fix: handle bitmex empty snapshots when mapping data

tardis-dev · Nov 12, 2021 · 1edee16 · 1edee16
1 parent 89a76f4
commit 1edee16
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Showing 3 changed files with 46 additions and 2 deletions.
diff --git a/src/mappers/bitmex.ts b/src/mappers/bitmex.ts
@@ -71,6 +71,21 @@ export class BitmexBookChangeMapper implements Mapper<'bitmex', BookChange> {
           [key: string]: typeof bitmexOrderBookL2Message.data
         }
       )
+
+      if (bitmexOrderBookL2Message.data.length === 0 && bitmexOrderBookL2Message.filter?.symbol !== undefined) {
+        const emptySnapshot: BookChange = {
+          type: 'book_change',
+          symbol: bitmexOrderBookL2Message.filter?.symbol!,
+          exchange: 'bitmex',
+          isSnapshot: true,
+          bids: [],
+          asks: [],
+          timestamp: localTimestamp,
+          localTimestamp: localTimestamp
+        }
+
+        yield emptySnapshot
+      }
     } else {
       // in case of other messages types BitMEX always returns data for single symbol
       bitmexBookMessagesGrouppedBySymbol = {
@@ -107,12 +122,14 @@ export class BitmexBookChangeMapper implements Mapper<'bitmex', BookChange> {
         }
       }
 
-      if (bids.length > 0 || asks.length > 0) {
+      const isSnapshot = bitmexOrderBookL2Message.action === 'partial'
+
+      if (bids.length > 0 || asks.length > 0 || isSnapshot) {
         const bookChange: BookChange = {
           type: 'book_change',
           symbol,
           exchange: 'bitmex',
-          isSnapshot: bitmexOrderBookL2Message.action === 'partial',
+          isSnapshot,
           bids,
           asks,
           timestamp: localTimestamp,
@@ -280,6 +297,7 @@ type BitmexInstrumentsMessage = BitmexDataMessage & {
 
 type BitmexOrderBookL2Message = BitmexDataMessage & {
   table: 'orderBookL2'
+  filter?: { symbol?: string }
   data: {
     symbol: string
     id: number

diff --git a/test/__snapshots__/mappers.test.ts.snap b/test/__snapshots__/mappers.test.ts.snap
@@ -1757,6 +1757,21 @@ Array [
 ]
 `;
 
+exports[`mappers map bitmex messages 15`] = `
+Array [
+  Object {
+    "asks": Array [],
+    "bids": Array [],
+    "exchange": "bitmex",
+    "isSnapshot": true,
+    "localTimestamp": 2019-06-01T00:00:28.619Z,
+    "symbol": "XBTZ21",
+    "timestamp": 2019-06-01T00:00:28.619Z,
+    "type": "book_change",
+  },
+]
+`;
+
 exports[`mappers map bitstamp messages 1`] = `Array []`;
 
 exports[`mappers map bitstamp messages 2`] = `

diff --git a/test/mappers.test.ts b/test/mappers.test.ts
@@ -739,10 +739,21 @@ describe('mappers', () => {
           { timestamp: '2021-10-13T07:07:00.106Z', symbol: 'XBTUSD', bidSize: 2700, bidPrice: 55411, askPrice: 55411.5, askSize: 205100 },
           { timestamp: '2021-10-13T07:07:01.010Z', symbol: 'XBTUSD', bidSize: 700, bidPrice: 55400, askPrice: 55400.5, askSize: 241500 }
         ]
+      },
+      {
+        table: 'orderBookL2',
+        action: 'partial',
+        keys: ['symbol', 'id', 'side'],
+        types: { symbol: 'symbol', id: 'long', side: 'symbol', size: 'long', price: 'float' },
+        foreignKeys: { symbol: 'instrument', side: 'side' },
+        attributes: { symbol: 'parted', id: 'sorted' },
+        filter: { symbol: 'XBTZ21' },
+        data: []
       }
     ]
 
     const bitmexMapper = createMapper('bitmex')
+
     for (const message of messages) {
       const mappedMessages = bitmexMapper.map(message, new Date('2019-06-01T00:00:28.6199940Z'))
       expect(mappedMessages).toMatchSnapshot()