return;
}
this.checkRequiredCredentials();
const startIndex = this.urls['api']['ws'].length;
const urlParamsIndex = url.indexOf('?');
const urlLength = url.length;
const endIndex = (urlParamsIndex >= 0) ? urlParamsIndex : urlLength;
const request = url.slice(startIndex, endIndex);
const payload = {
'request': request,
'nonce': this.nonce(),
};
const b64 = this.stringToBase64(this.json(payload));
const signature = this.hmac(this.encode(b64), this.encode(this.secret), sha512.sha384, 'hex');
const defaultOptions = {
'ws': {
'options': {
'headers': {},
},
},
};
this.options = this.extend(defaultOptions, this.options);
const originalHeaders = this.options['ws']['options']['headers'];
const headers = {
'X-GEMINI-APIKEY': this.apiKey,
'X-GEMINI-PAYLOAD': b64,
'X-GEMINI-SIGNATURE': signature,
};
this.options['ws']['options']['headers'] = headers;
this.client(url);
this.options['ws']['options']['headers'] = originalHeaders;
}
}
module.exports = gemini;