Merge pull request #243 from evan-coygo/fix/bitfinex-ticker-seq

Bitfinex include sequenceId on ticker and trades

Author: bmancini55

__tests__/exchanges/bitfinex-client.spec.js

@@ -49,11 +49,13 @@ testClient({
     hasBid: true,
     hasBidVolume: true,
     hasAsk: true,
+    hasSequenceId: true,
     hasAskVolume: true,
   },
 
   trade: {
     hasTradeId: true,
+    hasSequenceId: true,
   },
 
   l2snapshot: {

__tests__/test-runner.js

@@ -311,6 +311,12 @@ function testTickers(spec, state) {
         testUndefined(result, "ticker.timestamp");
       }
 
+      if (spec.ticker.hasSequenceId) {
+        testPositiveNumber(result, "ticker.sequenceId");
+      } else {
+        testUndefined(result, "ticker.sequenceId");
+      }
+
       let numberProps = [
         [spec.ticker.hasLast, "ticker.last"],
         [spec.ticker.hasOpen, "ticker.open"],
@@ -401,6 +407,12 @@ function testTrades(spec, state) {
         testUndefined(result, "trade.tradeId");
       }
 
+      if (spec.trade.hasSequenceId) {
+        testPositiveNumber(result, `trade.sequenceId`);
+      } else {
+        testUndefined(result, `trade.sequenceId`);
+      }
+
       if (spec.trade.tradeIdPattern) {
         it(`trade.tradeId should match pattern ${spec.trade.tradeIdPattern}`, () => {
           expect(result.trade.tradeId).to.match(spec.trade.tradeIdPattern);

src/exchanges/bitfinex-client.js

@@ -182,13 +182,15 @@ class BitfinexClient extends BasicClient {
 
   _onTicker(msg, market) {
     let msgBody = msg[1];
+    const sequenceId = Number(msg[2]);
     let [bid, bidSize, ask, askSize, change, changePercent, last, volume, high, low] = msgBody;
     let open = last + change;
     let ticker = new Ticker({
       exchange: "Bitfinex",
       base: market.base,
       quote: market.quote,
       timestamp: Date.now(),
+      sequenceId,
       last: last.toFixed(8),
       open: open.toFixed(8),
       high: high.toFixed(8),
@@ -207,6 +209,7 @@ class BitfinexClient extends BasicClient {
   _onTradeMessage(msg, market) {
     // example msg: [ 359491, 'tu', [ 560287312, 1609712228656, 0.005, 33432 ], 6 ]
     let [id, unix, amount, price] = msg[2];
+    const sequenceId = Number(msg[3]);
 
     let side = amount > 0 ? "buy" : "sell";
     price = price.toFixed(8);
@@ -216,6 +219,7 @@ class BitfinexClient extends BasicClient {
       base: market.base,
       quote: market.quote,
       tradeId: id.toFixed(),
+      sequenceId,
       unix: unix,
       side,
       price,
@@ -240,7 +244,7 @@ class BitfinexClient extends BasicClient {
   */
     let bids = [];
     let asks = [];
-    const sequence = Number(msg[2]);
+    const sequenceId = Number(msg[2]);
     const timestampMs = msg[3];
     for (let [price, count, size] of msg[1]) {
       let isBid = size > 0;
@@ -252,7 +256,7 @@ class BitfinexClient extends BasicClient {
       exchange: "Bitfinex",
       base: market.base,
       quote: market.quote,
-      sequenceId: sequence,
+      sequenceId,
       timestampMs,
       bids,
       asks,
@@ -263,7 +267,7 @@ class BitfinexClient extends BasicClient {
   _onLevel2Update(msg, market) {
     // example msg: [ 646750, [ 30927, 5, 0.0908 ], 19, 1609794565952 ]
     let [price, count, size] = msg[1];
-    let sequence = Number(msg[2]);
+    const sequenceId = Number(msg[2]);
     const timestampMs = msg[3];
 
     if (!price.toFixed) return;
@@ -281,7 +285,7 @@ class BitfinexClient extends BasicClient {
       exchange: "Bitfinex",
       base: market.base,
       quote: market.quote,
-      sequenceId: sequence,
+      sequenceId,
       timestampMs,
       asks,
       bids,
@@ -307,7 +311,7 @@ class BitfinexClient extends BasicClient {
     let asks = [];
 
     let orders = msg[1];
-    let sequence = Number(msg[2]);
+    const sequenceId = Number(msg[2]);
     const timestampMs = msg[3];
 
     for (let [orderId, price, size] of orders) {
@@ -319,7 +323,7 @@ class BitfinexClient extends BasicClient {
       exchange: "Bitfinex",
       base: market.base,
       quote: market.quote,
-      sequenceId: sequence,
+      sequenceId,
       timestampMs,
       asks,
       bids,
@@ -333,7 +337,7 @@ class BitfinexClient extends BasicClient {
     let asks = [];
 
     let [orderId, price, size] = msg[1];
-    let sequence = Number(msg[2]);
+    const sequenceId = Number(msg[2]);
     const timestampMs = msg[3];
 
     let point = new Level3Point(orderId.toFixed(), price.toFixed(8), Math.abs(size).toFixed(8));
@@ -344,7 +348,7 @@ class BitfinexClient extends BasicClient {
       exchange: "Bitfinex",
       base: market.base,
       quote: market.quote,
-      sequenceId: sequence,
+      sequenceId,
       timestampMs,
       asks,
       bids,

src/ticker.js

@@ -4,6 +4,7 @@ class Ticker {
     base,
     quote,
     timestamp,
+    sequenceId,
     last,
     open,
     high,
@@ -21,6 +22,7 @@ class Ticker {
     this.base = base;
     this.quote = quote;
     this.timestamp = timestamp;
+    this.sequenceId = sequenceId;
     this.last = last;
     this.open = open;
     this.high = high;