ccxws/src/exchanges/PoloniexClient.ts

Websocket client for 37 cryptocurrency exchanges

/* eslint-disable @typescript-eslint/member-ordering */
/* eslint-disable @typescript-eslint/no-unsafe-return */
/* eslint-disable @typescript-eslint/no-unsafe-call */
/* eslint-disable prefer-const */
/* eslint-disable @typescript-eslint/restrict-plus-operands */
/* eslint-disable @typescript-eslint/no-unsafe-member-access */
/* eslint-disable @typescript-eslint/no-unsafe-assignment */
import { BasicClient } from "../BasicClient";
import { ClientOptions } from "../ClientOptions";
import * as https from "../Https";
import { Level2Point } from "../Level2Point";
import { Level2Snapshot } from "../Level2Snapshots";
import { Level2Update } from "../Level2Update";
import { NotImplementedFn } from "../NotImplementedFn";
import { Ticker } from "../Ticker";
import { Trade } from "../Trade";

export type PoloniexClientOptions = ClientOptions & {
    autoloadSymbolMaps?: boolean;
};

export class PoloniexClient extends BasicClient {
    protected _idMap: Map<any, any>;
    protected _subbedToTickers: boolean;
    protected TICKERS_ID: number;
    protected MARKET_IDS: Map<number, string>;
    protected _subCount: any;

    constructor({
        wssPath = "wss://api2.poloniex.com/",
        autoloadSymbolMaps = true,
        watcherMs,
    }: PoloniexClientOptions = {}) {
        super(wssPath, "Poloniex", undefined, watcherMs);
        this._idMap = new Map();
        this.hasTickers = true;
        this.hasTrades = true;
        this.hasLevel2Updates = true;
        this._subbedToTickers = false;
        this.on("connected", this._resetSubCount.bind(this));

        this.TICKERS_ID = 1002;
        this.MARKET_IDS = new Map();

        if (autoloadSymbolMaps) {
            this.loadSymbolMaps().catch(err => this.emit("error", err));
        }
    }

    /**
    Poloniex uses numeric identifiers for its markets.
    A static map of these markets can be obtained from:
    https://docs.poloniex.com/#currency-pair-ids

    We can use the ticker REST API as a mechanism to obtain
    the identifiers and create an index of id to symbol.
   */
    public async loadSymbolMaps() {
        const uri = "https://poloniex.com/public?command=returnTicker";
        const result: any = await https.get(uri);
        for (const symbol in result) {
            const id = result[symbol].id;
            this.MARKET_IDS.set(id, symbol);
        }
    }

    protected _resetSubCount() {
        this._subCount = {};
        this._subbedToTickers = false;
    }

    protected _sendSubTicker() {
        if (this._subbedToTickers) return; // send for first request
        this._subbedToTickers = true;
        this._wss.send(
            JSON.stringify({
                command: "subscribe",
                channel: this.TICKERS_ID,
            }),
        );
    }

    protected _sendUnsubTicker() {
        if (this._tickerSubs.size) return; // send when no more
        this._subbedToTickers = false;
        this._wss.send(
            JSON.stringify({
                command: "unsubscribe",
                channel: this.TICKERS_ID,
            }),
        );
    }

    protected _sendSubTrades(remote_id) {
        this._sendSubscribe(remote_id);
    }

    protected _sendUnsubTrades(remote_id) {
        this._sendUnsubscribe(remote_id);
    }

    protected _sendSubLevel2Updates(remote_id) {
        this._sendSubscribe(remote_id);
    }

    protected _sendUnsubLevel2Updates(remote_id) {
        this._sendUnsubscribe(remote_id);
    }

    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 _sendSubscribe(remote_id) {
        this._subCount[remote_id] = (this._subCount[remote_id] || 0) + 1; // increment market counter
        // if we have more than one sub, ignore the request as we're already subbed
        if (this._subCount[remote_id] > 1) return;

        this._wss.send(
            JSON.stringify({
                command: "subscribe",
                channel: remote_id,
            }),
        );
    }

    protected _sendUnsubscribe(remote_id) {
        this._subCount[remote_id] -= 1; // decrement market count

        // if we still have subs, then leave channel open
        if (this._subCount[remote_id]) return;

        this._wss.send(
            JSON.stringify({
                command: "unsubscribe",
                channel: remote_id,
            }),
        );
    }

    protected _onMessage(raw) {
        // different because messages are broadcast as joined updates
        // [148,540672082,[["o",1,"0.07313000","7.21110596"],["t","43781170",0,"0.07313000","0.00199702",1528900825]]]
        // we need to pick apart these messages and broadcast them accordingly

        const msg = JSON.parse(raw);
        const id = msg[0];
        const seq = msg[1];
        const updates = msg[2];

        // tickers
        if (id === this.TICKERS_ID && updates) {
            const remoteId = this.MARKET_IDS.get(updates[0]);
            const market = this._tickerSubs.get(remoteId);
            if (!market) return;

            const ticker = this._createTicker(updates, market);
            this.emit("ticker", ticker, market);
            return;
        }

        if (!updates) return;

        const bids = [];
        const asks = [];

        for (const update of updates) {
            switch (update[0]) {
                // when connection is first established it will send an 'info' packet
                // that can be used to map the "id" to the market_symbol
                case "i": {
                    const remote_id = update[1].currencyPair;
                    this._idMap.set(id, remote_id);

                    // capture snapshot if we're subscribed to l2updates
                    const market = this._level2UpdateSubs.get(remote_id);
                    if (!market) continue;

                    const snapshot = this._constructoLevel2Snapshot(seq, update[1], market);
                    this.emit("l2snapshot", snapshot, market);
                    break;
                }
                // trade events will stream-in after we are subscribed to the channel
                // and hopefully after the info packet has been sent
                case "t": {
                    const market = this._tradeSubs.get(this._idMap.get(id));
                    if (!market) continue;

                    const trade = this._constructTradeFromMessage(update, market);
                    this.emit("trade", trade, market);
                    break;
                }

                case "o": {
                    // only include updates if we are subscribed to the market
                    const market = this._level2UpdateSubs.get(this._idMap.get(id));
                    if (!market) continue;

                    //[171, 280657226, [["o", 0, "0.00225182", "0.00000000"], ["o", 0, "0.00225179", "860.66363984"]]]
                    //[171, 280657227, [["o", 1, "0.00220001", "0.00000000"], ["o", 1, "0.00222288", "208.47334089"]]]
                    const point = new Level2Point(update[2], update[3]);
                    if (update[1] === 0) asks.push(point);
                    if (update[1] === 1) bids.push(point);

                    break;
                }
            }
        }

        // check if we have bids/asks and construct order update message
        if (bids.length || asks.length) {
            const market = this._level2UpdateSubs.get(this._idMap.get(id));
            if (!market) return;

            const l2update = new Level2Update({
                exchange: this.name,
                base: market.base,
                quote: market.quote,
                sequenceId: seq,
                asks,
                bids,
            });
            this.emit("l2update", l2update, market);
        }
    }

    protected _createTicker(update, market) {
        const [, last, ask, bid, percent, quoteVol, baseVol, , high, low] = update;
        const open = parseFloat(last) / (1 + parseFloat(percent));
        const dayChange = parseFloat(last) - open;
        return new Ticker({
            exchange: this.name,
            base: market.base,
            quote: market.quote,
            timestamp: Date.now(),
            last,
            open: open.toFixed(8),
            high,
            low,
            volume: baseVol,
            quoteVolume: quoteVol,
            change: dayChange.toFixed(8),
            changePercent: percent,
            ask,
            bid,
        });
    }

    protected _constructTradeFromMessage(update, market) {
        let [, trade_id, side, price, size, unix] = update;

        side = side === 1 ? "buy" : "sell";
        unix = unix * 1000;
        trade_id = parseInt(trade_id);

        return new Trade({
            exchange: this.name,
            base: market.base,
            quote: market.quote,
            tradeId: trade_id.toFixed(),
            side,
            unix,
            price,
            amount: size,
        });
    }

    protected _constructoLevel2Snapshot(seq, update, market) {
        const [asksObj, bidsObj] = update.orderBook;
        const asks = [];
        const bids = [];
        for (const price in asksObj) {
            asks.push(new Level2Point(price, asksObj[price]));
        }
        for (const price in bidsObj) {
            bids.push(new Level2Point(price, bidsObj[price]));
        }
        return new Level2Snapshot({
            exchange: this.name,
            base: market.base,
            quote: market.quote,
            sequenceId: seq,
            asks,
            bids,
        });
    }
}