ccxws
Version:
Websocket client for 37 cryptocurrency exchanges
370 lines (329 loc) • 13 kB
text/typescript
/* eslint-disable @typescript-eslint/member-ordering */
/* eslint-disable @typescript-eslint/restrict-plus-operands */
/* eslint-disable @typescript-eslint/no-unsafe-call */
/* eslint-disable @typescript-eslint/no-unsafe-member-access */
/* eslint-disable @typescript-eslint/no-unsafe-assignment */
/* eslint-disable @typescript-eslint/no-implied-eval */
import { BasicClient } from "../BasicClient";
import { ClientOptions } from "../ClientOptions";
import * as https from "../Https";
import { Level2Point } from "../Level2Point";
import { Level2Update } from "../Level2Update";
import { NotImplementedFn } from "../NotImplementedFn";
import { Ticker } from "../Ticker";
import { Trade } from "../Trade";
export type LiquidClientOptions = ClientOptions & {
autoloadSymbolMaps?: boolean;
requestSnapshot?: boolean;
};
/**
* Liquid client as implemented by:
* https://developers.liquid.com/#public-channels
*/
export class LiquidClient extends BasicClient {
public requestSnapshot: boolean;
protected productIdMap: Map<string, string>;
protected _pingInterval: NodeJS.Timeout;
constructor({
wssPath = "wss://tap.liquid.com/app/LiquidTapClient",
autoloadSymbolMaps = true,
requestSnapshot = false,
watcherMs,
}: LiquidClientOptions = {}) {
super(wssPath, "Liquid", undefined, watcherMs);
this.requestSnapshot = requestSnapshot;
this.hasTrades = true;
this.hasTickers = true;
this.hasLevel2Updates = true;
this.productIdMap = new Map();
if (autoloadSymbolMaps) {
this.loadSymbolMaps().catch(err => this.emit("error", err));
}
}
protected _beforeConnect() {
this._wss.on("connected", this._startPing.bind(this));
this._wss.on("disconnected", this._stopPing.bind(this));
this._wss.on("closed", this._stopPing.bind(this));
}
protected _startPing() {
clearInterval(this._pingInterval);
this._pingInterval = setInterval(this._sendPing.bind(this), 60000);
}
protected _stopPing() {
clearInterval(this._pingInterval);
}
protected _sendPing() {
if (this._wss) {
this._wss.send(JSON.stringify({ event: "pusher:ping", data: {} }));
}
}
/**
* Liquid endpoints brilliantly/s require you to include the product id
* in addition to the market symbol. So we need a way to reference this.
* Results from the products API look like:
* {
"id": 5,
"product_type": "CurrencyPair",
"code": "CASH",
"name": "CASH Trading",
"market_ask": "48203.05",
"market_bid": "48188.15",
"indicator": -1,
"currency": "JPY",
"currency_pair_code": "BTCJPY",
"symbol": "¥",
"fiat_minimum_withdraw": "1500.0",
"pusher_channel": "product_cash_btcjpy_5",
"taker_fee": "0.0",
"maker_fee": "0.0",
"low_market_bid": "47630.99",
"high_market_ask": "48396.71",
"volume_24h": "2915.627366519999999998",
"last_price_24h": "48217.2",
"last_traded_price": "48203.05",
"last_traded_quantity": "1.0",
"quoted_currency": "JPY",
"base_currency": "BTC",
"exchange_rate": "0.009398151671149725",
"timestamp": "1576739219.195353100"
},
*/
protected async loadSymbolMaps() {
const uri = "https://api.liquid.com/products";
const results: any = await https.get(uri);
for (const result of results) {
this.productIdMap.set(result.currency_pair_code.toLowerCase(), result.id);
}
}
protected _sendSubTicker(remote_id: string) {
remote_id = remote_id.toLowerCase();
const product_id = this.productIdMap.get(remote_id);
this._wss.send(
JSON.stringify({
event: "pusher:subscribe",
data: {
channel: `product_cash_${remote_id}_${product_id}`,
},
}),
);
}
protected _sendUnsubTicker(remote_id: string) {
remote_id = remote_id.toLowerCase();
const product_id = this.productIdMap.get(remote_id);
this._wss.send(
JSON.stringify({
event: "pusher:unsubscribe",
data: {
channel: `product_cash_${remote_id}_${product_id}`,
},
}),
);
}
protected _sendSubTrades(remote_id: string) {
this._wss.send(
JSON.stringify({
event: "pusher:subscribe",
data: {
channel: `executions_cash_${remote_id.toLowerCase()}`,
},
}),
);
}
protected _sendUnsubTrades(remote_id: string) {
this._wss.send(
JSON.stringify({
event: "pusher:unsubscribe",
data: {
channel: `executions_cash_${remote_id.toLowerCase()}`,
},
}),
);
}
protected _sendSubLevel2Updates(remote_id: string) {
remote_id = remote_id.toLowerCase();
this._wss.send(
JSON.stringify({
event: "pusher:subscribe",
data: {
channel: `price_ladders_cash_${remote_id}_buy`,
},
}),
);
this._wss.send(
JSON.stringify({
event: "pusher:subscribe",
data: {
channel: `price_ladders_cash_${remote_id}_sell`,
},
}),
);
}
protected _sendUnsubLevel2Updates(remote_id: string) {
remote_id = remote_id.toLowerCase();
this._wss.send(
JSON.stringify({
event: "pusher:unsubscribe",
data: {
channel: `price_ladders_cash_${remote_id}_buy`,
},
}),
);
this._wss.send(
JSON.stringify({
event: "pusher:unsubscribe",
data: {
channel: `price_ladders_cash_${remote_id}_sell`,
},
}),
);
}
protected _sendSubCandles = NotImplementedFn;
protected _sendUnsubCandles = NotImplementedFn;
protected _sendSubLevel2Snapshots = NotImplementedFn;
protected _sendUnsubLevel2Snapshots = NotImplementedFn;
protected _sendSubLevel3Snapshots = NotImplementedFn;
protected _sendUnsubLevel3Snapshots = NotImplementedFn;
protected _sendSubLevel3Updates = NotImplementedFn;
protected _sendUnsubLevel3Updates = NotImplementedFn;
/////////////////////////////////////////////
protected _onMessage(raw: string) {
let msg: any;
try {
msg = JSON.parse(raw);
} catch (e) {
this.emit("error", e);
return;
}
// success messages look like:
// {
// channel: 'executions_cash_btcjpy',
// data: {},
// event: 'pusher_internal:subscription_succeeded'
// }
if (msg.channel) {
if (msg.channel.startsWith("executions_cash_")) {
this._onTrade(msg);
return;
}
if (msg.channel.startsWith("product_cash_")) {
this._onTicker(msg);
return;
}
if (msg.channel.startsWith("price_ladders_cash_")) {
this._onOrderBook(msg);
return;
}
}
}
/**
* Ticker message in the format:
* {
* channel: 'product_cash_btcjpy_5',
* data: '{"base_currency":"BTC","btc_minimum_withdraw":null,"cfd_enabled":false,"code":"CASH","currency":"JPY","currency_pair_code":"BTCJPY","disabled":false,"fiat_minimum_withdraw":null,"high_market_ask":"772267.0","id":"5","indicator":-1,"last_event_timestamp":"1587066660.016599696","last_price_24h":"725777.0","last_traded_price":"764242.0","last_traded_quantity":"0.05805448","low_market_bid":"698763.0","margin_enabled":false,"market_ask":"764291.0","market_bid":"764242.0","name":" CASH Trading","perpetual_enabled":false,"product_type":"CurrencyPair","pusher_channel":"product_cash_btcjpy_5","quoted_currency":"JPY","symbol":"¥","tick_size":"1.0","timestamp":"1587066660.016599696","volume_24h":"20739.2916905799999999"}',
* event: 'updated'
* }
*/
protected _onTicker(msg) {
let data: any;
try {
data = JSON.parse(msg.data);
} catch (e) {
return;
}
const remote_id = /(product_cash_)(\w+)_\d+/.exec(msg.channel)[2];
const market = this._tickerSubs.get(remote_id);
if (!market) return;
const open = Number(data.last_price_24h);
const close = Number(data.last_traded_price);
const change = close - open;
const changePercent = (change / open) * 100;
const ticker = new Ticker({
exchange: this.name,
base: market.base,
quote: market.quote,
timestamp: Math.round(Number(data.timestamp) * 1000),
last: data.last_traded_price,
open: data.last_price_24h,
high: undefined,
low: undefined,
volume: data.volume_24h,
quoteVolume: undefined,
change: change.toFixed(8),
changePercent: changePercent.toFixed(2),
bid: data.market_bid,
bidVolume: undefined,
ask: data.market_ask,
askVolume: undefined,
});
this.emit("ticker", ticker, market);
}
/**
* Trade message in the format:
* {
* channel: 'executions_cash_btcjpy',
* data: '{"created_at":1587056568,"id":297058474,"price":757584.0,"quantity":0.178,"taker_side":"sell"}',
* event: 'created'
* }
*/
protected _onTrade(msg) {
let data;
try {
data = JSON.parse(msg.data);
} catch (e) {
return;
}
const remote_id = msg.channel.substr(msg.channel.lastIndexOf("_") + 1);
const market = this._tradeSubs.get(remote_id);
if (!market) return;
const trade = new Trade({
exchange: this.name,
base: market.base,
quote: market.quote,
tradeId: data.id.toFixed(),
unix: parseInt(data.created_at) * 1000,
side: data.taker_side == "buy" ? "buy" : "sell",
price: data.price.toFixed(8),
amount: data.quantity.toFixed(8),
buyOrderId: undefined,
sellOrderId: undefined,
});
this.emit("trade", trade, market);
}
/**
* {
channel: 'price_ladders_cash_btcjpy_buy',
data: '[["755089.00000","0.03319269"],["755087.00000","0.00593314"],["755068.00000","0.00150000"],["755060.00000","0.00100000"],["755059.00000","0.03244832"],["755050.00000","0.03244969"],["755044.00000","0.47500000"],["754978.00000","0.47500000"],["754941.00000","0.00100000"],["754929.00000","0.00100000"],["754913.00000","0.05409938"],["754891.00000","0.37872763"],["754890.00000","0.03974826"],["754869.00000","0.04059000"],["754850.00000","0.05000000"],["754835.00000","0.03300000"],["754834.00000","0.25000000"],["754776.00000","0.03000000"],["754738.00000","0.00960000"],["754715.00000","0.00500000"],["754713.00000","0.05000000"],["754701.00000","0.03244949"],["754698.00000","0.00100000"],["754695.00000","0.03245118"],["754685.00000","0.48000000"],["754674.00000","0.00900000"],["754625.00000","0.50000013"],["754611.00000","0.10000000"],["754604.00000","0.05000000"],["754602.00000","0.05000000"],["754601.00000","0.03000000"],["754593.00000","0.01000000"],["754581.00000","0.01000000"],["754578.00000","0.01020000"],["754479.00000","0.01840000"],["754469.00000","1.00000013"],["754401.00000","0.02500000"],["754400.00000","0.01000000"],["754398.00000","0.03000000"],["754390.00000","0.25000000"]]',
event: 'updated'
}
*/
protected _onOrderBook(msg) {
let data;
try {
data = JSON.parse(msg.data);
} catch (e) {
return;
}
const remote_id = /(price_ladders_cash_)(\w+)_(buy|sell)+/.exec(msg.channel)[2];
const market = this._level2UpdateSubs.get(remote_id);
if (!market) return;
const side = msg.channel.endsWith("buy") ? "buy" : "sell";
const points = data.map(([price, amount]) => new Level2Point(price, amount));
let bids;
let asks;
if (side == "buy") {
bids = points;
asks = [];
} else {
bids = [];
asks = points;
}
const update = new Level2Update({
exchange: this.name,
base: market.base,
quote: market.quote,
bids,
asks,
});
this.emit("l2update", update, market);
}
}