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feat: add support for Okex API v5
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@thaaddeus
thaaddeus committed Dec 22, 2021
1 parent ce2eb76 commit d801851
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Showing 7 changed files with 1,661 additions and 45 deletions.
66 changes: 62 additions & 4 deletions src/consts.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -104,7 +104,24 @@ const DERIBIT_CHANNELS = [

const KRAKEN_CHANNELS = ['trade', 'ticker', 'book', 'spread'] as const

const OKEX_CHANNELS = ['spot/trade', 'spot/depth', 'spot/depth_l2_tbt', 'spot/ticker', 'system/status', 'margin/interest_rate'] as const
const OKEX_CHANNELS = [
'spot/trade',
'spot/depth',
'spot/depth_l2_tbt',
'spot/ticker',
'system/status',
'margin/interest_rate',

// v5
'trades',
'books-l2-tbt',
'tickers',
'interest-rate-loan-quota',
'vip-interest-rate-loan-quota',
'status',
'instruments',
'taker-volume'
] as const

const OKCOIN_CHANNELS = ['spot/trade', 'spot/depth', 'spot/depth_l2_tbt', 'spot/ticker', 'system/status'] as const

Expand All @@ -119,7 +136,21 @@ const OKEX_FUTURES_CHANNELS = [
'system/status',
'information/sentiment',
'information/long_short_ratio',
'information/margin'
'information/margin',

// v5
'trades',
'books-l2-tbt',
'tickers',
'open-interest',
'mark-price',
'price-limit',
'status',
'instruments',
'index-tickers',
'long-short-account-ratio',
'taker-volume',
'liquidations'
] as const

const OKEX_SWAP_CHANNELS = [
Expand All @@ -134,7 +165,22 @@ const OKEX_SWAP_CHANNELS = [
'system/status',
'information/sentiment',
'information/long_short_ratio',
'information/margin'
'information/margin',

//v5
'trades',
'books-l2-tbt',
'tickers',
'open-interest',
'mark-price',
'price-limit',
'funding-rate',
'status',
'instruments',
'index-tickers',
'long-short-account-ratio',
'taker-volume',
'liquidations'
] as const

const OKEX_OPTIONS_CHANNELS = [
Expand All @@ -146,7 +192,19 @@ const OKEX_OPTIONS_CHANNELS = [
'option/instruments',
'index/ticker',
'system/status',
'option/trades'
'option/trades',

//v5
'trades',
'books-l2-tbt',
'tickers',
'opt-summary',
'status',
'instruments',
'index-tickers',
'open-interest',
'mark-price',
'price-limit'
] as const

const COINFLEX_CHANNELS = ['futures/depth', 'trade', 'ticker'] as const
Expand Down
101 changes: 77 additions & 24 deletions src/mappers/index.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -69,7 +69,13 @@ import {
OkexDerivativeTickerMapper,
OkexLiquidationsMapper,
OkexOptionSummaryMapper,
OkexTradesMapper
OkexTradesMapper,
OkexV5BookChangeMapper,
OkexV5BookTickerMapper,
OkexV5DerivativeTickerMapper,
OkexV5LiquidationsMapper,
OkexV5OptionSummaryMapper,
OkexV5TradesMapper
} from './okex'
import { phemexBookChangeMapper, PhemexDerivativeTickerMapper, phemexTradesMapper } from './phemex'
import { PoloniexBookChangeMapper, PoloniexTradesMapper } from './poloniex'
Expand All @@ -87,6 +93,12 @@ const isRealTime = (date: Date) => {
return date.valueOf() + THREE_MINUTES_IN_MS > new Date().valueOf()
}

const OKEX_V5_API_SWITCH_DATE = new Date('2021-12-23T00:00:00.000Z')

const shouldUseOkexV5Mappers = (localTimestamp: Date) => {
return isRealTime(localTimestamp) || localTimestamp.valueOf() >= OKEX_V5_API_SWITCH_DATE.valueOf()
}

const tradesMappers = {
bitmex: () => bitmexTradesMapper,
binance: () => new BinanceTradesMapper('binance'),
Expand All @@ -106,10 +118,18 @@ const tradesMappers = {
'ftx-us': () => new FTXTradesMapper('ftx-us'),
gemini: () => geminiTradesMapper,
kraken: () => krakenTradesMapper,
okex: () => new OkexTradesMapper('okex', 'spot'),
'okex-futures': () => new OkexTradesMapper('okex-futures', 'futures'),
'okex-swap': () => new OkexTradesMapper('okex-swap', 'swap'),
'okex-options': () => new OkexTradesMapper('okex-options', 'option'),
okex: (localTimestamp: Date) =>
shouldUseOkexV5Mappers(localTimestamp) ? new OkexV5TradesMapper('okex') : new OkexTradesMapper('okex', 'spot'),

'okex-futures': (localTimestamp: Date) =>
shouldUseOkexV5Mappers(localTimestamp) ? new OkexV5TradesMapper('okex-futures') : new OkexTradesMapper('okex-futures', 'futures'),

'okex-swap': (localTimestamp: Date) =>
shouldUseOkexV5Mappers(localTimestamp) ? new OkexV5TradesMapper('okex-swap') : new OkexTradesMapper('okex-swap', 'swap'),

'okex-options': (localTimestamp: Date) =>
shouldUseOkexV5Mappers(localTimestamp) ? new OkexV5TradesMapper('okex-options') : new OkexTradesMapper('okex-options', 'option'),

huobi: () => new HuobiTradesMapper('huobi'),
'huobi-dm': () => new HuobiTradesMapper('huobi-dm'),
'huobi-dm-swap': () => new HuobiTradesMapper('huobi-dm-swap'),
Expand Down Expand Up @@ -152,14 +172,24 @@ const bookChangeMappers = {
'ftx-us': () => new FTXBookChangeMapper('ftx-us'),
gemini: () => geminiBookChangeMapper,
kraken: () => krakenBookChangeMapper,
okex: (localTimestamp: Date) => new OkexBookChangeMapper('okex', 'spot', localTimestamp.valueOf() >= new Date('2020-04-10').valueOf()),
okex: (localTimestamp: Date) =>
shouldUseOkexV5Mappers(localTimestamp)
? new OkexV5BookChangeMapper('okex')
: new OkexBookChangeMapper('okex', 'spot', localTimestamp.valueOf() >= new Date('2020-04-10').valueOf()),
'okex-futures': (localTimestamp: Date) =>
new OkexBookChangeMapper('okex-futures', 'futures', localTimestamp.valueOf() >= new Date('2019-12-05').valueOf()),
shouldUseOkexV5Mappers(localTimestamp)
? new OkexV5BookChangeMapper('okex-futures')
: new OkexBookChangeMapper('okex-futures', 'futures', localTimestamp.valueOf() >= new Date('2019-12-05').valueOf()),

'okex-swap': (localTimestamp: Date) =>
new OkexBookChangeMapper('okex-swap', 'swap', localTimestamp.valueOf() >= new Date('2020-02-08').valueOf()),
shouldUseOkexV5Mappers(localTimestamp)
? new OkexV5BookChangeMapper('okex-swap')
: new OkexBookChangeMapper('okex-swap', 'swap', localTimestamp.valueOf() >= new Date('2020-02-08').valueOf()),
'okex-options': (localTimestamp: Date) =>
new OkexBookChangeMapper('okex-options', 'option', localTimestamp.valueOf() >= new Date('2020-02-08').valueOf()),
shouldUseOkexV5Mappers(localTimestamp)
? new OkexV5BookChangeMapper('okex-options')
: new OkexBookChangeMapper('okex-options', 'option', localTimestamp.valueOf() >= new Date('2020-02-08').valueOf()),

huobi: (localTimestamp: Date) =>
localTimestamp.valueOf() >= new Date('2020-07-03').valueOf()
? new HuobiMBPBookChangeMapper('huobi')
Expand Down Expand Up @@ -195,8 +225,14 @@ const derivativeTickersMappers = {
'bitfinex-derivatives': () => new BitfinexDerivativeTickerMapper(),
cryptofacilities: () => new CryptofacilitiesDerivativeTickerMapper(),
deribit: () => new DeribitDerivativeTickerMapper(),
'okex-futures': () => new OkexDerivativeTickerMapper('okex-futures'),
'okex-swap': () => new OkexDerivativeTickerMapper('okex-swap'),
'okex-futures': (localTimestamp: Date) =>
shouldUseOkexV5Mappers(localTimestamp)
? new OkexV5DerivativeTickerMapper('okex-futures')
: new OkexDerivativeTickerMapper('okex-futures'),

'okex-swap': (localTimestamp: Date) =>
shouldUseOkexV5Mappers(localTimestamp) ? new OkexV5DerivativeTickerMapper('okex-swap') : new OkexDerivativeTickerMapper('okex-swap'),

bybit: () => new BybitDerivativeTickerMapper(),
phemex: () => new PhemexDerivativeTickerMapper(),
ftx: () => new FTXDerivativeTickerMapper('ftx'),
Expand All @@ -212,7 +248,8 @@ const derivativeTickersMappers = {

const optionsSummaryMappers = {
deribit: () => new DeribitOptionSummaryMapper(),
'okex-options': () => new OkexOptionSummaryMapper(),
'okex-options': (localTimestamp: Date) =>
shouldUseOkexV5Mappers(localTimestamp) ? new OkexV5OptionSummaryMapper() : new OkexOptionSummaryMapper(),
'binance-options': () => new BinanceOptionSummaryMapper(),
'huobi-dm-options': () => new HuobiOptionsSummaryMapper()
}
Expand All @@ -229,8 +266,12 @@ const liquidationsMappers = {
'huobi-dm-swap': () => new HuobiLiquidationsMapper('huobi-dm-swap'),
'huobi-dm-linear-swap': () => new HuobiLiquidationsMapper('huobi-dm-linear-swap'),
bybit: () => new BybitLiquidationsMapper('bybit'),
'okex-futures': () => new OkexLiquidationsMapper('okex-futures', 'futures'),
'okex-swap': () => new OkexLiquidationsMapper('okex-swap', 'swap')
'okex-futures': (localTimestamp: Date) =>
shouldUseOkexV5Mappers(localTimestamp)
? new OkexV5LiquidationsMapper('okex-futures')
: new OkexLiquidationsMapper('okex-futures', 'futures'),
'okex-swap': (localTimestamp: Date) =>
shouldUseOkexV5Mappers(localTimestamp) ? new OkexV5LiquidationsMapper('okex-swap') : new OkexLiquidationsMapper('okex-swap', 'swap')
}

const bookTickersMappers = {
Expand All @@ -254,10 +295,22 @@ const bookTickersMappers = {
'huobi-dm-swap': () => new HuobiBookTickerMapper('huobi-dm-swap'),
'huobi-dm-linear-swap': () => new HuobiBookTickerMapper('huobi-dm-linear-swap'),
kraken: () => krakenBookTickerMapper,
okex: () => new OkexBookTickerMapper('okex', 'spot'),
'okex-futures': () => new OkexBookTickerMapper('okex-futures', 'futures'),
'okex-swap': () => new OkexBookTickerMapper('okex-swap', 'swap'),
'okex-options': () => new OkexBookTickerMapper('okex-options', 'option'),
okex: (localTimestamp: Date) =>
shouldUseOkexV5Mappers(localTimestamp) ? new OkexV5BookTickerMapper('okex') : new OkexBookTickerMapper('okex', 'spot'),

'okex-futures': (localTimestamp: Date) =>
shouldUseOkexV5Mappers(localTimestamp)
? new OkexV5BookTickerMapper('okex-futures')
: new OkexBookTickerMapper('okex-futures', 'futures'),

'okex-swap': (localTimestamp: Date) =>
shouldUseOkexV5Mappers(localTimestamp) ? new OkexV5BookTickerMapper('okex-swap') : new OkexBookTickerMapper('okex-swap', 'swap'),

'okex-options': (localTimestamp: Date) =>
shouldUseOkexV5Mappers(localTimestamp)
? new OkexV5BookTickerMapper('okex-options')
: new OkexBookTickerMapper('okex-options', 'option'),

okcoin: () => new OkexBookTickerMapper('okcoin', 'spot'),
serum: () => new SerumBookTickerMapper('serum'),
'star-atlas': () => new SerumBookTickerMapper('star-atlas')
Expand Down Expand Up @@ -301,39 +354,39 @@ export const normalizeDerivativeTickers = <T extends keyof typeof derivativeTick

export const normalizeOptionsSummary = <T extends keyof typeof optionsSummaryMappers>(
exchange: T,
_localTimestamp: Date
localTimestamp: Date
): Mapper<T, OptionSummary> => {
const createOptionSummaryMapper = optionsSummaryMappers[exchange]

if (createOptionSummaryMapper === undefined) {
throw new Error(`normalizeOptionsSummary: ${exchange} not supported`)
}

return createOptionSummaryMapper() as any
return createOptionSummaryMapper(localTimestamp) as any
}

export const normalizeLiquidations = <T extends keyof typeof liquidationsMappers>(
exchange: T,
_localTimestamp: Date
localTimestamp: Date
): Mapper<T, Liquidation> => {
const createLiquidationsMapper = liquidationsMappers[exchange]

if (createLiquidationsMapper === undefined) {
throw new Error(`normalizeLiquidations: ${exchange} not supported`)
}

return createLiquidationsMapper() as any
return createLiquidationsMapper(localTimestamp) as any
}

export const normalizeBookTickers = <T extends keyof typeof bookTickersMappers>(
exchange: T,
_localTimestamp: Date
localTimestamp: Date
): Mapper<T, BookTicker> => {
const createTickerMapper = bookTickersMappers[exchange]

if (createTickerMapper === undefined) {
throw new Error(`normalizeBookTickers: ${exchange} not supported`)
}

return createTickerMapper() as any
return createTickerMapper(localTimestamp) as any
}
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