ccxws/src/exchanges/HuobiBase.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-assignment */
/* eslint-disable @typescript-eslint/no-unsafe-member-access */

import { BasicClient } from "../BasicClient";
import { Candle } from "../Candle";
import { CandlePeriod } from "../CandlePeriod";
import { Level2Point } from "../Level2Point";
import { Level2Snapshot } from "../Level2Snapshots";
import { Level2Update } from "../Level2Update";
import { NotImplementedFn } from "../NotImplementedFn";
import { Ticker } from "../Ticker";
import { Trade } from "../Trade";
import * as zlib from "../ZlibUtils";

export class HuobiBase extends BasicClient {
    public candlePeriod: CandlePeriod;

    constructor({ name, wssPath, watcherMs }) {
        super(wssPath, name, undefined, watcherMs);
        this.hasTickers = true;
        this.hasTrades = true;
        this.hasCandles = true;
        this.hasLevel2Snapshots = true;
        this.hasLevel2Updates = false;
        this.candlePeriod = CandlePeriod._1m;
    }

    protected _sendPong(ts: number) {
        if (this._wss) {
            this._wss.send(JSON.stringify({ pong: ts }));
        }
    }

    protected _sendSubTicker(remote_id: string) {
        this._wss.send(
            JSON.stringify({
                sub: `market.${remote_id}.detail`,
                id: remote_id,
            }),
        );
    }

    protected _sendUnsubTicker(remote_id: string) {
        this._wss.send(
            JSON.stringify({
                unsub: `market.${remote_id}.detail`,
                id: remote_id,
            }),
        );
    }

    protected _sendSubTrades(remote_id: string) {
        this._wss.send(
            JSON.stringify({
                sub: `market.${remote_id}.trade.detail`,
                id: remote_id,
            }),
        );
    }

    protected _sendUnsubTrades(remote_id: string) {
        this._wss.send(
            JSON.stringify({
                unsub: `market.${remote_id}.trade.detail`,
                id: remote_id,
            }),
        );
    }

    protected _sendSubCandles(remote_id: string) {
        this._wss.send(
            JSON.stringify({
                sub: `market.${remote_id}.kline.${candlePeriod(this.candlePeriod)}`,
                id: remote_id,
            }),
        );
    }

    protected _sendUnsubCandles(remote_id: string) {
        this._wss.send(
            JSON.stringify({
                unsub: `market.${remote_id}.kline.${candlePeriod(this.candlePeriod)}`,
                id: remote_id,
            }),
        );
    }

    protected _sendSubLevel2Updates(remote_id: string) {
        this._wss.send(
            JSON.stringify({
                sub: `market.${remote_id}.depth.size_150.high_freq`,
                data_type: "incremental",
                id: "depth_update_" + remote_id,
            }),
        );
    }

    protected _sendUnsubLevel2Updates(remote_id: string) {
        this._wss.send(
            JSON.stringify({
                unsub: `market.${remote_id}.depth.size_150.high_freq`,
                data_type: "incremental",
                id: "depth_update_" + remote_id,
            }),
        );
    }

    protected _sendSubLevel2Snapshots(remote_id: string) {
        this._wss.send(
            JSON.stringify({
                sub: `market.${remote_id}.depth.step0`,
                id: "depth_" + remote_id,
            }),
        );
    }

    protected _sendUnsubLevel2Snapshots(remote_id: string) {
        this._wss.send(
            JSON.stringify({
                unsub: `market.${remote_id}.depth.step0`,
            }),
        );
    }

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

    protected _onMessage(raw: Buffer) {
        zlib.unzip(raw, (err, resp) => {
            if (err) {
                this.emit("error", err);
                return;
            }

            let msgs = JSON.parse(resp.toString());

            // handle pongs
            if (msgs.ping) {
                this._sendPong(msgs.ping);
                return;
            }

            if (!msgs.ch) return;

            // trades
            if (msgs.ch.endsWith("trade.detail")) {
                msgs = JSON.parse(
                    resp.toString().replace(/:([0-9]{1,}\.{0,1}[0-9]{0,}),/g, ':"$1",'),
                );

                const remoteId = msgs.ch.split(".")[1]; //market.ethbtc.trade.detail
                const market = this._tradeSubs.get(remoteId);
                if (!market) return;

                for (const datum of msgs.tick.data) {
                    const trade = this._constructTradesFromMessage(datum, market);
                    this.emit("trade", trade, market);
                }
                return;
            }

            // candles
            if (msgs.ch.includes("kline")) {
                const remoteId = msgs.ch.split(".")[1]; //market.ethbtc.kline.1min
                const market = this._candleSubs.get(remoteId);
                if (!market) return;

                const candle = this._constructCandle(msgs);
                this.emit("candle", candle, market);
            }

            // tickers
            if (msgs.ch.endsWith(".detail")) {
                const remoteId = msgs.ch.split(".")[1];
                const market = this._tickerSubs.get(remoteId);
                if (!market) return;

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

            // l2update
            if (msgs.ch.endsWith("depth.size_150.high_freq")) {
                const remoteId = msgs.ch.split(".")[1];
                const market = this._level2UpdateSubs.get(remoteId);
                if (!market) return;

                if (msgs.tick.event === "snapshot") {
                    const snapshot = this._constructL2UpdateSnapshot(msgs, market);
                    this.emit("l2snapshot", snapshot, market);
                } else {
                    const update = this._constructL2Update(msgs, market);
                    this.emit("l2update", update, market);
                }
                return;
            }

            // l2snapshot
            if (msgs.ch.endsWith("depth.step0")) {
                const remoteId = msgs.ch.split(".")[1];
                const market = this._level2SnapshotSubs.get(remoteId);
                if (!market) return;

                const snapshot = this._constructLevel2Snapshot(msgs, market);
                this.emit("l2snapshot", snapshot, market);
                return;
            }
        });
    }

    protected _constructTicker(data, market) {
        const { open, close, high, low, vol, amount } = data;
        const dayChange = close - open;
        const dayChangePercent = ((close - open) / open) * 100;
        return new Ticker({
            exchange: this.name,
            base: market.base,
            quote: market.quote,
            timestamp: Date.now(),
            last: close.toFixed(10),
            open: open.toFixed(10),
            high: high.toFixed(10),
            low: low.toFixed(10),
            volume: amount.toFixed(8),
            quoteVolume: vol.toFixed(8),
            change: dayChange.toFixed(8),
            changePercent: dayChangePercent.toFixed(8),
        });
    }

    protected _constructTradesFromMessage(datum, market) {
        const { amount, direction, ts, price, id } = datum;
        const unix = Math.trunc(parseInt(ts));
        return new Trade({
            exchange: this.name,
            base: market.base,
            quote: market.quote,
            tradeId: id,
            side: direction,
            unix,
            price,
            amount: typeof amount === "number" ? amount.toFixed(8) : amount,
        });
    }

    protected _constructCandle(msg) {
        const tick = msg.tick;
        const ms = tick.id * 1000;
        return new Candle(
            ms,
            tick.open.toFixed(8),
            tick.high.toFixed(8),
            tick.low.toFixed(8),
            tick.close.toFixed(8),
            tick.amount.toFixed(8),
        );
    }

    /**
   {
      "ch": "market.BTC_CQ.depth.size_150.high_freq",
      "tick": {
        "asks": [
          [11756.82, 1966],
          [11756.91, 3],
          [11756.93, 936]
        ],
        "bids": [
          [11756.81, 2639],
          [11755.13, 73],
          [11754.93, 1]
        ],
        "ch": "market.BTC_CQ.depth.size_150.high_freq",
        "event": "snapshot",
        "id": 91435179848,
        "mrid": 91435179848,
        "ts": 1597347675927,
        "version": 279029079
      },
      "ts": 1597347675927
    }
   */
    protected _constructL2UpdateSnapshot(msg, market) {
        const { tick } = msg;

        const asks = tick.asks
            ? tick.asks.map(p => new Level2Point(p[0].toFixed(8), p[1].toFixed(2)))
            : [];
        const bids = tick.bids
            ? tick.bids.map(p => new Level2Point(p[0].toFixed(8), p[1].toFixed(2)))
            : [];

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

    /**
   {
      "ch": "market.BTC_CQ.depth.size_150.high_freq",
      "tick": {
        "asks": [],
        "bids": [
          [11750.4, 0],
          [11742.49, 44]
        ],
        "ch": "market.BTC_CQ.depth.size_150.high_freq",
        "event": "update",
        "id": 91435179926,
        "mrid": 91435179926,
        "ts": 1597347675971,
        "version": 279029080
      },
      "ts": 1597347675971
    }
   */
    protected _constructL2Update(msg, market) {
        const { tick } = msg;

        const asks = tick.asks
            ? tick.asks.map(p => new Level2Point(p[0].toFixed(8), p[1].toFixed(2)))
            : [];
        const bids = tick.bids
            ? tick.bids.map(p => new Level2Point(p[0].toFixed(8), p[1].toFixed(2)))
            : [];

        return new Level2Update({
            exchange: this.name,
            base: market.base,
            quote: market.quote,
            sequenceId: tick.version,
            timestampMs: tick.ts,
            asks,
            bids,
            id: tick.id,
            mrid: tick.mrid,
        });
    }

    protected _constructLevel2Snapshot(msg, market) {
        const { tick } = msg;
        const bids = tick.bids.map(p => new Level2Point(p[0].toFixed(10), p[1].toFixed(8)));
        const asks = tick.asks.map(p => new Level2Point(p[0].toFixed(10), p[1].toFixed(8)));
        const { ts, version } = tick;
        return new Level2Snapshot({
            exchange: this.name,
            base: market.base,
            quote: market.quote,
            sequenceId: version,
            timestampMs: ts,
            asks,
            bids,
        });
    }
}

function candlePeriod(period) {
    switch (period) {
        case CandlePeriod._1m:
            return "1min";
        case CandlePeriod._5m:
            return "5min";
        case CandlePeriod._15m:
            return "15min";
        case CandlePeriod._30m:
            return "30min";
        case CandlePeriod._1h:
            return "60min";
        case CandlePeriod._4h:
            return "4hour";
        case CandlePeriod._1d:
            return "1day";
        case CandlePeriod._1w:
            return "1week";
        case CandlePeriod._1M:
            return "1mon";
    }
}