OrderlyPrivate authentication & signature, and order update

dist/src/exchanges/FtxPrivateBase.d.ts

@@ -36,7 +36,7 @@ export declare class FtxPrivateBaseClient extends BasicPrivateClient {
     protected _orderbookUpdateEvent(data: any, market: any): void;
     protected _orderbookSnapshotEvent(data: any, market: any): void;
     protected _orderbookEventContent(data: any, market: any): {
-        exchange: number | symbol | "length" | "toString" | "concat" | "indexOf" | "lastIndexOf" | "slice" | "includes" | "toLocaleString" | "join" | "every" | "some" | "forEach" | "map" | "filter" | "reduce" | "reduceRight" | "find" | "findIndex" | "entries" | "keys" | "values" | "flatMap" | "flat" | "pop" | "push" | "reverse" | "shift" | "sort" | "splice" | "unshift" | "fill" | "copyWithin";
+        exchange: number | symbol | "length" | "toString" | "toLocaleString" | "pop" | "push" | "concat" | "join" | "reverse" | "shift" | "slice" | "sort" | "splice" | "unshift" | "indexOf" | "lastIndexOf" | "every" | "some" | "forEach" | "map" | "filter" | "reduce" | "reduceRight" | "find" | "findIndex" | "fill" | "copyWithin" | "entries" | "keys" | "values" | "includes" | "flatMap" | "flat";
         base: any;
         quote: any;
         timestampMs: number;

dist/src/exchanges/OrderlyClient.d.ts

@@ -0,0 +1,225 @@
+/// <reference types="node" />
+import { BasicClient } from "../BasicClient";
+import { Candle } from "../Candle";
+import { CandlePeriod } from "../CandlePeriod";
+import { ClientOptions } from "../ClientOptions";
+import { CancelableFn } from "../flowcontrol/Fn";
+import { Level2Snapshot } from "../Level2Snapshots";
+import { Level2Update } from "../Level2Update";
+import { Market } from "../Market";
+import { Ticker } from "../Ticker";
+import { Trade } from "../Trade";
+export declare type OrderlyClientOptions = ClientOptions & {
+    sendThrottleMs?: number;
+};
+declare type KlineType = "1m" | "5m" | "15m" | "30m" | "1h" | "2h" | "4h" | "6h" | "12h" | "1d" | "3d" | "1w" | "2w";
+interface IKlineObject {
+    topic: string;
+    ts: number;
+    data: {
+        symbol: string;
+        type: KlineType;
+        open: number;
+        close: number;
+        high: number;
+        low: number;
+        volume: number;
+        amount: number;
+        startTime: number;
+        endTime: number;
+    };
+}
+export declare class OrderlyClient extends BasicClient {
+    candlePeriod: CandlePeriod;
+    protected _sendMessage: CancelableFn;
+    protected _pingInterval: NodeJS.Timeout;
+    constructor({ wssPath, watcherMs, sendThrottleMs, }?: OrderlyClientOptions);
+    protected _beforeClose(): void;
+    protected _beforeConnect(): void;
+    protected _startPing(): void;
+    protected _stopPing(): void;
+    protected _sendPing(): void;
+    protected _sendPong(): void;
+    /**
+     * Constructs a market argument in a backwards compatible manner where
+     * the default is a spot market.
+     */
+    protected _marketArg(method: string, market: Market): string;
+    /**
+     * Gets the exchanges interpretation of the candle period
+     */
+    protected _candlePeriod(period: CandlePeriod): "kline_1m" | "kline_5m" | "kline_15m" | "kline_30m" | "kline_1h" | "kline_1d" | "kline_1w";
+    protected __sendMessage(msg: any): void;
+    protected _sendSubTicker(remote_id: any, market: any): void;
+    protected _sendUnsubTicker(remote_id: any, market: any): void;
+    protected _sendSubTrades(remote_id: any, market: any): void;
+    protected _sendUnsubTrades(remote_id: any, market: any): void;
+    protected _sendSubCandles(remote_id: any, market: any): void;
+    protected _sendUnsubCandles(remote_id: any, market: any): void;
+    protected _sendSubLevel2Snapshots(remote_id: any, market: any): void;
+    protected _sendUnsubLevel2Snapshots(remote_id: any, market: any): void;
+    protected _sendSubLevel2Updates(remote_id: any, market: any): void;
+    protected _sendUnsubLevel2Updates(remote_id: any, market: any): void;
+    protected _sendSubLevel3Snapshots: (...args: any[]) => any;
+    protected _sendUnsubLevel3Snapshots: (...args: any[]) => any;
+    protected _sendSubLevel3Updates: (...args: any[]) => any;
+    protected _sendUnsubLevel3Updates: (...args: any[]) => any;
+    protected _onMessage(compressed: any): void;
+    protected _processsMessage(msg: any): void;
+    /**
+   * 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' } ] }
+   */
+    protected _processTicker(msg: any): void;
+    /**
+   * Processes trade messages in the format
+    { table: 'spot/trade',
+      data:
+      [ { instrument_id: 'ETH-BTC',
+          price: '0.0218',
+          side: 'sell',
+          size: '1.1',
+          timestamp: '2019-07-15T17:10:56.047Z',
+          trade_id: '776432498' } ] }
+   */
+    protected _processTrades(msg: any): void;
+    /**
+   * 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"
+        }
+      ]
+    }
+   */
+    protected _processCandles(msg: IKlineObject): void;
+    /**
+   * 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' } ] }
+   */
+    protected _processLevel2Snapshot(msg: any): void;
+    /**
+   * Processes a level 2 update message in one of two formats.
+   * The first message received is the "partial" 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 } ] }
+   *
+   * 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 } ] }
+   */
+    protected _processLevel2Update(msg: any): void;
+    /**
+   * 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' }
+   */
+    protected _constructTicker(data: any, market: any): Ticker;
+    /**
+   * Constructs a trade from the message datum in format:
+    { instrument_id: 'ETH-BTC',
+      price: '0.02182',
+      side: 'sell',
+      size: '0.94',
+      timestamp: '2019-07-15T16:38:02.169Z',
+      trade_id: '776370532' }
+    */
+    protected _constructTrade(datum: any, market: any): Trade;
+    /**
+   * 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"
+      }
+   * @param {*} datum
+   */
+    protected _constructCandle(datum: any): Candle;
+    /**
+   * 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' }
+   *
+   * 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 }
+
+   */
+    protected _constructLevel2Snapshot(datum: any, market: any): Level2Snapshot;
+    /**
+   * 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 }
+   */
+    _constructLevel2Update(datum: any, market: any): Level2Update;
+}
+export {};