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Cexio client fix of ticker subscription + implementation of l2update
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Issue: altangent#310
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max authored and max committed Nov 18, 2021
1 parent 50ec03d commit 2fc1ad6
Showing 1 changed file with 85 additions and 34 deletions.
119 changes: 85 additions & 34 deletions src/exchanges/CexClient.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -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";
Expand Down Expand Up @@ -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;
}

Expand All @@ -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;
Expand Down Expand Up @@ -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;
}
Expand Down Expand Up @@ -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() {
//
Expand Down Expand Up @@ -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;
Expand All @@ -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(":", "/");
Expand All @@ -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);
Expand Down Expand Up @@ -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(
Expand All @@ -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"]
Expand Down

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