tlab-trading-toolkit/declarations/src/core/Messages.d.ts

A trading toolkit for building advanced trading bots on the GDAX platform

/***************************************************************************************************************************
 * @license                                                                                                                *
 * Copyright 2017 Coinbase, Inc.                                                                                           *
 *                                                                                                                         *
 * Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance          *
 * with the License. You may obtain a copy of the License at                                                               *
 *                                                                                                                         *
 * http://www.apache.org/licenses/LICENSE-2.0                                                                              *
 *                                                                                                                         *
 * Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on     *
 * an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the                      *
 * License for the specific language governing permissions and limitations under the License.                              *
 ***************************************************************************************************************************/
import { OrderbookState } from '../lib/Orderbook';
import { Ticker } from '../exchanges/PublicExchangeAPI';
/**
 * Interfaces for the GTT Stream message types. These messages are generated and passed on my the GTT streaming
 * infrastructure. The `type` field is conventionally named after the interface, first letter lowercased,  with the word Message
 * stripped out, so e.g. HeartbeatMessage => heartbeat and NewOrderMessage => newOrder
 */
export interface StreamMessage {
    type: string;
    time: Date;
}
export declare function isStreamMessage(msg: any): boolean;
export interface ErrorMessage {
    message: string;
}
export interface UnknownMessage extends StreamMessage {
    sequence?: number;
    productId?: string;
    message: any;
}
/**
 * Root definition for messages that stem from a websocket feed
 */
export interface OrderbookMessage extends StreamMessage {
    sequence: number;
    sourceSequence?: number;
    productId: string;
    side: string;
}
export declare function isOrderbookMessage(msg: any): boolean;
/**
 * Message representing the common state for a resting order (for an order request, see PlaceOrderRequest)
 */
export interface BaseOrderMessage extends OrderbookMessage {
    orderId: string;
    price: string;
}
export declare function isOrderMessage(msg: any): boolean;
/**
 * In order-level books, represents a new order.
 *
 * `orderType` is market, limit, stop
 */
export interface NewOrderMessage extends BaseOrderMessage {
    size: string;
}
/**
 * In order-level books, means an order has been filled, or cancelled. RemainingSize indicated how much of the order
 * was left unfilled if it was cancelled
 */
export interface OrderDoneMessage extends BaseOrderMessage {
    reason: string;
    remainingSize: string;
}
/**
 * In order-level books, means the size of an existing order has changed. Either `newSize` (which replaces the old value)
 * or changedAmount (which adds to the old value) must be specified.
 */
export interface ChangedOrderMessage extends BaseOrderMessage {
    newSize?: string;
    changedAmount?: string;
}
/**
 * Represents a price-level change in an orderbook. The `size` parameter represents the new size of the level and should
 * replace the old one.
 */
export interface LevelMessage extends OrderbookMessage {
    price: string;
    size: string;
    count: number;
}
/**
 * Reflects a trade that has taken place. This message does not impact the orderbook, and as such does not carry a
 * sequence field. A corresponding `level`, `done`, or 'change` message will also be sent.
 */
export interface TradeMessage extends StreamMessage {
    productId: string;
    side: string;
    tradeId: string;
    price: string;
    size: string;
}
export interface SnapshotMessage extends StreamMessage, OrderbookState {
    productId: string;
}
export interface TickerMessage extends StreamMessage, Ticker {
    productId: string;
}
/**
 * A new order request message. Only the most common fields are specified here. Additional options can be specified
 * in the extra field, which can be handled by the target trade engine.
 */
export interface PlaceOrderMessage extends StreamMessage {
    productId: string;
    clientId?: string;
    side: string;
    orderType: string;
    price?: string;
    postOnly?: boolean;
    size?: string;
    funds?: string;
    extra?: any;
}
export interface CancelOrderRequestMessage extends StreamMessage {
    type: string;
    orderId: string;
}
/**
 * Emitted from a feed when one of my orders has been matched. (An authenticated feed is required)
 */
export interface TradeExecutedMessage extends StreamMessage {
    productId: string;
    orderId: string;
    side: string;
    price: string;
    orderType: string;
    tradeSize: string;
    remainingSize: string;
}
export interface TradeFinalizedMessage extends StreamMessage {
    productId: string;
    orderId: string;
    side: string;
    remainingSize: string;
    reason: string;
}
export interface MyOrderPlacedMessage extends StreamMessage {
    productId: string;
    orderId: string;
    side: string;
    price: string;
    orderType: string;
    size: string;
    sequence: number;
}