@proton/ccxt
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A JavaScript / TypeScript / Python / C# / PHP cryptocurrency trading library with support for 130+ exchanges
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JavaScript
// ----------------------------------------------------------------------------
// PLEASE DO NOT EDIT THIS FILE, IT IS GENERATED AND WILL BE OVERWRITTEN:
// https://github.com/ccxt/ccxt/blob/master/CONTRIBUTING.md#how-to-contribute-code
// EDIT THE CORRESPONDENT .ts FILE INSTEAD
// ---------------------------------------------------------------------------
import alpacaRest from '../alpaca.js';
import { ExchangeError, AuthenticationError } from '../base/errors.js';
import { ArrayCache, ArrayCacheBySymbolById, ArrayCacheByTimestamp } from '../base/ws/Cache.js';
// ---------------------------------------------------------------------------
export default class alpaca extends alpacaRest {
describe() {
return this.deepExtend(super.describe(), {
'has': {
'ws': true,
'watchBalance': false,
'watchMyTrades': true,
'watchOHLCV': true,
'watchOrderBook': true,
'watchOrders': true,
'watchTicker': true,
'watchTickers': false,
'watchTrades': true,
'watchPosition': false,
},
'urls': {
'api': {
'ws': {
'crypto': 'wss://stream.data.alpaca.markets/v1beta2/crypto',
'trading': 'wss://api.alpaca.markets/stream',
},
},
'test': {
'ws': {
'crypto': 'wss://stream.data.alpaca.markets/v1beta2/crypto',
'trading': 'wss://paper-api.alpaca.markets/stream',
},
},
},
'options': {},
'streaming': {},
'exceptions': {
'ws': {
'exact': {},
},
},
});
}
async watchTicker(symbol, params = {}) {
/**
* @method
* @name alpaca#watchTicker
* @description watches a price ticker, a statistical calculation with the information calculated over the past 24 hours for a specific market
* @param {string} symbol unified symbol of the market to fetch the ticker for
* @param {object} params extra parameters specific to the alpaca api endpoint
* @returns {object} a [ticker structure]{@link https://docs.ccxt.com/#/?id=ticker-structure}
*/
const url = this.urls['api']['ws']['crypto'];
await this.authenticate(url);
await this.loadMarkets();
const market = this.market(symbol);
const messageHash = 'ticker:' + market['symbol'];
const request = {
'action': 'subscribe',
'quotes': [market['id']],
};
return await this.watch(url, messageHash, this.extend(request, params), messageHash);
}
handleTicker(client, message) {
//
// {
// T: 'q',
// S: 'BTC/USDT',
// bp: 17394.44,
// bs: 0.021981,
// ap: 17397.99,
// as: 0.02,
// t: '2022-12-16T06:07:56.611063286Z'
// ]
//
const ticker = this.parseTicker(message);
const symbol = ticker['symbol'];
const messageHash = 'ticker:' + symbol;
this.tickers[symbol] = ticker;
client.resolve(this.tickers[symbol], messageHash);
}
parseTicker(ticker, market = undefined) {
//
// {
// T: 'q',
// S: 'BTC/USDT',
// bp: 17394.44,
// bs: 0.021981,
// ap: 17397.99,
// as: 0.02,
// t: '2022-12-16T06:07:56.611063286Z'
// }
//
const marketId = this.safeString(ticker, 'S');
const datetime = this.safeString(ticker, 't');
return this.safeTicker({
'symbol': this.safeSymbol(marketId, market),
'timestamp': this.parse8601(datetime),
'datetime': datetime,
'high': undefined,
'low': undefined,
'bid': this.safeString(ticker, 'bp'),
'bidVolume': this.safeString(ticker, 'bs'),
'ask': this.safeString(ticker, 'ap'),
'askVolume': this.safeString(ticker, 'as'),
'vwap': undefined,
'open': undefined,
'close': undefined,
'last': undefined,
'previousClose': undefined,
'change': undefined,
'percentage': undefined,
'average': undefined,
'baseVolume': undefined,
'quoteVolume': undefined,
'info': ticker,
}, market);
}
async watchOHLCV(symbol, timeframe = '1m', since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name alpaca#watchOHLCV
* @description watches historical candlestick data containing the open, high, low, and close price, and the volume of a market
* @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|undefined} since timestamp in ms of the earliest candle to fetch
* @param {int|undefined} limit the maximum amount of candles to fetch
* @param {object} params extra parameters specific to the alpaca api endpoint
* @returns {[[int]]} A list of candles ordered as timestamp, open, high, low, close, volume
*/
const url = this.urls['api']['ws']['crypto'];
await this.authenticate(url);
await this.loadMarkets();
const market = this.market(symbol);
symbol = market['symbol'];
const request = {
'action': 'subscribe',
'bars': [market['id']],
};
const messageHash = 'ohlcv:' + symbol;
const ohlcv = await this.watch(url, messageHash, this.extend(request, params), messageHash);
if (this.newUpdates) {
limit = ohlcv.getLimit(symbol, limit);
}
return this.filterBySinceLimit(ohlcv, since, limit, 0, true);
}
handleOHLCV(client, message) {
//
// {
// T: 'b',
// S: 'BTC/USDT',
// o: 17416.39,
// h: 17424.82,
// l: 17416.39,
// c: 17424.82,
// v: 1.341054,
// t: '2022-12-16T06:53:00Z',
// n: 21,
// vw: 17421.9529234915
// }
//
const marketId = this.safeString(message, 'S');
const symbol = this.safeSymbol(marketId);
let stored = this.safeValue(this.ohlcvs, symbol);
if (stored === undefined) {
const limit = this.safeInteger(this.options, 'OHLCVLimit', 1000);
stored = new ArrayCacheByTimestamp(limit);
this.ohlcvs[symbol] = stored;
}
const parsed = this.parseOHLCV(message);
stored.append(parsed);
const messageHash = 'ohlcv:' + symbol;
client.resolve(stored, messageHash);
}
async watchOrderBook(symbol, limit = undefined, params = {}) {
/**
* @method
* @name alpaca#watchOrderBook
* @description watches information on open orders with bid (buy) and ask (sell) prices, volumes and other data
* @param {string} symbol unified symbol of the market to fetch the order book for
* @param {int|undefined} limit the maximum amount of order book entries to return.
* @param {object} params extra parameters specific to the alpaca api endpoint
* @returns {object} A dictionary of [order book structures]{@link https://docs.ccxt.com/#/?id=order-book-structure} indexed by market symbols
*/
const url = this.urls['api']['ws']['crypto'];
await this.authenticate(url);
await this.loadMarkets();
const market = this.market(symbol);
symbol = market['symbol'];
const messageHash = 'orderbook' + ':' + symbol;
const request = {
'action': 'subscribe',
'orderbooks': [market['id']],
};
const orderbook = await this.watch(url, messageHash, this.extend(request, params), messageHash);
return orderbook.limit();
}
handleOrderBook(client, message) {
//
// snapshot
// {
// T: "o",
// S: "BTC/USDT",
// t: "2022-12-16T06:35:31.585113205Z",
// b: [{
// p: 17394.37,
// s: 0.015499,
// },
// ...
// ],
// a: [{
// p: 17398.8,
// s: 0.042919,
// },
// ...
// ],
// r: true,
// }
//
const marketId = this.safeString(message, 'S');
const symbol = this.safeSymbol(marketId);
const datetime = this.safeString(message, 't');
const timestamp = this.parse8601(datetime);
const isSnapshot = this.safeValue(message, 'r', false);
let orderbook = this.safeValue(this.orderbooks, symbol);
if (orderbook === undefined) {
orderbook = this.orderBook();
}
if (isSnapshot) {
const snapshot = this.parseOrderBook(message, symbol, timestamp, 'b', 'a', 'p', 's');
orderbook.reset(snapshot);
}
else {
const asks = this.safeValue(message, 'a', []);
const bids = this.safeValue(message, 'b', []);
this.handleDeltas(orderbook['asks'], asks);
this.handleDeltas(orderbook['bids'], bids);
orderbook['timestamp'] = timestamp;
orderbook['datetime'] = datetime;
}
const messageHash = 'orderbook' + ':' + symbol;
this.orderbooks[symbol] = orderbook;
client.resolve(orderbook, messageHash);
}
handleDelta(bookside, delta) {
const bidAsk = this.parseBidAsk(delta, 'p', 's');
bookside.storeArray(bidAsk);
}
handleDeltas(bookside, deltas) {
for (let i = 0; i < deltas.length; i++) {
this.handleDelta(bookside, deltas[i]);
}
}
async watchTrades(symbol, since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name alpaca#watchTrades
* @description watches information on multiple trades made in a market
* @param {string} symbol unified market symbol of the market orders were made in
* @param {int|undefined} since the earliest time in ms to fetch orders for
* @param {int|undefined} limit the maximum number of orde structures to retrieve
* @param {object} params extra parameters specific to the alpaca api endpoint
* @returns {[object]} a list of [order structures]{@link https://docs.ccxt.com/#/?id=order-structure
*/
const url = this.urls['api']['ws']['crypto'];
await this.authenticate(url);
await this.loadMarkets();
const market = this.market(symbol);
symbol = market['symbol'];
const messageHash = 'trade:' + symbol;
const request = {
'action': 'subscribe',
'trades': [market['id']],
};
const trades = await this.watch(url, messageHash, this.extend(request, params), messageHash);
if (this.newUpdates) {
limit = trades.getLimit(symbol, limit);
}
return this.filterBySinceLimit(trades, since, limit, 'timestamp', true);
}
handleTrades(client, message) {
//
// {
// T: 't',
// S: 'BTC/USDT',
// p: 17408.8,
// s: 0.042919,
// t: '2022-12-16T06:43:18.327Z',
// i: 16585162,
// tks: 'B'
// ]
//
const marketId = this.safeString(message, 'S');
const symbol = this.safeSymbol(marketId);
let stored = this.safeValue(this.trades, symbol);
if (stored === undefined) {
const limit = this.safeInteger(this.options, 'tradesLimit', 1000);
stored = new ArrayCache(limit);
this.trades[symbol] = stored;
}
const parsed = this.parseTrade(message);
stored.append(parsed);
const messageHash = 'trade' + ':' + symbol;
client.resolve(stored, messageHash);
}
async watchMyTrades(symbol = undefined, since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name alpaca#watchMyTrades
* @description watches information on multiple trades made by the user
* @param {string} symbol unified market symbol of the market orders were made in
* @param {int|undefined} since the earliest time in ms to fetch orders for
* @param {int|undefined} limit the maximum number of orde structures to retrieve
* @param {object} params extra parameters specific to the alpaca api endpoint
* @param {boolean} params.unifiedMargin use unified margin account
* @returns {[object]} a list of [order structures]{@link https://docs.ccxt.com/#/?id=order-structure
*/
const url = this.urls['api']['ws']['trading'];
await this.authenticate(url);
let messageHash = 'myTrades';
await this.loadMarkets();
if (symbol !== undefined) {
symbol = this.symbol(symbol);
messageHash += ':' + symbol;
}
const request = {
'action': 'listen',
'data': {
'streams': ['trade_updates'],
},
};
const trades = await this.watch(url, messageHash, this.extend(request, params), messageHash);
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 alpaca#watchOrders
* @description watches information on multiple orders made by the user
* @param {string|undefined} symbol unified market symbol of the market orders were made in
* @param {int|undefined} since the earliest time in ms to fetch orders for
* @param {int|undefined} limit the maximum number of orde structures to retrieve
* @param {object} params extra parameters specific to the alpaca api endpoint
* @returns {[object]} a list of [order structures]{@link https://docs.ccxt.com/#/?id=order-structure
*/
const url = this.urls['api']['ws']['trading'];
await this.authenticate(url);
await this.loadMarkets();
let messageHash = 'orders';
if (symbol !== undefined) {
const market = this.market(symbol);
symbol = market['symbol'];
messageHash = 'orders:' + symbol;
}
const request = {
'action': 'listen',
'data': {
'streams': ['trade_updates'],
},
};
const orders = await this.watch(url, messageHash, this.extend(request, params), messageHash);
if (this.newUpdates) {
limit = orders.getLimit(symbol, limit);
}
return this.filterBySymbolSinceLimit(orders, symbol, since, limit);
}
handleTradeUpdate(client, message) {
this.handleOrder(client, message);
this.handleMyTrade(client, message);
}
handleOrder(client, message) {
//
// {
// stream: 'trade_updates',
// data: {
// event: 'new',
// timestamp: '2022-12-16T07:28:51.67621869Z',
// order: {
// id: 'c2470331-8993-4051-bf5d-428d5bdc9a48',
// client_order_id: '0f1f3764-107a-4d09-8b9a-d75a11738f5c',
// created_at: '2022-12-16T02:28:51.673531798-05:00',
// updated_at: '2022-12-16T02:28:51.678736847-05:00',
// submitted_at: '2022-12-16T02:28:51.673015558-05:00',
// filled_at: null,
// expired_at: null,
// cancel_requested_at: null,
// canceled_at: null,
// failed_at: null,
// replaced_at: null,
// replaced_by: null,
// replaces: null,
// asset_id: '276e2673-764b-4ab6-a611-caf665ca6340',
// symbol: 'BTC/USD',
// asset_class: 'crypto',
// notional: null,
// qty: '0.01',
// filled_qty: '0',
// filled_avg_price: null,
// order_class: '',
// order_type: 'market',
// type: 'market',
// side: 'buy',
// time_in_force: 'gtc',
// limit_price: null,
// stop_price: null,
// status: 'new',
// extended_hours: false,
// legs: null,
// trail_percent: null,
// trail_price: null,
// hwm: null
// },
// execution_id: '5f781a30-b9a3-4c86-b466-2175850cf340'
// }
// }
//
const data = this.safeValue(message, 'data', {});
const rawOrder = this.safeValue(data, 'order', {});
if (this.orders === undefined) {
const limit = this.safeInteger(this.options, 'ordersLimit', 1000);
this.orders = new ArrayCacheBySymbolById(limit);
}
const orders = this.orders;
const order = this.parseOrder(rawOrder);
orders.append(order);
let messageHash = 'orders';
client.resolve(orders, messageHash);
messageHash = 'orders:' + order['symbol'];
client.resolve(orders, messageHash);
}
handleMyTrade(client, message) {
//
// {
// stream: 'trade_updates',
// data: {
// event: 'new',
// timestamp: '2022-12-16T07:28:51.67621869Z',
// order: {
// id: 'c2470331-8993-4051-bf5d-428d5bdc9a48',
// client_order_id: '0f1f3764-107a-4d09-8b9a-d75a11738f5c',
// created_at: '2022-12-16T02:28:51.673531798-05:00',
// updated_at: '2022-12-16T02:28:51.678736847-05:00',
// submitted_at: '2022-12-16T02:28:51.673015558-05:00',
// filled_at: null,
// expired_at: null,
// cancel_requested_at: null,
// canceled_at: null,
// failed_at: null,
// replaced_at: null,
// replaced_by: null,
// replaces: null,
// asset_id: '276e2673-764b-4ab6-a611-caf665ca6340',
// symbol: 'BTC/USD',
// asset_class: 'crypto',
// notional: null,
// qty: '0.01',
// filled_qty: '0',
// filled_avg_price: null,
// order_class: '',
// order_type: 'market',
// type: 'market',
// side: 'buy',
// time_in_force: 'gtc',
// limit_price: null,
// stop_price: null,
// status: 'new',
// extended_hours: false,
// legs: null,
// trail_percent: null,
// trail_price: null,
// hwm: null
// },
// execution_id: '5f781a30-b9a3-4c86-b466-2175850cf340'
// }
// }
//
const data = this.safeValue(message, 'data', {});
const event = this.safeString(data, 'event');
if (event !== 'fill' && event !== 'partial_fill') {
return;
}
const rawOrder = this.safeValue(data, 'order', {});
let myTrades = this.myTrades;
if (myTrades === undefined) {
const limit = this.safeInteger(this.options, 'tradesLimit', 1000);
myTrades = new ArrayCacheBySymbolById(limit);
}
const trade = this.parseMyTrade(rawOrder);
myTrades.append(trade);
let messageHash = 'myTrades:' + trade['symbol'];
client.resolve(myTrades, messageHash);
messageHash = 'myTrades';
client.resolve(myTrades, messageHash);
}
parseMyTrade(trade, market = undefined) {
//
// {
// id: 'c2470331-8993-4051-bf5d-428d5bdc9a48',
// client_order_id: '0f1f3764-107a-4d09-8b9a-d75a11738f5c',
// created_at: '2022-12-16T02:28:51.673531798-05:00',
// updated_at: '2022-12-16T02:28:51.678736847-05:00',
// submitted_at: '2022-12-16T02:28:51.673015558-05:00',
// filled_at: null,
// expired_at: null,
// cancel_requested_at: null,
// canceled_at: null,
// failed_at: null,
// replaced_at: null,
// replaced_by: null,
// replaces: null,
// asset_id: '276e2673-764b-4ab6-a611-caf665ca6340',
// symbol: 'BTC/USD',
// asset_class: 'crypto',
// notional: null,
// qty: '0.01',
// filled_qty: '0',
// filled_avg_price: null,
// order_class: '',
// order_type: 'market',
// type: 'market',
// side: 'buy',
// time_in_force: 'gtc',
// limit_price: null,
// stop_price: null,
// status: 'new',
// extended_hours: false,
// legs: null,
// trail_percent: null,
// trail_price: null,
// hwm: null
// }
//
const marketId = this.safeString(trade, 'symbol');
const datetime = this.safeString(trade, 'filled_at');
let type = this.safeString(trade, 'type');
if (type.indexOf('limit') >= 0) {
// might be limit or stop-limit
type = 'limit';
}
return this.safeTrade({
'id': this.safeString(trade, 'i'),
'info': trade,
'timestamp': this.parse8601(datetime),
'datetime': datetime,
'symbol': this.safeSymbol(marketId, undefined, '/'),
'order': this.safeString(trade, 'id'),
'type': type,
'side': this.safeString(trade, 'side'),
'takerOrMaker': (type === 'market') ? 'taker' : 'maker',
'price': this.safeString(trade, 'filled_avg_price'),
'amount': this.safeString(trade, 'filled_qty'),
'cost': undefined,
'fee': undefined,
}, market);
}
async authenticate(url, params = {}) {
this.checkRequiredCredentials();
const messageHash = 'authenticated';
const client = this.client(url);
let future = this.safeValue(client.subscriptions, messageHash);
if (future === undefined) {
future = client.future('authenticated');
let request = {
'action': 'auth',
'key': this.apiKey,
'secret': this.secret,
};
if (url === this.urls['api']['ws']['trading']) {
// this auth request is being deprecated in test environment
request = {
'action': 'authenticate',
'data': {
'key_id': this.apiKey,
'secret_key': this.secret,
},
};
}
this.spawn(this.watch, url, messageHash, request, messageHash, future);
}
return await future;
}
handleErrorMessage(client, message) {
//
// {
// T: 'error',
// code: 400,
// msg: 'invalid syntax'
// }
//
const code = this.safeString(message, 'code');
const msg = this.safeValue(message, 'msg', {});
throw new ExchangeError(this.id + ' code: ' + code + ' message: ' + msg);
}
handleConnected(client, message) {
//
// {
// T: 'success',
// msg: 'connected'
// }
//
return message;
}
handleCryptoMessage(client, message) {
for (let i = 0; i < message.length; i++) {
const data = message[i];
const T = this.safeString(data, 'T');
const msg = this.safeValue(data, 'msg', {});
if (T === 'subscription') {
return this.handleSubscription(client, data);
}
if (T === 'success' && msg === 'connected') {
return this.handleConnected(client, data);
}
if (T === 'success' && msg === 'authenticated') {
return this.handleAuthenticate(client, data);
}
const methods = {
'error': this.handleErrorMessage,
'b': this.handleOHLCV,
'q': this.handleTicker,
't': this.handleTrades,
'o': this.handleOrderBook,
};
const method = this.safeValue(methods, T);
if (method !== undefined) {
method.call(this, client, data);
}
}
}
handleTradingMessage(client, message) {
const stream = this.safeString(message, 'stream');
const methods = {
'authorization': this.handleAuthenticate,
'listening': this.handleSubscription,
'trade_updates': this.handleTradeUpdate,
};
const method = this.safeValue(methods, stream);
if (method !== undefined) {
method.call(this, client, message);
}
}
handleMessage(client, message) {
if (Array.isArray(message)) {
return this.handleCryptoMessage(client, message);
}
this.handleTradingMessage(client, message);
}
handleAuthenticate(client, message) {
//
// crypto
// {
// T: 'success',
// msg: 'connected'
// ]
//
// trading
// {
// "stream": "authorization",
// "data": {
// "status": "authorized",
// "action": "authenticate"
// }
// }
// error
// {
// stream: 'authorization',
// data: {
// action: 'authenticate',
// message: 'access key verification failed',
// status: 'unauthorized'
// }
// }
//
const T = this.safeString(message, 'T');
const data = this.safeValue(message, 'data', {});
const status = this.safeString(data, 'status');
if (T === 'success' || status === 'authorized') {
client.resolve(message, 'authenticated');
return;
}
throw new AuthenticationError(this.id + ' failed to authenticate.');
}
handleSubscription(client, message) {
//
// crypto
// {
// T: 'subscription',
// trades: [],
// quotes: [ 'BTC/USDT' ],
// orderbooks: [],
// bars: [],
// updatedBars: [],
// dailyBars: []
// }
// trading
// {
// stream: 'listening',
// data: {
// streams: ['trade_updates']
// }
// }
//
return message;
}
}