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Add binance and bybit uids #53

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b308fdb
Add binance and bybit uids
yuvadm Feb 26, 2024
31af529
Fix
yuvadm Mar 11, 2024
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13 changes: 8 additions & 5 deletions src/mappers/binance.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -8,7 +8,7 @@ import { Mapper, PendingTickerInfoHelper } from './mapper'
export class BinanceTradesMapper
implements Mapper<'binance' | 'binance-jersey' | 'binance-us' | 'binance-futures' | 'binance-delivery', Trade>
{
constructor(private readonly _exchange: Exchange) {}
constructor(private readonly _exchange: Exchange) { }

canHandle(message: BinanceResponse<any>) {
if (message.stream === undefined) {
Expand Down Expand Up @@ -60,7 +60,7 @@ export class BinanceBookChangeMapper
[key: string]: LocalDepthInfo
} = {}

constructor(protected readonly exchange: Exchange, protected readonly ignoreBookSnapshotOverlapError: boolean) {}
constructor(protected readonly exchange: Exchange, protected readonly ignoreBookSnapshotOverlapError: boolean) { }

canHandle(message: BinanceResponse<any>) {
if (message.stream === undefined) {
Expand Down Expand Up @@ -144,6 +144,7 @@ export class BinanceBookChangeMapper
isSnapshot: true,
bids: binanceDepthSnapshotData.bids.map(this.mapBookLevel),
asks: binanceDepthSnapshotData.asks.map(this.mapBookLevel),
uid: binanceDepthSnapshotData.lastUpdateId,
timestamp: binanceDepthSnapshotData.T !== undefined ? new Date(binanceDepthSnapshotData.T) : localTimestamp,
localTimestamp
}
Expand Down Expand Up @@ -201,6 +202,7 @@ export class BinanceBookChangeMapper

bids: binanceDepthUpdateData.b.map(this.mapBookLevel),
asks: binanceDepthUpdateData.a.map(this.mapBookLevel),
uid: binanceDepthUpdateData.u,
timestamp: new Date(binanceDepthUpdateData.E),
localTimestamp: localTimestamp
}
Expand Down Expand Up @@ -259,6 +261,7 @@ export class BinanceFuturesBookChangeMapper

bids: binanceDepthUpdateData.b.map(this.mapBookLevel),
asks: binanceDepthUpdateData.a.map(this.mapBookLevel),
uid: binanceDepthUpdateData.u,
timestamp: new Date(binanceDepthUpdateData.E),
localTimestamp: localTimestamp
}
Expand All @@ -269,7 +272,7 @@ export class BinanceFuturesDerivativeTickerMapper implements Mapper<'binance-fut
private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()
private readonly _indexPrices = new Map<string, number>()

constructor(protected readonly exchange: Exchange) {}
constructor(protected readonly exchange: Exchange) { }

canHandle(message: BinanceResponse<any>) {
if (message.stream === undefined) {
Expand Down Expand Up @@ -362,7 +365,7 @@ export class BinanceFuturesDerivativeTickerMapper implements Mapper<'binance-fut
}

export class BinanceLiquidationsMapper implements Mapper<'binance-futures' | 'binance-delivery', Liquidation> {
constructor(private readonly _exchange: Exchange) {}
constructor(private readonly _exchange: Exchange) { }

canHandle(message: BinanceResponse<any>) {
if (message.stream === undefined) {
Expand Down Expand Up @@ -407,7 +410,7 @@ export class BinanceLiquidationsMapper implements Mapper<'binance-futures' | 'bi
}

export class BinanceBookTickerMapper implements Mapper<'binance-futures' | 'binance-delivery' | 'binance', BookTicker> {
constructor(private readonly _exchange: Exchange) {}
constructor(private readonly _exchange: Exchange) { }

canHandle(message: BinanceResponse<any>) {
if (message.stream === undefined) {
Expand Down
143 changes: 72 additions & 71 deletions src/mappers/bybit.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -5,7 +5,7 @@ import { Mapper, PendingTickerInfoHelper } from './mapper'
// v5 https://bybit-exchange.github.io/docs/v5/ws/connect

export class BybitV5TradesMapper implements Mapper<'bybit' | 'bybit-spot' | 'bybit-options', Trade> {
constructor(private readonly _exchange: Exchange) {}
constructor(private readonly _exchange: Exchange) { }

canHandle(message: BybitV5Trade) {
if (message.topic === undefined) {
Expand Down Expand Up @@ -44,7 +44,7 @@ export class BybitV5TradesMapper implements Mapper<'bybit' | 'bybit-spot' | 'byb
}

export class BybitV5BookChangeMapper implements Mapper<'bybit' | 'bybit-spot' | 'bybit-options', BookChange> {
constructor(protected readonly _exchange: Exchange, private readonly _depth: number) {}
constructor(protected readonly _exchange: Exchange, private readonly _depth: number) { }

canHandle(message: BybitV5OrderBookMessage) {
if (message.topic === undefined) {
Expand All @@ -71,6 +71,7 @@ export class BybitV5BookChangeMapper implements Mapper<'bybit' | 'bybit-spot' |
isSnapshot: message.type === 'snapshot',
bids: message.data.b.map(this._mapBookLevel),
asks: message.data.a.map(this._mapBookLevel),
uid: message.data.seq,
timestamp: new Date(message.ts),
localTimestamp
} as const
Expand All @@ -91,7 +92,7 @@ export class BybitV5BookTickerMapper implements Mapper<'bybit' | 'bybit-spot', B
}
} = {}

constructor(protected readonly _exchange: Exchange) {}
constructor(protected readonly _exchange: Exchange) { }

canHandle(message: BybitV5OrderBookMessage) {
if (message.topic === undefined) {
Expand Down Expand Up @@ -211,7 +212,7 @@ export class BybitV5DerivativeTickerMapper implements Mapper<'bybit', Derivative
}

export class BybitV5LiquidationsMapper implements Mapper<'bybit', Liquidation> {
constructor(private readonly _exchange: Exchange) {}
constructor(private readonly _exchange: Exchange) { }
canHandle(message: BybitV5LiquidationMessage) {
if (message.topic === undefined) {
return false
Expand Down Expand Up @@ -322,7 +323,7 @@ export class BybitV5OptionSummaryMapper implements Mapper<'bybit-options', Optio
// https://github.com/bybit-exchange/bybit-official-api-docs/blob/master/en/websocket.md

export class BybitTradesMapper implements Mapper<'bybit', Trade> {
constructor(private readonly _exchange: Exchange) {}
constructor(private readonly _exchange: Exchange) { }
canHandle(message: BybitDataMessage) {
if (message.topic === undefined) {
return false
Expand All @@ -348,8 +349,8 @@ export class BybitTradesMapper implements Mapper<'bybit', Trade> {
'trade_time_ms' in trade
? new Date(Number(trade.trade_time_ms))
: 'tradeTimeMs' in trade
? new Date(Number(trade.tradeTimeMs))
: new Date(trade.timestamp)
? new Date(Number(trade.tradeTimeMs))
: new Date(trade.timestamp)

yield {
type: 'trade',
Expand All @@ -367,7 +368,7 @@ export class BybitTradesMapper implements Mapper<'bybit', Trade> {
}

export class BybitBookChangeMapper implements Mapper<'bybit', BookChange> {
constructor(protected readonly _exchange: Exchange, private readonly _canUseBook200Channel: boolean) {}
constructor(protected readonly _exchange: Exchange, private readonly _canUseBook200Channel: boolean) { }

canHandle(message: BybitDataMessage) {
if (message.topic === undefined) {
Expand Down Expand Up @@ -409,8 +410,8 @@ export class BybitBookChangeMapper implements Mapper<'bybit', BookChange> {
? 'order_book' in message.data
? message.data.order_book
: 'orderBook' in message.data
? message.data.orderBook
: message.data
? message.data.orderBook
: message.data
: [...message.data.delete, ...message.data.update, ...message.data.insert]

const timestampBybit = message.timestamp_e6 !== undefined ? Number(message.timestamp_e6) : Number(message.timestampE6)
Expand Down Expand Up @@ -533,7 +534,7 @@ export class BybitDerivativeTickerMapper implements Mapper<'bybit', DerivativeTi
}

export class BybitLiquidationsMapper implements Mapper<'bybit', Liquidation> {
constructor(private readonly _exchange: Exchange) {}
constructor(private readonly _exchange: Exchange) { }
canHandle(message: BybitDataMessage) {
if (message.topic === undefined) {
return false
Expand Down Expand Up @@ -592,37 +593,37 @@ export class BybitLiquidationsMapper implements Mapper<'bybit', Liquidation> {

type BybitV5Trade =
| {
topic: 'publicTrade.LTCUSDT'
type: 'snapshot'
ts: 1680688979985
data: [
{
T: 1680688979983
s: 'LTCUSDT'
S: 'Buy'
v: '0.4'
p: '94.53'
L: 'ZeroMinusTick'
i: '4c7b6bdc-b4a3-5716-9c7b-bbe01dc7072f'
BT: false
}
]
}
topic: 'publicTrade.LTCUSDT'
type: 'snapshot'
ts: 1680688979985
data: [
{
T: 1680688979983
s: 'LTCUSDT'
S: 'Buy'
v: '0.4'
p: '94.53'
L: 'ZeroMinusTick'
i: '4c7b6bdc-b4a3-5716-9c7b-bbe01dc7072f'
BT: false
}
]
}
| {
topic: 'publicTrade.BTCUSDC'
ts: 1680688980000
type: 'snapshot'
data: [{ i: '2240000000041223438'; T: 1680688979998; p: '28528.98'; v: '0.00433'; S: 'Buy'; s: 'BTCUSDC'; BT: false }]
}
topic: 'publicTrade.BTCUSDC'
ts: 1680688980000
type: 'snapshot'
data: [{ i: '2240000000041223438'; T: 1680688979998; p: '28528.98'; v: '0.00433'; S: 'Buy'; s: 'BTCUSDC'; BT: false }]
}
| {
id: 'publicTrade.BTC-3414637898-1680652922102'
topic: 'publicTrade.BTC'
ts: 1680652922102
data: [
{ p: '985'; v: '0.01'; i: '0404c393-8419-5bac-95c3-5fea28404754'; T: 1680652922081; BT: false; s: 'BTC-28APR23-29500-C'; S: 'Sell' }
]
type: 'snapshot'
}
id: 'publicTrade.BTC-3414637898-1680652922102'
topic: 'publicTrade.BTC'
ts: 1680652922102
data: [
{ p: '985'; v: '0.01'; i: '0404c393-8419-5bac-95c3-5fea28404754'; T: 1680652922081; BT: false; s: 'BTC-28APR23-29500-C'; S: 'Sell' }
]
type: 'snapshot'
}

type BybitV5OrderBookMessage = {
topic: 'orderbook.50.LTCUSD'
Expand Down Expand Up @@ -712,31 +713,31 @@ type BybitDataMessage = {

type BybitTradeDataMessage =
| (BybitDataMessage & {
data: {
timestamp: string
trade_time_ms?: number | string
symbol: string
side: 'Buy' | 'Sell'
size: number
price: number | string
trade_id: string
}[]
})
data: {
timestamp: string
trade_time_ms?: number | string
symbol: string
side: 'Buy' | 'Sell'
size: number
price: number | string
trade_id: string
}[]
})
| {
topic: 'trade.BTCPERP'
data: [
{
symbol: 'BTCPERP'
tickDirection: 'PlusTick'
price: '21213.00'
size: 0.007
timestamp: '2022-06-21T09:36:58.000Z'
tradeTimeMs: '1655804218524'
side: 'Sell'
tradeId: '7aad7741-f763-5f78-bf43-c38b29a40f67'
}
]
}
topic: 'trade.BTCPERP'
data: [
{
symbol: 'BTCPERP'
tickDirection: 'PlusTick'
price: '21213.00'
size: 0.007
timestamp: '2022-06-21T09:36:58.000Z'
tradeTimeMs: '1655804218524'
side: 'Sell'
tradeId: '7aad7741-f763-5f78-bf43-c38b29a40f67'
}
]
}

type BybitBookLevel = {
price: string
Expand Down Expand Up @@ -813,14 +814,14 @@ type BybitInstrumentUpdate = {

type BybitInstrumentDataMessage =
| BybitDataMessage & {
timestamp_e6: string
timestampE6: string
data:
| BybitInstrumentUpdate
| {
update: [BybitInstrumentUpdate]
}
timestamp_e6: string
timestampE6: string
data:
| BybitInstrumentUpdate
| {
update: [BybitInstrumentUpdate]
}
}

type BybitLiquidationMessage = BybitDataMessage & {
generated: true
Expand Down
2 changes: 1 addition & 1 deletion src/types.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -44,7 +44,7 @@ export type BookChange = {
readonly isSnapshot: boolean
readonly bids: BookPriceLevel[]
readonly asks: BookPriceLevel[]

readonly uid?: number,
readonly timestamp: Date
readonly localTimestamp: Date
}
Expand Down