From ca9875d740de3c8ed5c0d9de70febffc246e11d1 Mon Sep 17 00:00:00 2001 From: Heorhii Date: Fri, 22 Apr 2022 23:27:45 +0200 Subject: [PATCH 1/4] Update OkexClient code according to new okex V5 API --- src/exchanges/OkexClient.ts | 540 ++++++++++++++++++++++-------------- 1 file changed, 331 insertions(+), 209 deletions(-) diff --git a/src/exchanges/OkexClient.ts b/src/exchanges/OkexClient.ts index eb49e32e..ef261298 100644 --- a/src/exchanges/OkexClient.ts +++ b/src/exchanges/OkexClient.ts @@ -17,17 +17,14 @@ import { Market } from "../Market"; import { NotImplementedFn } from "../NotImplementedFn"; import { Ticker } from "../Ticker"; import { Trade } from "../Trade"; -import * as zlib from "../ZlibUtils"; - -const pongBuffer = Buffer.from("pong"); export type OkexClientOptions = ClientOptions & { sendThrottleMs?: number; }; /** - * Implements OKEx V3 WebSocket API as defined in - * https://www.okex.com/docs/en/#spot_ws-general + * Implements OKEx V5 WebSocket API as defined in + * https://www.okx.com/docs/en/#websocket-api * * Limits: * 1 connection / second @@ -43,7 +40,7 @@ export type OkexClientOptions = ClientOptions & { * matches the server. If the order book does not match you should * issue a reconnect. * - * Refer to: https://www.okex.com/docs/en/#spot_ws-checksum + * Refer to: https://www.okx.com/docs/en/#websocket-api-checksum */ export class OkexClient extends BasicClient { public candlePeriod: CandlePeriod; @@ -52,7 +49,7 @@ export class OkexClient extends BasicClient { protected _pingInterval: NodeJS.Timeout; constructor({ - wssPath = "wss://real.okex.com:8443/ws/v3", + wssPath = "wss://ws.okx.com:8443/ws/v5/public", watcherMs, sendThrottleMs = 20, }: OkexClientOptions = {}) { @@ -96,8 +93,8 @@ export class OkexClient extends BasicClient { * the default is a spot market. */ protected _marketArg(method: string, market: Market) { - const type = (market.type || "spot").toLowerCase(); - return `${type.toLowerCase()}/${method}:${market.id}`; + const type: string = (market.type || "SPOT").toUpperCase(); + return {"channel":method, "instId":market.id, "instType": type }; } /** @@ -106,29 +103,29 @@ export class OkexClient extends BasicClient { protected _candlePeriod(period: CandlePeriod) { switch (period) { case CandlePeriod._1m: - return "60s"; + return "1m"; case CandlePeriod._3m: - return "180s"; + return "3m"; case CandlePeriod._5m: - return "300s"; + return "5m"; case CandlePeriod._15m: - return "900s"; + return "15m"; case CandlePeriod._30m: - return "1800s"; + return "30m"; case CandlePeriod._1h: - return "3600s"; + return "1H"; case CandlePeriod._2h: - return "7200s"; + return "2H"; case CandlePeriod._4h: - return "14400s"; + return "4H"; case CandlePeriod._6h: - return "21600s"; + return "6H"; case CandlePeriod._12h: - return "43200s"; + return "12H"; case CandlePeriod._1d: - return "86400s"; + return "1D"; case CandlePeriod._1w: - return "604800s"; + return "1W"; } } @@ -140,7 +137,7 @@ export class OkexClient extends BasicClient { this._sendMessage( JSON.stringify({ op: "subscribe", - args: [this._marketArg("ticker", market)], + args: [this._marketArg("tickers", market)], }), ); } @@ -149,7 +146,7 @@ export class OkexClient extends BasicClient { this._sendMessage( JSON.stringify({ op: "unsubscribe", - args: [this._marketArg("ticker", market)], + args: [this._marketArg("tickers", market)], }), ); } @@ -158,7 +155,7 @@ export class OkexClient extends BasicClient { this._sendMessage( JSON.stringify({ op: "subscribe", - args: [this._marketArg("trade", market)], + args: [this._marketArg("trades", market)], }), ); } @@ -167,7 +164,7 @@ export class OkexClient extends BasicClient { this._sendMessage( JSON.stringify({ op: "unsubscribe", - args: [this._marketArg("trade", market)], + args: [this._marketArg("trades", market)], }), ); } @@ -194,7 +191,7 @@ export class OkexClient extends BasicClient { this._sendMessage( JSON.stringify({ op: "subscribe", - args: [this._marketArg("depth5", market)], + args: [this._marketArg("books5", market)], }), ); } @@ -203,7 +200,7 @@ export class OkexClient extends BasicClient { this._sendMessage( JSON.stringify({ op: "unsubscribe", - args: [this._marketArg("depth5", market)], + args: [this._marketArg("books5", market)], }), ); } @@ -212,7 +209,7 @@ export class OkexClient extends BasicClient { this._sendMessage( JSON.stringify({ op: "subscribe", - args: [this._marketArg("depth_l2_tbt", market)], + args: [this._marketArg("books-l2-tbt", market)], }), ); } @@ -221,7 +218,7 @@ export class OkexClient extends BasicClient { this._sendMessage( JSON.stringify({ op: "unsubscribe", - args: [this._marketArg("depth_l2_tbt", market)], + args: [this._marketArg("books-l2-tbt", market)], }), ); } @@ -231,26 +228,19 @@ export class OkexClient extends BasicClient { protected _sendSubLevel3Updates = NotImplementedFn; protected _sendUnsubLevel3Updates = NotImplementedFn; - protected _onMessage(compressed) { - zlib.inflateRaw(compressed, (err, raw) => { - if (err) { - this.emit("error", err); - return; - } - - // ignore pongs - if (raw.equals(pongBuffer)) { - return; - } + protected _onMessage(json: string) { + // ignore pongs + if(json==="pong"){ + return; + } - // process JSON message - try { - const msg = JSON.parse(raw.toString()); - this._processsMessage(msg); - } catch (ex) { - this.emit("error", ex); - } - }); + // process JSON message + try { + const msg = JSON.parse(json.toString()); + this._processsMessage(msg); + } catch (ex) { + this.emit("error", ex); + } } protected _processsMessage(msg: any) { @@ -272,31 +262,31 @@ export class OkexClient extends BasicClient { } // tickers - if (msg.table.match(/ticker/)) { + if (msg.arg.channel.match(/tickers/)) { this._processTicker(msg); return; } // trades - if (msg.table.match(/trade/)) { + if (msg.arg.channel.match(/trades/)) { this._processTrades(msg); return; } // candles - if (msg.table.match(/candle/)) { + if (msg.arg.channel.match(/candle/)) { this._processCandles(msg); return; } // l2 snapshots - if (msg.table.match(/depth5/)) { + if (msg.arg.channel.match(/books5/)) { this._processLevel2Snapshot(msg); return; } // l2 updates - if (msg.table.match(/depth/)) { + if (msg.arg.channel.match(/books-l2-tbt/)) { this._processLevel2Update(msg); return; } @@ -304,26 +294,37 @@ export class OkexClient extends BasicClient { /** * Process ticker messages in the format - { table: 'spot/ticker', - data: - [ { instrument_id: 'ETH-BTC', - last: '0.02181', - best_bid: '0.0218', - best_ask: '0.02181', - open_24h: '0.02247', - high_24h: '0.02262', - low_24h: '0.02051', - base_volume_24h: '379522.2418555', - quote_volume_24h: '8243.729793336415', - timestamp: '2019-07-15T17:10:55.671Z' } ] } + { + arg: { channel: 'tickers', instId: 'BTC-USDT' }, + data: [ + { + instType: 'SPOT', + instId: 'BTC-USDT', + last: '40280', + lastSz: '0.00339105', + askPx: '40280.1', + askSz: '0.59279275', + bidPx: '40280', + bidSz: '0.26603777', + open24h: '42580', + high24h: '42671.8', + low24h: '39747.8', + sodUtc0: '40476', + sodUtc8: '42142.2', + volCcy24h: '295680931.82106796', + vol24h: '7236.9089522', + ts: '1650636858898' + } + ] + } */ protected _processTicker(msg) { - for (const datum of msg.data) { - // ensure market - const remoteId = datum.instrument_id; - const market = this._tickerSubs.get(remoteId); - if (!market) continue; + // ensure market + const remoteId = msg.arg.instId; + const market = this._tickerSubs.get(remoteId); + if (!market) return; + for (const datum of msg.data) { // construct and emit ticker const ticker = this._constructTicker(datum, market); this.emit("ticker", ticker, market); @@ -332,22 +333,27 @@ export class OkexClient extends BasicClient { /** * Processes trade messages in the format - { table: 'spot/trade', - data: - [ { instrument_id: 'ETH-BTC', - price: '0.0218', + { + arg:{ channel: 'trades', instId: 'BTC-USDT' }, + data: [ + { + instId: 'ETH-BTC', + px: '0.0218', side: 'sell', - size: '1.1', - timestamp: '2019-07-15T17:10:56.047Z', - trade_id: '776432498' } ] } + sz: '1.1', + ts: '1630048897897', + tradeId: '776432498' + } + ] + } */ protected _processTrades(msg) { - for (const datum of msg.data) { - // ensure market - const remoteId = datum.instrument_id; - const market = this._tradeSubs.get(remoteId); - if (!market) continue; + // ensure market + const remoteId = msg.arg.instId; + const market = this._tradeSubs.get(remoteId); + if (!market) return; + for (const datum of msg.data) { // construct and emit trade const trade = this._constructTrade(datum, market); this.emit("trade", trade, market); @@ -357,29 +363,27 @@ export class OkexClient extends BasicClient { /** * Processes a candle message { - "table": "spot/candle60s", - "data": [ - { - "candle": [ - "2020-08-10T20:42:00.000Z", - "0.03332", - "0.03332", - "0.03331", - "0.03332", - "44.058532" - ], - "instrument_id": "ETH-BTC" - } + arg: { channel: 'candle1m', instId: 'BTC-USDT' }, + data: [ + [ + '1650643500000', + '39299.9', + '39329.9', + '39223.6', + '39230.3', + '46.90395862', + '1841904.25187161' + ] ] } */ protected _processCandles(msg) { - for (const datum of msg.data) { - // ensure market - const remoteId = datum.instrument_id; - const market = this._candleSubs.get(remoteId); - if (!market) continue; + // ensure market + const remoteId = msg.arg.instId; + const market = this._candleSubs.get(remoteId); + if (!market) return; + for (const datum of msg.data) { // construct and emit candle const candle = this._constructCandle(datum); this.emit("candle", candle, market); @@ -388,20 +392,37 @@ export class OkexClient extends BasicClient { /** * Processes a level 2 snapshot message in the format: - { table: 'spot/depth5', - data: [{ - asks: [ ['0.02192', '1.204054', '3' ] ], - bids: [ ['0.02191', '15.117671', '3' ] ], - instrument_id: 'ETH-BTC', - timestamp: '2019-07-15T16:54:42.301Z' } ] } + { + arg: { channel: 'books5', instId: 'BTC-USDT' }, + data: [ + { + asks: [ + [ '39629.7', '0.01054105', '0', '3' ], + [ '39630', '0.003', '0', '1' ], + [ '39634.7', '0.00272956', '0', '1' ], + [ '39634.9', '0.32', '0', '1' ], + [ '39635.5', '0.01', '0', '1' ] + ], + bids: [ + [ '39629.6', '7.41993802', '0', '29' ], + [ '39628.7', '0.01059358', '0', '1' ], + [ '39628.5', '0.03207637', '0', '1' ], + [ '39628.4', '4.58225129', '0', '9' ], + [ '39626.5', '0.1', '0', '1' ] + ], + instId: 'BTC-USDT', + ts: '1650655643181' + } + ] + } */ protected _processLevel2Snapshot(msg) { - for (const datum of msg.data) { - // ensure market - const remote_id = datum.instrument_id; - const market = this._level2SnapshotSubs.get(remote_id); - if (!market) return; + // ensure market + const remote_id = msg.arg.instId; + const market = this._level2SnapshotSubs.get(remote_id); + if (!market) return; + for (const datum of msg.data) { // construct snapshot const snapshot = this._constructLevel2Snapshot(datum, market); this.emit("l2snapshot", snapshot, market); @@ -410,40 +431,83 @@ export class OkexClient extends BasicClient { /** * Processes a level 2 update message in one of two formats. - * The first message received is the "partial" orderbook and contains + * The first message received is the "snapshot" orderbook and contains * 200 records in it. * - { table: 'spot/depth', - action: 'partial', - data: - [ { instrument_id: 'ETH-BTC', - asks: [Array], - bids: [Array], - timestamp: '2019-07-15T17:18:31.737Z', - checksum: 723501244 } ] } + { + "arg": { "channel": "books", "instId": "BTC-USDT" }, + "action": "snapshot", + "data": [ + { + "asks": [ + ["8476.98", "415", "0", "13"], + ["8477", "7", "0", "2"], + ["8477.34", "85", "0", "1"], + ["8477.56", "1", "0", "1"], + ["8505.84", "8", "0", "1"], + ["8506.37", "85", "0", "1"], + ["8506.49", "2", "0", "1"], + ["8506.96", "100", "0", "2"] + ], + "bids": [ + ["8476.97", "256", "0", "12"], + ["8475.55", "101", "0", "1"], + ["8475.54", "100", "0", "1"], + ["8475.3", "1", "0", "1"], + ["8447.32", "6", "0", "1"], + ["8447.02", "246", "0", "1"], + ["8446.83", "24", "0", "1"], + ["8446", "95", "0", "3"] + ], + "ts": "1597026383085", + "checksum": -855196043 + } + ] + } * * Subsequent calls will include the updates stream for changes to * the order book: * - { table: 'spot/depth', - action: 'update', - data: - [ { instrument_id: 'ETH-BTC', - asks: [Array], - bids: [Array], - timestamp: '2019-07-15T17:18:32.289Z', - checksum: 680530848 } ] } + { + "arg": { "channel": "books", "instId": "BTC-USDT" }, + "action": "update", + "data": [ + { + "asks": [ + ["8476.98", "415", "0", "13"], + ["8477", "7", "0", "2"], + ["8477.34", "85", "0", "1"], + ["8477.56", "1", "0", "1"], + ["8505.84", "8", "0", "1"], + ["8506.37", "85", "0", "1"], + ["8506.49", "2", "0", "1"], + ["8506.96", "100", "0", "2"] + ], + "bids": [ + ["8476.97", "256", "0", "12"], + ["8475.55", "101", "0", "1"], + ["8475.54", "100", "0", "1"], + ["8475.3", "1", "0", "1"], + ["8447.32", "6", "0", "1"], + ["8447.02", "246", "0", "1"], + ["8446.83", "24", "0", "1"], + ["8446", "95", "0", "3"] + ], + "ts": "1597026383085", + "checksum": -855196043 + } + ] + } */ protected _processLevel2Update(msg) { + // ensure market + const remote_id = msg.arg.instId; + const market = this._level2UpdateSubs.get(remote_id); + if (!market) return; const action = msg.action; for (const datum of msg.data) { - // ensure market - const remote_id = datum.instrument_id; - const market = this._level2UpdateSubs.get(remote_id); - if (!market) continue; - // handle updates - if (action === "partial") { + if (action === "snapshot") { const snapshot = this._constructLevel2Snapshot(datum, market); this.emit("l2snapshot", snapshot, market); } else if (action === "update") { @@ -458,97 +522,104 @@ export class OkexClient extends BasicClient { /** * Constructs a ticker from the datum in the format: - { instrument_id: 'ETH-BTC', - last: '0.02172', - best_bid: '0.02172', - best_ask: '0.02173', - open_24h: '0.02254', - high_24h: '0.02262', - low_24h: '0.02051', - base_volume_24h: '378400.064179', - quote_volume_24h: '8226.4437921288', - timestamp: '2019-07-15T16:10:40.193Z' } + { + instType: 'SPOT', + instId: 'BTC-USDT', + last: '40280', + lastSz: '0.00339105', + askPx: '40280.1', + askSz: '0.59279275', + bidPx: '40280', + bidSz: '0.26603777', + open24h: '42580', + high24h: '42671.8', + low24h: '39747.8', + sodUtc0: '40476', + sodUtc8: '42142.2', + volCcy24h: '295680931.82106796', + vol24h: '7236.9089522', + ts: '1650636858898' + } */ protected _constructTicker(data, market) { const { last, - best_bid, - best_bid_size, - best_ask, - best_ask_size, - open_24h, - high_24h, - low_24h, - base_volume_24h, - volume_24h, // found in futures - timestamp, + bidPx, + bidSz, + askPx, + askSz, + open24h, + high24h, + low24h, + vol24h, + ts, } = data; - const change = parseFloat(last) - parseFloat(open_24h); - const changePercent = change / parseFloat(open_24h); - const ts = moment.utc(timestamp).valueOf(); + const change = parseFloat(last) - parseFloat(open24h); + const changePercent = change / parseFloat(open24h); + const timestamp = moment.unix(Math.ceil(ts/1000)).utc().valueOf(); return new Ticker({ exchange: this.name, base: market.base, quote: market.quote, - timestamp: ts, + timestamp, last, - open: open_24h, - high: high_24h, - low: low_24h, - volume: base_volume_24h || volume_24h, + open: open24h, + high: high24h, + low: low24h, + volume: vol24h, change: change.toFixed(8), changePercent: changePercent.toFixed(2), - bid: best_bid || "0", - bidVolume: best_bid_size || "0", - ask: best_ask || "0", - askVolume: best_ask_size || "0", + bid: bidPx || "0", + bidVolume: bidSz || "0", + ask: askPx || "0", + askVolume: askSz || "0", }); } /** * Constructs a trade from the message datum in format: - { instrument_id: 'ETH-BTC', - price: '0.02182', + { + instId: 'ETH-BTC', + px: '0.02182', side: 'sell', - size: '0.94', - timestamp: '2019-07-15T16:38:02.169Z', - trade_id: '776370532' } + sz: '0.94', + ts: '1630048897897', + tradeId: '776370532' + } */ protected _constructTrade(datum, market) { - const { price, side, size, timestamp, trade_id, qty } = datum; - const ts = moment.utc(timestamp).valueOf(); + const { px, side, sz, ts, tradeId } = datum; + const unix = moment.unix(Math.ceil(ts/1000)).utc().valueOf(); return new Trade({ exchange: this.name, base: market.base, quote: market.quote, - tradeId: trade_id, + tradeId, side, - unix: ts, - price, - amount: size || qty, + unix, + price: px, + amount: sz, }); } /** * Constructs a candle for the market - { - "candle": [ - "2020-08-10T20:42:00.000Z", - "0.03332", - "0.03332", - "0.03331", - "0.03332", - "44.058532" - ], - "instrument_id": "ETH-BTC" - } + [ + '1650643500000', + '39299.9', + '39329.9', + '39223.6', + '39230.3', + '46.90395862', + '1841904.25187161' + ] * @param {*} datum */ protected _constructCandle(datum) { - const [datetime, open, high, low, close, volume] = datum.candle; - const ts = moment.utc(datetime).valueOf(); + const [datetime, open, high, low, close, volume,] = datum; + const ts = moment.unix(Math.ceil(datetime/1000)).utc().valueOf(); return new Candle(ts, open, high, low, close, volume); } @@ -556,25 +627,57 @@ export class OkexClient extends BasicClient { * Constructs a snapshot message from the datum in a * snapshot message data property. Datum in the format: * - { instrument_id: 'ETH-BTC', - asks: [ ['0.02192', '1.204054', '3' ] ], - bids: [ ['0.02191', '15.117671', '3' ] ], - timestamp: '2019-07-15T16:54:42.301Z' } + { + asks: [ + [ '39629.7', '0.01054105', '0', '3' ], + [ '39630', '0.003', '0', '1' ], + [ '39634.7', '0.00272956', '0', '1' ], + [ '39634.9', '0.32', '0', '1' ], + [ '39635.5', '0.01', '0', '1' ] + ], + bids: [ + [ '39629.6', '7.41993802', '0', '29' ], + [ '39628.7', '0.01059358', '0', '1' ], + [ '39628.5', '0.03207637', '0', '1' ], + [ '39628.4', '4.58225129', '0', '9' ], + [ '39626.5', '0.1', '0', '1' ] + ], + instId: 'BTC-USDT', + ts: '1650655643181' + } * * The snapshot may also come from an update, in which case we need * to include the checksum * - { instrument_id: 'ETH-BTC', - asks: [ ['0.02192', '1.204054', '3' ] ], - bids: [ ['0.02191', '15.117671', '3' ] ], - timestamp: '2019-07-15T17:18:31.737Z', - checksum: 723501244 } - + { + "asks": [ + ["8476.98", "415", "0", "13"], + ["8477", "7", "0", "2"], + ["8477.34", "85", "0", "1"], + ["8477.56", "1", "0", "1"], + ["8505.84", "8", "0", "1"], + ["8506.37", "85", "0", "1"], + ["8506.49", "2", "0", "1"], + ["8506.96", "100", "0", "2"] + ], + "bids": [ + ["8476.97", "256", "0", "12"], + ["8475.55", "101", "0", "1"], + ["8475.54", "100", "0", "1"], + ["8475.3", "1", "0", "1"], + ["8447.32", "6", "0", "1"], + ["8447.02", "246", "0", "1"], + ["8446.83", "24", "0", "1"], + ["8446", "95", "0", "3"] + ], + "ts": "1597026383085", + "checksum": -855196043 + } */ protected _constructLevel2Snapshot(datum, market) { - const asks = datum.asks.map(p => new Level2Point(p[0], p[1], p[2])); - const bids = datum.bids.map(p => new Level2Point(p[0], p[1], p[2])); - const ts = moment.utc(datum.timestamp).valueOf(); + const asks = datum.asks.map(p => new Level2Point(p[0], p[1], p[3])); + const bids = datum.bids.map(p => new Level2Point(p[0], p[1], p[3])); + const ts = moment.unix(Math.ceil(datum.ts/1000)).utc().valueOf(); const checksum = datum.checksum; return new Level2Snapshot({ exchange: this.name, @@ -590,17 +693,36 @@ export class OkexClient extends BasicClient { /** * Constructs an update message from the datum in the update * stream. Datum is in the format: - { instrument_id: 'ETH-BTC', - asks: [ ['0.02192', '1.204054', '3' ] ], - bids: [ ['0.02191', '15.117671', '3' ] ], - timestamp: '2019-07-15T17:18:32.289Z', - checksum: 680530848 } + { + "asks": [ + ["8476.98", "415", "0", "13"], + ["8477", "7", "0", "2"], + ["8477.34", "85", "0", "1"], + ["8477.56", "1", "0", "1"], + ["8505.84", "8", "0", "1"], + ["8506.37", "85", "0", "1"], + ["8506.49", "2", "0", "1"], + ["8506.96", "100", "0", "2"] + ], + "bids": [ + ["8476.97", "256", "0", "12"], + ["8475.55", "101", "0", "1"], + ["8475.54", "100", "0", "1"], + ["8475.3", "1", "0", "1"], + ["8447.32", "6", "0", "1"], + ["8447.02", "246", "0", "1"], + ["8446.83", "24", "0", "1"], + ["8446", "95", "0", "3"] + ], + "ts": "1597026383085", + "checksum": -855196043 + } */ // eslint-disable-next-line @typescript-eslint/explicit-member-accessibility _constructLevel2Update(datum, market) { const asks = datum.asks.map(p => new Level2Point(p[0], p[1], p[3])); const bids = datum.bids.map(p => new Level2Point(p[0], p[1], p[3])); - const ts = moment.utc(datum.timestamp).valueOf(); + const ts = moment.unix(Math.ceil(datum.ts/1000)).utc().valueOf(); const checksum = datum.checksum; return new Level2Update({ exchange: this.name, From 5aeef89a6dfb0960ec467ab9bd9a0614f7568db5 Mon Sep 17 00:00:00 2001 From: Heorhii Date: Fri, 22 Apr 2022 23:29:38 +0200 Subject: [PATCH 2/4] Update OkexClient test according to new okex V5 API --- __tests__/exchanges/OkexClient.spec.ts | 40 +++++++++++++------------- 1 file changed, 20 insertions(+), 20 deletions(-) diff --git a/__tests__/exchanges/OkexClient.spec.ts b/__tests__/exchanges/OkexClient.spec.ts index 99fcb6d2..aa4ffa42 100644 --- a/__tests__/exchanges/OkexClient.spec.ts +++ b/__tests__/exchanges/OkexClient.spec.ts @@ -79,14 +79,14 @@ testClient({ exchangeName: "OKEx", clientName: "OKExClient - Futures", fetchMarkets: async () => { - const results: any = await get("https://www.okex.com/api/futures/v3/instruments"); - return results - .filter(p => p.base_currency === "BTC") + const results: any = await get("https://www.okx.com/api/v5/public/instruments?instType=FUTURES"); + return results.data + .filter(p => p.settleCcy === "BTC") .map(p => ({ - id: p.instrument_id, - base: p.base_currency, - quote: p.quote_currency, - type: "futures", + id: p.instId, + base: p.settleCcy, + quote: p.ctValCcy, + type: "FUTURES", })); }, ...assertions, @@ -97,14 +97,14 @@ testClient({ exchangeName: "OKEx", clientName: "OKExClient - Swap", fetchMarkets: async () => { - const results: any = await get("https://www.okex.com/api/swap/v3/instruments"); - return results - .filter(p => ["BTC", "ETH", "LTC"].includes(p.base_currency)) + const results: any = await get("https://www.okx.com/api/v5/public/instruments?instType=SWAP"); + return results.data + .filter(p => ["BTC", "ETH", "LTC"].includes(p.settleCcy)) .map(p => ({ - id: p.instrument_id, - base: p.base_currency, - quote: p.quote_currency, - type: "swap", + id: p.instId, + base: p.settleCcy, + quote: p.ctValCcy, + type: "SWAP", })); }, ...assertions, @@ -115,13 +115,13 @@ testClient({ exchangeName: "OKEx", clientName: "OKExClient - Options", fetchMarkets: async () => { - const results: any = await get("https://www.okex.com/api/option/v3/instruments/BTC-USD"); - return results + const results: any = await get("https://www.okx.com/api/v5/public/instruments?instType=OPTION&uly=BTC-USD"); + return results.data .map(p => ({ - id: p.instrument_id, - base: p.base_currency, - quote: p.quote_currency, - type: "option", + id: p.instId, + base: p.settleCcy, + quote: p.ctValCcy, + type: "OPTION", })) .filter(p => p.id.endsWith("-C")) .slice(0, 20); From 6586e2c39de644e0a064f6832e8f46f474fb5b95 Mon Sep 17 00:00:00 2001 From: Heorhii Date: Fri, 22 Apr 2022 23:42:38 +0200 Subject: [PATCH 3/4] Update pkg version and update mocha version to fix vulnerabilities --- package-lock.json | 6155 +++++++++++++++++++++++++++++++++++++++++---- package.json | 6 +- 2 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"https://registry.npmjs.org/workerpool/-/workerpool-6.1.0.tgz", - "integrity": "sha512-toV7q9rWNYha963Pl/qyeZ6wG+3nnsyvolaNUS8+R5Wtw6qJPTxIlOP1ZSvcGhEJw+l3HMMmtiNo9Gl61G4GVg==", + "version": "6.2.0", + "resolved": "https://registry.npmjs.org/workerpool/-/workerpool-6.2.0.tgz", + "integrity": "sha512-Rsk5qQHJ9eowMH28Jwhe8HEbmdYDX4lwoMWshiCXugjtHqMD9ZbiqSDLxcsfdqsETPzVUtX5s1Z5kStiIM6l4A==", "dev": true }, "wrap-ansi": { @@ -4435,9 +9553,9 @@ }, "dependencies": { "ansi-regex": { - "version": "5.0.0", - "resolved": "https://registry.npmjs.org/ansi-regex/-/ansi-regex-5.0.0.tgz", - "integrity": "sha512-bY6fj56OUQ0hU1KjFNDQuJFezqKdrAyFdIevADiqrWHwSlbmBNMHp5ak2f40Pm8JTFyM2mqxkG6ngkHO11f/lg==", + "version": "5.0.1", + "resolved": "https://registry.npmjs.org/ansi-regex/-/ansi-regex-5.0.1.tgz", + "integrity": "sha512-quJQXlTSUGL2LH9SUXo8VwsY4soanhgo6LNSm84E1LBcE8s3O0wpdiRzyR9z/ZZJMlMWv37qOOb9pdJlMUEKFQ==", "dev": true }, "is-fullwidth-code-point": { @@ -4489,7 +9607,8 @@ "ws": { "version": 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-1,6 +1,6 @@ { "name": "ccxws", - "version": "0.47.0", + "version": "0.47.1", "description": "Websocket client for 37 cryptocurrency exchanges", "keywords": [ "bitmex", @@ -45,11 +45,11 @@ "eslint-config-prettier": "^8.3.0", "eslint-plugin-import": "^2.23.3", "eslint-plugin-prefer-arrow": "^1.2.3", - "mocha": "^8.4.0", + "mocha": "^9.2.2", "nyc": "^15.1.0", "prettier": "^2.3.0", "sinon": "^10.0.0", "ts-node": "^10.0.0", "typescript": "^4.2.4" } -} +} \ No newline at end of file From 93d5c2cc5701dd70b165585ca47ded1a53c079aa Mon Sep 17 00:00:00 2001 From: Heorhii Date: Mon, 25 Apr 2022 21:32:05 +0200 Subject: [PATCH 4/4] formating fix --- __tests__/exchanges/OkexClient.spec.ts | 12 +++++-- src/exchanges/OkexClient.ts | 44 ++++++++++++++------------ 2 files changed, 33 insertions(+), 23 deletions(-) diff --git a/__tests__/exchanges/OkexClient.spec.ts b/__tests__/exchanges/OkexClient.spec.ts index aa4ffa42..5cb41e55 100644 --- a/__tests__/exchanges/OkexClient.spec.ts +++ b/__tests__/exchanges/OkexClient.spec.ts @@ -79,7 +79,9 @@ testClient({ exchangeName: "OKEx", clientName: "OKExClient - Futures", fetchMarkets: async () => { - const results: any = await get("https://www.okx.com/api/v5/public/instruments?instType=FUTURES"); + const results: any = await get( + "https://www.okx.com/api/v5/public/instruments?instType=FUTURES", + ); return results.data .filter(p => p.settleCcy === "BTC") .map(p => ({ @@ -97,7 +99,9 @@ testClient({ exchangeName: "OKEx", clientName: "OKExClient - Swap", fetchMarkets: async () => { - const results: any = await get("https://www.okx.com/api/v5/public/instruments?instType=SWAP"); + const results: any = await get( + "https://www.okx.com/api/v5/public/instruments?instType=SWAP", + ); return results.data .filter(p => ["BTC", "ETH", "LTC"].includes(p.settleCcy)) .map(p => ({ @@ -115,7 +119,9 @@ testClient({ exchangeName: "OKEx", clientName: "OKExClient - Options", fetchMarkets: async () => { - const results: any = await get("https://www.okx.com/api/v5/public/instruments?instType=OPTION&uly=BTC-USD"); + const results: any = await get( + "https://www.okx.com/api/v5/public/instruments?instType=OPTION&uly=BTC-USD", + ); return results.data .map(p => ({ id: p.instId, diff --git a/src/exchanges/OkexClient.ts b/src/exchanges/OkexClient.ts index ef261298..7c7ff496 100644 --- a/src/exchanges/OkexClient.ts +++ b/src/exchanges/OkexClient.ts @@ -94,7 +94,7 @@ export class OkexClient extends BasicClient { */ protected _marketArg(method: string, market: Market) { const type: string = (market.type || "SPOT").toUpperCase(); - return {"channel":method, "instId":market.id, "instType": type }; + return { channel: method, instId: market.id, instType: type }; } /** @@ -230,7 +230,7 @@ export class OkexClient extends BasicClient { protected _onMessage(json: string) { // ignore pongs - if(json==="pong"){ + if (json === "pong") { return; } @@ -542,22 +542,14 @@ export class OkexClient extends BasicClient { } */ protected _constructTicker(data, market) { - const { - last, - bidPx, - bidSz, - askPx, - askSz, - open24h, - high24h, - low24h, - vol24h, - ts, - } = data; + const { last, bidPx, bidSz, askPx, askSz, open24h, high24h, low24h, vol24h, ts } = data; const change = parseFloat(last) - parseFloat(open24h); const changePercent = change / parseFloat(open24h); - const timestamp = moment.unix(Math.ceil(ts/1000)).utc().valueOf(); + const timestamp = moment + .unix(Math.ceil(ts / 1000)) + .utc() + .valueOf(); return new Ticker({ exchange: this.name, base: market.base, @@ -590,7 +582,10 @@ export class OkexClient extends BasicClient { */ protected _constructTrade(datum, market) { const { px, side, sz, ts, tradeId } = datum; - const unix = moment.unix(Math.ceil(ts/1000)).utc().valueOf(); + const unix = moment + .unix(Math.ceil(ts / 1000)) + .utc() + .valueOf(); return new Trade({ exchange: this.name, @@ -618,8 +613,11 @@ export class OkexClient extends BasicClient { * @param {*} datum */ protected _constructCandle(datum) { - const [datetime, open, high, low, close, volume,] = datum; - const ts = moment.unix(Math.ceil(datetime/1000)).utc().valueOf(); + const [datetime, open, high, low, close, volume] = datum; + const ts = moment + .unix(Math.ceil(datetime / 1000)) + .utc() + .valueOf(); return new Candle(ts, open, high, low, close, volume); } @@ -677,7 +675,10 @@ export class OkexClient extends BasicClient { protected _constructLevel2Snapshot(datum, market) { const asks = datum.asks.map(p => new Level2Point(p[0], p[1], p[3])); const bids = datum.bids.map(p => new Level2Point(p[0], p[1], p[3])); - const ts = moment.unix(Math.ceil(datum.ts/1000)).utc().valueOf(); + const ts = moment + .unix(Math.ceil(datum.ts / 1000)) + .utc() + .valueOf(); const checksum = datum.checksum; return new Level2Snapshot({ exchange: this.name, @@ -722,7 +723,10 @@ export class OkexClient extends BasicClient { _constructLevel2Update(datum, market) { const asks = datum.asks.map(p => new Level2Point(p[0], p[1], p[3])); const bids = datum.bids.map(p => new Level2Point(p[0], p[1], p[3])); - const ts = moment.unix(Math.ceil(datum.ts/1000)).utc().valueOf(); + const ts = moment + .unix(Math.ceil(datum.ts / 1000)) + .utc() + .valueOf(); const checksum = datum.checksum; return new Level2Update({ exchange: this.name,