tardis-dev - npm Package Compare versions

Comparing version 13.20.5 to 13.21.0

dist/consts.d.ts

@@ -37,3 +37,3 @@ export declare const EXCHANGES: readonly ["bitmex", "deribit", "binance-futures", "binance-delivery", "binance-options", "binance", "ftx", "okex-futures", "okex-options", "okex-swap", "okex", "huobi-dm", "huobi-dm-swap", "huobi-dm-linear-swap", "huobi", "bitfinex-derivatives", "bitfinex", "coinbase", "cryptofacilities", "kraken", "bitstamp", "gemini", "poloniex", "bybit", "bybit-spot", "bybit-options", "phemex", "delta", "ftx-us", "binance-us", "gate-io-futures", "gate-io", "okcoin", "bitflyer", "hitbtc", "coinflex", "binance-jersey", "binance-dex", "upbit", "ascendex", "dydx", "serum", "mango", "huobi-dm-options", "star-atlas", "crypto-com", "crypto-com-derivatives", "kucoin", "bitnomial", "woo-x", "blockchain-com"];
     delta: readonly ["l2_orderbook", "recent_trade", "recent_trade_snapshot", "mark_price", "spot_price", "funding_rate", "product_updates", "announcements", "all_trades", "v2/ticker", "l1_orderbook", "l2_updates", "spot_30mtwap_price"];
-    'gate-io': readonly ["trades", "depth", "ticker"];
+    'gate-io': readonly ["trades", "depth", "ticker", "book_ticker", "order_book_update"];
     'gate-io-futures': readonly ["trades", "order_book", "tickers", "book_ticker"];
@@ -40,0 +40,0 @@ poloniex: readonly ["price_aggregated_book", "trades", "ticker", "book_lv2"];

dist/consts.js

@@ -362,3 +362,3 @@ "use strict";
 ];
-const GATE_IO_CHANNELS = ['trades', 'depth', 'ticker'];
+const GATE_IO_CHANNELS = ['trades', 'depth', 'ticker', 'book_ticker', 'order_book_update'];
 const GATE_IO_FUTURES_CHANNELS = ['trades', 'order_book', 'tickers', 'book_ticker'];
@@ -365,0 +365,0 @@ const POLONIEX_CHANNELS = ['price_aggregated_book', 'trades', 'ticker', 'book_lv2'];

dist/mappers/gateio.d.ts

@@ -1,3 +0,42 @@
-import { BookChange, Exchange, Trade } from '../types';
+import { CircularBuffer } from '../handy';
+import { BookChange, BookTicker, Exchange, Trade } from '../types';
 import { Mapper } from './mapper';
+export declare class GateIOV4BookChangeMapper implements Mapper<'gate-io', BookChange> {
+    protected readonly exchange: Exchange;
+    protected readonly symbolToDepthInfoMapping: {
+        [key: string]: LocalDepthInfo;
+    };
+    constructor(exchange: Exchange);
+    canHandle(message: GateV4OrderBookUpdate | Gatev4OrderBookSnapshot): boolean;
+    getFilters(symbols?: string[]): {
+        readonly channel: "order_book_update";
+        readonly symbols: string[] | undefined;
+    }[];
+    map(message: GateV4OrderBookUpdate | Gatev4OrderBookSnapshot, localTimestamp: Date): Generator<BookChange, void, unknown>;
+    protected mapBookDepthUpdate(depthUpdateData: DepthData, localTimestamp: Date): BookChange | undefined;
+    protected mapBookLevel(level: [string, string]): {
+        price: number;
+        amount: number;
+    };
+}
+export declare class GateIOV4BookTickerMapper implements Mapper<'gate-io', BookTicker> {
+    private readonly _exchange;
+    constructor(_exchange: Exchange);
+    canHandle(message: GateV4BookTicker): boolean;
+    getFilters(symbols?: string[]): {
+        readonly channel: "book_ticker";
+        readonly symbols: string[] | undefined;
+    }[];
+    map(bookTickerResponse: GateV4BookTicker, localTimestamp: Date): Generator<BookTicker, void, unknown>;
+}
+export declare class GateIOV4TradesMapper implements Mapper<'gate-io', Trade> {
+    private readonly _exchange;
+    constructor(_exchange: Exchange);
+    canHandle(message: GateV4Trade): boolean;
+    getFilters(symbols?: string[]): {
+        readonly channel: "trades";
+        readonly symbols: string[] | undefined;
+    }[];
+    map(tradesMessage: GateV4Trade, localTimestamp: Date): IterableIterator<Trade>;
+}
 export declare class GateIOTradesMapper implements Mapper<'gate-io', Trade> {
@@ -47,3 +86,78 @@ private readonly _exchange;
 };
+type GateV4Trade = {
+    time: 1682689046;
+    time_ms: 1682689046133;
+    channel: 'spot.trades';
+    event: 'update';
+    result: {
+        id: 5541729596;
+        create_time: 1682689046;
+        create_time_ms: '1682689046123.0';
+        side: 'sell';
+        currency_pair: 'SUSD_USDT';
+        amount: '8.5234';
+        price: '0.9782';
+    };
+};
+type GateV4BookTicker = {
+    time: 1682689046;
+    time_ms: 1682689046142;
+    channel: 'spot.book_ticker';
+    event: 'update';
+    result: {
+        t: 1682689046131;
+        u: 517377894;
+        s: 'ETC_ETH';
+        b: '0.010326';
+        B: '0.001';
+        a: '0.010366';
+        A: '10';
+    };
+};
+type Gatev4OrderBookSnapshot = {
+    channel: 'spot.order_book_update';
+    event: 'snapshot';
+    generated: true;
+    symbol: '1ART_USDT';
+    result: {
+        id: 154857784;
+        current: 1682689045318;
+        update: 1682689045056;
+        asks: [string, string][];
+        bids: [string, string][];
+    };
+};
+type GateV4OrderBookUpdate = {
+    time: 1682689045;
+    time_ms: 1682689045532;
+    channel: 'spot.order_book_update';
+    event: 'update';
+    result: {
+        lastUpdateId: undefined;
+        t: 1682689045424;
+        e: 'depthUpdate';
+        E: 1682689045;
+        s: '1ART_USDT';
+        U: 154857785;
+        u: 154857785;
+        b: [string, string][];
+        a: [string, string][];
+    };
+};
+type LocalDepthInfo = {
+    bufferedUpdates: CircularBuffer<DepthData>;
+    snapshotProcessed?: boolean;
+    lastUpdateId?: number;
+    validatedFirstUpdate?: boolean;
+};
+type DepthData = {
+    lastUpdateId: undefined;
+    t: number;
+    s: string;
+    U: number;
+    u: number;
+    b: [string, string][];
+    a: [string, string][];
+};
 export {};
 //# sourceMappingURL=gateio.d.ts.map

dist/mappers/gateio.js

 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.GateIOBookChangeMapper = exports.GateIOTradesMapper = void 0;
+exports.GateIOBookChangeMapper = exports.GateIOTradesMapper = exports.GateIOV4TradesMapper = exports.GateIOV4BookTickerMapper = exports.GateIOV4BookChangeMapper = void 0;
 const handy_1 = require("../handy");
-// https://www.gate.io/docs/websocket/index.html
+//v4
+class GateIOV4BookChangeMapper {
+    constructor(exchange) {
+        this.exchange = exchange;
+        this.symbolToDepthInfoMapping = {};
+    }
+    canHandle(message) {
+        if (message.channel === undefined) {
+            return false;
+        }
+        if (message.event !== 'update' && message.event !== 'snapshot') {
+            return false;
+        }
+        return message.channel.endsWith('order_book_update');
+    }
+    getFilters(symbols) {
+        symbols = (0, handy_1.upperCaseSymbols)(symbols);
+        return [
+            {
+                channel: 'order_book_update',
+                symbols
+            }
+        ];
+    }
+    *map(message, localTimestamp) {
+        const symbol = message.event === 'snapshot' ? message.symbol : message.result.s;
+        if (this.symbolToDepthInfoMapping[symbol] === undefined) {
+            this.symbolToDepthInfoMapping[symbol] = {
+                bufferedUpdates: new handy_1.CircularBuffer(2000)
+            };
+        }
+        const symbolDepthInfo = this.symbolToDepthInfoMapping[symbol];
+        const snapshotAlreadyProcessed = symbolDepthInfo.snapshotProcessed;
+        // first check if received message is snapshot and process it as such if it is
+        if (message.event === 'snapshot') {
+            // if we've already received 'manual' snapshot, ignore if there is another one
+            if (snapshotAlreadyProcessed) {
+                return;
+            }
+            // produce snapshot book_change
+            const snapshotData = message.result;
+            //  mark given symbol depth info that has snapshot processed
+            symbolDepthInfo.lastUpdateId = snapshotData.id;
+            symbolDepthInfo.snapshotProcessed = true;
+            // if there were any depth updates buffered, let's proccess those by adding to or updating the initial snapshot
+            for (const update of symbolDepthInfo.bufferedUpdates.items()) {
+                const bookChange = this.mapBookDepthUpdate(update, localTimestamp);
+                if (bookChange !== undefined) {
+                    for (const bid of update.b) {
+                        const matchingBid = snapshotData.bids.find((b) => b[0] === bid[0]);
+                        if (matchingBid !== undefined) {
+                            matchingBid[1] = bid[1];
+                        }
+                        else {
+                            snapshotData.bids.push(bid);
+                        }
+                    }
+                    for (const ask of update.a) {
+                        const matchingAsk = snapshotData.asks.find((a) => a[0] === ask[0]);
+                        if (matchingAsk !== undefined) {
+                            matchingAsk[1] = ask[1];
+                        }
+                        else {
+                            snapshotData.asks.push(ask);
+                        }
+                    }
+                }
+            }
+            // remove all buffered updates
+            symbolDepthInfo.bufferedUpdates.clear();
+            const bookChange = {
+                type: 'book_change',
+                symbol,
+                exchange: this.exchange,
+                isSnapshot: true,
+                bids: snapshotData.bids.map(this.mapBookLevel),
+                asks: snapshotData.asks.map(this.mapBookLevel),
+                timestamp: new Date(snapshotData.update),
+                localTimestamp
+            };
+            yield bookChange;
+        }
+        else if (snapshotAlreadyProcessed) {
+            // snapshot was already processed let's map the message as normal book_change
+            const bookChange = this.mapBookDepthUpdate(message.result, localTimestamp);
+            if (bookChange !== undefined) {
+                yield bookChange;
+            }
+        }
+        else {
+            const depthUpdate = message.result;
+            symbolDepthInfo.bufferedUpdates.append(depthUpdate);
+        }
+    }
+    mapBookDepthUpdate(depthUpdateData, localTimestamp) {
+        // we can safely assume here that depthContext and lastUpdateId aren't null here as this is method only works
+        // when we've already processed the snapshot
+        const depthContext = this.symbolToDepthInfoMapping[depthUpdateData.s];
+        const lastUpdateId = depthContext.lastUpdateId;
+        // Drop any event where u is <= lastUpdateId in the snapshot
+        if (depthUpdateData.u <= lastUpdateId) {
+            return;
+        }
+        // The first processed event should have U <= lastUpdateId+1 AND u >= lastUpdateId+1.
+        if (!depthContext.validatedFirstUpdate) {
+            // if there is new instrument added it can have empty book at first and that's normal
+            const bookSnapshotIsEmpty = lastUpdateId == -1;
+            if ((depthUpdateData.U <= lastUpdateId + 1 && depthUpdateData.u >= lastUpdateId + 1) || bookSnapshotIsEmpty) {
+                depthContext.validatedFirstUpdate = true;
+            }
+            else {
+                const message = `Book depth snapshot has no overlap with first update, update ${JSON.stringify(depthUpdateData)}, lastUpdateId: ${lastUpdateId}, exchange ${this.exchange}`;
+                throw new Error(message);
+            }
+        }
+        return {
+            type: 'book_change',
+            symbol: depthUpdateData.s,
+            exchange: this.exchange,
+            isSnapshot: false,
+            bids: depthUpdateData.b.map(this.mapBookLevel),
+            asks: depthUpdateData.a.map(this.mapBookLevel),
+            timestamp: new Date(depthUpdateData.t),
+            localTimestamp: localTimestamp
+        };
+    }
+    mapBookLevel(level) {
+        const price = Number(level[0]);
+        const amount = Number(level[1]);
+        return { price, amount };
+    }
+}
+exports.GateIOV4BookChangeMapper = GateIOV4BookChangeMapper;
+class GateIOV4BookTickerMapper {
+    constructor(_exchange) {
+        this._exchange = _exchange;
+    }
+    canHandle(message) {
+        if (message.channel === undefined) {
+            return false;
+        }
+        if (message.event !== 'update') {
+            return false;
+        }
+        return message.channel.endsWith('book_ticker');
+    }
+    getFilters(symbols) {
+        symbols = (0, handy_1.upperCaseSymbols)(symbols);
+        return [
+            {
+                channel: 'book_ticker',
+                symbols
+            }
+        ];
+    }
+    *map(bookTickerResponse, localTimestamp) {
+        const gateBookTicker = bookTickerResponse.result;
+        const ticker = {
+            type: 'book_ticker',
+            symbol: gateBookTicker.s,
+            exchange: this._exchange,
+            askAmount: gateBookTicker.A !== undefined ? Number(gateBookTicker.A) : undefined,
+            askPrice: gateBookTicker.a !== undefined ? Number(gateBookTicker.a) : undefined,
+            bidPrice: gateBookTicker.b !== undefined ? Number(gateBookTicker.b) : undefined,
+            bidAmount: gateBookTicker.B !== undefined ? Number(gateBookTicker.B) : undefined,
+            timestamp: gateBookTicker.t !== undefined ? new Date(gateBookTicker.t) : localTimestamp,
+            localTimestamp: localTimestamp
+        };
+        yield ticker;
+    }
+}
+exports.GateIOV4BookTickerMapper = GateIOV4BookTickerMapper;
+class GateIOV4TradesMapper {
+    constructor(_exchange) {
+        this._exchange = _exchange;
+    }
+    canHandle(message) {
+        if (message.channel === undefined) {
+            return false;
+        }
+        if (message.event !== 'update') {
+            return false;
+        }
+        return message.channel.endsWith('trades');
+    }
+    getFilters(symbols) {
+        symbols = (0, handy_1.upperCaseSymbols)(symbols);
+        return [
+            {
+                channel: 'trades',
+                symbols
+            }
+        ];
+    }
+    *map(tradesMessage, localTimestamp) {
+        yield {
+            type: 'trade',
+            symbol: tradesMessage.result.currency_pair,
+            exchange: this._exchange,
+            id: tradesMessage.result.id.toString(),
+            price: Number(tradesMessage.result.price),
+            amount: Number(tradesMessage.result.amount),
+            side: tradesMessage.result.side == 'sell' ? 'sell' : 'buy',
+            timestamp: new Date(Number(tradesMessage.result.create_time_ms)),
+            localTimestamp: localTimestamp
+        };
+    }
+}
+exports.GateIOV4TradesMapper = GateIOV4TradesMapper;
+// v3 https://www.gate.io/docs/websocket/index.html
 class GateIOTradesMapper {
@@ -7,0 +216,0 @@ constructor(_exchange) {

dist/mappers/index.d.ts

@@ -9,3 +9,3 @@ import { BookChange, DerivativeTicker, Liquidation, OptionSummary, BookTicker, Trade } from '../types';
 export declare const normalizeLiquidations: <T extends "bitmex" | "deribit" | "binance-futures" | "binance-delivery" | "ftx" | "okex-futures" | "okex-swap" | "huobi-dm" | "huobi-dm-swap" | "huobi-dm-linear-swap" | "bitfinex-derivatives" | "cryptofacilities" | "bybit">(exchange: T, localTimestamp: Date) => Mapper<T, Liquidation>;
-export declare const normalizeBookTickers: <T extends "bitmex" | "deribit" | "binance-futures" | "binance-delivery" | "binance" | "ftx" | "okex-futures" | "okex-options" | "okex-swap" | "okex" | "huobi-dm" | "huobi-dm-swap" | "huobi-dm-linear-swap" | "huobi" | "bitfinex-derivatives" | "bitfinex" | "coinbase" | "cryptofacilities" | "kraken" | "bybit" | "bybit-spot" | "delta" | "ftx-us" | "binance-us" | "gate-io-futures" | "okcoin" | "bitflyer" | "binance-dex" | "ascendex" | "serum" | "mango" | "star-atlas" | "crypto-com" | "crypto-com-derivatives" | "kucoin" | "woo-x">(exchange: T, localTimestamp: Date) => Mapper<T, BookTicker>;
+export declare const normalizeBookTickers: <T extends "bitmex" | "deribit" | "binance-futures" | "binance-delivery" | "binance" | "ftx" | "okex-futures" | "okex-options" | "okex-swap" | "okex" | "huobi-dm" | "huobi-dm-swap" | "huobi-dm-linear-swap" | "huobi" | "bitfinex-derivatives" | "bitfinex" | "coinbase" | "cryptofacilities" | "kraken" | "bybit" | "bybit-spot" | "delta" | "ftx-us" | "binance-us" | "gate-io-futures" | "gate-io" | "okcoin" | "bitflyer" | "binance-dex" | "ascendex" | "serum" | "mango" | "star-atlas" | "crypto-com" | "crypto-com-derivatives" | "kucoin" | "woo-x">(exchange: T, localTimestamp: Date) => Mapper<T, BookTicker>;
 //# sourceMappingURL=index.d.ts.map

dist/mappers/index.js

@@ -91,2 +91,6 @@ "use strict";
 };
+const GATE_IO_V4_API_SWITCH_DATE = new Date('2023-04-29T00:00:00.000Z');
+const shouldUseGateIOV4Mappers = (localTimestamp) => {
+    return isRealTime(localTimestamp) || localTimestamp.valueOf() >= GATE_IO_V4_API_SWITCH_DATE.valueOf();
+};
 const tradesMappers = {
@@ -125,3 +129,3 @@ bitmex: () => bitmex_1.bitmexTradesMapper,
     delta: (localTimestamp) => new delta_1.DeltaTradesMapper(localTimestamp.valueOf() >= new Date('2020-10-14').valueOf()),
-    'gate-io': () => new gateio_1.GateIOTradesMapper('gate-io'),
+    'gate-io': (localTimestamp) => shouldUseGateIOV4Mappers(localTimestamp) ? new gateio_1.GateIOV4TradesMapper('gate-io') : new gateio_1.GateIOTradesMapper('gate-io'),
     'gate-io-futures': () => new gateiofutures_1.GateIOFuturesTradesMapper('gate-io-futures'),
@@ -192,3 +196,3 @@ poloniex: (localTimestamp) => shouldUsePoloniexV2Mappers(localTimestamp) ? new poloniex_1.PoloniexV2TradesMapper() : new poloniex_1.PoloniexTradesMapper(),
     delta: (localTimestamp) => new delta_1.DeltaBookChangeMapper(localTimestamp.valueOf() >= new Date('2023-04-01').valueOf()),
-    'gate-io': () => new gateio_1.GateIOBookChangeMapper('gate-io'),
+    'gate-io': (localTimestamp) => shouldUseGateIOV4Mappers(localTimestamp) ? new gateio_1.GateIOV4BookChangeMapper('gate-io') : new gateio_1.GateIOBookChangeMapper('gate-io'),
     'gate-io-futures': () => new gateiofutures_1.GateIOFuturesBookChangeMapper('gate-io-futures'),
@@ -306,3 +310,4 @@ poloniex: (localTimestamp) => shouldUsePoloniexV2Mappers(localTimestamp) ? new poloniex_1.PoloniexV2BookChangeMapper() : new poloniex_1.PoloniexBookChangeMapper(),
     delta: () => new delta_1.DeltaBookTickerMapper(),
-    bybit: () => new bybit_1.BybitV5BookTickerMapper('bybit')
+    bybit: () => new bybit_1.BybitV5BookTickerMapper('bybit'),
+    'gate-io': () => new gateio_1.GateIOV4BookTickerMapper('gate-io')
 };
@@ -309,0 +314,0 @@ const normalizeTrades = (exchange, localTimestamp) => {

dist/realtimefeeds/gateio.d.ts

 import { Filter } from '../types';
 import { RealTimeFeedBase } from './realtimefeed';
 export declare class GateIORealTimeFeed extends RealTimeFeedBase {
-    protected readonly wssURL = "wss://ws.gate.io/v3/";
+    protected readonly wssURL = "wss://api.gateio.ws/ws/v4/";
+    protected httpURL: string;
     protected mapToSubscribeMessages(filters: Filter<string>[]): any[];
     protected messageIsError(message: any): boolean;
+    protected provideManualSnapshots(filters: Filter<string>[], shouldCancel: () => boolean): Promise<void>;
 }
 //# sourceMappingURL=gateio.d.ts.map

dist/realtimefeeds/gateio.js

 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.GateIORealTimeFeed = void 0;
+const handy_1 = require("../handy");
 const realtimefeed_1 = require("./realtimefeed");
@@ -8,6 +9,6 @@ class GateIORealTimeFeed extends realtimefeed_1.RealTimeFeedBase {
         super(...arguments);
-        this.wssURL = 'wss://ws.gate.io/v3/';
+        this.wssURL = 'wss://api.gateio.ws/ws/v4/';
+        this.httpURL = 'https://api.gateio.ws/api/v4';
     }
     mapToSubscribeMessages(filters) {
-        const id = 1;
         const payload = filters.map((filter) => {
@@ -17,20 +18,26 @@ if (!filter.symbols || filter.symbols.length === 0) {
             }
-            if (filter.channel === 'depth') {
-                return {
-                    id,
-                    method: `${filter.channel}.subscribe`,
-                    params: filter.symbols.map((s) => {
-                        return [s, 30, '0'];
-                    })
-                };
+            if (filter.channel === 'order_book_update') {
+                return filter.symbols.map((symbol) => {
+                    return {
+                        time: new Date().valueOf(),
+                        channel: `spot.${filter.channel}`,
+                        event: 'subscribe',
+                        method: `${filter.channel}.subscribe`,
+                        payload: [symbol, '100ms']
+                    };
+                });
             }
             else {
-                return {
-                    id,
-                    method: `${filter.channel}.subscribe`,
-                    params: filter.symbols
-                };
+                return filter.symbols.map((symbol) => {
+                    return {
+                        time: new Date().valueOf(),
+                        channel: `spot.${filter.channel}`,
+                        event: 'subscribe',
+                        method: `${filter.channel}.subscribe`,
+                        payload: [symbol]
+                    };
+                });
             }
         });
-        return payload;
+        return payload.flatMap((f) => f);
     }
@@ -43,4 +50,28 @@ messageIsError(message) {
     }
+    async provideManualSnapshots(filters, shouldCancel) {
+        const orderBookFilter = filters.find((f) => f.channel === 'order_book_update');
+        if (!orderBookFilter) {
+            return;
+        }
+        this.debug('requesting manual snapshots for: %s', orderBookFilter.symbols);
+        for (let symbol of orderBookFilter.symbols) {
+            if (shouldCancel()) {
+                return;
+            }
+            const depthSnapshotResponse = await handy_1.httpClient
+                .get(`${this.httpURL}/spot/order_book?currency_pair=${symbol}&limit=100&with_id=true`)
+                .json();
+            const snapshot = {
+                result: depthSnapshotResponse,
+                event: 'snapshot',
+                channel: `spot.order_book_update`,
+                symbol,
+                generated: true
+            };
+            this.manualSnapshotsBuffer.push(snapshot);
+        }
+        this.debug('requested manual snapshots successfully for: %s ', orderBookFilter.symbols);
+    }
 }
 exports.GateIORealTimeFeed = GateIORealTimeFeed;
 //# sourceMappingURL=gateio.js.map

package.json

 {
   "name": "tardis-dev",
-  "version": "13.20.5",
+  "version": "13.21.0",
   "engines": {
@@ -5,0 +5,0 @@ "node": ">=12"

src/consts.ts

@@ -394,3 +394,3 @@ export const EXCHANGES = [
 
-const GATE_IO_CHANNELS = ['trades', 'depth', 'ticker'] as const
+const GATE_IO_CHANNELS = ['trades', 'depth', 'ticker', 'book_ticker', 'order_book_update'] as const
 const GATE_IO_FUTURES_CHANNELS = ['trades', 'order_book', 'tickers', 'book_ticker'] as const
@@ -397,0 +397,0 @@ const POLONIEX_CHANNELS = ['price_aggregated_book', 'trades', 'ticker', 'book_lv2'] as const

src/mappers/gateio.ts

@@ -1,7 +0,246 @@
-import { upperCaseSymbols } from '../handy'
-import { BookChange, Exchange, Trade } from '../types'
+import { CircularBuffer, upperCaseSymbols } from '../handy'
+import { BookChange, BookTicker, Exchange, Trade } from '../types'
 import { Mapper } from './mapper'
 
-// https://www.gate.io/docs/websocket/index.html
+//v4
 
+export class GateIOV4BookChangeMapper implements Mapper<'gate-io', BookChange> {
+  protected readonly symbolToDepthInfoMapping: {
+    [key: string]: LocalDepthInfo
+  } = {}
+
+  constructor(protected readonly exchange: Exchange) {}
+
+  canHandle(message: GateV4OrderBookUpdate | Gatev4OrderBookSnapshot) {
+    if (message.channel === undefined) {
+      return false
+    }
+    if (message.event !== 'update' && message.event !== 'snapshot') {
+      return false
+    }
+
+    return message.channel.endsWith('order_book_update')
+  }
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
+    return [
+      {
+        channel: 'order_book_update',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(message: GateV4OrderBookUpdate | Gatev4OrderBookSnapshot, localTimestamp: Date) {
+    const symbol = message.event === 'snapshot' ? message.symbol : message.result.s
+
+    if (this.symbolToDepthInfoMapping[symbol] === undefined) {
+      this.symbolToDepthInfoMapping[symbol] = {
+        bufferedUpdates: new CircularBuffer<DepthData>(2000)
+      }
+    }
+
+    const symbolDepthInfo = this.symbolToDepthInfoMapping[symbol]
+    const snapshotAlreadyProcessed = symbolDepthInfo.snapshotProcessed
+
+    // first check if received message is snapshot and process it as such if it is
+    if (message.event === 'snapshot') {
+      // if we've already received 'manual' snapshot, ignore if there is another one
+      if (snapshotAlreadyProcessed) {
+        return
+      }
+      // produce snapshot book_change
+      const snapshotData = message.result
+
+      //  mark given symbol depth info that has snapshot processed
+      symbolDepthInfo.lastUpdateId = snapshotData.id
+      symbolDepthInfo.snapshotProcessed = true
+
+      // if there were any depth updates buffered, let's proccess those by adding to or updating the initial snapshot
+      for (const update of symbolDepthInfo.bufferedUpdates.items()) {
+        const bookChange = this.mapBookDepthUpdate(update, localTimestamp)
+        if (bookChange !== undefined) {
+          for (const bid of update.b) {
+            const matchingBid = snapshotData.bids.find((b) => b[0] === bid[0])
+            if (matchingBid !== undefined) {
+              matchingBid[1] = bid[1]
+            } else {
+              snapshotData.bids.push(bid)
+            }
+          }
+
+          for (const ask of update.a) {
+            const matchingAsk = snapshotData.asks.find((a) => a[0] === ask[0])
+            if (matchingAsk !== undefined) {
+              matchingAsk[1] = ask[1]
+            } else {
+              snapshotData.asks.push(ask)
+            }
+          }
+        }
+      }
+
+      // remove all buffered updates
+      symbolDepthInfo.bufferedUpdates.clear()
+
+      const bookChange: BookChange = {
+        type: 'book_change',
+        symbol,
+        exchange: this.exchange,
+        isSnapshot: true,
+        bids: snapshotData.bids.map(this.mapBookLevel),
+        asks: snapshotData.asks.map(this.mapBookLevel),
+        timestamp: new Date(snapshotData.update),
+        localTimestamp
+      }
+
+      yield bookChange
+    } else if (snapshotAlreadyProcessed) {
+      // snapshot was already processed let's map the message as normal book_change
+      const bookChange = this.mapBookDepthUpdate(message.result as DepthData, localTimestamp)
+      if (bookChange !== undefined) {
+        yield bookChange
+      }
+    } else {
+      const depthUpdate = message.result as DepthData
+
+      symbolDepthInfo.bufferedUpdates.append(depthUpdate)
+    }
+  }
+
+  protected mapBookDepthUpdate(depthUpdateData: DepthData, localTimestamp: Date): BookChange | undefined {
+    // we can safely assume here that depthContext and lastUpdateId aren't null here as this is method only works
+    // when we've already processed the snapshot
+    const depthContext = this.symbolToDepthInfoMapping[depthUpdateData.s]!
+    const lastUpdateId = depthContext.lastUpdateId!
+
+    // Drop any event where u is <= lastUpdateId in the snapshot
+    if (depthUpdateData.u <= lastUpdateId) {
+      return
+    }
+
+    // The first processed event should have U <= lastUpdateId+1 AND u >= lastUpdateId+1.
+    if (!depthContext.validatedFirstUpdate) {
+      // if there is new instrument added it can have empty book at first and that's normal
+      const bookSnapshotIsEmpty = lastUpdateId == -1
+
+      if ((depthUpdateData.U <= lastUpdateId + 1 && depthUpdateData.u >= lastUpdateId + 1) || bookSnapshotIsEmpty) {
+        depthContext.validatedFirstUpdate = true
+      } else {
+        const message = `Book depth snapshot has no overlap with first update, update ${JSON.stringify(
+          depthUpdateData
+        )}, lastUpdateId: ${lastUpdateId}, exchange ${this.exchange}`
+
+        throw new Error(message)
+      }
+    }
+
+    return {
+      type: 'book_change',
+      symbol: depthUpdateData.s,
+      exchange: this.exchange,
+      isSnapshot: false,
+
+      bids: depthUpdateData.b.map(this.mapBookLevel),
+      asks: depthUpdateData.a.map(this.mapBookLevel),
+      timestamp: new Date(depthUpdateData.t),
+      localTimestamp: localTimestamp
+    }
+  }
+
+  protected mapBookLevel(level: [string, string]) {
+    const price = Number(level[0])
+    const amount = Number(level[1])
+    return { price, amount }
+  }
+}
+
+export class GateIOV4BookTickerMapper implements Mapper<'gate-io', BookTicker> {
+  constructor(private readonly _exchange: Exchange) {}
+
+  canHandle(message: GateV4BookTicker) {
+    if (message.channel === undefined) {
+      return false
+    }
+    if (message.event !== 'update') {
+      return false
+    }
+
+    return message.channel.endsWith('book_ticker')
+  }
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
+    return [
+      {
+        channel: 'book_ticker',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(bookTickerResponse: GateV4BookTicker, localTimestamp: Date) {
+    const gateBookTicker = bookTickerResponse.result
+
+    const ticker: BookTicker = {
+      type: 'book_ticker',
+      symbol: gateBookTicker.s,
+      exchange: this._exchange,
+      askAmount: gateBookTicker.A !== undefined ? Number(gateBookTicker.A) : undefined,
+      askPrice: gateBookTicker.a !== undefined ? Number(gateBookTicker.a) : undefined,
+      bidPrice: gateBookTicker.b !== undefined ? Number(gateBookTicker.b) : undefined,
+      bidAmount: gateBookTicker.B !== undefined ? Number(gateBookTicker.B) : undefined,
+      timestamp: gateBookTicker.t !== undefined ? new Date(gateBookTicker.t) : localTimestamp,
+      localTimestamp: localTimestamp
+    }
+
+    yield ticker
+  }
+}
+
+export class GateIOV4TradesMapper implements Mapper<'gate-io', Trade> {
+  constructor(private readonly _exchange: Exchange) {}
+
+  canHandle(message: GateV4Trade) {
+    if (message.channel === undefined) {
+      return false
+    }
+    if (message.event !== 'update') {
+      return false
+    }
+
+    return message.channel.endsWith('trades')
+  }
+
+  getFilters(symbols?: string[]) {
+    symbols = upperCaseSymbols(symbols)
+
+    return [
+      {
+        channel: 'trades',
+        symbols
+      } as const
+    ]
+  }
+
+  *map(tradesMessage: GateV4Trade, localTimestamp: Date): IterableIterator<Trade> {
+    yield {
+      type: 'trade',
+      symbol: tradesMessage.result.currency_pair,
+      exchange: this._exchange,
+      id: tradesMessage.result.id.toString(),
+      price: Number(tradesMessage.result.price),
+      amount: Number(tradesMessage.result.amount),
+      side: tradesMessage.result.side == 'sell' ? 'sell' : 'buy',
+      timestamp: new Date(Number(tradesMessage.result.create_time_ms)),
+      localTimestamp: localTimestamp
+    }
+  }
+}
+
+// v3 https://www.gate.io/docs/websocket/index.html
+
 export class GateIOTradesMapper implements Mapper<'gate-io', Trade> {
@@ -127,1 +366,74 @@ private readonly _seenSymbols = new Set<string>()
 }
+
+type GateV4Trade = {
+  time: 1682689046
+  time_ms: 1682689046133
+  channel: 'spot.trades'
+  event: 'update'
+  result: {
+    id: 5541729596
+    create_time: 1682689046
+    create_time_ms: '1682689046123.0'
+    side: 'sell'
+    currency_pair: 'SUSD_USDT'
+    amount: '8.5234'
+    price: '0.9782'
+  }
+}
+
+type GateV4BookTicker = {
+  time: 1682689046
+  time_ms: 1682689046142
+  channel: 'spot.book_ticker'
+  event: 'update'
+  result: { t: 1682689046131; u: 517377894; s: 'ETC_ETH'; b: '0.010326'; B: '0.001'; a: '0.010366'; A: '10' }
+}
+
+type Gatev4OrderBookSnapshot = {
+  channel: 'spot.order_book_update'
+  event: 'snapshot'
+  generated: true
+  symbol: '1ART_USDT'
+  result: {
+    id: 154857784
+    current: 1682689045318
+    update: 1682689045056
+    asks: [string, string][]
+    bids: [string, string][]
+  }
+}
+
+type GateV4OrderBookUpdate = {
+  time: 1682689045
+  time_ms: 1682689045532
+  channel: 'spot.order_book_update'
+  event: 'update'
+  result: {
+    lastUpdateId: undefined
+    t: 1682689045424
+    e: 'depthUpdate'
+    E: 1682689045
+    s: '1ART_USDT'
+    U: 154857785
+    u: 154857785
+    b: [string, string][]
+    a: [string, string][]
+  }
+}
+
+type LocalDepthInfo = {
+  bufferedUpdates: CircularBuffer<DepthData>
+  snapshotProcessed?: boolean
+  lastUpdateId?: number
+  validatedFirstUpdate?: boolean
+}
+
+type DepthData = {
+  lastUpdateId: undefined
+  t: number
+  s: string
+  U: number
+  u: number
+  b: [string, string][]
+  a: [string, string][]
+}

src/mappers/index.ts

@@ -66,4 +66,10 @@ import { ONE_SEC_IN_MS } from '../handy'
 import { FTXBookChangeMapper, FTXDerivativeTickerMapper, FTXLiquidationsMapper, FTXBookTickerMapper, FTXTradesMapper } from './ftx'
-import { GateIOBookChangeMapper, GateIOTradesMapper } from './gateio'
 import {
+  GateIOBookChangeMapper,
+  GateIOTradesMapper,
+  GateIOV4BookChangeMapper,
+  GateIOV4BookTickerMapper,
+  GateIOV4TradesMapper
+} from './gateio'
+import {
   GateIOFuturesBookChangeMapper,
@@ -162,2 +168,8 @@ GateIOFuturesBookTickerMapper,
 
+const GATE_IO_V4_API_SWITCH_DATE = new Date('2023-04-29T00:00:00.000Z')
+
+const shouldUseGateIOV4Mappers = (localTimestamp: Date) => {
+  return isRealTime(localTimestamp) || localTimestamp.valueOf() >= GATE_IO_V4_API_SWITCH_DATE.valueOf()
+}
+
 const tradesMappers = {
@@ -206,3 +218,4 @@ bitmex: () => bitmexTradesMapper,
   delta: (localTimestamp: Date) => new DeltaTradesMapper(localTimestamp.valueOf() >= new Date('2020-10-14').valueOf()),
-  'gate-io': () => new GateIOTradesMapper('gate-io'),
+  'gate-io': (localTimestamp: Date) =>
+    shouldUseGateIOV4Mappers(localTimestamp) ? new GateIOV4TradesMapper('gate-io') : new GateIOTradesMapper('gate-io'),
   'gate-io-futures': () => new GateIOFuturesTradesMapper('gate-io-futures'),
@@ -290,3 +303,4 @@ poloniex: (localTimestamp: Date) =>
   delta: (localTimestamp: Date) => new DeltaBookChangeMapper(localTimestamp.valueOf() >= new Date('2023-04-01').valueOf()),
-  'gate-io': () => new GateIOBookChangeMapper('gate-io'),
+  'gate-io': (localTimestamp: Date) =>
+    shouldUseGateIOV4Mappers(localTimestamp) ? new GateIOV4BookChangeMapper('gate-io') : new GateIOBookChangeMapper('gate-io'),
   'gate-io-futures': () => new GateIOFuturesBookChangeMapper('gate-io-futures'),
@@ -428,3 +442,4 @@ poloniex: (localTimestamp: Date) =>
   delta: () => new DeltaBookTickerMapper(),
-  bybit: () => new BybitV5BookTickerMapper('bybit')
+  bybit: () => new BybitV5BookTickerMapper('bybit'),
+  'gate-io': () => new GateIOV4BookTickerMapper('gate-io')
 }
@@ -431,0 +446,0 @@

src/realtimefeeds/gateio.ts

@@ -0,1 +1,2 @@
+import { httpClient } from '../handy'
 import { Filter } from '../types'
@@ -5,6 +6,6 @@ import { RealTimeFeedBase } from './realtimefeed'
 export class GateIORealTimeFeed extends RealTimeFeedBase {
-  protected readonly wssURL = 'wss://ws.gate.io/v3/'
+  protected readonly wssURL = 'wss://api.gateio.ws/ws/v4/'
+  protected httpURL = 'https://api.gateio.ws/api/v4'
 
   protected mapToSubscribeMessages(filters: Filter<string>[]): any[] {
-    const id = 1
     const payload = filters.map((filter) => {
@@ -15,20 +16,26 @@ if (!filter.symbols || filter.symbols.length === 0) {
 
-      if (filter.channel === 'depth') {
-        return {
-          id,
-          method: `${filter.channel}.subscribe`,
-          params: filter.symbols.map((s) => {
-            return [s, 30, '0']
-          })
-        }
+      if (filter.channel === 'order_book_update') {
+        return filter.symbols!.map((symbol) => {
+          return {
+            time: new Date().valueOf(),
+            channel: `spot.${filter.channel}`,
+            event: 'subscribe',
+            method: `${filter.channel}.subscribe`,
+            payload: [symbol, '100ms']
+          }
+        })
       } else {
-        return {
-          id,
-          method: `${filter.channel}.subscribe`,
-          params: filter.symbols
-        }
+        return filter.symbols!.map((symbol) => {
+          return {
+            time: new Date().valueOf(),
+            channel: `spot.${filter.channel}`,
+            event: 'subscribe',
+            method: `${filter.channel}.subscribe`,
+            payload: [symbol]
+          }
+        })
       }
     })
 
-    return payload
+    return payload.flatMap((f) => f)
   }
@@ -43,2 +50,33 @@
   }
+
+  protected async provideManualSnapshots(filters: Filter<string>[], shouldCancel: () => boolean) {
+    const orderBookFilter = filters.find((f) => f.channel === 'order_book_update')
+    if (!orderBookFilter) {
+      return
+    }
+
+    this.debug('requesting manual snapshots for: %s', orderBookFilter.symbols!)
+
+    for (let symbol of orderBookFilter.symbols!) {
+      if (shouldCancel()) {
+        return
+      }
+
+      const depthSnapshotResponse = await httpClient
+        .get(`${this.httpURL}/spot/order_book?currency_pair=${symbol}&limit=100&with_id=true`)
+        .json()
+
+      const snapshot = {
+        result: depthSnapshotResponse,
+        event: 'snapshot',
+        channel: `spot.order_book_update`,
+        symbol,
+        generated: true
+      }
+
+      this.manualSnapshotsBuffer.push(snapshot)
+    }
+
+    this.debug('requested manual snapshots successfully for: %s ', orderBookFilter.symbols!)
+  }
 }

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increased by2.07%

Lines of code

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increased by2.09%

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