Cexio client fix of ticker subscription + implementation of l2update

Issue: #310

src/exchanges/CexClient.ts

@@ -3,6 +3,7 @@
 /* eslint-disable @typescript-eslint/no-unsafe-assignment */
 
 import * as crypto from "crypto";
+import { Level2Update } from "..";
 import { BasicClient } from "../BasicClient";
 import { BasicMultiClient } from "../BasicMultiClient";
 import { Candle } from "../Candle";
@@ -85,6 +86,7 @@ export class CexClient extends BasicMultiClient {
  this.hasTrades = true;
  this.hasCandles = true;
  this.hasLevel2Snapshots = true;
+ this.hasLevel2Updates = true;
  this.candlePeriod = CandlePeriod._1m;
  }
 
@@ -104,11 +106,10 @@ export class SingleCexClient extends BasicClient {
  public hasTrades: boolean;
  public hasCandles: boolean;
  public hasLevel2Snapshots: boolean;
+ public hasLevel2Updates: boolean;
  public authorized: boolean;
  public parent: CexClient;
 
- protected _sendSubLevel2Updates = NotImplementedFn;
- protected _sendUnsubLevel2Updates = NotImplementedFn;
  protected _sendSubLevel3Snapshots = NotImplementedFn;
  protected _sendUnsubLevel3Snapshots = NotImplementedFn;
  protected _sendSubLevel3Updates = NotImplementedFn;
@@ -137,6 +138,7 @@ export class SingleCexClient extends BasicClient {
  this.hasTrades = true;
  this.hasCandles = true;
  this.hasLevel2Snapshots = true;
+ this.hasLevel2Updates = true;
  this.authorized = false;
  this.parent = parent;
  }
@@ -181,15 +183,18 @@ export class SingleCexClient extends BasicClient {
  }
  }
 
- protected _sendSubTicker() {
- if (!this.authorized) return;
- this._wss.send(
- JSON.stringify({
- e: "subscribe",
- rooms: ["tickers"],
- }),
- );
- }
+ protected _sendSubTicker(remote_id: string) {
+ const [base, quote] = remote_id.split('/');
+
+ if (!this.authorized)
+ return;
+ this._wss.send(JSON.stringify({
+ e: "ticker",
+ data: [
+ base, quote
+ ]
+ }));
+ }
 
  protected _sendUnsubTicker() {
  //
@@ -238,6 +243,28 @@ export class SingleCexClient extends BasicClient {
  //
  }
 
+ protected _sendSubLevel2Updates(remote_id: string) {
+ const [base, quote] = remote_id.split('/');
+
+ if (!this.authorized) return;
+ this._wss.send(
+ JSON.stringify({
+ e: "order-book-subscribe",
+ data: {
+ pair: [
+ base,
+ quote
+ ],
+ subscribe: true,
+ depth: -1,
+ }})
+ );
+ }
+
+ protected _sendUnsubLevel2Updates() {
+ //
+ }
+
  protected _onMessage(raw: any) {
  const message = JSON.parse(raw);
  const { e, data } = message;
@@ -262,16 +289,15 @@ export class SingleCexClient extends BasicClient {
  return;
  }
 
- if (e === "tick") {
- // {"e":"tick","data":{"symbol1":"BTC","symbol2":"USD","price":"4244.4","open24":"4248.4","volume":"935.58669239"}}
- const marketId = `${data.symbol1}/${data.symbol2}`;
+ if (e === "ticker") {
+ const marketId = `${data.pair[0]}/${data.pair[1]}`;
  const market = this._tickerSubs.get(marketId);
  if (!market) return;
 
  const ticker = this._constructTicker(data, market);
  this.emit("ticker", ticker, market);
  return;
- }
+  }
 
  if (e === "md") {
  const marketId = data.pair.replace(":", "/");
@@ -283,6 +309,16 @@ export class SingleCexClient extends BasicClient {
  return;
  }
 
+ if (e === "md_update") {
+ const marketId = data.pair.replace(":", "/");
+ const market = this._level2UpdateSubs.get(marketId);
+ if (!market) return;
+
+ const result = this._constructevel2Update(data, market);
+ this.emit("l2update", result, market);
+ return;
+ }
+
  if (e === "history") {
  const marketId = this.market.id;
  const market = this._tradeSubs.get(marketId);
@@ -321,27 +357,24 @@ export class SingleCexClient extends BasicClient {
  }
  }
 
- protected _constructTicker(data: any, market: Market) {
- // {"e":"tick","data":{"symbol1":"BTC","symbol2":"USD","price":"4244.4","open24":"4248.4","volume":"935.58669239"}}
- const { open24, price, volume } = data;
- const change = parseFloat(price) - parseFloat(open24);
- const changePercent =
- open24 !== 0
- ? ((parseFloat(price) - parseFloat(open24)) / parseFloat(open24)) * 100
- : 0;
-
+ protected _constructTicker(data, market) {
+
+ const { timestamp, low, high, last, volume, bid, ask, priceChange, priceChangePercentage } = data;
  return new Ticker({
- exchange: this.name,
- base: market.base,
- quote: market.quote,
- timestamp: Date.now(),
- last: price,
- open: open24,
- volume: volume,
- change: change.toFixed(8),
- changePercent: changePercent.toFixed(8),
+ exchange: this.name,
+ base: market.base,
+ quote: market.quote,
+ timestamp,
+ low,
+ high,
+ last,
+ volume,
+ bid,
+ ask,
+ change: priceChange,
+ changePercent: priceChangePercentage
  });
- }
+  }
 
  protected _constructevel2Snapshot(msg: any, market: Market) {
  const asks = msg.sell.map(
@@ -360,6 +393,24 @@ export class SingleCexClient extends BasicClient {
  bids,
  });
  }
+
+ protected _constructevel2Update(msg: any, market: Market) {
+ const asks = msg.asks.map(
+ p => new Level2Point(p[0].toFixed(8), p[1], undefined, undefined, Date.now()),
+ );
+ const bids = msg.bids.map(
+ p => new Level2Point(p[0].toFixed(8), p[1], undefined, undefined, Date.now()),
+ );
+
+ return new Level2Update({
+ exchange: this.name,
+ base: market.base,
+ quote: market.quote,
+ sequenceId: msg.id,
+ asks,
+ bids,
+ });
+ }
 
  protected _constructTrade(data: any, market: Market) {
  //["buy","1543967891439","4110282","3928.1","9437977"]