@proton/ccxt
Version:
A JavaScript / TypeScript / Python / C# / PHP cryptocurrency trading library with support for 130+ exchanges
1,142 lines (1,140 loc) • 59.1 kB
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 bitmexRest from '../bitmex.js';
import { AuthenticationError, ExchangeError, RateLimitExceeded } from '../base/errors.js';
import { ArrayCache, ArrayCacheByTimestamp, ArrayCacheBySymbolById } from '../base/ws/Cache.js';
import { sha256 } from '../static_dependencies/noble-hashes/sha256.js';
// ---------------------------------------------------------------------------
export default class bitmex extends bitmexRest {
describe() {
return this.deepExtend(super.describe(), {
'has': {
'ws': true,
'watchBalance': true,
'watchMyTrades': true,
'watchOHLCV': true,
'watchOrderBook': true,
'watchOrders': true,
'watchTicker': true,
'watchTickers': false,
'watchTrades': true,
},
'urls': {
'test': {
'ws': 'wss://ws.testnet.bitmex.com/realtime',
},
'api': {
'ws': 'wss://ws.bitmex.com/realtime',
},
},
// 'versions': {
// 'ws': '0.2.0',
// },
'options': {
'watchOrderBookLevel': 'orderBookL2',
'tradesLimit': 1000,
'OHLCVLimit': 1000,
},
'exceptions': {
'ws': {
'exact': {},
'broad': {
'Rate limit exceeded': RateLimitExceeded,
},
},
},
});
}
async watchTicker(symbol, params = {}) {
/**
* @method
* @name bitmex#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 bitmex api endpoint
* @returns {object} a [ticker structure]{@link https://docs.ccxt.com/#/?id=ticker-structure}
*/
await this.loadMarkets();
const market = this.market(symbol);
const name = 'instrument';
const messageHash = name + ':' + market['id'];
const url = this.urls['api']['ws'];
const request = {
'op': 'subscribe',
'args': [
messageHash,
],
};
return await this.watch(url, messageHash, this.extend(request, params), messageHash);
}
handleTicker(client, message) {
//
// {
// table: 'instrument',
// action: 'partial',
// keys: [ 'symbol' ],
// types: {
// symbol: 'symbol',
// rootSymbol: 'symbol',
// state: 'symbol',
// typ: 'symbol',
// listing: 'timestamp',
// front: 'timestamp',
// expiry: 'timestamp',
// settle: 'timestamp',
// relistInterval: 'timespan',
// inverseLeg: 'symbol',
// sellLeg: 'symbol',
// buyLeg: 'symbol',
// optionStrikePcnt: 'float',
// optionStrikeRound: 'float',
// optionStrikePrice: 'float',
// optionMultiplier: 'float',
// positionCurrency: 'symbol',
// underlying: 'symbol',
// quoteCurrency: 'symbol',
// underlyingSymbol: 'symbol',
// reference: 'symbol',
// referenceSymbol: 'symbol',
// calcInterval: 'timespan',
// publishInterval: 'timespan',
// publishTime: 'timespan',
// maxOrderQty: 'long',
// maxPrice: 'float',
// lotSize: 'long',
// tickSize: 'float',
// multiplier: 'long',
// settlCurrency: 'symbol',
// underlyingToPositionMultiplier: 'long',
// underlyingToSettleMultiplier: 'long',
// quoteToSettleMultiplier: 'long',
// isQuanto: 'boolean',
// isInverse: 'boolean',
// initMargin: 'float',
// maintMargin: 'float',
// riskLimit: 'long',
// riskStep: 'long',
// limit: 'float',
// capped: 'boolean',
// taxed: 'boolean',
// deleverage: 'boolean',
// makerFee: 'float',
// takerFee: 'float',
// settlementFee: 'float',
// insuranceFee: 'float',
// fundingBaseSymbol: 'symbol',
// fundingQuoteSymbol: 'symbol',
// fundingPremiumSymbol: 'symbol',
// fundingTimestamp: 'timestamp',
// fundingInterval: 'timespan',
// fundingRate: 'float',
// indicativeFundingRate: 'float',
// rebalanceTimestamp: 'timestamp',
// rebalanceInterval: 'timespan',
// openingTimestamp: 'timestamp',
// closingTimestamp: 'timestamp',
// sessionInterval: 'timespan',
// prevClosePrice: 'float',
// limitDownPrice: 'float',
// limitUpPrice: 'float',
// bankruptLimitDownPrice: 'float',
// bankruptLimitUpPrice: 'float',
// prevTotalVolume: 'long',
// totalVolume: 'long',
// volume: 'long',
// volume24h: 'long',
// prevTotalTurnover: 'long',
// totalTurnover: 'long',
// turnover: 'long',
// turnover24h: 'long',
// homeNotional24h: 'float',
// foreignNotional24h: 'float',
// prevPrice24h: 'float',
// vwap: 'float',
// highPrice: 'float',
// lowPrice: 'float',
// lastPrice: 'float',
// lastPriceProtected: 'float',
// lastTickDirection: 'symbol',
// lastChangePcnt: 'float',
// bidPrice: 'float',
// midPrice: 'float',
// askPrice: 'float',
// impactBidPrice: 'float',
// impactMidPrice: 'float',
// impactAskPrice: 'float',
// hasLiquidity: 'boolean',
// openInterest: 'long',
// openValue: 'long',
// fairMethod: 'symbol',
// fairBasisRate: 'float',
// fairBasis: 'float',
// fairPrice: 'float',
// markMethod: 'symbol',
// markPrice: 'float',
// indicativeTaxRate: 'float',
// indicativeSettlePrice: 'float',
// optionUnderlyingPrice: 'float',
// settledPrice: 'float',
// timestamp: 'timestamp'
// },
// foreignKeys: {
// inverseLeg: 'instrument',
// sellLeg: 'instrument',
// buyLeg: 'instrument'
// },
// attributes: { symbol: 'unique' },
// filter: { symbol: 'XBTUSD' },
// data: [
// {
// symbol: 'XBTUSD',
// rootSymbol: 'XBT',
// state: 'Open',
// typ: 'FFWCSX',
// listing: '2016-05-13T12:00:00.000Z',
// front: '2016-05-13T12:00:00.000Z',
// expiry: null,
// settle: null,
// relistInterval: null,
// inverseLeg: '',
// sellLeg: '',
// buyLeg: '',
// optionStrikePcnt: null,
// optionStrikeRound: null,
// optionStrikePrice: null,
// optionMultiplier: null,
// positionCurrency: 'USD',
// underlying: 'XBT',
// quoteCurrency: 'USD',
// underlyingSymbol: 'XBT=',
// reference: 'BMEX',
// referenceSymbol: '.BXBT',
// calcInterval: null,
// publishInterval: null,
// publishTime: null,
// maxOrderQty: 10000000,
// maxPrice: 1000000,
// lotSize: 1,
// tickSize: 0.5,
// multiplier: -100000000,
// settlCurrency: 'XBt',
// underlyingToPositionMultiplier: null,
// underlyingToSettleMultiplier: -100000000,
// quoteToSettleMultiplier: null,
// isQuanto: false,
// isInverse: true,
// initMargin: 0.01,
// maintMargin: 0.005,
// riskLimit: 20000000000,
// riskStep: 10000000000,
// limit: null,
// capped: false,
// taxed: true,
// deleverage: true,
// makerFee: -0.00025,
// takerFee: 0.00075,
// settlementFee: 0,
// insuranceFee: 0,
// fundingBaseSymbol: '.XBTBON8H',
// fundingQuoteSymbol: '.USDBON8H',
// fundingPremiumSymbol: '.XBTUSDPI8H',
// fundingTimestamp: '2020-01-29T12:00:00.000Z',
// fundingInterval: '2000-01-01T08:00:00.000Z',
// fundingRate: 0.000597,
// indicativeFundingRate: 0.000652,
// rebalanceTimestamp: null,
// rebalanceInterval: null,
// openingTimestamp: '2020-01-29T11:00:00.000Z',
// closingTimestamp: '2020-01-29T12:00:00.000Z',
// sessionInterval: '2000-01-01T01:00:00.000Z',
// prevClosePrice: 9063.96,
// limitDownPrice: null,
// limitUpPrice: null,
// bankruptLimitDownPrice: null,
// bankruptLimitUpPrice: null,
// prevTotalVolume: 1989881049026,
// totalVolume: 1990196740950,
// volume: 315691924,
// volume24h: 4491824765,
// prevTotalTurnover: 27865497128425564,
// totalTurnover: 27868891594857150,
// turnover: 3394466431587,
// turnover24h: 48863390064843,
// homeNotional24h: 488633.9006484273,
// foreignNotional24h: 4491824765,
// prevPrice24h: 9091,
// vwap: 9192.8663,
// highPrice: 9440,
// lowPrice: 8886,
// lastPrice: 9287,
// lastPriceProtected: 9287,
// lastTickDirection: 'PlusTick',
// lastChangePcnt: 0.0216,
// bidPrice: 9286,
// midPrice: 9286.25,
// askPrice: 9286.5,
// impactBidPrice: 9285.9133,
// impactMidPrice: 9286.75,
// impactAskPrice: 9287.6382,
// hasLiquidity: true,
// openInterest: 967826984,
// openValue: 10432207060536,
// fairMethod: 'FundingRate',
// fairBasisRate: 0.6537149999999999,
// fairBasis: 0.33,
// fairPrice: 9277.2,
// markMethod: 'FairPrice',
// markPrice: 9277.2,
// indicativeTaxRate: 0,
// indicativeSettlePrice: 9276.87,
// optionUnderlyingPrice: null,
// settledPrice: null,
// timestamp: '2020-01-29T11:31:37.114Z'
// }
// ]
// }
//
const table = this.safeString(message, 'table');
const data = this.safeValue(message, 'data', []);
for (let i = 0; i < data.length; i++) {
const update = data[i];
const marketId = this.safeValue(update, 'symbol');
const market = this.safeMarket(marketId);
const symbol = market['symbol'];
const messageHash = table + ':' + marketId;
let ticker = this.safeValue(this.tickers, symbol, {});
const info = this.safeValue(ticker, 'info', {});
ticker = this.parseTicker(this.extend(info, update), market);
this.tickers[symbol] = ticker;
client.resolve(ticker, messageHash);
}
return message;
}
async watchBalance(params = {}) {
/**
* @method
* @name bitmex#watchBalance
* @description query for balance and get the amount of funds available for trading or funds locked in orders
* @param {object} params extra parameters specific to the bitmex api endpoint
* @returns {object} a [balance structure]{@link https://docs.ccxt.com/en/latest/manual.html?#balance-structure}
*/
await this.loadMarkets();
await this.authenticate();
const messageHash = 'margin';
const url = this.urls['api']['ws'];
const request = {
'op': 'subscribe',
'args': [
messageHash,
],
};
return await this.watch(url, messageHash, this.extend(request, params), messageHash);
}
handleBalance(client, message) {
//
// {
// table: 'margin',
// action: 'partial',
// keys: [ 'account' ],
// types: {
// account: 'long',
// currency: 'symbol',
// riskLimit: 'long',
// prevState: 'symbol',
// state: 'symbol',
// action: 'symbol',
// amount: 'long',
// pendingCredit: 'long',
// pendingDebit: 'long',
// confirmedDebit: 'long',
// prevRealisedPnl: 'long',
// prevUnrealisedPnl: 'long',
// grossComm: 'long',
// grossOpenCost: 'long',
// grossOpenPremium: 'long',
// grossExecCost: 'long',
// grossMarkValue: 'long',
// riskValue: 'long',
// taxableMargin: 'long',
// initMargin: 'long',
// maintMargin: 'long',
// sessionMargin: 'long',
// targetExcessMargin: 'long',
// varMargin: 'long',
// realisedPnl: 'long',
// unrealisedPnl: 'long',
// indicativeTax: 'long',
// unrealisedProfit: 'long',
// syntheticMargin: 'long',
// walletBalance: 'long',
// marginBalance: 'long',
// marginBalancePcnt: 'float',
// marginLeverage: 'float',
// marginUsedPcnt: 'float',
// excessMargin: 'long',
// excessMarginPcnt: 'float',
// availableMargin: 'long',
// withdrawableMargin: 'long',
// timestamp: 'timestamp',
// grossLastValue: 'long',
// commission: 'float'
// },
// foreignKeys: {},
// attributes: { account: 'sorted' },
// filter: { account: 1455728 },
// data: [
// {
// account: 1455728,
// currency: 'XBt',
// riskLimit: 1000000000000,
// prevState: '',
// state: '',
// action: '',
// amount: 263542,
// pendingCredit: 0,
// pendingDebit: 0,
// confirmedDebit: 0,
// prevRealisedPnl: 0,
// prevUnrealisedPnl: 0,
// grossComm: 0,
// grossOpenCost: 0,
// grossOpenPremium: 0,
// grossExecCost: 0,
// grossMarkValue: 0,
// riskValue: 0,
// taxableMargin: 0,
// initMargin: 0,
// maintMargin: 0,
// sessionMargin: 0,
// targetExcessMargin: 0,
// varMargin: 0,
// realisedPnl: 0,
// unrealisedPnl: 0,
// indicativeTax: 0,
// unrealisedProfit: 0,
// syntheticMargin: null,
// walletBalance: 263542,
// marginBalance: 263542,
// marginBalancePcnt: 1,
// marginLeverage: 0,
// marginUsedPcnt: 0,
// excessMargin: 263542,
// excessMarginPcnt: 1,
// availableMargin: 263542,
// withdrawableMargin: 263542,
// timestamp: '2020-08-03T12:01:01.246Z',
// grossLastValue: 0,
// commission: null
// }
// ]
// }
//
const data = this.safeValue(message, 'data');
const balance = this.parseBalance(data);
this.balance = this.extend(this.balance, balance);
const messageHash = this.safeString(message, 'table');
client.resolve(this.balance, messageHash);
}
handleTrades(client, message) {
//
// initial snapshot
//
// {
// table: 'trade',
// action: 'partial',
// keys: [],
// types: {
// timestamp: 'timestamp',
// symbol: 'symbol',
// side: 'symbol',
// size: 'long',
// price: 'float',
// tickDirection: 'symbol',
// trdMatchID: 'guid',
// grossValue: 'long',
// homeNotional: 'float',
// foreignNotional: 'float'
// },
// foreignKeys: { symbol: 'instrument', side: 'side' },
// attributes: { timestamp: 'sorted', symbol: 'grouped' },
// filter: { symbol: 'XBTUSD' },
// data: [
// {
// timestamp: '2020-01-30T17:03:07.854Z',
// symbol: 'XBTUSD',
// side: 'Buy',
// size: 15000,
// price: 9378,
// tickDirection: 'ZeroPlusTick',
// trdMatchID: '5b426e7f-83d1-2c80-295d-ee995b8ceb4a',
// grossValue: 159945000,
// homeNotional: 1.59945,
// foreignNotional: 15000
// }
// ]
// }
//
// updates
//
// {
// table: 'trade',
// action: 'insert',
// data: [
// {
// timestamp: '2020-01-30T17:31:40.160Z',
// symbol: 'XBTUSD',
// side: 'Sell',
// size: 37412,
// price: 9521.5,
// tickDirection: 'ZeroMinusTick',
// trdMatchID: 'a4bfc6bc-6cf1-1a11-622e-270eef8ca5c7',
// grossValue: 392938236,
// homeNotional: 3.92938236,
// foreignNotional: 37412
// }
// ]
// }
//
const table = 'trade';
const data = this.safeValue(message, 'data', []);
const dataByMarketIds = this.groupBy(data, 'symbol');
const marketIds = Object.keys(dataByMarketIds);
for (let i = 0; i < marketIds.length; i++) {
const marketId = marketIds[i];
const market = this.safeMarket(marketId);
const messageHash = table + ':' + marketId;
const symbol = market['symbol'];
const trades = this.parseTrades(dataByMarketIds[marketId], market);
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;
}
for (let j = 0; j < trades.length; j++) {
stored.append(trades[j]);
}
client.resolve(stored, messageHash);
}
}
async watchTrades(symbol, since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name bitmex#watchTrades
* @description get the list of most recent trades for a particular symbol
* @param {string} symbol unified symbol of the market to fetch trades for
* @param {int|undefined} since timestamp in ms of the earliest trade to fetch
* @param {int|undefined} limit the maximum amount of trades to fetch
* @param {object} params extra parameters specific to the bitmex api endpoint
* @returns {[object]} a list of [trade structures]{@link https://docs.ccxt.com/en/latest/manual.html?#public-trades}
*/
await this.loadMarkets();
const market = this.market(symbol);
symbol = market['symbol'];
const table = 'trade';
const messageHash = table + ':' + market['id'];
const url = this.urls['api']['ws'];
const request = {
'op': 'subscribe',
'args': [
messageHash,
],
};
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);
}
authenticate(params = {}) {
const url = this.urls['api']['ws'];
const client = this.client(url);
const messageHash = 'authenticated';
let future = this.safeValue(client.subscriptions, messageHash);
if (future === undefined) {
this.checkRequiredCredentials();
const timestamp = this.milliseconds();
const payload = 'GET' + '/realtime' + timestamp.toString();
const signature = this.hmac(this.encode(payload), this.encode(this.secret), sha256);
const request = {
'op': 'authKeyExpires',
'args': [
this.apiKey,
timestamp,
signature,
],
};
const message = this.extend(request, params);
future = this.watch(url, messageHash, message);
client.subscriptions[messageHash] = future;
}
return future;
}
handleAuthenticationMessage(client, message) {
const authenticated = this.safeValue(message, 'success', false);
const messageHash = 'authenticated';
if (authenticated) {
// we resolve the future here permanently so authentication only happens once
client.resolve(message, messageHash);
}
else {
const error = new AuthenticationError(this.json(message));
client.reject(error, messageHash);
if (messageHash in client.subscriptions) {
delete client.subscriptions[messageHash];
}
}
}
async watchOrders(symbol = undefined, since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name bitmex#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 bitmex api endpoint
* @returns {[object]} a list of [order structures]{@link https://docs.ccxt.com/#/?id=order-structure}
*/
await this.loadMarkets();
await this.authenticate();
const name = 'order';
const subscriptionHash = name;
let messageHash = name;
if (symbol !== undefined) {
symbol = this.symbol(symbol);
messageHash += ':' + symbol;
}
const url = this.urls['api']['ws'];
const request = {
'op': 'subscribe',
'args': [
subscriptionHash,
],
};
const orders = await this.watch(url, messageHash, request, subscriptionHash);
if (this.newUpdates) {
limit = orders.getLimit(symbol, limit);
}
return this.filterBySymbolSinceLimit(orders, symbol, since, limit);
}
handleOrders(client, message) {
//
// {
// table: 'order',
// action: 'partial',
// keys: [ 'orderID' ],
// types: {
// orderID: 'guid',
// clOrdID: 'string',
// clOrdLinkID: 'symbol',
// account: 'long',
// symbol: 'symbol',
// side: 'symbol',
// simpleOrderQty: 'float',
// orderQty: 'long',
// price: 'float',
// displayQty: 'long',
// stopPx: 'float',
// pegOffsetValue: 'float',
// pegPriceType: 'symbol',
// currency: 'symbol',
// settlCurrency: 'symbol',
// ordType: 'symbol',
// timeInForce: 'symbol',
// execInst: 'symbol',
// contingencyType: 'symbol',
// exDestination: 'symbol',
// ordStatus: 'symbol',
// triggered: 'symbol',
// workingIndicator: 'boolean',
// ordRejReason: 'symbol',
// simpleLeavesQty: 'float',
// leavesQty: 'long',
// simpleCumQty: 'float',
// cumQty: 'long',
// avgPx: 'float',
// multiLegReportingType: 'symbol',
// text: 'string',
// transactTime: 'timestamp',
// timestamp: 'timestamp'
// },
// foreignKeys: { symbol: 'instrument', side: 'side', ordStatus: 'ordStatus' },
// attributes: {
// orderID: 'grouped',
// account: 'grouped',
// ordStatus: 'grouped',
// workingIndicator: 'grouped'
// },
// filter: { account: 1455728 },
// data: [
// {
// orderID: '56222c7a-9956-413a-82cf-99f4812c214b',
// clOrdID: '',
// clOrdLinkID: '',
// account: 1455728,
// symbol: 'XBTUSD',
// side: 'Sell',
// simpleOrderQty: null,
// orderQty: 1,
// price: 40000,
// displayQty: null,
// stopPx: null,
// pegOffsetValue: null,
// pegPriceType: '',
// currency: 'USD',
// settlCurrency: 'XBt',
// ordType: 'Limit',
// timeInForce: 'GoodTillCancel',
// execInst: '',
// contingencyType: '',
// exDestination: 'XBME',
// ordStatus: 'New',
// triggered: '',
// workingIndicator: true,
// ordRejReason: '',
// simpleLeavesQty: null,
// leavesQty: 1,
// simpleCumQty: null,
// cumQty: 0,
// avgPx: null,
// multiLegReportingType: 'SingleSecurity',
// text: 'Submitted via API.',
// transactTime: '2021-01-02T21:38:49.246Z',
// timestamp: '2021-01-02T21:38:49.246Z'
// }
// ]
// }
//
// {
// table: 'order',
// action: 'insert',
// data: [
// {
// orderID: 'fa993d8e-f7e4-46ed-8097-04f8e9393585',
// clOrdID: '',
// clOrdLinkID: '',
// account: 1455728,
// symbol: 'XBTUSD',
// side: 'Sell',
// simpleOrderQty: null,
// orderQty: 1,
// price: 40000,
// displayQty: null,
// stopPx: null,
// pegOffsetValue: null,
// pegPriceType: '',
// currency: 'USD',
// settlCurrency: 'XBt',
// ordType: 'Limit',
// timeInForce: 'GoodTillCancel',
// execInst: '',
// contingencyType: '',
// exDestination: 'XBME',
// ordStatus: 'New',
// triggered: '',
// workingIndicator: true,
// ordRejReason: '',
// simpleLeavesQty: null,
// leavesQty: 1,
// simpleCumQty: null,
// cumQty: 0,
// avgPx: null,
// multiLegReportingType: 'SingleSecurity',
// text: 'Submitted via API.',
// transactTime: '2021-01-02T23:49:02.286Z',
// timestamp: '2021-01-02T23:49:02.286Z'
// }
// ]
// }
//
//
//
// {
// table: 'order',
// action: 'update',
// data: [
// {
// orderID: 'fa993d8e-f7e4-46ed-8097-04f8e9393585',
// ordStatus: 'Canceled',
// workingIndicator: false,
// leavesQty: 0,
// text: 'Canceled: Canceled via API.\nSubmitted via API.',
// timestamp: '2021-01-02T23:50:51.272Z',
// clOrdID: '',
// account: 1455728,
// symbol: 'XBTUSD'
// }
// ]
// }
//
const data = this.safeValue(message, 'data', []);
const messageHash = 'order';
// initial subscription response with multiple orders
const dataLength = data.length;
if (dataLength > 0) {
if (this.orders === undefined) {
const limit = this.safeInteger(this.options, 'ordersLimit', 1000);
this.orders = new ArrayCacheBySymbolById(limit);
}
const stored = this.orders;
const symbols = {};
for (let i = 0; i < dataLength; i++) {
const currentOrder = data[i];
const orderId = this.safeString(currentOrder, 'orderID');
const previousOrder = this.safeValue(stored.hashmap, orderId);
let rawOrder = currentOrder;
if (previousOrder !== undefined) {
rawOrder = this.extend(previousOrder['info'], currentOrder);
}
const order = this.parseOrder(rawOrder);
stored.append(order);
const symbol = order['symbol'];
symbols[symbol] = true;
}
client.resolve(this.orders, messageHash);
const keys = Object.keys(symbols);
for (let i = 0; i < keys.length; i++) {
const symbol = keys[i];
client.resolve(this.orders, messageHash + ':' + symbol);
}
}
}
async watchMyTrades(symbol = undefined, since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name bitmex#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 bitmex api endpoint
* @returns {[object]} a list of [order structures]{@link https://docs.ccxt.com/#/?id=order-structure
*/
await this.loadMarkets();
await this.authenticate();
const name = 'execution';
const subscriptionHash = name;
let messageHash = name;
if (symbol !== undefined) {
symbol = this.symbol(symbol);
messageHash += ':' + symbol;
}
const url = this.urls['api']['ws'];
const request = {
'op': 'subscribe',
'args': [
subscriptionHash,
],
};
const trades = await this.watch(url, messageHash, request, subscriptionHash);
if (this.newUpdates) {
limit = trades.getLimit(symbol, limit);
}
return this.filterBySymbolSinceLimit(trades, symbol, since, limit, true);
}
handleMyTrades(client, message) {
//
// {
// "table":"execution",
// "action":"insert",
// "data":[
// {
// "execID":"0193e879-cb6f-2891-d099-2c4eb40fee21",
// "orderID":"00000000-0000-0000-0000-000000000000",
// "clOrdID":"",
// "clOrdLinkID":"",
// "account":2,
// "symbol":"XBTUSD",
// "side":"Sell",
// "lastQty":1,
// "lastPx":1134.37,
// "underlyingLastPx":null,
// "lastMkt":"XBME",
// "lastLiquidityInd":"RemovedLiquidity",
// "simpleOrderQty":null,
// "orderQty":1,
// "price":1134.37,
// "displayQty":null,
// "stopPx":null,
// "pegOffsetValue":null,
// "pegPriceType":"",
// "currency":"USD",
// "settlCurrency":"XBt",
// "execType":"Trade",
// "ordType":"Limit",
// "timeInForce":"ImmediateOrCancel",
// "execInst":"",
// "contingencyType":"",
// "exDestination":"XBME",
// "ordStatus":"Filled",
// "triggered":"",
// "workingIndicator":false,
// "ordRejReason":"",
// "simpleLeavesQty":0,
// "leavesQty":0,
// "simpleCumQty":0.001,
// "cumQty":1,
// "avgPx":1134.37,
// "commission":0.00075,
// "tradePublishIndicator":"DoNotPublishTrade",
// "multiLegReportingType":"SingleSecurity",
// "text":"Liquidation",
// "trdMatchID":"7f4ab7f6-0006-3234-76f4-ae1385aad00f",
// "execCost":88155,
// "execComm":66,
// "homeNotional":-0.00088155,
// "foreignNotional":1,
// "transactTime":"2017-04-04T22:07:46.035Z",
// "timestamp":"2017-04-04T22:07:46.035Z"
// }
// ]
// }
//
const messageHash = this.safeString(message, 'table');
const data = this.safeValue(message, 'data', []);
const dataByExecType = this.groupBy(data, 'execType');
const rawTrades = this.safeValue(dataByExecType, 'Trade', []);
const trades = this.parseTrades(rawTrades);
if (this.myTrades === undefined) {
const limit = this.safeInteger(this.options, 'tradesLimit', 1000);
this.myTrades = new ArrayCacheBySymbolById(limit);
}
const stored = this.myTrades;
const symbols = {};
for (let j = 0; j < trades.length; j++) {
const trade = trades[j];
const symbol = trade['symbol'];
stored.append(trade);
symbols[symbol] = trade;
}
const numTrades = trades.length;
if (numTrades > 0) {
client.resolve(stored, messageHash);
}
const keys = Object.keys(symbols);
for (let i = 0; i < keys.length; i++) {
client.resolve(stored, messageHash + ':' + keys[i]);
}
}
async watchOrderBook(symbol, limit = undefined, params = {}) {
/**
* @method
* @name bitmex#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 bitmex api endpoint
* @returns {object} A dictionary of [order book structures]{@link https://docs.ccxt.com/#/?id=order-book-structure} indexed by market symbols
*/
let table = undefined;
if (limit === undefined) {
table = this.safeString(this.options, 'watchOrderBookLevel', 'orderBookL2');
}
else if (limit === 25) {
table = 'orderBookL2_25';
}
else if (limit === 10) {
table = 'orderBookL10';
}
else {
throw new ExchangeError(this.id + ' watchOrderBook limit argument must be undefined (L2), 25 (L2) or 10 (L3)');
}
await this.loadMarkets();
const market = this.market(symbol);
const messageHash = table + ':' + market['id'];
const url = this.urls['api']['ws'];
const request = {
'op': 'subscribe',
'args': [
messageHash,
],
};
const orderbook = await this.watch(url, messageHash, this.deepExtend(request, params), messageHash);
return orderbook.limit();
}
async watchOHLCV(symbol, timeframe = '1m', since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name bitmex#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 bitmex api endpoint
* @returns {[[int]]} A list of candles ordered as timestamp, open, high, low, close, volume
*/
await this.loadMarkets();
const market = this.market(symbol);
symbol = market['symbol'];
const table = 'tradeBin' + this.safeString(this.timeframes, timeframe, timeframe);
const messageHash = table + ':' + market['id'];
const url = this.urls['api']['ws'];
const request = {
'op': 'subscribe',
'args': [
messageHash,
],
};
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) {
//
// {
// table: 'tradeBin1m',
// action: 'partial',
// keys: [],
// types: {
// timestamp: 'timestamp',
// symbol: 'symbol',
// open: 'float',
// high: 'float',
// low: 'float',
// close: 'float',
// trades: 'long',
// volume: 'long',
// vwap: 'float',
// lastSize: 'long',
// turnover: 'long',
// homeNotional: 'float',
// foreignNotional: 'float'
// },
// foreignKeys: { symbol: 'instrument' },
// attributes: { timestamp: 'sorted', symbol: 'grouped' },
// filter: { symbol: 'XBTUSD' },
// data: [
// {
// timestamp: '2020-02-03T01:13:00.000Z',
// symbol: 'XBTUSD',
// open: 9395,
// high: 9395.5,
// low: 9394.5,
// close: 9395,
// trades: 221,
// volume: 839204,
// vwap: 9394.9643,
// lastSize: 1874,
// turnover: 8932641535,
// homeNotional: 89.32641534999999,
// foreignNotional: 839204
// }
// ]
// }
//
//
// {
// table: 'tradeBin1m',
// action: 'insert',
// data: [
// {
// timestamp: '2020-02-03T18:28:00.000Z',
// symbol: 'XBTUSD',
// open: 9256,
// high: 9256.5,
// low: 9256,
// close: 9256,
// trades: 29,
// volume: 79057,
// vwap: 9256.688,
// lastSize: 100,
// turnover: 854077082,
// homeNotional: 8.540770820000002,
// foreignNotional: 79057
// }
// ]
// }
//
const table = this.safeString(message, 'table');
const interval = table.replace('tradeBin', '');
const timeframe = this.findTimeframe(interval);
const duration = this.parseTimeframe(timeframe);
const candles = this.safeValue(message, 'data', []);
const results = {};
for (let i = 0; i < candles.length; i++) {
const candle = candles[i];
const marketId = this.safeString(candle, 'symbol');
const market = this.safeMarket(marketId);
const symbol = market['symbol'];
const messageHash = table + ':' + market['id'];
const result = [
this.parse8601(this.safeString(candle, 'timestamp')) - duration * 1000,
this.safeFloat(candle, 'open'),
this.safeFloat(candle, 'high'),
this.safeFloat(candle, 'low'),
this.safeFloat(candle, 'close'),
this.safeFloat(candle, 'volume'),
];
this.ohlcvs[symbol] = this.safeValue(this.ohlcvs, symbol, {});
let stored = this.safeValue(this.ohlcvs[symbol], timeframe);
if (stored === undefined) {
const limit = this.safeInteger(this.options, 'OHLCVLimit', 1000);
stored = new ArrayCacheByTimestamp(limit);
this.ohlcvs[symbol][timeframe] = stored;
}
stored.append(result);
results[messageHash] = stored;
}
const messageHashes = Object.keys(results);
for (let i = 0; i < messageHashes.length; i++) {
const messageHash = messageHashes[i];
client.resolve(results[messageHash], messageHash);
}
}
async watchHeartbeat(params = {}) {
await this.loadMarkets();
const event = 'heartbeat';
const url = this.urls['api']['ws'];
return await this.watch(url, event);
}
handleOrderBook(client, message) {
//
// first snapshot
//
// {
// table: 'orderBookL2',
// action: 'partial',
// keys: [ 'symbol', 'id', 'side' ],
// types: {
// symbol: 'symbol',
// id: 'long',
// side: 'symbol',
// size: 'long',
// price: 'float'
// },
// foreignKeys: { symbol: 'instrument', side: 'side' },
// attributes: { symbol: 'parted', id: 'sorted' },
// filter: { symbol: 'XBTUSD' },
// data: [
// { symbol: 'XBTUSD', id: 8700000100, side: 'Sell', size: 1, price: 999999 },
// { symbol: 'XBTUSD', id: 8700000200, side: 'Sell', size: 3, price: 999998 },
// { symbol: 'XBTUSD', id: 8716991250, side: 'Sell', size: 26, price: 830087.5 },
// { symbol: 'XBTUSD', id: 8728701950, side: 'Sell', size: 1720, price: 712980.5 },
// ]
// }
//
// subsequent updates
//
// {
// table: 'orderBookL2',
// action: 'update',
// data: [
// {
// table: 'orderBookL2',
// action: 'insert',
// data: [
// {
// symbol: 'ETH_USDT',
// id: 85499965912,
// side: 'Buy',
// size: 83000000,
// price: 1704.4,
// timestamp: '2023-03-26T22:29:00.299Z'
//