tardis-dev
Version:
Convenient access to tick-level historical and real-time cryptocurrency market data via Node.js
230 lines • 8.7 kB
JavaScript
import { upperCaseSymbols } from "../handy.js";
import { PendingTickerInfoHelper } from "./mapper.js";
export const wooxTradesMapper = {
canHandle(message) {
return message.topic !== undefined && message.topic.endsWith('@trade');
},
getFilters(symbols) {
symbols = upperCaseSymbols(symbols);
return [
{
channel: 'trade',
symbols
}
];
},
*map(message, localTimestamp) {
const timestamp = new Date(message.ts);
// any trade with source = 0 is mainly for informational purposes for our users, not actual trades printed on WOO X
if (message.data.source === 0) {
return;
}
yield {
type: 'trade',
symbol: message.data.symbol,
exchange: 'woo-x',
id: undefined,
price: message.data.price,
amount: message.data.size,
side: message.data.side === 'SELL' ? 'sell' : 'buy',
timestamp,
localTimestamp: localTimestamp
};
}
};
export class WooxBookChangeMapper {
_symbolToDepthInfoMapping = {};
canHandle(message) {
if ('id' in message) {
return message.id.endsWith('@orderbook');
}
if ('topic' in message) {
return message.topic.endsWith('@orderbookupdate');
}
return false;
}
getFilters(symbols) {
symbols = upperCaseSymbols(symbols);
return [
{
channel: 'orderbook',
symbols
},
{
channel: 'orderbookupdate',
symbols
}
];
}
*map(message, localTimestamp) {
const symbol = message.data.symbol;
if (this._symbolToDepthInfoMapping[symbol] === undefined) {
this._symbolToDepthInfoMapping[symbol] = {
bufferedUpdates: []
};
}
const symbolDepthInfo = this._symbolToDepthInfoMapping[symbol];
const snapshotAlreadyProcessed = symbolDepthInfo.snapshotProcessed;
// first check if received message is snapshot and process it as such if it is
if ('id' in message && message.success) {
yield {
type: 'book_change',
symbol,
exchange: 'woo-x',
isSnapshot: true,
bids: message.data.bids.map(this._mapBookLevel),
asks: message.data.asks.map(this._mapBookLevel),
timestamp: new Date(message.data.ts),
localTimestamp
};
// mark given symbol depth info that has snapshot processed
symbolDepthInfo.lastUpdateTimestamp = message.data.ts;
symbolDepthInfo.snapshotProcessed = true;
// if there were any depth updates buffered, let's proccess those
for (const update of symbolDepthInfo.bufferedUpdates) {
const bookChange = this._mapBookDepthUpdate(update, localTimestamp, symbolDepthInfo, symbol);
if (bookChange !== undefined) {
yield bookChange;
}
}
// remove all buffered updates
symbolDepthInfo.bufferedUpdates = [];
}
else if (snapshotAlreadyProcessed) {
// snapshot was already processed let's map the message as normal book_change
const bookChange = this._mapBookDepthUpdate(message, localTimestamp, symbolDepthInfo, symbol);
if (bookChange !== undefined) {
yield bookChange;
}
}
else {
// if snapshot hasn't been yet processed and we've got depthUpdate message, let's buffer it for later processing
symbolDepthInfo.bufferedUpdates.push(message);
}
}
_mapBookDepthUpdate(wooxBookUpdate, localTimestamp, depthInfo, symbol) {
if (wooxBookUpdate.data.prevTs < depthInfo.lastUpdateTimestamp) {
return;
}
return {
type: 'book_change',
symbol,
exchange: 'woo-x',
isSnapshot: false,
bids: wooxBookUpdate.data.bids.map(this._mapBookLevel),
asks: wooxBookUpdate.data.asks.map(this._mapBookLevel),
timestamp: new Date(wooxBookUpdate.ts),
localTimestamp
};
}
_mapBookLevel(level) {
const price = level[0];
const amount = level[1];
return { price, amount };
}
}
export class WooxDerivativeTickerMapper {
pendingTickerInfoHelper = new PendingTickerInfoHelper();
_indexPrices = new Map();
canHandle(message) {
if (message.topic === undefined) {
return false;
}
const symbol = (message.data && message.data.symbol) || '';
const isPerp = symbol.startsWith('PERP_');
return ((message.topic.endsWith('@trade') && isPerp) ||
(message.topic.endsWith('@markprice') && isPerp) ||
(message.topic.endsWith('@estfundingrate') && isPerp) ||
message.topic.endsWith('@indexprice') ||
(message.topic.endsWith('@openinterest') && isPerp));
}
getFilters(symbols) {
symbols = upperCaseSymbols(symbols);
const spotSymbols = symbols !== undefined ? symbols.map((s) => s.replace('PERP_', 'SPOT_')) : [];
return [
{
channel: 'trade',
symbols
},
{
channel: 'markprice',
symbols
},
{
channel: 'estfundingrate',
symbols
},
{
channel: 'openinterest',
symbols
},
{
channel: 'indexprice',
symbols: spotSymbols
}
];
}
*map(message, localTimestamp) {
if (message.topic.endsWith('@indexprice')) {
this._indexPrices.set(message.data.symbol.replace('SPOT_', 'PERP_'), message.data.price);
}
else {
const symbol = message.data.symbol;
const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(symbol, 'woo-x');
const lastIndexPrice = this._indexPrices.get(symbol);
if (lastIndexPrice !== undefined) {
pendingTickerInfo.updateIndexPrice(lastIndexPrice);
}
if (message.topic.endsWith('@markprice')) {
pendingTickerInfo.updateMarkPrice(message.data.price);
pendingTickerInfo.updateTimestamp(new Date(message.ts));
}
if (message.topic.endsWith('@trade')) {
pendingTickerInfo.updateLastPrice(message.data.price);
pendingTickerInfo.updateTimestamp(new Date(message.ts));
}
if (message.topic.endsWith('@estfundingrate')) {
pendingTickerInfo.updateFundingRate(message.data.fundingRate);
pendingTickerInfo.updateFundingTimestamp(new Date(message.data.fundingTs));
pendingTickerInfo.updateTimestamp(new Date(message.ts));
}
if (message.topic.endsWith('@openinterest')) {
pendingTickerInfo.updateOpenInterest(message.data.openInterest);
pendingTickerInfo.updateTimestamp(new Date(message.ts));
}
if (pendingTickerInfo.hasChanged()) {
yield pendingTickerInfo.getSnapshot(localTimestamp);
}
}
}
}
export class WooxBookTickerMapper {
canHandle(message) {
return message.topic !== undefined && message.topic.endsWith('@bbo');
}
getFilters(symbols) {
symbols = upperCaseSymbols(symbols);
return [
{
channel: 'bbo',
symbols
}
];
}
*map(wooxBBOMessage, localTimestamp) {
const wooxBookTicker = wooxBBOMessage.data;
const ticker = {
type: 'book_ticker',
symbol: wooxBookTicker.symbol,
exchange: 'woo-x',
askAmount: wooxBookTicker.askSize !== undefined ? wooxBookTicker.askSize : undefined,
askPrice: wooxBookTicker.ask !== undefined ? wooxBookTicker.ask : undefined,
bidPrice: wooxBookTicker.bid !== undefined ? wooxBookTicker.bid : undefined,
bidAmount: wooxBookTicker.bidSize !== undefined ? wooxBookTicker.bidSize : undefined,
timestamp: new Date(wooxBBOMessage.ts),
localTimestamp: localTimestamp
};
yield ticker;
}
}
//# sourceMappingURL=woox.js.map