ccxws/src/exchanges/DeribitClient.ts

Websocket client for 37 cryptocurrency exchanges

/* eslint-disable @typescript-eslint/member-ordering */
/* eslint-disable @typescript-eslint/no-unsafe-call */
/* eslint-disable @typescript-eslint/no-unsafe-member-access */
/* eslint-disable @typescript-eslint/no-unsafe-assignment */
import { BasicClient } from "../BasicClient";
import { Candle } from "../Candle";
import { CandlePeriod } from "../CandlePeriod";
import { ClientOptions } from "../ClientOptions";
import { CancelableFn } from "../flowcontrol/Fn";
import { throttle } from "../flowcontrol/Throttle";
import { Level2Point } from "../Level2Point";
import { Level2Snapshot } from "../Level2Snapshots";
import { NotImplementedFn } from "../NotImplementedFn";
import { Ticker } from "../Ticker";
import { Trade } from "../Trade";

export class DeribitClient extends BasicClient {
    public id: number;
    public candlePeriod: CandlePeriod;
    protected _send: CancelableFn;

    constructor({ wssPath = "wss://www.deribit.com/ws/api/v2", watcherMs }: ClientOptions = {}) {
        super(wssPath, "Deribit", undefined, watcherMs);
        this.hasTickers = true;
        this.hasTrades = true;
        this.hasCandles = true;
        this.hasLevel2Updates = true;
        this.id = 0;
        this.candlePeriod = CandlePeriod._1m;
        this._send = throttle(this.__send.bind(this), 50);
    }

    protected _beforeClose() {
        this._send.cancel();
    }

    protected __send(message) {
        this._wss.send(message);
    }

    protected _sendSubTicker(remote_id) {
        this._send(
            JSON.stringify({
                jsonrpc: "2.0",
                method: "public/subscribe",
                params: {
                    channels: [`ticker.${remote_id}.raw`],
                },
                id: ++this.id,
            }),
        );
    }

    protected _sendUnsubTicker(remote_id) {
        this._send(
            JSON.stringify({
                jsonrpc: "2.0",
                method: "public/unsubscribe",
                params: {
                    channels: [`ticker.${remote_id}.raw`],
                },
                id: ++this.id,
            }),
        );
    }

    protected _sendSubTrades(remote_id) {
        this._send(
            JSON.stringify({
                jsonrpc: "2.0",
                method: "public/subscribe",
                params: {
                    channels: [`trades.${remote_id}.raw`],
                },
                id: ++this.id,
            }),
        );
    }

    protected _sendUnsubTrades(remote_id) {
        this._send(
            JSON.stringify({
                jsonrpc: "2.0",
                method: "public/unsubscribe",
                params: {
                    channels: [`trades.${remote_id}.raw`],
                },
                id: ++this.id,
            }),
        );
    }

    protected _sendSubCandles(remote_id) {
        this._send(
            JSON.stringify({
                jsonrpc: "2.0",
                method: "public/subscribe",
                params: {
                    channels: [`chart.trades.${remote_id}.${candlePeriod(this.candlePeriod)}`],
                },
                id: ++this.id,
            }),
        );
    }

    protected _sendUnsubCandles(remote_id) {
        this._send(
            JSON.stringify({
                jsonrpc: "2.0",
                method: "public/unsubscribe",
                params: {
                    channels: [`chart.trades.${remote_id}.${candlePeriod(this.candlePeriod)}`],
                },
                id: ++this.id,
            }),
        );
    }

    protected _sendSubLevel2Updates(remote_id) {
        this._send(
            JSON.stringify({
                jsonrpc: "2.0",
                method: "public/subscribe",
                params: {
                    channels: [`book.${remote_id}.raw`],
                },
                id: ++this.id,
            }),
        );
    }

    protected _sendUnsubLevel2Updates(remote_id) {
        this._wss.send(
            JSON.stringify({
                jsonrpc: "2.0",
                method: "public/unsubscribe",
                params: {
                    channels: [`book.${remote_id}.raw`],
                },
                id: ++this.id,
            }),
        );
    }

    protected _sendSubLevel2Snapshots = NotImplementedFn;
    protected _sendUnsubLevel2Snapshots = NotImplementedFn;
    protected _sendSubLevel3Snapshots = NotImplementedFn;
    protected _sendUnsubLevel3Snapshots = NotImplementedFn;
    protected _sendSubLevel3Updates = NotImplementedFn;
    protected _sendUnsubLevel3Updates = NotImplementedFn;

    protected _onMessage(raw) {
        const msg = JSON.parse(raw);
        // console.log(msg);

        // Error?
        if (!msg.params) {
            return;
        }

        // Everything past here should be a channel message
        const channel = msg.params.channel;
        if (!channel) {
            return;
        }

        // tickers - ticker.{instrument_name}.{interval}
        if (channel.startsWith("ticker")) {
            const parts = channel.split(".");
            const market = this._tickerSubs.get(parts[1]);
            if (!market) return;

            const ticker = this._constructTicker(msg, market);
            this.emit("ticker", ticker, market);
            return;
        }

        // trades - trades.{instrument_name}.{interval}
        if (channel.startsWith("trades")) {
            const parts = channel.split(".");
            const market = this._tradeSubs.get(parts[1]);
            if (!market) return;

            // eslint-disable-next-line prefer-const
            for (let datum of msg.params.data) {
                const trade = this._constructTrade(datum, market);
                this.emit("trade", trade, market);
            }
            return;
        }

        // candle - chart.trades.{instrument_name}.{resolution}
        if (channel.startsWith("chart")) {
            const parts = channel.split(".");
            const market = this._candleSubs.get(parts[2]);
            if (!market) return;

            const candle = this._constructCandle(msg.params.data);
            this.emit("candle", candle, market);
            return;
        }

        // book - book.{instrument_name}.{interval}
        if (channel.startsWith("book")) {
            const parts = channel.split(".");
            const market = this._level2UpdateSubs.get(parts[1]);
            if (!market) return;

            // capture snapshot
            if (!msg.params.data.prev_change_id) {
                const snapshot = this._constructLevel2Snapshot(msg.params.data, market);
                this.emit("l2snapshot", snapshot, market);
            }
            // capture update
            else {
                const update = this._constructLevel2Update(msg.params.data, market);
                this.emit("l2update", update, market);
            }
            return;
        }
    }

    /**
    {
      "jsonrpc": "2.0",
      "method": "subscription",
      "params": {
        "channel": "ticker.BTC-PERPETUAL.raw",
        "data": {
          "timestamp": 1597244851057,
          "stats": {
            "volume_usd": 404775400.0,
            "volume": 35574.05167122,
            "price_change": 0.493,
            "low": 11131.5,
            "high": 11632.5
          },
          "state": "open",
          "settlement_price": 11452.62,
          "open_interest": 117979530,
          "min_price": 11443.06,
          "max_price": 11791.58,
          "mark_price": 11617.8,
          "last_price": 11618.0,
          "instrument_name": "BTC-PERPETUAL",
          "index_price": 11609.61,
          "funding_8h": 0.00001212,
          "estimated_delivery_price": 11609.61,
          "current_funding": 0.00020545,
          "best_bid_price": 11618.0,
          "best_bid_amount": 7460.0,
          "best_ask_price": 11618.5,
          "best_ask_amount": 497870.0
        }
      }
    }
   */
    protected _constructTicker(msg, market) {
        const data = msg.params.data;
        return new Ticker({
            exchange: this.name,
            base: market.base,
            quote: market.quote,
            timestamp: data.timestamp,
            last: (data.last_price ? data.last_price : 0).toFixed(8),
            open: undefined,
            high: (data.stats.high ? data.stats.high : 0).toFixed(8),
            low: (data.stats.low ? data.stats.low : 0).toFixed(8),
            volume: (data.stats.volume ? data.stats.volume : 0).toFixed(8),
            quoteVolume: undefined,
            change: undefined,
            changePercent: (data.stats.price_change ? data.stats.price_change : 0).toFixed(2),
            ask: (data.best_ask_price ? data.best_ask_price : 0).toFixed(8),
            askVolume: (data.best_ask_amount ? data.best_ask_amount : 0).toFixed(8),
            bid: (data.best_bid_price ? data.best_bid_price : 0).toFixed(8),
            bidVolume: (data.best_bid_amount ? data.best_bid_amount : 0).toFixed(8),
        });
    }

    /**
   * PERPETUAL
    {
      "trade_seq": 56761222,
      "trade_id": "88095252",
      "timestamp": 1597246721811,
      "tick_direction": 3,
      "price": 11576.0,
      "mark_price": 11574.5,
      "instrument_name": "BTC-PERPETUAL",
      "index_price": 11567.32,
      "direction": "buy",
      "amount": 4310.0
    }
   */
    protected _constructTrade(datum, market) {
        return new Trade({
            exchange: this.name,
            base: market.base,
            quote: market.quote,
            tradeId: datum.trade_id,
            side: datum.direction,
            unix: datum.timestamp,
            price: datum.price.toFixed(8),
            amount: datum.amount.toFixed(8),
            tradeSeq: datum.trade_seq,
            blockTradeId: datum.block_trade_id,
            markPrice: datum.mark_price.toFixed(8),
            indexPrice: datum.index_price.toFixed(8),
            liquidation: datum.liquidation,
            iv: datum.iv,
            tickDirection: datum.tick_direction,
        });
    }

    /**
    {
      "volume" : 0.05219351,
      "tick" : 1573645080000,
      "open" : 8869.79,
      "low" : 8788.25,
      "high" : 8870.31,
      "cost" : 460,
      "close" : 8791.25
    },
   */
    protected _constructCandle(data) {
        return new Candle(
            data.tick,
            data.open.toFixed(8),
            data.high.toFixed(8),
            data.low.toFixed(8),
            data.close.toFixed(8),
            data.volume.toFixed(8),
        );
    }

    /**
    {
      "type" : "snapshot",
      "timestamp" : 1554373962454,
      "instrument_name" : "BTC-PERPETUAL",
      "change_id" : 297217,
      "bids" : [
        [
          "new",
          5042.34,
          30
        ],
        [
          "new",
          5041.94,
          20
        ]
      ],
      "asks" : [
        [
          "new",
          5042.64,
          40
        ],
        [
          "new",
          5043.3,
          40
        ]
      ]
    }
   */
    protected _constructLevel2Snapshot(data, market) {
        const timestampMs = data.timestamp;
        const sequenceId = data.change_id;

        const asks = data.asks.map(
            p => new Level2Point(p[1].toFixed(8), p[2].toFixed(8), undefined, { type: p[0] }),
        );
        const bids = data.bids.map(
            p => new Level2Point(p[1].toFixed(8), p[2].toFixed(8), undefined, { type: p[0] }),
        );

        return new Level2Snapshot({
            exchange: this.name,
            base: market.base,
            quote: market.quote,
            timestampMs,
            sequenceId,
            asks,
            bids,
        });
    }

    /**
   {
      "type" : "change",
      "timestamp" : 1554373911330,
      "prev_change_id" : 297217,
      "instrument_name" : "BTC-PERPETUAL",
      "change_id" : 297218,
      "bids" : [
        [
          "delete",
          5041.94,
          0
        ],
        [
          "delete",
          5042.34,
          0
        ]
      ],
      "asks" : [

      ]
    }
   */
    protected _constructLevel2Update(data, market) {
        const timestampMs = data.timestamp;
        const lastSequenceId = data.prev_change_id;
        const sequenceId = data.change_id;

        const asks = data.asks.map(
            p => new Level2Point(p[1].toFixed(8), p[2].toFixed(2), undefined, { type: p[0] }),
        );
        const bids = data.bids.map(
            p => new Level2Point(p[1].toFixed(8), p[2].toFixed(2), undefined, { type: p[0] }),
        );

        return new Level2Snapshot({
            exchange: this.name,
            base: market.base,
            quote: market.quote,
            timestampMs,
            sequenceId,
            lastSequenceId,
            asks,
            bids,
        });
    }
}

function candlePeriod(period) {
    switch (period) {
        case CandlePeriod._1m:
            return "1";
        case CandlePeriod._3m:
            return "3";
        case CandlePeriod._5m:
            return "5";
        case CandlePeriod._10m:
            return "10";
        case CandlePeriod._15m:
            return "15";
        case CandlePeriod._30m:
            return "30";
        case CandlePeriod._1h:
            return "60";
        case CandlePeriod._2h:
            return "120";
        case CandlePeriod._3h:
            return "180";
        case CandlePeriod._6h:
            return "360";
        case CandlePeriod._12h:
            return "720";
        case CandlePeriod._1d:
            return "1D";
    }
}