ccxt
Version:
725 lines (722 loc) • 29.1 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 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': {},
},
},
});
}
/**
* @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
* @see https://docs.alpaca.markets/docs/real-time-crypto-pricing-data#quotes
* @param {string} symbol unified symbol of the market to fetch the ticker for
* @param {object} [params] extra parameters specific to the exchange API endpoint
* @returns {object} a [ticker structure]{@link https://docs.ccxt.com/#/?id=ticker-structure}
*/
async watchTicker(symbol, params = {}) {
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);
}
/**
* @method
* @name alpaca#watchOHLCV
* @description watches historical candlestick data containing the open, high, low, and close price, and the volume of a market
* @see https://docs.alpaca.markets/docs/real-time-crypto-pricing-data#bars
* @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
*/
async watchOHLCV(symbol, timeframe = '1m', since = undefined, limit = undefined, params = {}) {
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);
}
/**
* @method
* @name alpaca#watchOrderBook
* @description watches information on open orders with bid (buy) and ask (sell) prices, volumes and other data
* @see https://docs.alpaca.markets/docs/real-time-crypto-pricing-data#orderbooks
* @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
*/
async watchOrderBook(symbol, limit = undefined, params = {}) {
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.safeBool(message, 'r', false);
if (!(symbol in this.orderbooks)) {
this.orderbooks[symbol] = this.orderBook();
}
const orderbook = this.orderbooks[symbol];
if (isSnapshot) {
const snapshot = this.parseOrderBook(message, symbol, timestamp, 'b', 'a', 'p', 's');
orderbook.reset(snapshot);
}
else {
const asks = this.safeList(message, 'a', []);
const bids = this.safeList(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]);
}
}
/**
* @method
* @name alpaca#watchTrades
* @description watches information on multiple trades made in a market
* @see https://docs.alpaca.markets/docs/real-time-crypto-pricing-data#trades
* @param {string} symbol unified market symbol of the market trades were made in
* @param {int} [since] the earliest time in ms to fetch orders for
* @param {int} [limit] the maximum number of trade structures to retrieve
* @param {object} [params] extra parameters specific to the exchange API endpoint
* @returns {object[]} a list of [trade structures]{@link https://docs.ccxt.com/#/?id=trade-structure}
*/
async watchTrades(symbol, since = undefined, limit = undefined, params = {}) {
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);
}
/**
* @method
* @name alpaca#watchMyTrades
* @description watches information on multiple trades made by the user
* @see https://docs.alpaca.markets/docs/websocket-streaming#trade-updates
* @param {string} symbol unified market symbol of the market trades were made in
* @param {int} [since] the earliest time in ms to fetch trades for
* @param {int} [limit] the maximum number of trade structures to retrieve
* @param {object} [params] extra parameters specific to the exchange API endpoint
* @param {boolean} [params.unifiedMargin] use unified margin account
* @returns {object[]} a list of [trade structures]{@link https://docs.ccxt.com/#/?id=trade-structure}
*/
async watchMyTrades(symbol = undefined, since = undefined, limit = undefined, params = {}) {
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);
}
/**
* @method
* @name alpaca#watchOrders
* @description watches information on multiple orders made by the user
* @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 order 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}
*/
async watchOrders(symbol = undefined, since = undefined, limit = undefined, params = {}) {
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, true);
}
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);
const future = client.future(messageHash);
const authenticated = this.safeValue(client.subscriptions, messageHash);
if (authenticated === undefined) {
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.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.safeString(data, 'msg');
if (T === 'subscription') {
this.handleSubscription(client, data);
return;
}
if (T === 'success' && msg === 'connected') {
this.handleConnected(client, data);
return;
}
if (T === 'success' && msg === 'authenticated') {
this.handleAuthenticate(client, data);
return;
}
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)) {
this.handleCryptoMessage(client, message);
return;
}
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') {
const promise = client.futures['authenticated'];
promise.resolve(message);
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;
}
}