DxFeed only return O

.changeset/yellow-laws-repeat.md

@@ -0,0 +1,5 @@
+---
+'@chainlink/dxfeed-adapter': minor
+---
+
+Only use O exchange for overnight

packages/sources/dxfeed/src/endpoint/stock-quotes.ts

@@ -16,6 +16,11 @@ export const stockQuotesInputParameters = new InputParameters({
     description: 'If true, throw error if bid/ask volume is invalid',
     type: 'boolean',
   },
+  isOvernight: {
+    default: false,
+    description: 'If true, only accept O exchange codes for bid and ask',
+    type: 'boolean',
+  },
 })
 
 export type BaseEndpointTypes = {

packages/sources/dxfeed/src/transport/stock-quotes.ts

@@ -1,4 +1,4 @@
-import { makeLogger } from '@chainlink/external-adapter-framework/util'
+import { makeLogger, splitArrayIntoChunks } from '@chainlink/external-adapter-framework/util'
 import { BaseEndpointTypes } from '../endpoint/stock-quotes'
 import { buildWsTransport } from './ws'
 
@@ -8,9 +8,11 @@ const logger = makeLogger('StockQuotesTransport')
 //  "bidPrice","bidSize","askTime","askExchangeCode","askPrice","askSize"]
 const eventSymbolIndex = 0
 const bidTimeIndex = 4
+const bidExchangeCodeIndex = 5
 const bidPriceIndex = 6
 const bidSizeIndex = 7
 const askTimeIndex = 8
+const askExchangeCodeIndex = 9
 const askPriceIndex = 10
 const askSizeIndex = 11
 const dataLength = 12
@@ -30,28 +32,28 @@ export const transport = buildWsTransport<BaseEndpointTypes>(
       return []
     }
 
-    return Array.from({ length: data.length / dataLength }, (_, i) => i * dataLength)
-      .map((i) => generateResponse(data, i))
-      .flat()
+    return splitArrayIntoChunks(data, dataLength).flatMap((chunk) => generateResponse(chunk))
   },
 )
 
-const generateResponse = (data: (string | number)[], i: number) => {
-  const bidVolume = Number(data[i + bidSizeIndex])
-  const askVolume = Number(data[i + askSizeIndex])
+const generateResponse = (data: (string | number)[]) => {
+  const bidVolume = Number(data[bidSizeIndex])
+  const askVolume = Number(data[askSizeIndex])
   const invalidVolume = Number.isNaN(Number(bidVolume)) || Number.isNaN(Number(askVolume))
-  const bidPrice = Number(data[i + bidPriceIndex])
-  const askPrice = Number(data[i + askPriceIndex])
+  const bidPrice = Number(data[bidPriceIndex])
+  const askPrice = Number(data[askPriceIndex])
 
-  const params = { base: data[i + eventSymbolIndex].toString() }
+  const params = { base: data[eventSymbolIndex].toString() }
   if (Number.isNaN(bidPrice) || Number.isNaN(askPrice)) {
     const response = {
       statusCode: 502,
       errorMessage: `Bid price: ${bidPrice} or Ask price: ${askPrice} for ${params.base} is invalid.`,
     }
     return [
-      { params: { ...params, requireVolume: false }, response },
-      { params: { ...params, requireVolume: true }, response },
+      { params: { ...params, requireVolume: false, isOvernight: true }, response },
+      { params: { ...params, requireVolume: true, isOvernight: true }, response },
+      { params: { ...params, requireVolume: false, isOvernight: false }, response },
+      { params: { ...params, requireVolume: true, isOvernight: false }, response },
     ]
   }
 
@@ -75,23 +77,35 @@ const generateResponse = (data: (string | number)[], i: number) => {
       ask_volume: askVolume,
     },
     timestamps: {
-      providerIndicatedTimeUnixMs: Math.max(
-        Number(data[i + bidTimeIndex]),
-        Number(data[i + askTimeIndex]),
-      ),
+      providerIndicatedTimeUnixMs: Math.max(Number(data[bidTimeIndex]), Number(data[askTimeIndex])),
     },
   }
 
-  return [
-    { params: { ...params, requireVolume: false }, response },
+  const requireVolumeResponse = invalidVolume
+    ? {
+        statusCode: 502,
+        errorMessage: `Bid volume: ${bidVolume} or Ask volume: ${askVolume} for ${params.base} is invalid.`,
+      }
+    : response
+
+  const responses = [
+    { params: { ...params, requireVolume: false, isOvernight: false }, response },
     {
-      params: { ...params, requireVolume: true },
-      response: invalidVolume
-        ? {
-            statusCode: 502,
-            errorMessage: `Bid volume: ${bidVolume} or Ask volume: ${askVolume} for ${params.base} is invalid.`,
-          }
-        : response,
+      params: { ...params, requireVolume: true, isOvernight: false },
+      response: requireVolumeResponse,
     },
   ]
+
+  if (data[bidExchangeCodeIndex] === 'O' && data[askExchangeCodeIndex] === 'O') {
+    responses.push({
+      params: { ...params, requireVolume: false, isOvernight: true },
+      response,
+    })
+    responses.push({
+      params: { ...params, requireVolume: true, isOvernight: true },
+      response: requireVolumeResponse,
+    })
+  }
+
+  return responses
 }

packages/sources/dxfeed/test/integration/__snapshots__/adapter-ws.test.ts.snap

@@ -33,6 +33,44 @@ exports[`websocket quote endpoint error when data length is not valid 1`] = `
 }
 `;
 
+exports[`websocket quote endpoint return O when isOvernight 1`] = `
+{
+  "data": {
+    "ask_price": 172,
+    "ask_volume": 100,
+    "bid_price": 170,
+    "bid_volume": 148,
+    "mid_price": 171,
+  },
+  "result": null,
+  "statusCode": 200,
+  "timestamps": {
+    "providerDataReceivedUnixMs": 1018,
+    "providerDataStreamEstablishedUnixMs": 1010,
+    "providerIndicatedTimeUnixMs": 1670868378000,
+  },
+}
+`;
+
+exports[`websocket quote endpoint return X when not isOvernight 1`] = `
+{
+  "data": {
+    "ask_price": 172.1,
+    "ask_volume": 100.1,
+    "bid_price": 170.1,
+    "bid_volume": 148.1,
+    "mid_price": 171.1,
+  },
+  "result": null,
+  "statusCode": 200,
+  "timestamps": {
+    "providerDataReceivedUnixMs": 1018,
+    "providerDataStreamEstablishedUnixMs": 1010,
+    "providerIndicatedTimeUnixMs": 1670868378000,
+  },
+}
+`;
+
 exports[`websocket quote endpoint should return ask when bid is 0 1`] = `
 {
   "data": {

packages/sources/dxfeed/test/integration/adapter-ws.test.ts

@@ -39,6 +39,10 @@ describe('websocket', () => {
     base: 'MULTI_2',
     endpoint: 'stock_quotes',
   }
+  const quoteOXData = {
+    base: 'OX',
+    endpoint: 'stock_quotes',
+  }
 
   beforeAll(async () => {
     oldEnv = JSON.parse(JSON.stringify(process.env))
@@ -173,5 +177,15 @@ describe('websocket', () => {
       })
       expect(response.json()).toMatchSnapshot()
     })
+
+    it('return O when isOvernight', async () => {
+      const response = await testAdapter.request({ ...quoteOXData, isOvernight: true })
+      expect(response.json()).toMatchSnapshot()
+    })
+
+    it('return X when not isOvernight', async () => {
+      const response = await testAdapter.request({ ...quoteOXData })
+      expect(response.json()).toMatchSnapshot()
+    })
   })
 })

packages/sources/dxfeed/test/integration/fixtures.ts

@@ -57,7 +57,7 @@ export const mockWebSocketServer = (URL: string): MockWebsocketServer => {
     {
       data: [
         'Quote',
-        ['TSLA', 0, 0, 0, 1670868378000, 'V', 170.0, 148.0, 1670868370000, 'V', 172.0, 100.0],
+        ['TSLA', 0, 0, 0, 1670868378000, 'O', 170.0, 148.0, 1670868370000, 'O', 172.0, 100.0],
       ],
       channel: '/service/data',
     },
@@ -67,8 +67,8 @@ export const mockWebSocketServer = (URL: string): MockWebsocketServer => {
       data: [
         'Quote',
         [
-          ...['MULTI_1', 1, 2, 3, 4, 'V', 5, 6, 7, 'V', 8, 9],
-          ...['MULTI_2', 10, 11, 12, 13, 'V', 14, 15, 16, 'V', 17, 18],
+          ...['MULTI_1', 1, 2, 3, 4, 'O', 5, 6, 7, 'O', 8, 9],
+          ...['MULTI_2', 10, 11, 12, 13, 'O', 14, 15, 16, 'O', 17, 18],
         ],
       ],
       channel: '/service/data',
@@ -78,7 +78,7 @@ export const mockWebSocketServer = (URL: string): MockWebsocketServer => {
     {
       data: [
         'Quote',
-        ['NO_BID', 0, 0, 0, 1670868378000, 'V', 0, 148.0, 1670868370000, 'V', 172.0, 100.0],
+        ['NO_BID', 0, 0, 0, 1670868378000, 'O', 0, 148.0, 1670868370000, 'O', 172.0, 100.0],
       ],
       channel: '/service/data',
     },
@@ -87,7 +87,7 @@ export const mockWebSocketServer = (URL: string): MockWebsocketServer => {
     {
       data: [
         'Quote',
-        ['NO_ASK', 0, 0, 0, 1670868378000, 'V', 170.0, 148.0, 1670868370000, 'V', 0, 100.0],
+        ['NO_ASK', 0, 0, 0, 1670868378000, 'O', 170.0, 148.0, 1670868370000, 'O', 0, 100.0],
       ],
       channel: '/service/data',
     },
@@ -96,7 +96,7 @@ export const mockWebSocketServer = (URL: string): MockWebsocketServer => {
     {
       data: [
         'Quote',
-        ['NO_VOLUME', 0, 0, 0, 1670868378000, 'V', 170.0, 'NaN', 1670868370000, 'V', 172.0, 'NaN'],
+        ['NO_VOLUME', 0, 0, 0, 1670868378000, 'O', 170.0, 'NaN', 1670868370000, 'O', 172.0, 'NaN'],
       ],
       channel: '/service/data',
     },
@@ -105,7 +105,7 @@ export const mockWebSocketServer = (URL: string): MockWebsocketServer => {
     {
       data: [
         'Quote',
-        ['INVALID_DATA', 0, 0, 0, 1670868378000, 'V', 170.0, 148.0, 1670868370000, 'V', 0],
+        ['INVALID_DATA', 0, 0, 0, 1670868378000, 'O', 170.0, 148.0, 1670868370000, 'O', 0],
       ],
       channel: '/service/data',
     },
@@ -114,7 +114,7 @@ export const mockWebSocketServer = (URL: string): MockWebsocketServer => {
     {
       data: [
         'Quote',
-        ['NULL_BID', 0, 0, 0, 1670868378000, 'V', 'NaN', 148.0, 1670868370000, 'V', 172.0, 100.0],
+        ['NULL_BID', 0, 0, 0, 1670868378000, 'O', 'NaN', 148.0, 1670868370000, 'O', 172.0, 100.0],
       ],
       channel: '/service/data',
     },
@@ -123,7 +123,25 @@ export const mockWebSocketServer = (URL: string): MockWebsocketServer => {
     {
       data: [
         'Quote',
-        ['NULL_ASK', 0, 0, 0, 1670868378000, 'V', 170.0, 148.0, 1670868370000, 'V', 'NaN', 100.0],
+        ['NULL_ASK', 0, 0, 0, 1670868378000, 'O', 170.0, 148.0, 1670868370000, 'O', 'NaN', 100.0],
+      ],
+      channel: '/service/data',
+    },
+  ]
+  const quoteReponseInO = [
+    {
+      data: [
+        'Quote',
+        ['OX', 0, 0, 0, 1670868378000, 'O', 170.0, 148.0, 1670868370000, 'O', 172.0, 100.0],
+      ],
+      channel: '/service/data',
+    },
+  ]
+  const quoteReponseInX = [
+    {
+      data: [
+        'Quote',
+        ['OX', 0, 0, 0, 1670868378000, 'O', 170.1, 148.1, 1670868370000, 'X', 172.1, 100.1],
       ],
       channel: '/service/data',
     },
@@ -316,6 +334,8 @@ export const mockWebSocketServer = (URL: string): MockWebsocketServer => {
       socket.send(JSON.stringify(invalidQuoteReponse))
       socket.send(JSON.stringify(nullBidQuoteResponse))
       socket.send(JSON.stringify(nullAskQuoteResponse))
+      socket.send(JSON.stringify(quoteReponseInO))
+      socket.send(JSON.stringify(quoteReponseInX))
       socket.send(JSON.stringify(tradeResponse))
       socket.send(JSON.stringify(tradeResponseIgnored))
       socket.send(JSON.stringify(tradeResponseOvernight))