@proton/ccxt
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A JavaScript / TypeScript / Python / C# / PHP cryptocurrency trading library with support for 130+ exchanges
695 lines (692 loc) • 30 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 kucoinfuturesRest from '../kucoinfutures.js';
import { ExchangeError } from '../base/errors.js';
import { ArrayCache, ArrayCacheBySymbolById } from '../base/ws/Cache.js';
// ---------------------------------------------------------------------------
export default class kucoinfutures extends kucoinfuturesRest {
describe() {
return this.deepExtend(super.describe(), {
'has': {
'ws': true,
'watchTicker': true,
'watchTrades': true,
'watchOrderBook': true,
'watchOrders': true,
'watchBalance': true,
},
'options': {
'accountsByType': {
'swap': 'future',
'cross': 'margin',
// 'spot': ,
// 'margin': ,
// 'main': ,
// 'funding': ,
// 'future': ,
// 'mining': ,
// 'trade': ,
// 'contract': ,
// 'pool': ,
},
'tradesLimit': 1000,
'watchOrderBook': {
'snapshotDelay': 20,
'maxRetries': 3,
},
'watchTicker': {
'name': 'contractMarket/tickerV2', // market/ticker
},
},
'streaming': {
// kucoin does not support built-in ws protocol-level ping-pong
// instead it requires a custom json-based text ping-pong
// https://docs.kucoin.com/#ping
'ping': this.ping,
},
});
}
negotiate(privateChannel, params = {}) {
const connectId = privateChannel ? 'private' : 'public';
const urls = this.safeValue(this.options, 'urls', {});
if (connectId in urls) {
return urls[connectId];
}
// we store an awaitable to the url
// so that multiple calls don't asynchronously
// fetch different urls and overwrite each other
urls[connectId] = this.spawn(this.negotiateHelper, privateChannel, params);
this.options['urls'] = urls;
return urls[connectId];
}
async negotiateHelper(privateChannel, params = {}) {
let response = undefined;
const connectId = privateChannel ? 'private' : 'public';
if (privateChannel) {
response = await this.futuresPrivatePostBulletPrivate(params);
//
// {
// code: "200000",
// data: {
// instanceServers: [
// {
// pingInterval: 50000,
// endpoint: "wss://push-private.kucoin.com/endpoint",
// protocol: "websocket",
// encrypt: true,
// pingTimeout: 10000
// }
// ],
// token: "2neAiuYvAU61ZDXANAGAsiL4-iAExhsBXZxftpOeh_55i3Ysy2q2LEsEWU64mdzUOPusi34M_wGoSf7iNyEWJ1UQy47YbpY4zVdzilNP-Bj3iXzrjjGlWtiYB9J6i9GjsxUuhPw3BlrzazF6ghq4Lzf7scStOz3KkxjwpsOBCH4=.WNQmhZQeUKIkh97KYgU0Lg=="
// }
// }
//
}
else {
response = await this.futuresPublicPostBulletPublic(params);
}
const data = this.safeValue(response, 'data', {});
const instanceServers = this.safeValue(data, 'instanceServers', []);
const firstInstanceServer = this.safeValue(instanceServers, 0);
const pingInterval = this.safeInteger(firstInstanceServer, 'pingInterval');
const endpoint = this.safeString(firstInstanceServer, 'endpoint');
const token = this.safeString(data, 'token');
const result = endpoint + '?' + this.urlencode({
'token': token,
'privateChannel': privateChannel,
'connectId': connectId,
});
const client = this.client(result);
client.keepAlive = pingInterval;
return result;
}
requestId() {
const requestId = this.sum(this.safeInteger(this.options, 'requestId', 0), 1);
this.options['requestId'] = requestId;
return requestId;
}
async subscribe(url, messageHash, subscriptionHash, subscription, params = {}) {
const requestId = this.requestId().toString();
const request = {
'id': requestId,
'type': 'subscribe',
'topic': subscriptionHash,
'response': true,
};
const message = this.extend(request, params);
const subscriptionRequest = {
'id': requestId,
};
if (subscription === undefined) {
subscription = subscriptionRequest;
}
else {
subscription = this.extend(subscriptionRequest, subscription);
}
return await this.watch(url, messageHash, message, subscriptionHash, subscription);
}
async watchTicker(symbol, params = {}) {
/**
* @method
* @name kucoinfutures#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.kucoin.com/futures/#get-real-time-symbol-ticker-v2
* @param {string} symbol unified symbol of the market to fetch the ticker for
* @param {object} params extra parameters specific to the kucoinfutures api endpoint
* @returns {object} a [ticker structure]{@link https://docs.ccxt.com/#/?id=ticker-structure}
*/
await this.loadMarkets();
const market = this.market(symbol);
symbol = market['symbol'];
const url = await this.negotiate(false);
const options = this.safeValue(this.options, 'watchTicker', {});
const channel = this.safeString(options, 'name', 'contractMarket/tickerV2');
const topic = '/' + channel + ':' + market['id'];
const messageHash = 'ticker:' + symbol;
return await this.subscribe(url, messageHash, topic, undefined, params);
}
handleTicker(client, message) {
//
// market/tickerV2
//
// {
// type: 'message',
// topic: '/contractMarket/tickerV2:ADAUSDTM',
// subject: 'tickerV2',
// data: {
// symbol: 'ADAUSDTM',
// sequence: 1668007800439,
// bestBidSize: 178,
// bestBidPrice: '0.35959',
// bestAskPrice: '0.35981',
// ts: '1668141430037124460',
// bestAskSize: 134
// }
// }
//
const data = this.safeValue(message, 'data', {});
const marketId = this.safeValue(data, 'symbol');
const market = this.safeMarket(marketId, undefined, '-');
const ticker = this.parseTicker(data, market);
this.tickers[market['symbol']] = ticker;
const messageHash = 'ticker:' + market['symbol'];
client.resolve(ticker, messageHash);
return message;
}
async watchTrades(symbol, since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name kucoinfutures#watchTrades
* @description get the list of most recent trades for a particular symbol
* @see https://docs.kucoin.com/futures/#execution-data
* @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 kucoinfutures api endpoint
* @returns {[object]} a list of [trade structures]{@link https://docs.ccxt.com/en/latest/manual.html?#public-trades}
*/
await this.loadMarkets();
const url = await this.negotiate(false);
const market = this.market(symbol);
symbol = market['symbol'];
const topic = '/contractMarket/execution:' + market['id'];
const messageHash = 'trades:' + symbol;
const trades = await this.subscribe(url, messageHash, topic, undefined, params);
if (this.newUpdates) {
limit = trades.getLimit(symbol, limit);
}
return this.filterBySinceLimit(trades, since, limit, 'timestamp', true);
}
handleTrade(client, message) {
//
// {
// type: 'message',
// topic: '/contractMarket/execution:ADAUSDTM',
// subject: 'match',
// data: {
// makerUserId: '62286a4d720edf0001e81961',
// symbol: 'ADAUSDTM',
// sequence: 41320766,
// side: 'sell',
// size: 2,
// price: 0.35904,
// takerOrderId: '636dd9da9857ba00010cfa44',
// makerOrderId: '636dd9c8df149d0001e62bc8',
// takerUserId: '6180be22b6ab210001fa3371',
// tradeId: '636dd9da0000d400d477eca7',
// ts: 1668143578987357700
// }
// }
//
const data = this.safeValue(message, 'data', {});
const trade = this.parseTrade(data);
const symbol = trade['symbol'];
let trades = this.safeValue(this.trades, symbol);
if (trades === undefined) {
const limit = this.safeInteger(this.options, 'tradesLimit', 1000);
trades = new ArrayCache(limit);
this.trades[symbol] = trades;
}
trades.append(trade);
const messageHash = 'trades:' + symbol;
client.resolve(trades, messageHash);
return message;
}
async watchOrderBook(symbol, limit = undefined, params = {}) {
/**
* @method
* @name kucoinfutures#watchOrderBook
* @description watches information on open orders with bid (buy) and ask (sell) prices, volumes and other data
* 1. After receiving the websocket Level 2 data flow, cache the data.
* 2. Initiate a REST request to get the snapshot data of Level 2 order book.
* 3. Playback the cached Level 2 data flow.
* 4. Apply the new Level 2 data flow to the local snapshot to ensure that the sequence of the new Level 2 update lines up with the sequence of the previous Level 2 data. Discard all the message prior to that sequence, and then playback the change to snapshot.
* 5. Update the level2 full data based on sequence according to the size. If the price is 0, ignore the messages and update the sequence. If the size=0, update the sequence and remove the price of which the size is 0 out of level 2. For other cases, please update the price.
* 6. If the sequence of the newly pushed message does not line up to the sequence of the last message, you could pull through REST Level 2 message request to get the updated messages. Please note that the difference between the start and end parameters cannot exceed 500.
* @see https://docs.kucoin.com/futures/#level-2-market-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 kucoinfutures api endpoint
* @returns {object} A dictionary of [order book structures]{@link https://docs.ccxt.com/#/?id=order-book-structure} indexed by market symbols
*/
if (limit !== undefined) {
if ((limit !== 20) && (limit !== 100)) {
throw new ExchangeError(this.id + " watchOrderBook 'limit' argument must be undefined, 20 or 100");
}
}
await this.loadMarkets();
const url = await this.negotiate(false);
const market = this.market(symbol);
symbol = market['symbol'];
const topic = '/contractMarket/level2:' + market['id'];
const messageHash = 'orderbook:' + symbol;
const subscription = {
'method': this.handleOrderBookSubscription,
'symbol': symbol,
'limit': limit,
};
const orderbook = await this.subscribe(url, messageHash, topic, subscription, params);
return orderbook.limit();
}
handleDelta(orderbook, delta) {
orderbook['nonce'] = this.safeInteger(delta, 'sequence');
const timestamp = this.safeInteger(delta, 'timestamp');
orderbook['timestamp'] = timestamp;
orderbook['datetime'] = this.iso8601(timestamp);
const change = this.safeValue(delta, 'change', {});
const splitChange = change.split(',');
const price = this.safeNumber(splitChange, 0);
const side = this.safeString(splitChange, 1);
const quantity = this.safeNumber(splitChange, 2);
const type = (side === 'buy') ? 'bids' : 'asks';
const value = [price, quantity];
if (type === 'bids') {
const storedBids = orderbook['bids'];
storedBids.storeArray(value);
}
else {
const storedAsks = orderbook['asks'];
storedAsks.storeArray(value);
}
}
handleDeltas(bookside, deltas) {
for (let i = 0; i < deltas.length; i++) {
this.handleDelta(bookside, deltas[i]);
}
}
handleOrderBook(client, message) {
//
// initial snapshot is fetched with ccxt's fetchOrderBook
// the feed does not include a snapshot, just the deltas
//
// {
// type: 'message',
// topic: '/contractMarket/level2:ADAUSDTM',
// subject: 'level2',
// data: {
// sequence: 1668059586457,
// change: '0.34172,sell,456', // type, side, quantity
// timestamp: 1668573023223
// }
// }
//
const data = this.safeValue(message, 'data');
const topic = this.safeString(message, 'topic');
const topicParts = topic.split(':');
const marketId = this.safeString(topicParts, 1);
const symbol = this.safeSymbol(marketId, undefined, '-');
const messageHash = 'orderbook:' + symbol;
const storedOrderBook = this.orderbooks[symbol];
const nonce = this.safeInteger(storedOrderBook, 'nonce');
const deltaEnd = this.safeInteger(data, 'sequence');
if (nonce === undefined) {
const cacheLength = storedOrderBook.cache.length;
const topic = this.safeString(message, 'topic');
const subscription = client.subscriptions[topic];
const limit = this.safeInteger(subscription, 'limit');
const snapshotDelay = this.handleOption('watchOrderBook', 'snapshotDelay', 5);
if (cacheLength === snapshotDelay) {
this.spawn(this.loadOrderBook, client, messageHash, symbol, limit);
}
storedOrderBook.cache.push(data);
return;
}
else if (nonce >= deltaEnd) {
return;
}
this.handleDelta(storedOrderBook, data);
client.resolve(storedOrderBook, messageHash);
}
getCacheIndex(orderbook, cache) {
const firstDelta = this.safeValue(cache, 0);
const nonce = this.safeInteger(orderbook, 'nonce');
const firstDeltaStart = this.safeInteger(firstDelta, 'sequence');
if (nonce < firstDeltaStart - 1) {
return -1;
}
for (let i = 0; i < cache.length; i++) {
const delta = cache[i];
const deltaStart = this.safeInteger(delta, 'sequence');
if (nonce < deltaStart - 1) {
return i;
}
}
return cache.length;
}
handleOrderBookSubscription(client, message, subscription) {
const symbol = this.safeString(subscription, 'symbol');
const limit = this.safeInteger(subscription, 'limit');
this.orderbooks[symbol] = this.orderBook({}, limit);
// moved snapshot initialization to handleOrderBook to fix
// https://github.com/ccxt/ccxt/issues/6820
// the general idea is to fetch the snapshot after the first delta
// but not before, because otherwise we cannot synchronize the feed
}
handleSubscriptionStatus(client, message) {
//
// {
// id: '1578090438322',
// type: 'ack'
// }
//
const id = this.safeString(message, 'id');
const subscriptionsById = this.indexBy(client.subscriptions, 'id');
const subscription = this.safeValue(subscriptionsById, id, {});
const method = this.safeValue(subscription, 'method');
if (method !== undefined) {
method.call(this, client, message, subscription);
}
return message;
}
handleSystemStatus(client, message) {
//
// todo: answer the question whether handleSystemStatus should be renamed
// and unified as handleStatus for any usage pattern that
// involves system status and maintenance updates
//
// {
// id: '1578090234088', // connectId
// type: 'welcome',
// }
//
return message;
}
async watchOrders(symbol = undefined, since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name kucoinfutures#watchOrders
* @description watches information on multiple orders made by the user
* @see https://docs.kucoin.com/futures/#trade-orders-according-to-the-market
* @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 kucoinfutures api endpoint
* @returns {[object]} a list of [order structures]{@link https://docs.ccxt.com/#/?id=order-structure}
*/
await this.loadMarkets();
const url = await this.negotiate(true);
const topic = '/contractMarket/tradeOrders';
const request = {
'privateChannel': true,
};
let messageHash = 'orders';
if (symbol !== undefined) {
const market = this.market(symbol);
symbol = market['symbol'];
messageHash = messageHash + ':' + symbol;
}
const orders = await this.subscribe(url, messageHash, topic, undefined, this.extend(request, params));
if (this.newUpdates) {
limit = orders.getLimit(symbol, limit);
}
return this.filterBySymbolSinceLimit(orders, symbol, since, limit);
}
parseWsOrderStatus(status) {
const statuses = {
'open': 'open',
'filled': 'closed',
'match': 'open',
'update': 'open',
'canceled': 'canceled',
};
return this.safeString(statuses, status, status);
}
parseWsOrder(order, market = undefined) {
//
// 'symbol': 'XCAD-USDT',
// {
// 'orderType': 'limit',
// 'side': 'buy',
// 'orderId': '6249167327218b000135e749',
// 'type': 'canceled',
// 'orderTime': 1648957043065280224,
// 'size': '100.452',
// 'filledSize': '0',
// 'price': '2.9635',
// 'clientOid': 'buy-XCAD-USDT-1648957043010159',
// 'remainSize': '0',
// 'status': 'done',
// 'ts': 1648957054031001037
// }
//
const id = this.safeString(order, 'orderId');
const clientOrderId = this.safeString(order, 'clientOid');
const orderType = this.safeStringLower(order, 'orderType');
const price = this.safeString(order, 'price');
const filled = this.safeString(order, 'filledSize');
const amount = this.safeString(order, 'size');
const rawType = this.safeString(order, 'type');
const status = this.parseWsOrderStatus(rawType);
const timestamp = this.safeIntegerProduct(order, 'orderTime', 0.000001);
const marketId = this.safeString(order, 'symbol');
market = this.safeMarket(marketId, market);
const symbol = market['symbol'];
const side = this.safeStringLower(order, 'side');
return this.safeOrder({
'info': order,
'symbol': symbol,
'id': id,
'clientOrderId': clientOrderId,
'timestamp': timestamp,
'datetime': this.iso8601(timestamp),
'lastTradeTimestamp': undefined,
'type': orderType,
'timeInForce': undefined,
'postOnly': undefined,
'side': side,
'price': price,
'stopPrice': undefined,
'amount': amount,
'cost': undefined,
'average': undefined,
'filled': filled,
'remaining': undefined,
'status': status,
'fee': undefined,
'trades': undefined,
}, market);
}
handleOrder(client, message) {
const messageHash = 'orders';
const data = this.safeValue(message, 'data');
const parsed = this.parseWsOrder(data);
const symbol = this.safeString(parsed, 'symbol');
const orderId = this.safeString(parsed, 'id');
if (symbol !== undefined) {
if (this.orders === undefined) {
const limit = this.safeInteger(this.options, 'ordersLimit', 1000);
this.orders = new ArrayCacheBySymbolById(limit);
}
const cachedOrders = this.orders;
const orders = this.safeValue(cachedOrders.hashmap, symbol, {});
const order = this.safeValue(orders, orderId);
if (order !== undefined) {
// todo add others to calculate average etc
const stopPrice = this.safeValue(order, 'stopPrice');
if (stopPrice !== undefined) {
parsed['stopPrice'] = stopPrice;
}
if (order['status'] === 'closed') {
parsed['status'] = 'closed';
}
}
cachedOrders.append(parsed);
client.resolve(this.orders, messageHash);
const symbolSpecificMessageHash = messageHash + ':' + symbol;
client.resolve(this.orders, symbolSpecificMessageHash);
}
}
async watchBalance(params = {}) {
/**
* @method
* @name kucoinfutures#watchBalance
* @description query for balance and get the amount of funds available for trading or funds locked in orders
* @see https://docs.kucoin.com/futures/#account-balance-events
* @param {object} params extra parameters specific to the kucoinfutures api endpoint
* @returns {object} a [balance structure]{@link https://docs.ccxt.com/en/latest/manual.html?#balance-structure}
*/
const url = await this.negotiate(true);
const topic = '/contractAccount/wallet';
const request = {
'privateChannel': true,
};
const subscription = {
'method': this.handleBalanceSubscription,
};
const messageHash = 'balance';
return await this.subscribe(url, messageHash, topic, subscription, this.extend(request, params));
}
handleBalance(client, message) {
//
// {
// id: '6375553193027a0001f6566f',
// type: 'message',
// topic: '/contractAccount/wallet',
// userId: '613a896885d8660006151f01',
// channelType: 'private',
// subject: 'availableBalance.change',
// data: {
// currency: 'USDT',
// holdBalance: '0.0000000000',
// availableBalance: '14.0350281903',
// timestamp: '1668633905657'
// }
// }
//
const data = this.safeValue(message, 'data', {});
this.balance['info'] = data;
const currencyId = this.safeString(data, 'currency');
const code = this.safeCurrencyCode(currencyId);
const account = this.account();
account['free'] = this.safeString(data, 'availableBalance');
account['used'] = this.safeString(data, 'holdBalance');
this.balance[code] = account;
this.balance = this.safeBalance(this.balance);
client.resolve(this.balance, 'balance');
}
handleBalanceSubscription(client, message, subscription) {
this.spawn(this.fetchBalanceSnapshot, client, message);
}
async fetchBalanceSnapshot(client, message) {
await this.loadMarkets();
this.checkRequiredCredentials();
const messageHash = 'balance';
const selectedType = this.safeString2(this.options, 'watchBalance', 'defaultType', 'swap'); // spot, margin, main, funding, future, mining, trade, contract, pool
const params = {
'type': selectedType,
};
const snapshot = await this.fetchBalance(params);
//
// {
// info: {
// code: '200000',
// data: {
// accountEquity: 0.0350281903,
// unrealisedPNL: 0,
// marginBalance: 0.0350281903,
// positionMargin: 0,
// orderMargin: 0,
// frozenFunds: 0,
// availableBalance: 0.0350281903,
// currency: 'USDT'
// }
// },
// timestamp: undefined,
// datetime: undefined,
// USDT: {
// free: 0.0350281903,
// used: 0,
// total: 0.0350281903
// },
// free: {
// USDT: 0.0350281903
// },
// used: {
// USDT: 0
// },
// total: {
// USDT: 0.0350281903
// }
// }
//
const keys = Object.keys(snapshot);
for (let i = 0; i < keys.length; i++) {
const code = keys[i];
if (code !== 'free' && code !== 'used' && code !== 'total' && code !== 'timestamp' && code !== 'datetime' && code !== 'info') {
this.balance[code] = snapshot[code];
}
}
this.balance['info'] = this.safeValue(snapshot, 'info', {});
client.resolve(this.balance, messageHash);
}
handleSubject(client, message) {
//
// {
// type: 'message',
// topic: '/contractMarket/level2:ADAUSDTM',
// subject: 'level2',
// data: {
// sequence: 1668059586457,
// change: '0.34172,sell,456', // type, side, quantity
// timestamp: 1668573023223
// }
// }
//
const subject = this.safeString(message, 'subject');
const methods = {
'level2': this.handleOrderBook,
'tickerV2': this.handleTicker,
'availableBalance.change': this.handleBalance,
'match': this.handleTrade,
'orderChange': this.handleOrder,
'orderUpdated': this.handleOrder,
};
const method = this.safeValue(methods, subject);
if (method === undefined) {
return message;
}
else {
return method.call(this, client, message);
}
}
ping(client) {
// kucoin does not support built-in ws protocol-level ping-pong
// instead it requires a custom json-based text ping-pong
// https://docs.kucoin.com/#ping
const id = this.requestId().toString();
return {
'id': id,
'type': 'ping',
};
}
handlePong(client, message) {
// https://docs.kucoin.com/#ping
client.lastPong = this.milliseconds();
return message;
}
handleErrorMessage(client, message) {
return message;
}
handleMessage(client, message) {
if (this.handleErrorMessage(client, message)) {
const type = this.safeString(message, 'type');
const methods = {
// 'heartbeat': this.handleHeartbeat,
'welcome': this.handleSystemStatus,
'ack': this.handleSubscriptionStatus,
'message': this.handleSubject,
'pong': this.handlePong,
};
const method = this.safeValue(methods, type);
if (method === undefined) {
return message;
}
else {
return method.call(this, client, message);
}
}
}
}