-
Notifications
You must be signed in to change notification settings - Fork 64
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
feat: add coinbase-international support
- Loading branch information
Showing
8 changed files
with
623 additions
and
9 deletions.
There are no files selected for viewing
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,322 @@ | ||
| import { addMinutes, upperCaseSymbols } from '../handy' | ||
| import { BookChange, BookPriceLevel, BookTicker, DerivativeTicker, Trade } from '../types' | ||
| import { Mapper, PendingTickerInfoHelper } from './mapper' | ||
|
|
||
| export const coinbaseInternationalTradesMapper: Mapper<'coinbase-international', Trade> = { | ||
| canHandle(message: CoinbaseInternationalTradeMessage) { | ||
| return message.channel === 'MATCH' && message.type === 'UPDATE' | ||
| }, | ||
|
|
||
| getFilters(symbols?: string[]) { | ||
| symbols = upperCaseSymbols(symbols) | ||
|
|
||
| return [ | ||
| { | ||
| channel: 'MATCH', | ||
| symbols | ||
| } | ||
| ] | ||
| }, | ||
|
|
||
| *map(message: CoinbaseInternationalTradeMessage, localTimestamp: Date): IterableIterator<Trade> { | ||
| yield { | ||
| type: 'trade', | ||
| symbol: message.product_id, | ||
| exchange: 'coinbase-international', | ||
| id: message.match_id, | ||
| price: Number(message.trade_price), | ||
| amount: Number(message.trade_qty), | ||
| side: message.aggressor_side === 'SELL' ? 'sell' : message.aggressor_side === 'BUY' ? 'buy' : 'unknown', | ||
| timestamp: new Date(message.time), | ||
| localTimestamp: localTimestamp | ||
| } | ||
| } | ||
| } | ||
|
|
||
| const mapUpdateBookLevel = (level: CoinbaseInternationalUpdateBookLevel) => { | ||
| const price = Number(level[1]) | ||
| const amount = Number(level[2]) | ||
|
|
||
| return { price, amount } | ||
| } | ||
|
|
||
| const mapSnapshotBookLevel = (level: CoinbaseInternationalSnapshotBookLevel) => { | ||
| const price = Number(level[0]) | ||
| const amount = Number(level[1]) | ||
|
|
||
| return { price, amount } | ||
| } | ||
|
|
||
| const validAmountsOnly = (level: BookPriceLevel) => { | ||
| if (Number.isNaN(level.amount)) { | ||
| return false | ||
| } | ||
| if (level.amount < 0) { | ||
| return false | ||
| } | ||
|
|
||
| return true | ||
| } | ||
|
|
||
| export class CoinbaseInternationalBookChangMapper implements Mapper<'coinbase-international', BookChange> { | ||
| canHandle(message: CoinbaseInternationalLevel2Snapshot | CoinbaseInternationalLevel2Update) { | ||
| return message.channel === 'LEVEL2' && (message.type === 'SNAPSHOT' || message.type === 'UPDATE') | ||
| } | ||
|
|
||
| getFilters(symbols?: string[]) { | ||
| symbols = upperCaseSymbols(symbols) | ||
|
|
||
| return [ | ||
| { | ||
| channel: 'LEVEL2', | ||
| symbols | ||
| } as const | ||
| ] | ||
| } | ||
|
|
||
| *map( | ||
| message: CoinbaseInternationalLevel2Snapshot | CoinbaseInternationalLevel2Update, | ||
| localTimestamp: Date | ||
| ): IterableIterator<BookChange> { | ||
| if (message.type === 'SNAPSHOT') { | ||
| let timestamp | ||
| if (message.time !== undefined) { | ||
| timestamp = new Date(message.time) | ||
| if (timestamp.valueOf() < 0) { | ||
| timestamp = localTimestamp | ||
| } | ||
| } else { | ||
| timestamp = localTimestamp | ||
| } | ||
|
|
||
| yield { | ||
| type: 'book_change', | ||
| symbol: message.product_id, | ||
| exchange: 'coinbase-international', | ||
| isSnapshot: true, | ||
| bids: message.bids.map(mapSnapshotBookLevel).filter(validAmountsOnly), | ||
| asks: message.asks.map(mapSnapshotBookLevel).filter(validAmountsOnly), | ||
| timestamp, | ||
| localTimestamp | ||
| } | ||
| } else { | ||
| let timestamp = new Date(message.time) | ||
|
|
||
| yield { | ||
| type: 'book_change', | ||
| symbol: message.product_id, | ||
| exchange: 'coinbase-international', | ||
| isSnapshot: false, | ||
| bids: message.changes.filter((c) => c[0] === 'BUY').map(mapUpdateBookLevel), | ||
| asks: message.changes.filter((c) => c[0] === 'SELL').map(mapUpdateBookLevel), | ||
| timestamp, | ||
| localTimestamp: localTimestamp | ||
| } | ||
| } | ||
| } | ||
| } | ||
|
|
||
| export const coinbaseInternationalBookTickerMapper: Mapper<'coinbase-international', BookTicker> = { | ||
| canHandle(message: CoinbaseInternationalLevel1Message) { | ||
| return message.channel === 'LEVEL1' && (message.type === 'SNAPSHOT' || message.type === 'UPDATE') | ||
| }, | ||
|
|
||
| getFilters(symbols?: string[]) { | ||
| symbols = upperCaseSymbols(symbols) | ||
|
|
||
| return [ | ||
| { | ||
| channel: 'LEVEL1', | ||
| symbols | ||
| } | ||
| ] | ||
| }, | ||
|
|
||
| *map(message: CoinbaseInternationalLevel1Message, localTimestamp: Date): IterableIterator<BookTicker> { | ||
| let timestamp = new Date(message.time) | ||
|
|
||
| if (message.time === undefined || timestamp.valueOf() < 0) { | ||
| timestamp = localTimestamp | ||
| } | ||
|
|
||
| yield { | ||
| type: 'book_ticker', | ||
| symbol: message.product_id, | ||
| exchange: 'coinbase-international', | ||
| askAmount: message.ask_qty !== undefined ? Number(message.ask_qty) : undefined, | ||
| askPrice: message.ask_price !== undefined ? Number(message.ask_price) : undefined, | ||
| bidPrice: message.bid_price !== undefined ? Number(message.bid_price) : undefined, | ||
| bidAmount: message.bid_qty !== undefined ? Number(message.bid_qty) : undefined, | ||
| timestamp, | ||
| localTimestamp: localTimestamp | ||
| } | ||
| } | ||
| } | ||
|
|
||
| export class CoinbaseInternationalDerivativeTickerMapper implements Mapper<'coinbase-international', DerivativeTicker> { | ||
| private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper() | ||
|
|
||
| canHandle(message: CoinbaseInternationalTradeMessage | CoinbaseInternationalRiskMessage | CoinbaseInternationalFundingMessage) { | ||
| // perps only | ||
| if (message.product_id === undefined || message.product_id.endsWith('-PERP') === false) { | ||
| return false | ||
| } | ||
|
|
||
| if (message.channel === 'MATCH' && message.type === 'UPDATE') { | ||
| return true | ||
| } | ||
|
|
||
| if (message.channel === 'FUNDING' && message.type === 'UPDATE') { | ||
| return true | ||
| } | ||
|
|
||
| if (message.channel === 'RISK') { | ||
| return true | ||
| } | ||
|
|
||
| return false | ||
| } | ||
|
|
||
| getFilters(symbols?: string[]) { | ||
| symbols = upperCaseSymbols(symbols) | ||
|
|
||
| return [ | ||
| { | ||
| channel: 'MATCH', | ||
| symbols | ||
| } as const, | ||
| { | ||
| channel: 'RISK', | ||
| symbols | ||
| } as const, | ||
| { | ||
| channel: 'FUNDING', | ||
| symbols | ||
| } as const | ||
| ] | ||
| } | ||
|
|
||
| *map( | ||
| message: CoinbaseInternationalTradeMessage | CoinbaseInternationalRiskMessage | CoinbaseInternationalFundingMessage, | ||
| localTimestamp: Date | ||
| ): IterableIterator<DerivativeTicker> { | ||
| if (message.channel === 'MATCH') { | ||
| const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(message.product_id, 'coinbase-international') | ||
| pendingTickerInfo.updateLastPrice(Number(message.trade_price)) | ||
|
|
||
| return | ||
| } | ||
| const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(message.product_id, 'coinbase-international') | ||
|
|
||
| if (message.channel === 'RISK') { | ||
| pendingTickerInfo.updateIndexPrice(Number(message.index_price)) | ||
| pendingTickerInfo.updateMarkPrice(Number(message.mark_price)) | ||
| pendingTickerInfo.updateOpenInterest(Number(message.open_interest)) | ||
| } | ||
|
|
||
| if (message.channel === 'FUNDING') { | ||
| let nextFundingTime = new Date(message.time) | ||
| if (message.is_final === false) { | ||
| // If the field is_final is false, the message indicates the predicted funding rate for the next funding interval. | ||
| // https://docs.cdp.coinbase.com/intx/docs/websocket-channels#funding-channel | ||
| nextFundingTime.setUTCMinutes(0, 0, 0) | ||
| nextFundingTime = addMinutes(nextFundingTime, 60) | ||
|
|
||
| pendingTickerInfo.updateFundingTimestamp(nextFundingTime) | ||
| } | ||
|
|
||
| pendingTickerInfo.updateFundingRate(Number(message.funding_rate)) | ||
| } | ||
|
|
||
| pendingTickerInfo.updateTimestamp(new Date(message.time)) | ||
|
|
||
| if (pendingTickerInfo.hasChanged()) { | ||
| yield pendingTickerInfo.getSnapshot(localTimestamp) | ||
| } | ||
| } | ||
| } | ||
|
|
||
| // TODO: real-time | ||
|
|
||
| type CoinbaseInternationalTradeMessage = { | ||
| sequence: 80 | ||
| match_id: '374491377330814981' | ||
| trade_price: '0.009573' | ||
| trade_qty: '1651' | ||
| aggressor_side: 'BUY' | 'SELL' | 'OPENING_FILL' | ||
| channel: 'MATCH' | ||
| type: 'UPDATE' | ||
| time: '2024-10-30T10:55:02.069Z' | ||
| product_id: 'MEW-PERP' | ||
| } | ||
|
|
||
| type CoinbaseInternationalSnapshotBookLevel = [string, string] | ||
|
|
||
| type CoinbaseInternationalLevel2Snapshot = { | ||
| sequence: 81053126 | ||
| bids: CoinbaseInternationalSnapshotBookLevel[] | ||
| asks: CoinbaseInternationalSnapshotBookLevel[] | ||
| channel: 'LEVEL2' | ||
| type: 'SNAPSHOT' | ||
| time: '2024-11-06T23:59:59.812Z' | ||
| product_id: 'BB-PERP' | ||
| } | ||
|
|
||
| type CoinbaseInternationalUpdateBookLevel = ['BUY' | 'SELL', string, string] | ||
|
|
||
| type CoinbaseInternationalLevel2Update = { | ||
| sequence: 162 | ||
| changes: CoinbaseInternationalUpdateBookLevel[] | ||
| channel: 'LEVEL2' | ||
| type: 'UPDATE' | ||
| time: '2024-10-30T10:55:02.348Z' | ||
| product_id: 'NOT-PERP' | ||
| } | ||
|
|
||
| type CoinbaseInternationalLevel1Message = | ||
| | { | ||
| sequence: 65960075 | ||
| bid_price: '27.03' | ||
| bid_qty: '24.404' | ||
| ask_price: '27.037' | ||
| ask_qty: '32.302' | ||
| channel: 'LEVEL1' | ||
| type: 'SNAPSHOT' | ||
| time: '2024-11-07T00:00:00.121Z' | ||
| product_id: 'AVAX-PERP' | ||
| } | ||
| | { | ||
| sequence: 120100774 | ||
| bid_price: '2719.96' | ||
| bid_qty: '0.3676' | ||
| ask_price: '2720.25' | ||
| ask_qty: '0.919' | ||
| channel: 'LEVEL1' | ||
| type: 'UPDATE' | ||
| time: '2024-11-07T00:00:59.979Z' | ||
| product_id: 'ETH-USDC' | ||
| } | ||
|
|
||
| type CoinbaseInternationalRiskMessage = { | ||
| sequence: 108523490 | ||
| limit_up: '0.5107' | ||
| limit_down: '0.4621' | ||
| index_price: '0.4864755122500001' | ||
| mark_price: '0.4863' | ||
| settlement_price: '0.4864' | ||
| open_interest: '153090' | ||
| channel: 'RISK' | ||
| type: 'UPDATE' | ||
| time: '2024-11-07T00:00:59.950Z' | ||
| product_id: 'ENA-PERP' | ||
| } | ||
|
|
||
| type CoinbaseInternationalFundingMessage = { | ||
| sequence: 108521023 | ||
| funding_rate: '0.000009' | ||
| is_final: false | ||
| channel: 'FUNDING' | ||
| type: 'UPDATE' | ||
| time: '2024-11-07T00:00:51.068Z' | ||
| product_id: 'DEGEN-PERP' | ||
| } |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Oops, something went wrong.