ccxws
Version:
Websocket client for 37 cryptocurrency exchanges
128 lines • 4.54 kB
JavaScript
;
/* eslint-disable @typescript-eslint/no-unsafe-call */
/* eslint-disable @typescript-eslint/no-unsafe-member-access */
/* eslint-disable @typescript-eslint/no-unsafe-assignment */
Object.defineProperty(exports, "__esModule", { value: true });
exports.BinanceFuturesUsdtmClient = void 0;
const Level2Point_1 = require("../Level2Point");
const Level2Snapshots_1 = require("../Level2Snapshots");
const Level2Update_1 = require("../Level2Update");
const BinanceBase_1 = require("./BinanceBase");
class BinanceFuturesUsdtmClient extends BinanceBase_1.BinanceBase {
constructor({ useAggTrades = true, requestSnapshot = true, socketBatchSize = 200, socketThrottleMs = 1000, restThrottleMs = 1000, l2snapshotSpeed = "100ms", l2updateSpeed = "0ms", watcherMs, } = {}) {
super({
name: "Binance Futures USDT-M",
wssPath: "wss://fstream.binance.com/stream",
restL2SnapshotPath: "https://fapi.binance.com/fapi/v1/depth",
useAggTrades,
requestSnapshot,
socketBatchSize,
socketThrottleMs,
restThrottleMs,
l2snapshotSpeed,
l2updateSpeed,
watcherMs,
});
}
/**
* Custom construction for a partial depth update. This deviates from
* the spot market by including the `pu` property where updates may
* not be sequential. The update message looks like:
* {
"e": "depthUpdate", // Event type
"E": 123456789, // Event time
"T": 123456788, // transaction time
"s": "BTCUSDT", // Symbol
"U": 157, // First update ID in event
"u": 160, // Final update ID in event
"pu": 149, // Final update Id in last stream(ie `u` in last stream)
"b": [ // Bids to be updated
[
"0.0024", // Price level to be updated
"10" // Quantity
]
],
"a": [ // Asks to be updated
[
"0.0026", // Price level to be updated
"100" // Quantity
]
]
}
*/
_constructLevel2Update(msg, market) {
const eventMs = msg.data.E;
const timestampMs = msg.data.T;
const sequenceId = msg.data.U;
const lastSequenceId = msg.data.u;
const previousLastSequenceId = msg.data.pu;
const asks = msg.data.a.map(p => new Level2Point_1.Level2Point(p[0], p[1]));
const bids = msg.data.b.map(p => new Level2Point_1.Level2Point(p[0], p[1]));
return new Level2Update_1.Level2Update({
exchange: this.name,
base: market.base,
quote: market.quote,
sequenceId,
lastSequenceId,
previousLastSequenceId,
timestampMs,
eventMs,
asks,
bids,
});
}
/**
* Partial book snapshot that. This deviates from the spot market by
* including a previous last update id, `pu`.
{
"e": "depthUpdate", // Event type
"E": 1571889248277, // Event time
"T": 1571889248276, // transaction time
"s": "BTCUSDT",
"U": 390497796,
"u": 390497878,
"pu": 390497794,
"b": [ // Bids to be updated
[
"7403.89", // Price Level to be
"0.002" // Quantity
],
[
"7403.90",
"3.906"
]
],
"a": [ // Asks to be updated
[
"7405.96", // Price level to be
"3.340" // Quantity
],
[
"7406.63",
"4.525"
]
]
}
*/
_constructLevel2Snapshot(msg, market) {
const timestampMs = msg.data.E;
const sequenceId = msg.data.U;
const lastSequenceId = msg.data.u;
const previousLastSequenceId = msg.data.pu;
const asks = msg.data.a.map(p => new Level2Point_1.Level2Point(p[0], p[1]));
const bids = msg.data.b.map(p => new Level2Point_1.Level2Point(p[0], p[1]));
return new Level2Snapshots_1.Level2Snapshot({
exchange: this.name,
base: market.base,
quote: market.quote,
sequenceId,
lastSequenceId,
previousLastSequenceId,
timestampMs,
asks,
bids,
});
}
}
exports.BinanceFuturesUsdtmClient = BinanceFuturesUsdtmClient;
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