Fix conflicts from merge from master

altangent · Jun 8, 2021 · 855766d · 855766d
2 parents 0085e77 + 2fec654
commit 855766d
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Showing 5 changed files with 156 additions and 35 deletions.
diff --git a/package-lock.json b/package-lock.json
diff --git a/package.json b/package.json
@@ -1,6 +1,6 @@
 {
  "name": "ccxws",
- "version": "0.43.1",
+ "version": "0.45.0",
  "description": "Websocket client for 37 cryptocurrency exchanges",
  "keywords": [
  "bitmex",

diff --git a/src/exchanges/BinanceBase.ts b/src/exchanges/BinanceBase.ts
@@ -54,6 +54,7 @@ export type BinanceClientOptions = {
  l2updateSpeed?: string;
  l2snapshotSpeed?: string;
  testNet?: boolean;
+ batchTickers?: boolean;
 };
 
 export class BinanceBase extends BasicClient {
@@ -62,6 +63,7 @@ export class BinanceBase extends BasicClient {
  public l2snapshotSpeed: string;
  public requestSnapshot: boolean;
  public candlePeriod: CandlePeriod;
+ public batchTickers: boolean;
 
  protected _messageId: number;
  protected _restL2SnapshotPath: string;
@@ -83,6 +85,7 @@ export class BinanceBase extends BasicClient {
  restThrottleMs = 1000,
  l2updateSpeed = "",
  l2snapshotSpeed = "",
+ batchTickers = true,
  }: BinanceClientOptions = {}) {
  super(wssPath, name, undefined, watcherMs);
 
@@ -97,6 +100,7 @@ export class BinanceBase extends BasicClient {
  this.hasCandles = true;
  this.hasLevel2Snapshots = true;
  this.hasLevel2Updates = true;
+ this.batchTickers = batchTickers;
 
  this._messageId = 0;
  this._tickersActive = false;
@@ -123,28 +127,48 @@ export class BinanceBase extends BasicClient {
  super._onClosing();
  }
 
- protected _sendSubTicker() {
- if (this._tickersActive) return;
- this._tickersActive = true;
- this._wss.send(
- JSON.stringify({
- method: "SUBSCRIBE",
- params: ["!ticker@arr"],
- id: ++this._messageId,
- }),
- );
+ protected _sendSubTicker(remote_id: string) {
+ if (this.batchTickers) {
+ if (this._tickersActive) return;
+ this._tickersActive = true;
+ this._wss.send(
+ JSON.stringify({
+ method: "SUBSCRIBE",
+ params: ["!ticker@arr"],
+ id: ++this._messageId,
+ }),
+ );
+ } else {
+ this._wss.send(
+ JSON.stringify({
+ method: "SUBSCRIBE",
+ params: [`${remote_id.toLowerCase()}@ticker`],
+ id: ++this._messageId,
+ }),
+ );
+ }
  }
 
- protected _sendUnsubTicker() {
- if (this._tickerSubs.size > 1) return;
- this._tickersActive = false;
- this._wss.send(
- JSON.stringify({
- method: "UNSUBSCRIBE",
- params: ["!ticker@arr"],
- id: ++this._messageId,
- }),
- );
+ protected _sendUnsubTicker(remote_id: string) {
+ if (this.batchTickers) {
+ if (this._tickerSubs.size > 1) return;
+ this._tickersActive = false;
+ this._wss.send(
+ JSON.stringify({
+ method: "UNSUBSCRIBE",
+ params: ["!ticker@arr"],
+ id: ++this._messageId,
+ }),
+ );
+ } else {
+ this._wss.send(
+ JSON.stringify({
+ method: "UNSUBSCRIBE",
+ params: [`${remote_id.toLowerCase()}@ticker`],
+ id: ++this._messageId,
+ }),
+ );
+ }
  }
 
  protected __batchSub(args: any[]) {

diff --git a/src/exchanges/BinanceClient.ts b/src/exchanges/BinanceClient.ts
@@ -13,6 +13,7 @@ export class BinanceClient extends BinanceBase {
  watcherMs,
  l2updateSpeed,
  l2snapshotSpeed,
+ batchTickers,
  }: BinanceClientOptions = {}) {
  if (testNet) {
  wssPath = "wss:https://testnet.binance.vision/stream";
@@ -30,6 +31,7 @@ export class BinanceClient extends BinanceBase {
  watcherMs,
  l2updateSpeed,
  l2snapshotSpeed,
+ batchTickers,
  });
  }
 }
diff --git a/src/exchanges/ledgerx-client.js b/src/exchanges/ledgerx-client.js
@@ -6,12 +6,12 @@ const Level3Update = require("../level3-update");
 const Level3Snapshot = require("../level3-snapshot");
 
 /**
- * LedgerX is defined in https://docs.ledgerx.com/reference#market-data-feed
+ * LedgerX is defined in https://docs.ledgerx.com/reference#connecting
  * This socket uses a unified stream for ALL market data. So we will leverage
  * subscription filtering to only reply with values that of are of interest.
  */
 class LedgerXClient extends BasicClient {
- constructor({ wssPath = "wss:https://trade.ledgerx.com/api/ws?token=", apiKey, watcherMs } = {}) {
+ constructor({ wssPath = "wss:https://api.ledgerx.com/ws?token=", apiKey, watcherMs } = {}) {
  super(wssPath + apiKey, "LedgerX", undefined, watcherMs);
 
  this.hasTrades = true;
@@ -31,6 +31,8 @@ class LedgerXClient extends BasicClient {
  _sendUnSubLevel3Updates() {}
 
  _onMessage(msg) {
+ this.emit("raw", msg);
+
  const json = JSON.parse(msg);
 
  if (json.type === "auth_success") {
@@ -41,15 +43,15 @@ class LedgerXClient extends BasicClient {
  return;
  }
 
- if (json.type === "exposure_reports") {
+ if (json.positions !== undefined) {
  return;
  }
 
- if (json.type === "open_positions_update") {
+ if (json.collateral !== undefined) {
  return;
  }
 
- if (json.type === "collateral_balance_update") {
+ if (json.type === "exposure_reports") {
  return;
  }
 
@@ -76,7 +78,7 @@ class LedgerXClient extends BasicClient {
  return;
  }
 
- // trade event
+ // trade event, filled either partial or fully
  if (json.status_type === 201) {
  // check for trade subscription
  let market =
@@ -110,6 +112,18 @@ class LedgerXClient extends BasicClient {
  this.emit("l3update", update, market, json);
  return;
  }
+
+ // cancelled and replaced event
+ if (json.status_type === 204) {
+ const market =
+ this._level3UpdateSubs.get(json.contract_id) ||
+ this._level3UpdateSubs.get(json.contract_id.toString());
+ if (!market) return;
+
+ const update = this._constructL3Replace(json, market);
+ this.emit("l3update", update, market, json);
+ return;
+ }
  }
  }
 
@@ -125,7 +139,7 @@ class LedgerXClient extends BasicClient {
  let bids = [];
  for (let row of data.book_states) {
  let orderId = row.mid;
- let price = (row.price / 100).toFixed(2);
+ let price = row.price.toFixed(2);
  let size = row.size.toFixed();
  let point = new Level3Point(orderId, price, size);
  if (row.is_ask) asks.push(point);
@@ -212,10 +226,13 @@ class LedgerXClient extends BasicClient {
  amount: msg.filled_size.toFixed(8),
  buyOrderId,
  sellOrderId,
+ open_interest: msg.open_interest,
  });
  }
 
  /**
+ * 200 - A resting limit order of size inserted_size @ price
+ * inserted_price was inserted into book depth.
  {
  inserted_time: 1597176131501325800,
  timestamp: 1597176131501343700,
@@ -242,7 +259,7 @@ class LedgerXClient extends BasicClient {
  }
  */
  _constructL3Insert(msg, market) {
- let price = (msg.price / 100).toFixed(8);
+ let price = msg.price.toFixed(8);
  let size = msg.inserted_size.toFixed(8);
  let point = new Level3Point(msg.mid, price, size, {
  order_type: msg.order_type,
@@ -283,6 +300,8 @@ class LedgerXClient extends BasicClient {
  }
 
  /**
+ * 201 - A cross of size filled_size @ price filled_price occurred.
+ * Subtract filled_size from the resting size for this order.
  {
  mid: '885be81549974faf88e4430f6046513d',
  filled_size: 5,
@@ -309,7 +328,7 @@ class LedgerXClient extends BasicClient {
  }
  */
  _constructL3Trade(msg, market) {
- let price = (msg.original_price / 100).toFixed(8);
+ let price = msg.original_price.toFixed(8);
  let size = (msg.original_size - msg.filled_size).toFixed(8);
  let point = new Level3Point(msg.mid, price, size, {
  order_type: msg.order_type,
@@ -329,6 +348,7 @@ class LedgerXClient extends BasicClient {
  price: msg.price,
  size: msg.size,
  vwap: msg.vwap,
+ open_interest: msg.open_interest,
  });
 
  let asks = [];
@@ -350,6 +370,7 @@ class LedgerXClient extends BasicClient {
  }
 
  /**
+ * 203 - An order was cancelled. Remove this order from book depth.
  {
  inserted_time: 1597176853952381700,
  timestamp: 1597176857137740800,
@@ -376,7 +397,7 @@ class LedgerXClient extends BasicClient {
  }
  */
  _constructL3Cancel(msg, market) {
- let price = (msg.original_price / 100).toFixed(8);
+ let price = msg.original_price.toFixed(8);
  let size = (0).toFixed(8);
  let point = new Level3Point(msg.mid, price, size, {
  order_type: msg.order_type,
@@ -396,6 +417,80 @@ class LedgerXClient extends BasicClient {
  price: msg.price,
  size: msg.size,
  vwap: msg.vwap,
+ open_interest: msg.open_interest,
+ });
+
+ let asks = [];
+ let bids = [];
+
+ if (msg.is_ask) asks.push(point);
+ else bids.push(point);
+
+ return new Level3Update({
+ exchange: this._name,
+ base: market.base,
+ quote: market.quote,
+ sequenceId: msg.clock,
+ timestampMs: Math.floor(msg.inserted_time / 1e6),
+ runId: this.runId,
+ asks,
+ bids,
+ });
+ }
+
+ /**
+ * 204 - An order was cancelled and replaced. The new order retains the
+ * existing mid, and can only reflect an update in size and not price.
+ * Overwrite the resting order size with inserted_size.
+ *
+ {
+ "status_type": 204,
+ "inserted_size": 12,
+ "original_price": 59000,
+ "open_interest": 121,
+ "filled_size": 0,
+ "updated_time": 1623074768372895949,
+ "clock": 40011,
+ "size": 12,
+ "timestamp": 1623074768372897897,
+ "status_reason": 0,
+ "vwap": 0,
+ "inserted_time": 1623074764668677182,
+ "price": 59000,
+ "type": "action_report",
+ "is_ask": true,
+ "original_size": 12,
+ "order_type": "customer_limit_order",
+ "is_volatile": true,
+ "ticks": 25980094140252686,
+ "filled_price": 0,
+ "mid": "c071baaa458a411db184cb6874e86d69",
+ "inserted_price": 59000,
+ "contract_id": 22216779
+ }
+ */
+ _constructL3Replace(msg, market) {
+ let price = msg.original_price.toFixed(8);
+ let size = msg.inserted_size.toFixed(8);
+ let point = new Level3Point(msg.mid, price, size, {
+ order_type: msg.order_type,
+ status_type: msg.status_type,
+ status_reason: msg.status_reason,
+ is_volatile: msg.is_volatile,
+ timestamp: msg.timestamp,
+ ticks: msg.ticks,
+ inserted_time: msg.inserted_time,
+ updated_time: msg.updated_time,
+ original_price: msg.original_price,
+ original_size: msg.original_size,
+ inserted_price: msg.inserted_price,
+ inserted_size: msg.inserted_size,
+ filled_price: msg.filled_price,
+ filled_size: msg.filled_size,
+ price: msg.price,
+ size: msg.size,
+ vwap: msg.vwap,
+ open_interest: msg.open_interest,
  });
 
  let asks = [];