improvement: handle edge case for okex-options summary mapper

tardis-dev · Dec 27, 2021 · b4e768a · b4e768a
1 parent e12eae0
commit b4e768a
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Showing 3 changed files with 62 additions and 6 deletions.
diff --git a/src/mappers/okex.ts b/src/mappers/okex.ts
@@ -354,8 +354,8 @@ export class OkexV5OptionSummaryMapper implements Mapper<'okex-options', OptionS
       for (const dataMessage of message.data) {
         const indexTickerMessage = dataMessage as OkexV5IndexTickerMessage['data'][0]
 
-        const lastIndexPrice = Number(indexTickerMessage.idxPx)
-        if (lastIndexPrice > 0) {
+        const lastIndexPrice = asNumberIfValid(indexTickerMessage.idxPx)
+        if (lastIndexPrice !== undefined) {
           this._indexPrices.set(indexTickerMessage.instId, lastIndexPrice)
         }
       }
@@ -366,8 +366,8 @@ export class OkexV5OptionSummaryMapper implements Mapper<'okex-options', OptionS
       for (const dataMessage of message.data) {
         const openInterestMessage = dataMessage as OkexV5OpenInterestMessage['data'][0]
 
-        const openInterestValue = Number(openInterestMessage.oi)
-        if (openInterestValue > 0) {
+        const openInterestValue = asNumberIfValid(openInterestMessage.oi)
+        if (openInterestValue !== undefined) {
           this._openInterests.set(openInterestMessage.instId, openInterestValue)
         }
       }
@@ -378,8 +378,8 @@ export class OkexV5OptionSummaryMapper implements Mapper<'okex-options', OptionS
       for (const dataMessage of message.data) {
         const markPriceMessage = dataMessage as OkexV5MarkPriceMessage['data'][0]
 
-        const markPrice = Number(markPriceMessage.markPx)
-        if (markPrice > 0) {
+        const markPrice = asNumberIfValid(markPriceMessage.markPx)
+        if (markPrice !== undefined) {
           this._markPrices.set(markPriceMessage.instId, markPrice)
         }
       }

diff --git a/test/__snapshots__/mappers.test.ts.snap b/test/__snapshots__/mappers.test.ts.snap
@@ -7368,6 +7368,38 @@ Array [
 ]
 `;
 
+exports[`mappers map okex-options messages 30`] = `
+Array [
+  Object {
+    "bestAskAmount": undefined,
+    "bestAskIV": 5,
+    "bestAskPrice": undefined,
+    "bestBidAmount": undefined,
+    "bestBidIV": undefined,
+    "bestBidPrice": undefined,
+    "delta": -1.0127414362,
+    "exchange": "okex-options",
+    "expirationDate": 2021-12-27T08:00:00.000Z,
+    "gamma": 5.1005664647,
+    "lastPrice": undefined,
+    "localTimestamp": 2021-12-23T00:00:00.000Z,
+    "markIV": 1.30710927,
+    "markPrice": undefined,
+    "openInterest": undefined,
+    "optionType": "put",
+    "rho": undefined,
+    "strikePrice": 4150,
+    "symbol": "ETH-USD-211227-4150-P",
+    "theta": -0.0002998793,
+    "timestamp": 2021-12-27T07:00:00.390Z,
+    "type": "option_summary",
+    "underlyingIndex": "ETH-USD",
+    "underlyingPrice": 3814.05,
+    "vega": 0.0000045884,
+  },
+]
+`;
+
 exports[`mappers map okex-swap messages 1`] = `
 Array [
   Object {

diff --git a/test/mappers.test.ts b/test/mappers.test.ts
@@ -2002,6 +2002,30 @@ describe('mappers', () => {
       {
         arg: { channel: 'trades', instId: 'BTC-USD-211224-56000-C' },
         data: [{ instId: 'BTC-USD-211224-56000-C', tradeId: '376', px: '0.0005', sz: '1', side: 'buy', ts: '1640001607045' }]
+      },
+      {
+        arg: { channel: 'opt-summary', uly: 'ETH-USD' },
+        data: [
+          {
+            instType: 'OPTION',
+            instId: 'ETH-USD-211227-4150-P',
+            uly: 'ETH-USD',
+            delta: '-1.0127414362',
+            gamma: '5.1005664647',
+            vega: '0.0000045884',
+            theta: '-0.0002998793',
+            lever: '0',
+            markVol: '1.30710927',
+            bidVol: '',
+            askVol: '5',
+            realVol: '',
+            deltaBS: '-0.9826286266',
+            gammaBS: '0.000755397',
+            thetaBS: '-43.7640140001',
+            vegaBS: '0.0186786885',
+            ts: '1640588400390'
+          }
+        ]
       }
     ]