From b7781df8917396c3f51862ff0e17495223f79f79 Mon Sep 17 00:00:00 2001 From: zlq4863947 Date: Wed, 10 Feb 2021 02:12:16 +0900 Subject: [PATCH 1/2] feat: update bitmex api warper --- .../crypto/bitmex/common/authentication.ts | 32 +- .../crypto/bitmex/common/get-channel-name.ts | 35 + .../exchanges/crypto/bitmex/common/helpers.ts | 71 - .../exchanges/crypto/bitmex/common/index.ts | 3 +- .../common/test-helpers/receive-order-data.ts | 56 +- .../bitmex/common/transform-orderbook.ts | 19 + modules/exchanges/crypto/bitmex/package.json | 2 + .../rest/{types/endpoint.ts => constants.ts} | 23 +- .../bitmex/rest/internal/private/index.ts | 1 + .../internal/private/multiple-order/index.ts | 1 + .../multiple-order/multiple-order.spec.ts | 97 ++ .../private/multiple-order/multiple-order.ts | 25 + .../rest/internal/private/order/order.spec.ts | 189 +-- .../rest/internal/private/order/order.ts | 50 +- .../private/position/position.spec.ts | 152 +- .../internal/private/position/position.ts | 75 +- .../rest/internal/public/bar/bar.spec.ts | 47 +- .../bitmex/rest/internal/public/bar/bar.ts | 20 +- .../public/instrument/instrument.spec.ts | 32 +- .../internal/public/instrument/instrument.ts | 19 +- .../rest/internal/public/orderbook/helpers.ts | 24 +- .../public/orderbook/orderbook.spec.ts | 32 +- .../internal/public/orderbook/orderbook.ts | 21 +- .../bitmex/rest/internal/rest-insider.spec.ts | 20 + .../bitmex/rest/internal/rest-insider.ts | 111 +- .../get-axios-observable-request.spec.ts | 18 + .../utils/get-axios-observable-request.ts | 34 + .../rest/internal/utils/get-response-error.ts | 20 + .../rest/internal/utils/get-rest-response.ts | 11 + .../bitmex/rest/internal/utils/index.ts | 3 + .../rest/internal/utils/validate-remaining.ts | 11 + .../exchanges/crypto/bitmex/rest/rest-base.ts | 100 +- .../exchanges/crypto/bitmex/rest/rest.spec.ts | 576 ++----- modules/exchanges/crypto/bitmex/rest/rest.ts | 29 +- .../crypto/bitmex/rest/types/index.ts | 2 - .../crypto/bitmex/rest/types/request.ts | 16 + .../crypto/bitmex/rest/types/response.ts | 37 - .../exchanges/crypto/bitmex/types/response.ts | 42 +- modules/exchanges/crypto/bitmex/yarn.lock | 1342 +++++++++++++++++ 39 files changed, 2274 insertions(+), 1124 deletions(-) create mode 100644 modules/exchanges/crypto/bitmex/common/get-channel-name.ts delete mode 100644 modules/exchanges/crypto/bitmex/common/helpers.ts create mode 100644 modules/exchanges/crypto/bitmex/common/transform-orderbook.ts rename modules/exchanges/crypto/bitmex/rest/{types/endpoint.ts => constants.ts} (58%) create mode 100644 modules/exchanges/crypto/bitmex/rest/internal/private/multiple-order/index.ts create mode 100644 modules/exchanges/crypto/bitmex/rest/internal/private/multiple-order/multiple-order.spec.ts create mode 100644 modules/exchanges/crypto/bitmex/rest/internal/private/multiple-order/multiple-order.ts create mode 100644 modules/exchanges/crypto/bitmex/rest/internal/rest-insider.spec.ts create mode 100644 modules/exchanges/crypto/bitmex/rest/internal/utils/get-axios-observable-request.spec.ts create mode 100644 modules/exchanges/crypto/bitmex/rest/internal/utils/get-axios-observable-request.ts create mode 100644 modules/exchanges/crypto/bitmex/rest/internal/utils/get-response-error.ts create mode 100644 modules/exchanges/crypto/bitmex/rest/internal/utils/get-rest-response.ts create mode 100644 modules/exchanges/crypto/bitmex/rest/internal/utils/index.ts create mode 100644 modules/exchanges/crypto/bitmex/rest/internal/utils/validate-remaining.ts delete mode 100644 modules/exchanges/crypto/bitmex/rest/types/response.ts create mode 100644 modules/exchanges/crypto/bitmex/yarn.lock diff --git a/modules/exchanges/crypto/bitmex/common/authentication.ts b/modules/exchanges/crypto/bitmex/common/authentication.ts index ac02a19..e7dbd8e 100644 --- a/modules/exchanges/crypto/bitmex/common/authentication.ts +++ b/modules/exchanges/crypto/bitmex/common/authentication.ts @@ -1,14 +1,9 @@ +import { createHmac } from 'crypto'; + import { HttpMethod } from '@dripjs/types'; import { stringify } from 'qs'; -import { apiBasePath } from '../rest/types'; -import { isNodeJs } from './helpers'; - -// tslint:disable-next-line:no-var-requires -const createHmac = require('create-hmac'); - -// tslint:disable-next-line:no-var-requires -const urljoin = require('url-join'); +import { apiBasePath } from '../rest/constants'; /** * Sign a message. hex( HMAC_SHA256(secret, verb + url + nonce + data) ) @@ -42,39 +37,24 @@ export function getWSAuthQuery(apiKey: string, apiSecret: string): string { return stringify(query); } -export function getRestAuthHeaders( - method: HttpMethod, - baseUrl: string, - endpoint: string, - apiKey: string, - apiSecret: string, - data?: any, -): AuthHeaders { +export function getRestAuthHeaders(method: HttpMethod, endpoint: string, apiKey: string, apiSecret: string, data?: any): AuthHeaders { const query = method === HttpMethod.GET && Object.keys(data).length !== 0 ? `?${stringify(data)}` : ''; - const url = urljoin(apiBasePath, endpoint, query); + const url = `${apiBasePath}${endpoint}${query}`; // 3min timeout const expires = Math.round(Date.now() / 1000) + 60 * 3; const body = method === HttpMethod.GET ? '' : data; const signature = signMessage(apiSecret, method, url, expires, body); - const authHeaders: AuthHeaders = { + return { 'Content-Type': 'application/json', accept: 'application/json', 'api-expires': String(expires), 'api-key': apiKey, 'api-signature': signature, }; - // 当前环境为node时 - if (isNodeJs()) { - // 设置Origin - authHeaders.Origin = baseUrl; - } - - return authHeaders; } export interface AuthHeaders { - Origin?: string; 'Content-Type': string; accept: string; 'api-expires': string; diff --git a/modules/exchanges/crypto/bitmex/common/get-channel-name.ts b/modules/exchanges/crypto/bitmex/common/get-channel-name.ts new file mode 100644 index 0000000..d4fbd81 --- /dev/null +++ b/modules/exchanges/crypto/bitmex/common/get-channel-name.ts @@ -0,0 +1,35 @@ +/** + * get channel name + * + * @param params + * + * eg1: + * input: { + * pair: 'XBTUSD', + * endPoint: RestPublicEndPoints.Trade, + * } + * output: 'trade:XBTUSD' + * + * eg2: + * input: { + * pair: ['XBTUSD', 'ETHUSD'], + * endPoint: RestPublicEndPoints.Trade, + * } + * output: ['trade:XBTUSD', 'trade:ETHUSD'] + */ +export function getChannelName(params: { pair?: string | string[]; endPoint: string }): string | string[] { + let subStr = `${params.endPoint}`; + if (params.pair) { + if (params.pair instanceof Array) { + const channels: string[] = []; + for (const p of params.pair) { + channels.push(`${params.endPoint}:${p}`); + } + + return channels; + } + subStr = `${params.endPoint}:${params.pair}`; + } + + return subStr; +} diff --git a/modules/exchanges/crypto/bitmex/common/helpers.ts b/modules/exchanges/crypto/bitmex/common/helpers.ts deleted file mode 100644 index 62fb9b2..0000000 --- a/modules/exchanges/crypto/bitmex/common/helpers.ts +++ /dev/null @@ -1,71 +0,0 @@ -import { HttpHeaders } from '@dripjs/types'; - -import { endpoints } from '../rest/types'; -import { Config, RateLimit } from '../types'; - -export function getRateLimit(headers: HttpHeaders): RateLimit { - return { - remaining: Number(headers['x-ratelimit-remaining']), - reset: Number(headers['x-ratelimit-reset']), - limit: Number(headers['x-ratelimit-limit']), - }; -} - -/** - * get channel name - * - * @param params - * - * eg1: - * input: { - * pair: 'XBTUSD', - * endPoint: PublicEndPoints.Trade, - * } - * output: 'trade:XBTUSD' - * - * eg2: - * input: { - * pair: ['XBTUSD', 'ETHUSD'], - * endPoint: PublicEndPoints.Trade, - * } - * output: ['trade:XBTUSD', 'trade:ETHUSD'] - */ -export function getChannelName(params: { pair?: string | string[]; endPoint: string }): string | string[] { - let subStr = `${params.endPoint}`; - if (params.pair) { - if (params.pair instanceof Array) { - const channels: string[] = []; - for (const p of params.pair) { - channels.push(`${params.endPoint}:${p}`); - } - - return channels; - } - subStr = `${params.endPoint}:${params.pair}`; - } - - return subStr; -} - -/** - * 获取api的url - * @param cfg - */ -export function getRestApiUrl(cfg: Config): string { - if (cfg.apiUrl) { - return cfg.apiUrl; - } - - if (cfg.testnet) { - return endpoints.testnet; - } - - return endpoints.production; -} - -/** - * 判断是否为node.js环境 - */ -export function isNodeJs(): boolean { - return typeof process === 'object' && typeof process.versions === 'object' && typeof process.versions.node !== 'undefined'; -} diff --git a/modules/exchanges/crypto/bitmex/common/index.ts b/modules/exchanges/crypto/bitmex/common/index.ts index a6242bd..7d454e9 100644 --- a/modules/exchanges/crypto/bitmex/common/index.ts +++ b/modules/exchanges/crypto/bitmex/common/index.ts @@ -1,2 +1,3 @@ export * from './authentication'; -export * from './helpers'; +export * from './get-channel-name'; +export * from './transform-orderbook'; diff --git a/modules/exchanges/crypto/bitmex/common/test-helpers/receive-order-data.ts b/modules/exchanges/crypto/bitmex/common/test-helpers/receive-order-data.ts index eb0d541..04f9c39 100644 --- a/modules/exchanges/crypto/bitmex/common/test-helpers/receive-order-data.ts +++ b/modules/exchanges/crypto/bitmex/common/test-helpers/receive-order-data.ts @@ -1,7 +1,8 @@ import { testnetConfig } from '@dripjs/testing'; +import { Observable, Subject } from 'rxjs'; +import { mergeMap, take } from 'rxjs/operators'; -import { Order } from '../../rest/internal/private/order'; -import { Orderbook } from '../../rest/internal/public/orderbook'; +import { Order, Orderbook } from '../../rest/internal'; import { OrderResponse, OrderSide, OrderType } from '../../types'; /** @@ -10,25 +11,36 @@ import { OrderResponse, OrderSide, OrderType } from '../../types'; * @param handler 执行的特定方法 * @return void */ -export const receiveOrderData = async (symbol: string, handler: (order: OrderResponse) => Promise = async () => {}): Promise => { - const order = new Order(testnetConfig); - const orderbook = new Orderbook(testnetConfig); - const obRes = await orderbook.fetch({ - symbol, - depth: 10, - }); - const price = +obRes.orderbook.bids[4][0]; - const odRes = await order.create({ - symbol, - side: OrderSide.Buy, - price, - orderQty: 25, - ordType: OrderType.Limit, - }); - const result = await handler(odRes.order); - await order.cancel({ - orderID: odRes.order.orderID, - }); +export const receiveOrderData = (symbol: string, handler: (order: OrderResponse) => Promise): Observable => { + const remaining$ = new Subject(); + const order = new Order(testnetConfig, remaining$); + const orderbook = new Orderbook(testnetConfig, remaining$); - return result; + return orderbook + .fetch({ + symbol, + depth: 10, + }) + .pipe( + take(1), + mergeMap((res) => + order.create({ + symbol, + side: OrderSide.Buy, + price: +res.data.bids[4][0], + orderQty: 25, + ordType: OrderType.Limit, + }), + ), + mergeMap(async (oRes) => { + const res = await handler(oRes.data); + await order + .cancel({ + orderID: oRes.data.orderID, + }) + .toPromise(); + + return res; + }), + ); }; diff --git a/modules/exchanges/crypto/bitmex/common/transform-orderbook.ts b/modules/exchanges/crypto/bitmex/common/transform-orderbook.ts new file mode 100644 index 0000000..e522d1f --- /dev/null +++ b/modules/exchanges/crypto/bitmex/common/transform-orderbook.ts @@ -0,0 +1,19 @@ +import { OrderbookL2Response, OrderbookResponse } from '../types'; + +export function transformOrderbook(data: OrderbookResponse[]): OrderbookL2Response { + const orderbook: OrderbookL2Response = { + bids: [], + asks: [], + }; + for (const item of data) { + const orderbookItem: [string, string] = [`${item.price}`, `${item.size}`]; + if (item.side === 'Sell') { + orderbook.asks.push(orderbookItem); + } else { + orderbook.bids.push(orderbookItem); + } + } + orderbook.asks.reverse(); + + return orderbook; +} diff --git a/modules/exchanges/crypto/bitmex/package.json b/modules/exchanges/crypto/bitmex/package.json index 95600f9..26775f1 100644 --- a/modules/exchanges/crypto/bitmex/package.json +++ b/modules/exchanges/crypto/bitmex/package.json @@ -39,8 +39,10 @@ }, "homepage": "https://github.com/drip-trader/dripjs/tree/master/modules/exchanges/crypto/bitmex#readme", "devDependencies": { + "@dripjs/testing": "^0.1.20", "@types/qs": "^6.5.3", "@types/ws": "6.0.1", + "axios-mock-adapter": "^1.19.0", "rollup": "^1.12.3", "rollup-plugin-commonjs": "^10.0.0", "rollup-plugin-json": "^4.0.0", diff --git a/modules/exchanges/crypto/bitmex/rest/types/endpoint.ts b/modules/exchanges/crypto/bitmex/rest/constants.ts similarity index 58% rename from modules/exchanges/crypto/bitmex/rest/types/endpoint.ts rename to modules/exchanges/crypto/bitmex/rest/constants.ts index 70277b2..03500d7 100644 --- a/modules/exchanges/crypto/bitmex/rest/types/endpoint.ts +++ b/modules/exchanges/crypto/bitmex/rest/constants.ts @@ -1,6 +1,16 @@ +/** + * rest请求最小剩余可用数 + */ +export const MINIMUM_REMAINING_NUM = 15; + +/** + * rest请求最大剩余可用数 + */ +export const MAX_REMAINING_NUM = 60; + export const endpoints = { - production: 'https://www.bitmex.com/', - testnet: 'https://testnet.bitmex.com/', + production: 'https://www.bitmex.com', + testnet: 'https://testnet.bitmex.com', }; export const apiBasePath = '/api/v1/'; @@ -21,9 +31,16 @@ export enum PublicEndPoints { // 要求进行身份验证的连接端点集 export enum PrivateEndPoints { - /** 邀请人状态，已邀请用户及分红比率 */ /** 你委托的更新 */ Order = 'order', + /** 复数订单 */ + OrderBulk = 'order/bulk', + /** 全部订单 */ + OrderAll = 'order/all', /** 你仓位的更新 */ Position = 'position', + /** 仓位杠杆的更新 */ + PositionLeverage = 'position/leverage', + /** 报价 */ + Quote = 'quote', } diff --git a/modules/exchanges/crypto/bitmex/rest/internal/private/index.ts b/modules/exchanges/crypto/bitmex/rest/internal/private/index.ts index 48130ad..334a3be 100644 --- a/modules/exchanges/crypto/bitmex/rest/internal/private/index.ts +++ b/modules/exchanges/crypto/bitmex/rest/internal/private/index.ts @@ -1,2 +1,3 @@ export * from './order'; +export * from './multiple-order'; export * from './position'; diff --git a/modules/exchanges/crypto/bitmex/rest/internal/private/multiple-order/index.ts b/modules/exchanges/crypto/bitmex/rest/internal/private/multiple-order/index.ts new file mode 100644 index 0000000..7a3f956 --- /dev/null +++ b/modules/exchanges/crypto/bitmex/rest/internal/private/multiple-order/index.ts @@ -0,0 +1 @@ +export * from './multiple-order'; diff --git a/modules/exchanges/crypto/bitmex/rest/internal/private/multiple-order/multiple-order.spec.ts b/modules/exchanges/crypto/bitmex/rest/internal/private/multiple-order/multiple-order.spec.ts new file mode 100644 index 0000000..bcf2936 --- /dev/null +++ b/modules/exchanges/crypto/bitmex/rest/internal/private/multiple-order/multiple-order.spec.ts @@ -0,0 +1,97 @@ +import { testnetConfig } from '@dripjs/testing'; +import { Subject } from 'rxjs'; +import { flatMap, take } from 'rxjs/operators'; + +import { OrderSide, OrderType } from '../../../../types'; +import { RestMultipleOrderRequest, RestOrderRequest } from '../../../types'; +import { Orderbook } from '../../public'; +import { MultipleOrder } from './multiple-order'; + +describe('Bitmex Rest Position', () => { + const pair = 'XBTUSD'; + const remaining$ = new Subject(); + const multipleOrder = new MultipleOrder(testnetConfig, remaining$); + const orderbook = new Orderbook(testnetConfig, remaining$); + let orderId: string; + let orderId2: string; + let price: number; + + it('create order', (done) => { + orderbook + .fetch({ + symbol: pair, + depth: 5, + }) + .pipe( + take(1), + flatMap((orderbookRes) => { + price = +orderbookRes.data.bids[4][0]; + const request1: Partial = { + symbol: pair, + side: OrderSide.Buy, + price, + orderQty: 25, + ordType: OrderType.Limit, + }; + const request2: Partial = { + symbol: pair, + side: OrderSide.Buy, + price: price - 1, + orderQty: 25, + ordType: OrderType.Limit, + }; + const request: RestMultipleOrderRequest = { + orders: [request1, request2], + }; + + return multipleOrder.create(request); + }), + ) + .subscribe((res) => { + orderId = res.data[0].orderID; + orderId2 = res.data[1].orderID; + expect(res.data.length).toEqual(2); + done(); + }); + }); + + it('update order', (done) => { + const request1: Partial = { + orderID: orderId, + price: price - 1, + }; + const request2: Partial = { + orderID: orderId2, + price: price - 2, + }; + const request: RestMultipleOrderRequest = { + orders: [request1, request2], + }; + multipleOrder.update(request).subscribe((res) => { + expect(res).toBeDefined(); + }); + done(); + }); + + it('cancel order', (done) => { + multipleOrder + .cancel({ + filter: { side: OrderSide.Buy }, + }) + .subscribe((res) => { + expect(res.data.length).toEqual(2); + done(); + }); + }); + + it('cancel stop order', (done) => { + multipleOrder + .cancel({ + symbol: pair, + }) + .subscribe((res) => { + console.log(res); + done(); + }); + }); +}); diff --git a/modules/exchanges/crypto/bitmex/rest/internal/private/multiple-order/multiple-order.ts b/modules/exchanges/crypto/bitmex/rest/internal/private/multiple-order/multiple-order.ts new file mode 100644 index 0000000..b7d0dab --- /dev/null +++ b/modules/exchanges/crypto/bitmex/rest/internal/private/multiple-order/multiple-order.ts @@ -0,0 +1,25 @@ +import { HttpMethod } from '@dripjs/types'; +import { Observable, Subject } from 'rxjs'; + +import { Config, OrderResponse, RestResponse } from '../../../../types'; +import { PrivateEndPoints } from '../../../constants'; +import { RestCancelMultipleOrderRequest, RestMultipleOrderRequest } from '../../../types'; +import { RestInsider } from '../../rest-insider'; + +export class MultipleOrder extends RestInsider { + constructor(config: Config, remaining$: Subject) { + super(config, PrivateEndPoints.OrderBulk, remaining$); + } + + create(request: RestMultipleOrderRequest): Observable> { + return this.request(HttpMethod.POST, request); + } + + update(request: RestMultipleOrderRequest): Observable> { + return this.request(HttpMethod.PUT, request); + } + + cancel(request: Partial): Observable> { + return this.requestWithEndpoint(PrivateEndPoints.OrderAll, HttpMethod.DELETE, request); + } +} diff --git a/modules/exchanges/crypto/bitmex/rest/internal/private/order/order.spec.ts b/modules/exchanges/crypto/bitmex/rest/internal/private/order/order.spec.ts index 77b5ebc..c9f0b0a 100644 --- a/modules/exchanges/crypto/bitmex/rest/internal/private/order/order.spec.ts +++ b/modules/exchanges/crypto/bitmex/rest/internal/private/order/order.spec.ts @@ -1,157 +1,98 @@ -import { isPositive } from '@dripjs/common'; -import { - assertExisitingColumns, - isUuid, - overrideTimestampColumns, - overrideValue, - testnetConfig, - testnetReadonlyConfig, -} from '@dripjs/testing'; +import { testnetConfig } from '@dripjs/testing'; +import { Subject } from 'rxjs'; +import { flatMap } from 'rxjs/internal/operators'; +import { take } from 'rxjs/operators'; import { OrderSide, OrderStatus, OrderType } from '../../../../types'; +import { MAX_REMAINING_NUM } from '../../../constants'; import { RestFetchOrderRequest, RestOrderRequest } from '../../../types'; -import { Orderbook } from '../../public/orderbook'; +import { Orderbook } from '../../public'; import { Order } from './order'; -describe('Bitmex RestInsider Order', () => { +describe('Bitmex Rest Position', () => { const pair = 'XBTUSD'; - const order = new Order(testnetConfig); - const orderbook = new Orderbook(testnetReadonlyConfig); + const remaining$ = new Subject(); + const order = new Order(testnetConfig, remaining$); + const orderbook = new Orderbook(testnetConfig, remaining$); let orderId: string; let price: number; - it('create order', async () => { - const orderbookRes = await orderbook.fetch({ - symbol: pair, - depth: 5, - }); - price = +orderbookRes.orderbook.bids[4][0]; - const request: Partial = { + it('create order', (done) => { + orderbook + .fetch({ + symbol: pair, + depth: 5, + }) + .pipe( + take(1), + flatMap((orderbookRes) => { + price = +orderbookRes.data.bids[4][0]; + const request: Partial = { + symbol: pair, + side: OrderSide.Buy, + price, + orderQty: 25, + ordType: OrderType.Limit, + }; + + return order.create(request); + }), + ) + .subscribe((res) => { + orderId = res.data.orderID; + expect(res.data).toBeDefined(); + expect(res.rateLimit.limit).toEqual(MAX_REMAINING_NUM); + done(); + }); + }); + + it('fetch order', (done) => { + const request: Partial = { symbol: pair, - side: OrderSide.Buy, - price, - orderQty: 25, - ordType: OrderType.Limit, + filter: { + orderID: orderId, + }, }; - const res = await order.create(request); - orderId = res.order.orderID; - expect(() => - assertExisitingColumns(overrideTimestampColumns(res), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, - }, - order: { - orderID: isUuid, - account: isPositive, - symbol: 'XBTUSD', - side: 'Buy', - simpleOrderQty: null, - orderQty: 25, - price: isPositive, - displayQty: null, - stopPx: null, - pegOffsetValue: null, - pegPriceType: '', - currency: 'USD', - settlCurrency: 'XBt', - ordType: 'Limit', - timeInForce: 'GoodTillCancel', - execInst: '', - contingencyType: '', - exDestination: 'XBME', - ordStatus: 'New', - triggered: '', - workingIndicator: true, - ordRejReason: '', - simpleLeavesQty: null, - leavesQty: 25, - simpleCumQty: null, - cumQty: 0, - avgPx: null, - multiLegReportingType: 'SingleSecurity', - text: 'Submitted via API.', - transactTime: overrideValue, - timestamp: overrideValue, - }, - }), - ).not.toThrow(); + order.fetch(request).subscribe((res) => { + expect(res.data[0].price).toEqual(price); + done(); + }); }); - it('fetch order', async () => { + it.skip('fetch multiple order', (done) => { + const order2 = new Order(testnetConfig, remaining$); const request: Partial = { symbol: pair, filter: { - orderID: orderId, + orderID: ['989e9b5d-6f4c-a9fd-3f68-1e4faee265e2', '01870ed8-92b4-73fd-b47e-0b1ed8017c11'], }, }; - const res = await order.fetch(request); - expect(() => - assertExisitingColumns(overrideTimestampColumns(res), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, - }, - orders: [ - { - orderID: isUuid, - clOrdID: '', - clOrdLinkID: '', - account: isPositive, - symbol: 'XBTUSD', - side: 'Buy', - simpleOrderQty: null, - orderQty: 25, - price, - displayQty: null, - stopPx: null, - pegOffsetValue: null, - pegPriceType: '', - currency: 'USD', - settlCurrency: 'XBt', - ordType: 'Limit', - timeInForce: 'GoodTillCancel', - execInst: '', - contingencyType: '', - exDestination: 'XBME', - ordStatus: 'New', - triggered: '', - workingIndicator: true, - ordRejReason: '', - simpleLeavesQty: null, - leavesQty: 25, - simpleCumQty: null, - cumQty: 0, - avgPx: null, - multiLegReportingType: 'SingleSecurity', - text: 'Submitted via API.', - transactTime: overrideValue, - timestamp: overrideValue, - }, - ], - }), - ).not.toThrow(); + order2.fetch(request).subscribe((res) => { + expect(res.data[0].price).toEqual(price); + done(); + }); }); - it('update order', async () => { + it('update order', (done) => { const request: Partial = { orderID: orderId, price: price - 1, }; - - const res = await order.update(request); - expect(res.order.price).toEqual(price - 1); + order.update(request).subscribe((res) => { + expect(res.data.price).toEqual(price - 1); + done(); + }); }); - it('cancel order', async () => { + it('cancel order', (done) => { const request: Partial = { orderID: orderId, }; - const res = await order.cancel(request); - expect(res.order.ordStatus).toEqual(OrderStatus.Canceled); + order.cancel(request).subscribe((res) => { + expect(res.data[0].ordStatus).toEqual(OrderStatus.Canceled); + done(); + }); }); }); diff --git a/modules/exchanges/crypto/bitmex/rest/internal/private/order/order.ts b/modules/exchanges/crypto/bitmex/rest/internal/private/order/order.ts index af3b820..4c12d81 100644 --- a/modules/exchanges/crypto/bitmex/rest/internal/private/order/order.ts +++ b/modules/exchanges/crypto/bitmex/rest/internal/private/order/order.ts @@ -1,51 +1,29 @@ import { HttpMethod } from '@dripjs/types'; +import { Observable, Subject } from 'rxjs'; -import { Config, OrderResponse } from '../../../../types'; -import { PrivateEndPoints, RestFetchOrderRequest, RestOrderRequest, RestOrderResponse, RestOrdersResponse } from '../../../types'; +import { Config, OrderResponse, RestResponse } from '../../../../types'; +import { PrivateEndPoints } from '../../../constants'; +import { RestFetchOrderRequest, RestOrderRequest } from '../../../types'; import { RestInsider } from '../../rest-insider'; export class Order extends RestInsider { - constructor(config: Config) { - super(config, PrivateEndPoints.Order); + constructor(config: Config, remaining$: Subject) { + super(config, PrivateEndPoints.Order, remaining$); } - async create(request: Partial): Promise { - const res = await this.request(HttpMethod.POST, request); - - return { - ratelimit: res.ratelimit, - order: res.body, - error: res.error, - }; + create(request: Partial): Observable> { + return this.request(HttpMethod.POST, request); } - async fetch(request: Partial): Promise { - const res = await this.request(HttpMethod.GET, request); - - return { - ratelimit: res.ratelimit, - orders: res.body, - error: res.error, - }; + fetch(request: Partial): Observable> { + return this.request(HttpMethod.GET, request); } - async update(request: Partial): Promise { - const res = await this.request(HttpMethod.PUT, request); - - return { - ratelimit: res.ratelimit, - order: res.body, - error: res.error, - }; + update(request: Partial): Observable> { + return this.request(HttpMethod.PUT, request); } - async cancel(request: Partial): Promise { - const res = await this.request(HttpMethod.DELETE, request); - - return { - ratelimit: res.ratelimit, - order: res.body[0], - error: res.error, - }; + cancel(request: Partial): Observable> { + return this.request(HttpMethod.DELETE, request); } } diff --git a/modules/exchanges/crypto/bitmex/rest/internal/private/position/position.spec.ts b/modules/exchanges/crypto/bitmex/rest/internal/private/position/position.spec.ts index acb9dd5..baa4396 100644 --- a/modules/exchanges/crypto/bitmex/rest/internal/private/position/position.spec.ts +++ b/modules/exchanges/crypto/bitmex/rest/internal/private/position/position.spec.ts @@ -1,39 +1,29 @@ import { isPositive } from '@dripjs/common'; import { assertExisitingColumns, overrideTimestampColumns, overrideValue, testnetConfig } from '@dripjs/testing'; +import { Subject } from 'rxjs'; import { OrderSide } from '../../../../types'; import { Position } from './position'; -describe('Bitmex RestInsider Position', () => { +describe('Bitmex Rest Position', () => { const pair = 'XBTUSD'; const amount = 25; let position: Position; + const remaining$ = new Subject(); beforeAll(async () => { - position = new Position(testnetConfig); - await position.removeAll(); + position = new Position(testnetConfig, remaining$); }); - afterAll(async () => { - await position.removeAll(); - }); - - it('create position', async () => { + it('create position', (done) => { const side = OrderSide.Buy; - const res = await position.create(pair, side, amount); - expect(() => - assertExisitingColumns(overrideTimestampColumns(res), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, - }, - orders: [ + position.create(pair, side, amount).subscribe((res) => { + expect(() => + assertExisitingColumns(overrideTimestampColumns(res.data), [ { account: isPositive, symbol: pair, leverage: isPositive, - crossMargin: false, currentQty: amount, isOpen: true, markPrice: isPositive, @@ -47,65 +37,67 @@ describe('Bitmex RestInsider Position', () => { openingTimestamp: overrideValue, timestamp: overrideValue, }, - ], - error: undefined, - }), - ).not.toThrow(); + ]), + ).not.toThrow(); + done(); + }); }); - it('fetch position', async () => { - const res = await position.fetch({ - filter: { - symbol: pair, - }, - }); - expect(() => - assertExisitingColumns(overrideTimestampColumns(res), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, + it('fetch position', (done) => { + position + .fetch({ + filter: { + symbol: pair, }, - orders: [ - { - account: isPositive, - symbol: pair, - leverage: isPositive, - crossMargin: false, - currentQty: amount, - isOpen: true, - markPrice: isPositive, - lastPrice: isPositive, - avgCostPrice: isPositive, - avgEntryPrice: isPositive, - marginCallPrice: isPositive, - liquidationPrice: isPositive, - bankruptPrice: isPositive, - currentTimestamp: overrideValue, - openingTimestamp: overrideValue, - timestamp: overrideValue, - }, - ], - error: undefined, - }), - ).not.toThrow(); + }) + .subscribe((res) => { + expect(() => + assertExisitingColumns(overrideTimestampColumns(res.data), [ + { + account: isPositive, + symbol: pair, + leverage: isPositive, + currentQty: amount, + isOpen: true, + markPrice: isPositive, + lastPrice: isPositive, + avgCostPrice: isPositive, + avgEntryPrice: isPositive, + marginCallPrice: isPositive, + liquidationPrice: isPositive, + bankruptPrice: isPositive, + currentTimestamp: overrideValue, + openingTimestamp: overrideValue, + timestamp: overrideValue, + }, + ]), + ).not.toThrow(); + done(); + }); }); - it('remove position', async () => { - const res = await position.remove(pair); - expect(() => - assertExisitingColumns(overrideTimestampColumns(res), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, - }, - orders: [ + it('update position leverage', (done) => { + position + .updateLeverage({ + symbol: pair, + leverage: 4.15, + }) + .subscribe((res) => { + console.log(res); + done(); + }); + }); + + it('remove position', (done) => { + position.remove(pair).subscribe((res) => { + expect(() => + assertExisitingColumns(overrideTimestampColumns(res.data), [ { account: isPositive, symbol: pair, leverage: isPositive, - crossMargin: false, + isOpen: false, + markPrice: null, lastPrice: null, avgCostPrice: null, avgEntryPrice: null, @@ -116,25 +108,9 @@ describe('Bitmex RestInsider Position', () => { openingTimestamp: overrideValue, timestamp: overrideValue, }, - ], - error: undefined, - }), - ).not.toThrow(); - }); - - it('remove all position', async () => { - await position.removeAll(); - const res = await position.fetch({ filter: { isOpen: true } }); - expect(() => - assertExisitingColumns(overrideTimestampColumns(res), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, - }, - orders: [], - error: undefined, - }), - ).not.toThrow(); + ]), + ).not.toThrow(); + done(); + }); }); }); diff --git a/modules/exchanges/crypto/bitmex/rest/internal/private/position/position.ts b/modules/exchanges/crypto/bitmex/rest/internal/private/position/position.ts index 6bfb63b..2af0936 100644 --- a/modules/exchanges/crypto/bitmex/rest/internal/private/position/position.ts +++ b/modules/exchanges/crypto/bitmex/rest/internal/private/position/position.ts @@ -1,66 +1,71 @@ -import { sleep } from '@dripjs/common'; import { HttpMethod } from '@dripjs/types'; +import { Observable, Subject } from 'rxjs'; +import { delay, flatMap, take } from 'rxjs/operators'; -import { Config, ExecInst, OrderSide, OrderType, PositionResponse } from '../../../../types'; -import { PrivateEndPoints, RestFetchPositionRequest, RestOrderRequest, RestPositionsResponse } from '../../../types'; +import { Config, ExecInst, OrderSide, OrderType, PositionResponse, RestResponse } from '../../../../types'; +import { PrivateEndPoints } from '../../../constants'; +import { RestFetchPositionRequest, RestLeverageRequest, RestOrderRequest } from '../../../types'; import { RestInsider } from '../../rest-insider'; import { Order } from '../order'; export class Position extends RestInsider { private readonly order: Order; - constructor(config: Config) { - super(config, PrivateEndPoints.Position); - this.order = new Order(config); + constructor(config: Config, remaining$: Subject) { + super(config, PrivateEndPoints.Position, remaining$); + this.order = new Order(config, remaining$); } - async fetch(request: Partial): Promise { - const res = await this.request(HttpMethod.GET, request); - - return { - ratelimit: res.ratelimit, - orders: res.body, - error: res.error, - }; + fetch(request: Partial): Observable> { + return this.request(HttpMethod.GET, request); } - async create(pair: string, side: OrderSide, amount: number): Promise { + create(pair: string, side: OrderSide, amount: number): Observable> { const orderParams: Partial = { symbol: pair, side, ordType: OrderType.Market, orderQty: amount, }; - await this.order.create(orderParams); - await sleep(500); - return this.fetch({ - filter: { - symbol: pair, - }, - }); + return this.order.create(orderParams).pipe( + take(1), + delay(500), + flatMap(() => + this.fetch({ + filter: { + symbol: pair, + }, + }), + ), + ); } - async remove(pair: string): Promise { + /** + * 利用市场价触发后平仓 + * @param pair + */ + remove(pair: string): Observable> { const orderParams: Partial = { symbol: pair, ordType: OrderType.Market, execInst: ExecInst.Close, }; - await this.order.create(orderParams); - await sleep(500); - return this.fetch({ - filter: { - symbol: pair, - }, - }); + return this.order.create(orderParams).pipe( + take(1), + delay(500), + flatMap(() => + this.fetch({ + filter: { + symbol: pair, + }, + }), + ), + ); } - async removeAll(): Promise { - const res = await this.fetch({ filter: { isOpen: true } }); - for (const position of res.orders) { - await this.remove(position.symbol); - } + updateLeverage(request: RestLeverageRequest): Observable> { + return this.requestWithEndpoint(PrivateEndPoints.PositionLeverage, HttpMethod.POST, request); } } diff --git a/modules/exchanges/crypto/bitmex/rest/internal/public/bar/bar.spec.ts b/modules/exchanges/crypto/bitmex/rest/internal/public/bar/bar.spec.ts index 3ee7795..334e1c2 100644 --- a/modules/exchanges/crypto/bitmex/rest/internal/public/bar/bar.spec.ts +++ b/modules/exchanges/crypto/bitmex/rest/internal/public/bar/bar.spec.ts @@ -1,16 +1,49 @@ import { testnetConfig } from '@dripjs/testing'; +import { Subject } from 'rxjs'; +import { switchMap, tap } from 'rxjs/operators'; import { Resolution } from '../../../../types'; +import { MAX_REMAINING_NUM } from '../../../constants'; import { Bar } from './bar'; -describe('Bitmex RestInsider Bar', () => { - const bar = new Bar(testnetConfig); +import moment = require('moment'); + +describe('Bitmex Rest Bar', () => { + const remaining$ = new Subject(); + const bar = new Bar(testnetConfig, remaining$); it('fetch instrument', async () => { - const res = await bar.fetch({ - binSize: Resolution.day, - symbol: 'XBTUSD', - }); - expect(res.bars.length).toEqual(100); + const res = await bar + .fetch({ + binSize: Resolution.day, + symbol: 'XBTUSD', + }) + .toPromise(); + expect(res.data.length).toEqual(100); + expect(res.rateLimit.limit).toEqual(MAX_REMAINING_NUM); + }); + + it('should cancel request', (done) => { + const sub$ = new Subject(); + sub$ + .pipe( + tap((n) => console.log(`run at: ${moment()}`)), + switchMap(() => + bar.fetch({ + binSize: Resolution.day, + symbol: 'XBTUSD', + }), + ), + ) + .subscribe((res) => { + console.log(res.rateLimit); + done(); + }); + sub$.next(); + sub$.next(); + sub$.next(); + sub$.next(); + sub$.next(); + sub$.next(); }); }); diff --git a/modules/exchanges/crypto/bitmex/rest/internal/public/bar/bar.ts b/modules/exchanges/crypto/bitmex/rest/internal/public/bar/bar.ts index 980f308..78ca8e1 100644 --- a/modules/exchanges/crypto/bitmex/rest/internal/public/bar/bar.ts +++ b/modules/exchanges/crypto/bitmex/rest/internal/public/bar/bar.ts @@ -1,21 +1,17 @@ import { HttpMethod } from '@dripjs/types'; +import { Observable, Subject } from 'rxjs'; -import { BarResponse, Config } from '../../../../types'; -import { PublicEndPoints, RestBarRequest, RestBarResponse } from '../../../types'; +import { BarResponse, Config, RestResponse } from '../../../../types'; +import { PublicEndPoints } from '../../../constants'; +import { RestBarRequest } from '../../../types'; import { RestInsider } from '../../rest-insider'; export class Bar extends RestInsider { - constructor(config: Config) { - super(config, PublicEndPoints.TradeBucketed); + constructor(config: Config, remaining$: Subject) { + super(config, PublicEndPoints.TradeBucketed, remaining$); } - async fetch(request: RestBarRequest): Promise { - const res = await this.request(HttpMethod.GET, request); - - return { - ratelimit: res.ratelimit, - bars: res.body, - error: res.error, - }; + fetch(request: RestBarRequest): Observable> { + return this.request(HttpMethod.GET, request); } } diff --git a/modules/exchanges/crypto/bitmex/rest/internal/public/instrument/instrument.spec.ts b/modules/exchanges/crypto/bitmex/rest/internal/public/instrument/instrument.spec.ts index 05b4a25..7c0d02f 100644 --- a/modules/exchanges/crypto/bitmex/rest/internal/public/instrument/instrument.spec.ts +++ b/modules/exchanges/crypto/bitmex/rest/internal/public/instrument/instrument.spec.ts @@ -1,20 +1,30 @@ import { testnetConfig } from '@dripjs/testing'; +import { Subject } from 'rxjs'; +import { MAX_REMAINING_NUM, MINIMUM_REMAINING_NUM } from '../../../constants'; import { Instrument } from './instrument'; -describe('Bitmex RestInsider Instrument', () => { - const instrument = new Instrument(testnetConfig); +describe('Bitmex Rest Instrument', () => { + const remaining$ = new Subject(); + const instrument = new Instrument(testnetConfig, remaining$); - it('fetch instrument', async () => { - const res = await instrument.fetch(); - expect(res.instruments.length).toBeGreaterThan(0); + it('fetch instrument', (done) => { + instrument.fetch().subscribe((res) => { + expect(res.data.length).toBeGreaterThan(0); + expect(res.rateLimit.limit).toEqual(MAX_REMAINING_NUM); + done(); + }); }); - it('fetch instrument of remaining < 20', async () => { - (instrument).remaining = 10; - const res = await instrument.fetch(); - expect(res.error).toBeDefined(); - expect(res.error!.name).toEqual('validate failed (remaining)'); - expect(res.error!.message).toEqual('The remaining is less than 20'); + it('fetch instrument of remaining < mininum', (done) => { + const remaining = MINIMUM_REMAINING_NUM - 1; + remaining$.next(remaining); + instrument.fetch().subscribe( + (res) => {}, + (error) => { + expect(error.message).toEqual(`The remaining(${remaining}) is less than ${MINIMUM_REMAINING_NUM}`); + done(); + }, + ); }); }); diff --git a/modules/exchanges/crypto/bitmex/rest/internal/public/instrument/instrument.ts b/modules/exchanges/crypto/bitmex/rest/internal/public/instrument/instrument.ts index 8632281..f0ab10b 100644 --- a/modules/exchanges/crypto/bitmex/rest/internal/public/instrument/instrument.ts +++ b/modules/exchanges/crypto/bitmex/rest/internal/public/instrument/instrument.ts @@ -1,24 +1,19 @@ import { HttpMethod } from '@dripjs/types'; +import { Observable, Subject } from 'rxjs'; -import { Config, InstrumentResponse } from '../../../../types'; -import { PublicEndPoints, RestInstrumentResponse } from '../../../types'; +import { Config, InstrumentResponse, RestResponse } from '../../../../types'; +import { PublicEndPoints } from '../../../constants'; import { RestInsider } from '../../rest-insider'; /** * 产品更新，包括交易量以及报价 */ export class Instrument extends RestInsider { - constructor(config: Config) { - super(config, PublicEndPoints.InstrumentActive); + constructor(config: Config, remaining$: Subject) { + super(config, PublicEndPoints.InstrumentActive, remaining$); } - async fetch(): Promise { - const res = await this.request(HttpMethod.GET, {}); - - return { - ratelimit: res.ratelimit, - instruments: res.body, - error: res.error, - }; + fetch(): Observable> { + return this.request(HttpMethod.GET, {}); } } diff --git a/modules/exchanges/crypto/bitmex/rest/internal/public/orderbook/helpers.ts b/modules/exchanges/crypto/bitmex/rest/internal/public/orderbook/helpers.ts index 202aec2..76b96b9 100644 --- a/modules/exchanges/crypto/bitmex/rest/internal/public/orderbook/helpers.ts +++ b/modules/exchanges/crypto/bitmex/rest/internal/public/orderbook/helpers.ts @@ -1,25 +1,13 @@ -import { OrderbookL2Response, OrderbookResponse } from '../../../../types'; +import { transformOrderbook } from '../../../../common'; +import { OrderbookL2Response, OrderbookResponse, RestResponse } from '../../../../types'; /** * transform raw websocket data to OrderbookL2Response * @param source raw websocket data */ -export function transform(source: OrderbookResponse[]): OrderbookL2Response { - const orderbook: OrderbookL2Response = { - bids: [], - asks: [], +export function transform(source: RestResponse): RestResponse { + return { + rateLimit: source.rateLimit, + data: transformOrderbook(source.data), }; - - for (const item of source) { - const orderbookItem: [string, string] = [`${item.price}`, `${item.size}`]; - if (item.side === 'Sell') { - orderbook.asks.push(orderbookItem); - } else { - orderbook.bids.push(orderbookItem); - } - } - - orderbook.asks.reverse(); - - return orderbook; } diff --git a/modules/exchanges/crypto/bitmex/rest/internal/public/orderbook/orderbook.spec.ts b/modules/exchanges/crypto/bitmex/rest/internal/public/orderbook/orderbook.spec.ts index f2b190a..c797e41 100644 --- a/modules/exchanges/crypto/bitmex/rest/internal/public/orderbook/orderbook.spec.ts +++ b/modules/exchanges/crypto/bitmex/rest/internal/public/orderbook/orderbook.spec.ts @@ -1,20 +1,38 @@ import { testnetReadonlyConfig } from '@dripjs/testing'; +import { Subject } from 'rxjs'; +import { tap } from 'rxjs/operators'; import { RestOrderbookRequest } from '../../../types'; import { Orderbook } from './orderbook'; describe.skip('Bitmex RestInsider Orderbook', () => { + const remaining$ = new Subject(); const pair = 'XBTUSD'; - const orderbook = new Orderbook(testnetReadonlyConfig); - it('fetch orderbook', async () => { + const orderbook = new Orderbook(testnetReadonlyConfig, remaining$); + it('fetch orderbook', (done) => { const request: RestOrderbookRequest = { symbol: pair, depth: 25, }; - - const res = await orderbook.fetch(request); - expect(res.orderbook.bids.length).toEqual(25); - expect(res.orderbook.asks.length).toEqual(25); - expect(res.ratelimit.limit).toEqual(300); + console.log({ + data: request, + event: '查询订单薄', + }); + orderbook + .fetch(request) + .pipe( + tap((res) => { + console.log({ + data: JSON.stringify(res), + event: '查询订单薄-结果', + }); + }), + ) + .subscribe((res) => { + expect(res.data.bids.length).toEqual(25); + expect(res.data.asks.length).toEqual(25); + expect(res.rateLimit.limit).toEqual(60); + done(); + }); }); }); diff --git a/modules/exchanges/crypto/bitmex/rest/internal/public/orderbook/orderbook.ts b/modules/exchanges/crypto/bitmex/rest/internal/public/orderbook/orderbook.ts index 3283672..a846b99 100644 --- a/modules/exchanges/crypto/bitmex/rest/internal/public/orderbook/orderbook.ts +++ b/modules/exchanges/crypto/bitmex/rest/internal/public/orderbook/orderbook.ts @@ -1,22 +1,19 @@ import { HttpMethod } from '@dripjs/types'; +import { Observable, Subject } from 'rxjs'; +import { map } from 'rxjs/operators'; -import { Config, OrderbookResponse } from '../../../../types'; -import { PublicEndPoints, RestOrderbookL2Response, RestOrderbookRequest } from '../../../types'; +import { Config, OrderbookL2Response, OrderbookResponse, RestResponse } from '../../../../types'; +import { PublicEndPoints } from '../../../constants'; +import { RestOrderbookRequest } from '../../../types'; import { RestInsider } from '../../rest-insider'; import { transform } from './helpers'; export class Orderbook extends RestInsider { - constructor(config: Config) { - super(config, PublicEndPoints.OrderBookL2); + constructor(config: Config, remaining$: Subject) { + super(config, PublicEndPoints.OrderBookL2, remaining$); } - async fetch(request: RestOrderbookRequest): Promise { - const res = await this.request(HttpMethod.GET, request); - - return { - ratelimit: res.ratelimit, - orderbook: transform(res.body), - error: res.error, - }; + fetch(request: RestOrderbookRequest): Observable> { + return this.request(HttpMethod.GET, request).pipe(map(transform)); } } diff --git a/modules/exchanges/crypto/bitmex/rest/internal/rest-insider.spec.ts b/modules/exchanges/crypto/bitmex/rest/internal/rest-insider.spec.ts new file mode 100644 index 0000000..68a5b25 --- /dev/null +++ b/modules/exchanges/crypto/bitmex/rest/internal/rest-insider.spec.ts @@ -0,0 +1,20 @@ +import { testnetConfig } from '@dripjs/testing'; +import { HttpMethod } from '@dripjs/types'; +import { Subject } from 'rxjs'; + +import { PrivateEndPoints } from '../constants'; +import { RestInsider } from './rest-insider'; + +describe('RestInsider', () => { + let restInsider: RestInsider; + const remaining$ = new Subject(); + + beforeAll(() => { + restInsider = new RestInsider(testnetConfig, PrivateEndPoints.Quote, remaining$); + }); + + it('should request', async () => { + const res = await restInsider.request(HttpMethod.GET, { symbol: 'XBTUSD' }).toPromise(); + expect(res).toBeDefined(); + }); +}); diff --git a/modules/exchanges/crypto/bitmex/rest/internal/rest-insider.ts b/modules/exchanges/crypto/bitmex/rest/internal/rest-insider.ts index 10fbba3..6b4168f 100644 --- a/modules/exchanges/crypto/bitmex/rest/internal/rest-insider.ts +++ b/modules/exchanges/crypto/bitmex/rest/internal/rest-insider.ts @@ -1,91 +1,62 @@ -import { HttpHeaders, HttpMethod } from '@dripjs/types'; -import Axios, { AxiosRequestConfig } from 'axios'; +import { HttpMethod } from '@dripjs/types'; +import { AxiosRequestConfig } from 'axios'; import { stringify } from 'qs'; +import { Observable, Subject, throwError } from 'rxjs'; +import { filter, map } from 'rxjs/operators'; -import { getRateLimit, getRestApiUrl, getRestAuthHeaders } from '../../common'; -import { Config, ErrorResponse, RestResponse } from '../../types'; -import { PrivateEndPoints, PublicEndPoints, apiBasePath } from '../types'; - -// tslint:disable-next-line:no-var-requires -const urljoin = require('url-join'); +import { getRestAuthHeaders } from '../../common'; +import { Config } from '../../types'; +import { MAX_REMAINING_NUM, PrivateEndPoints, PublicEndPoints, apiBasePath, endpoints } from '../constants'; +import { RestResponse } from '../types'; +import { getAxiosObservableRequest, getRestResponse, validateRemaining } from './utils'; export class RestInsider { /**可用请求数 */ - private remaining = 300; + private remaining = MAX_REMAINING_NUM; + private readonly remaining$: Subject; - constructor(private readonly config: Config, private readonly endpoint: PrivateEndPoints | PublicEndPoints) { + constructor(private readonly config: Config, private readonly endpoint: PrivateEndPoints | PublicEndPoints, remaining$: Subject) { if (!this.config.apiKey || this.config.apiKey === 'undefined') { this.config.apiKey = ''; } if (!this.config.apiSecret || this.config.apiSecret === 'undefined') { this.config.apiSecret = ''; } - // 每30分钟重置remaining - setTimeout(() => (this.remaining = 300), 30 * 60 * 1000); + remaining$.subscribe((amount) => (this.remaining = amount)); + this.remaining$ = remaining$; } - protected async request(method: HttpMethod, data: any): Promise { - const validate = this.validate(); - if (validate.error) { - return { - ratelimit: { - remaining: this.remaining, - reset: 0, - limit: 300, - }, - body: {}, - error: validate.error, - }; - } - - const baseUrl = getRestApiUrl(this.config); - const authHeaders = getRestAuthHeaders(method, baseUrl, this.endpoint, this.config.apiKey, this.config.apiSecret, data); - const request: AxiosRequestConfig = { - method, - headers: { - ...authHeaders, - }, - }; - let query = ''; - if (method !== HttpMethod.GET) { - request.data = data; - } else { - query = Object.keys(data).length !== 0 ? `?${stringify(data)}` : ''; - } - - let url = urljoin(baseUrl, apiBasePath, this.endpoint, query); - if (this.config.corsProxy) { - url = urljoin(this.config.corsProxy, url); - } + request(method: HttpMethod, data: any): Observable> { + return this.requestWithEndpoint(this.endpoint, method, data); + } + protected requestWithEndpoint( + endpoint: PrivateEndPoints | PublicEndPoints, + method: HttpMethod, + data: any, + ): Observable> { try { - const response = await Axios(url, request); - - const ratelimit = getRateLimit(response.headers); - this.remaining = ratelimit.remaining; - - return { - ratelimit, - body: response.data, + validateRemaining(this.remaining); + const authHeaders = getRestAuthHeaders(method, endpoint, this.config.apiKey, this.config.apiSecret, data); + const request: AxiosRequestConfig = { + method, + headers: { ...authHeaders }, }; + let query = ''; + if (method !== HttpMethod.GET) { + request.data = data; + } else { + query = Object.keys(data).length !== 0 ? `?${stringify(data)}` : ''; + } + const baseUrl = this.config.testnet ? endpoints.testnet : endpoints.production; + const url = `${baseUrl}${apiBasePath}${endpoint}${query}`; + + return getAxiosObservableRequest(url, this.remaining$, request).pipe( + filter((o) => !!o), + map(getRestResponse), + ); } catch (error) { - return { - ratelimit: getRateLimit(error.response.headers), - body: {}, - error: error.response.data.error, - }; - } - } - - private validate(): ErrorResponse { - const errorRes: ErrorResponse = {}; - if (this.remaining < 20) { - errorRes.error = { - name: 'validate failed (remaining)', - message: 'The remaining is less than 20', - }; + return throwError(error); } - - return errorRes; } } diff --git a/modules/exchanges/crypto/bitmex/rest/internal/utils/get-axios-observable-request.spec.ts b/modules/exchanges/crypto/bitmex/rest/internal/utils/get-axios-observable-request.spec.ts new file mode 100644 index 0000000..93d98e1 --- /dev/null +++ b/modules/exchanges/crypto/bitmex/rest/internal/utils/get-axios-observable-request.spec.ts @@ -0,0 +1,18 @@ +import { HttpMethod } from '@dripjs/types'; +import Axios from 'axios'; +import MockAdapter from 'axios-mock-adapter'; +import { Subject } from 'rxjs'; + +import { getAxiosObservableRequest } from './get-axios-observable-request'; + +const mock = new MockAdapter(Axios); + +describe('getAxiosObservableRequest', () => { + const remaining$ = new Subject(); + it('should request timeout', async () => { + mock.onPost().timeout(); + await expect(getAxiosObservableRequest('wwwsdfdsf', remaining$, { method: HttpMethod.POST }).toPromise()).rejects.toEqual( + new Error('timeout of 5000ms exceeded'), + ); + }); +}); diff --git a/modules/exchanges/crypto/bitmex/rest/internal/utils/get-axios-observable-request.ts b/modules/exchanges/crypto/bitmex/rest/internal/utils/get-axios-observable-request.ts new file mode 100644 index 0000000..bf958a2 --- /dev/null +++ b/modules/exchanges/crypto/bitmex/rest/internal/utils/get-axios-observable-request.ts @@ -0,0 +1,34 @@ +import Axios, { AxiosRequestConfig, AxiosResponse } from 'axios'; +import { Observable, Observer, Subject } from 'rxjs'; + +import { getRateLimit } from '../../../common'; +import { getResponseError } from './get-response-error'; + +/** + * axios转rx方法 + * 目的：检知超时请求，处理为5秒超时 + * + * @param url 请求url + * @param remaining$ 余额可观察对象 + * @param config 其他配置 + */ +export function getAxiosObservableRequest( + url: string, + remaining$: Subject, + config?: AxiosRequestConfig, +): Observable> { + return new Observable((observer: Observer>) => { + const cancelToken = Axios.CancelToken.source(); + const cancelTokenConfig = { cancelToken: cancelToken.token, timeout: 5000 }; + Axios(url, config ? { ...cancelTokenConfig, ...config } : cancelTokenConfig).then( + (result) => { + const amount = getRateLimit(result.headers).remaining; + // 更新可用余额 + remaining$.next(amount); + observer.next(result); + observer.complete(); + }, + (error) => (Axios.isCancel(error) ? observer.complete() : observer.error(getResponseError(error))), + ); + }); +} diff --git a/modules/exchanges/crypto/bitmex/rest/internal/utils/get-response-error.ts b/modules/exchanges/crypto/bitmex/rest/internal/utils/get-response-error.ts new file mode 100644 index 0000000..9f665a7 --- /dev/null +++ b/modules/exchanges/crypto/bitmex/rest/internal/utils/get-response-error.ts @@ -0,0 +1,20 @@ +/** + * 获取bitmex的rest请求错误消息 + * @param err + */ +export function getResponseError(err: { [attr: string]: any }): Error | undefined { + if (err) { + if (err.response) { + if (err.response.data && err.response.data.error) { + const resError = err.response.data.error as Error; + + // @ts-ignore + return new Error(resError ? resError.message : resError); + } else { + return new Error(err.message); + } + } + + return err as Error; + } +} diff --git a/modules/exchanges/crypto/bitmex/rest/internal/utils/get-rest-response.ts b/modules/exchanges/crypto/bitmex/rest/internal/utils/get-rest-response.ts new file mode 100644 index 0000000..adbd01b --- /dev/null +++ b/modules/exchanges/crypto/bitmex/rest/internal/utils/get-rest-response.ts @@ -0,0 +1,11 @@ +import { AxiosResponse } from 'axios'; + +import { getRateLimit } from '../../../common'; +import { RestResponse } from '../../types'; + +export function getRestResponse(source: AxiosResponse): RestResponse { + return { + rateLimit: getRateLimit(source.headers), + data: source.data, + }; +} diff --git a/modules/exchanges/crypto/bitmex/rest/internal/utils/index.ts b/modules/exchanges/crypto/bitmex/rest/internal/utils/index.ts new file mode 100644 index 0000000..c6b95d6 --- /dev/null +++ b/modules/exchanges/crypto/bitmex/rest/internal/utils/index.ts @@ -0,0 +1,3 @@ +export * from './validate-remaining'; +export * from './get-rest-response'; +export * from './get-axios-observable-request'; diff --git a/modules/exchanges/crypto/bitmex/rest/internal/utils/validate-remaining.ts b/modules/exchanges/crypto/bitmex/rest/internal/utils/validate-remaining.ts new file mode 100644 index 0000000..44b1034 --- /dev/null +++ b/modules/exchanges/crypto/bitmex/rest/internal/utils/validate-remaining.ts @@ -0,0 +1,11 @@ +import { MINIMUM_REMAINING_NUM } from '../../constants'; + +/** + * 验证可用余额 + * @param remaining + */ +export function validateRemaining(remaining: number): void { + if (remaining < MINIMUM_REMAINING_NUM) { + throw new Error(`The remaining(${remaining}) is less than ${MINIMUM_REMAINING_NUM}`); + } +} diff --git a/modules/exchanges/crypto/bitmex/rest/rest-base.ts b/modules/exchanges/crypto/bitmex/rest/rest-base.ts index 91c7754..5c4616d 100644 --- a/modules/exchanges/crypto/bitmex/rest/rest-base.ts +++ b/modules/exchanges/crypto/bitmex/rest/rest-base.ts @@ -1,77 +1,115 @@ -import { Config, OrderSide } from '../types'; -import { Bar, Instrument, Order, Orderbook, Position } from './internal'; +import { Observable, Subject, interval } from 'rxjs'; +import { takeUntil } from 'rxjs/operators'; + +import { + BarResponse, + Config, + InstrumentResponse, + OrderResponse, + OrderSide, + OrderbookL2Response, + PositionResponse, + RestResponse, +} from '../types'; +import { Bar, Instrument, MultipleOrder, Order, Orderbook, Position } from './internal'; import { RestBarRequest, - RestBarResponse, + RestCancelMultipleOrderRequest, RestFetchOrderRequest, RestFetchPositionRequest, - RestInstrumentResponse, + RestLeverageRequest, + RestMultipleOrderRequest, RestOrderRequest, - RestOrderResponse, - RestOrderbookL2Response, RestOrderbookRequest, - RestOrdersResponse, - RestPositionsResponse, } from './types'; +/** + * rest请求处理基础类 + * + * 用于处理请求基础方法 + */ export class RestBase { protected readonly instrument: Instrument; protected readonly order: Order; + protected readonly multipleOrder: MultipleOrder; protected readonly orderbook: Orderbook; protected readonly bar: Bar; protected readonly position: Position; + private readonly remaining$ = new Subject(); + private readonly disposer$ = new Subject(); + constructor(config: Config) { - const cfg = { - apiKey: '', - apiSecret: '', - testnet: false, - ...config, - }; - this.instrument = new Instrument(cfg); - this.order = new Order(cfg); - this.orderbook = new Orderbook(cfg); - this.bar = new Bar(cfg); - this.position = new Position(cfg); - } - - async createOrder(request: Partial): Promise { + this.instrument = new Instrument(config, this.remaining$); + this.order = new Order(config, this.remaining$); + this.multipleOrder = new MultipleOrder(config, this.remaining$); + this.orderbook = new Orderbook(config, this.remaining$); + this.bar = new Bar(config, this.remaining$); + this.position = new Position(config, this.remaining$); + // 每分钟重置可用余额为60 + interval(60 * 1000) + .pipe(takeUntil(this.disposer$)) + .subscribe(() => this.remaining$.next(60)); + } + + createOrder(request: Partial): Observable> { return this.order.create(request); } - async fetchOrder(request: Partial): Promise { + createMultipleOrder(request: RestMultipleOrderRequest): Observable> { + return this.multipleOrder.create(request); + } + + fetchOrder(request: Partial): Observable> { return this.order.fetch(request); } - async updateOrder(request: Partial): Promise { + updateOrder(request: Partial): Observable> { return this.order.update(request); } - async cancelOrder(request: Partial): Promise { + updateMultipleOrder(request: RestMultipleOrderRequest): Observable> { + return this.multipleOrder.update(request); + } + + cancelOrder(request: Partial): Observable> { return this.order.cancel(request); } - async fetchOrderbook(request: RestOrderbookRequest): Promise { + cancelMultipleOrder(request: Partial): Observable> { + return this.multipleOrder.cancel(request); + } + + fetchOrderbook(request: RestOrderbookRequest): Observable> { return this.orderbook.fetch(request); } - async fetchInstrument(): Promise { + fetchInstrument(): Observable> { return this.instrument.fetch(); } - async fetchBar(request: RestBarRequest): Promise { + fetchBar(request: RestBarRequest): Observable> { return this.bar.fetch(request); } - async fetchPosition(request: Partial): Promise { + fetchPosition(request: Partial): Observable> { return this.position.fetch(request); } - async createPosition(symbol: string, side: OrderSide, amount: number): Promise { + createPosition(symbol: string, side: OrderSide, amount: number): Observable> { return this.position.create(symbol, side, amount); } - async removePosition(symbol: string): Promise { + removePosition(symbol: string): Observable> { return this.position.remove(symbol); } + + updateLeverage(request: RestLeverageRequest): Observable> { + return this.position.updateLeverage(request); + } + + destroy(): void { + this.disposer$.next(); + this.disposer$.complete(); + } } diff --git a/modules/exchanges/crypto/bitmex/rest/rest.spec.ts b/modules/exchanges/crypto/bitmex/rest/rest.spec.ts index 2867aac..77cb2b4 100644 --- a/modules/exchanges/crypto/bitmex/rest/rest.spec.ts +++ b/modules/exchanges/crypto/bitmex/rest/rest.spec.ts @@ -1,530 +1,140 @@ -import { isPositive, sleep } from '@dripjs/common'; -import { assertExisitingColumns, corsProxy, isUuid, overrideTimestampColumns, overrideValue, testnetConfig } from '@dripjs/testing'; +import { testnetConfig } from '@dripjs/testing'; import * as moment from 'moment'; -import { OrderResponse, OrderSide, OrderStatus, OrderType, Resolution } from '../types'; +import { receiveOrderData } from '../common/test-helpers'; +import { OrderSide, OrderStatus, OrderType, Resolution } from '../types'; +import { MAX_REMAINING_NUM } from './constants'; import { Rest } from './rest'; -import { RestFetchOrderRequest, RestOrderRequest, RestOrderbookRequest } from './types'; +import { RestCancelMultipleOrderRequest, RestFetchOrderRequest, RestOrderRequest, RestOrderbookRequest } from './types'; describe('Bitmex Rest', () => { const pair = 'XBTUSD'; const rest = new Rest(testnetConfig); - afterAll(async () => { - await rest.removePosition(pair); - }); + let orderId: string; + let price: number; - it('fetch orderbook', async () => { + it('fetch orderbook', (done) => { const request: RestOrderbookRequest = { symbol: pair, depth: 25, }; - - const res = await rest.fetchOrderbook(request); - expect(res.orderbook.bids.length).toEqual(25); - expect(res.orderbook.asks.length).toEqual(25); + rest.fetchOrderbook(request).subscribe((res) => { + price = +res.data.bids[4][0]; + expect(res.data.bids.length).toEqual(25); + expect(res.data.asks.length).toEqual(25); + done(); + }); }); - it('fetch orderbook for proxy', async () => { - const restProxy = new Rest({ ...testnetConfig, corsProxy }); - const request: RestOrderbookRequest = { + it('create order', (done) => { + const request: Partial = { symbol: pair, - depth: 25, + side: OrderSide.Buy, + price, + orderQty: 25, + ordType: OrderType.Limit, }; - const res = await restProxy.fetchOrderbook(request); - expect(res.orderbook.bids.length).toEqual(25); - expect(res.orderbook.asks.length).toEqual(25); - }); - - describe('create order', () => { - let price: number; - let orderID: string; - beforeAll(async () => { - const request: RestOrderbookRequest = { - symbol: pair, - depth: 25, - }; - const res = await rest.fetchOrderbook(request); - price = +res.orderbook.bids[4][0]; - }); - - afterEach(async () => { - if (orderID) { - await rest.cancelOrder({ orderID }); - } - }); - - it('should be create a limit order', async () => { - const request: Partial = { - symbol: pair, - side: OrderSide.Buy, - price, - orderQty: 25, - }; - const res = await rest.createLimitOrder(request); - orderID = res.order.orderID; - expect(() => - assertExisitingColumns(overrideTimestampColumns(res), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, - }, - order: { - orderID: isUuid, - account: isPositive, - symbol: 'XBTUSD', - side: 'Buy', - orderQty: 25, - price: isPositive, - pegPriceType: '', - currency: 'USD', - settlCurrency: 'XBt', - ordType: 'Limit', - timeInForce: 'GoodTillCancel', - execInst: '', - contingencyType: '', - exDestination: 'XBME', - ordStatus: 'New', - triggered: '', - workingIndicator: true, - ordRejReason: '', - leavesQty: 25, - cumQty: 0, - multiLegReportingType: 'SingleSecurity', - text: 'Submitted via API.', - transactTime: overrideValue, - timestamp: overrideValue, - }, - }), - ).not.toThrow(); - }); - - it('should be create a limit ParticipateDoNotInitiate order', async () => { - const request: Partial = { - symbol: pair, - side: OrderSide.Buy, - price, - orderQty: 25, - }; - const res = await rest.createLimitOrderParticipateDoNotInitiate(request); - orderID = res.order.orderID; - expect(() => - assertExisitingColumns(overrideTimestampColumns(res), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, - }, - order: { - orderID: isUuid, - account: isPositive, - symbol: 'XBTUSD', - side: 'Buy', - orderQty: 25, - price: isPositive, - pegPriceType: '', - currency: 'USD', - settlCurrency: 'XBt', - ordType: 'Limit', - timeInForce: 'GoodTillCancel', - execInst: 'ParticipateDoNotInitiate', - contingencyType: '', - exDestination: 'XBME', - ordStatus: 'New', - triggered: '', - workingIndicator: true, - ordRejReason: '', - leavesQty: 25, - cumQty: 0, - multiLegReportingType: 'SingleSecurity', - text: 'Submitted via API.', - transactTime: overrideValue, - timestamp: overrideValue, - }, - }), - ).not.toThrow(); - }); - - it('should be create a stop order', async () => { - const request: Partial = { - symbol: pair, - side: OrderSide.Sell, - stopPx: price - 50, - orderQty: 25, - }; - const res = await rest.createStopOrder(request); - orderID = res.order.orderID; - expect(() => - assertExisitingColumns(overrideTimestampColumns(res), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, - }, - order: { - orderID: isUuid, - account: isPositive, - symbol: 'XBTUSD', - side: 'Sell', - orderQty: 25, - price: null, - stopPx: isPositive, - currency: 'USD', - settlCurrency: 'XBt', - ordType: 'Stop', - timeInForce: 'ImmediateOrCancel', - exDestination: 'XBME', - ordStatus: 'New', - workingIndicator: false, - leavesQty: 25, - cumQty: 0, - multiLegReportingType: 'SingleSecurity', - text: 'Submitted via API.', - transactTime: overrideValue, - timestamp: overrideValue, - }, - }), - ).not.toThrow(); - }); - - it('should be create a stop order with LastPrice and ReduceOnly', async () => { - const request: Partial = { - symbol: pair, - side: OrderSide.Sell, - stopPx: price - 50, - orderQty: 25, - }; - const res = await rest.createStopOrderLastPriceReduceOnly(request); - orderID = res.order.orderID; - expect(() => - assertExisitingColumns(overrideTimestampColumns(res), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, - }, - order: { - orderID: isUuid, - account: isPositive, - symbol: 'XBTUSD', - side: 'Sell', - orderQty: 25, - price: null, - stopPx: isPositive, - currency: 'USD', - settlCurrency: 'XBt', - ordType: 'Stop', - timeInForce: 'ImmediateOrCancel', - execInst: 'LastPrice,ReduceOnly', - exDestination: 'XBME', - ordStatus: 'New', - workingIndicator: false, - leavesQty: 25, - cumQty: 0, - multiLegReportingType: 'SingleSecurity', - text: 'Submitted via API.', - transactTime: overrideValue, - timestamp: overrideValue, - }, - }), - ).not.toThrow(); + rest.createOrder(request).subscribe((res) => { + orderId = res.data.orderID; + expect(res.data).toBeDefined(); + expect(res.rateLimit.limit).toEqual(MAX_REMAINING_NUM); + done(); }); + }); - it('should be get a stop order', async () => { - const request: Partial = { - symbol: pair, - side: OrderSide.Sell, - stopPx: price - 50, - orderQty: 25, - }; - const res = await rest.createStopOrder(request); - orderID = res.order.orderID; - const resStopOrder = await rest.getStopOrder(pair); - expect(() => - assertExisitingColumns(overrideTimestampColumns(resStopOrder), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, - }, - orders: [ - { - orderID: isUuid, - account: isPositive, - symbol: 'XBTUSD', - side: 'Sell', - orderQty: 25, - price: null, - displayQty: null, - stopPx: isPositive, - pegOffsetValue: null, - pegPriceType: '', - currency: 'USD', - settlCurrency: 'XBt', - ordType: 'Stop', - timeInForce: 'ImmediateOrCancel', - execInst: '', - contingencyType: '', - exDestination: 'XBME', - ordStatus: 'New', - triggered: '', - workingIndicator: false, - ordRejReason: '', - simpleLeavesQty: null, - leavesQty: 25, - simpleCumQty: null, - cumQty: 0, - avgPx: null, - multiLegReportingType: 'SingleSecurity', - text: 'Submitted via API.', - transactTime: overrideValue, - timestamp: overrideValue, - }, - ], - }), - ).not.toThrow(); + it('fetch order', (done) => { + const request: Partial = { + symbol: pair, + filter: { + orderID: orderId, + }, + }; + rest.fetchOrder(request).subscribe((res) => { + expect(res.data[0].price).toEqual(price); + done(); }); }); - describe('fetch/update/get/cancel order', () => { - let order: OrderResponse; - beforeAll(async () => { - const res = await rest.fetchOrderbook({ - symbol: pair, - depth: 25, - }); - const price = +res.orderbook.bids[4][0]; - const resOrder = await rest.createLimitOrder({ - symbol: pair, - side: OrderSide.Buy, - price, - orderQty: 25, - }); - order = resOrder.order; + it('update order', (done) => { + const request: Partial = { + orderID: orderId, + price: price - 1, + }; + rest.updateOrder(request).subscribe((res) => { + expect(res.data.price).toEqual(price - 1); + done(); }); + }); - it('fetch order', async () => { - const request: Partial = { - symbol: pair, - filter: { - orderID: order.orderID, - }, - }; - const res = await rest.fetchOrder(request); - expect(() => - assertExisitingColumns(overrideTimestampColumns(res), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, - }, - orders: [ - { - orderID: isUuid, - account: isPositive, - symbol: 'XBTUSD', - side: 'Buy', - orderQty: 25, - price: isPositive, - displayQty: null, - stopPx: null, - pegOffsetValue: null, - pegPriceType: '', - currency: 'USD', - settlCurrency: 'XBt', - ordType: 'Limit', - timeInForce: 'GoodTillCancel', - execInst: '', - contingencyType: '', - exDestination: 'XBME', - ordStatus: 'New', - triggered: '', - workingIndicator: true, - ordRejReason: '', - simpleLeavesQty: null, - leavesQty: 25, - simpleCumQty: null, - cumQty: 0, - avgPx: null, - multiLegReportingType: 'SingleSecurity', - text: 'Submitted via API.', - transactTime: overrideValue, - timestamp: overrideValue, - }, - ], - }), - ).not.toThrow(); + it('cancel order', (done) => { + const request: Partial = { + orderID: orderId, + }; + rest.cancelOrder(request).subscribe((res) => { + expect(res.data[0].ordStatus).toEqual(OrderStatus.Canceled); + done(); }); + }); // cancelMultipleOrder - it('update order', async () => { - const request: Partial = { - orderID: order.orderID, - price: order.price - 1, - }; - - const res = await rest.updateOrder(request); - expect(res.order.price).toEqual(order.price - 1); + it('cancelMultipleOrder', (done) => { + const request: Partial = { + symbol: 'XBTUSD', + }; + rest.cancelMultipleOrder(request).subscribe((res) => { + expect(res.data[0].ordStatus).toEqual(OrderStatus.Canceled); + done(); }); + }); - it('get order by id', async () => { - const res = await rest.getOrderById(pair, order.orderID); - expect(() => - assertExisitingColumns(overrideTimestampColumns(res), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, - }, - orders: [ - { - orderID: isUuid, - account: isPositive, - symbol: 'XBTUSD', - side: 'Buy', - orderQty: 25, - price: isPositive, - displayQty: null, - stopPx: null, - pegOffsetValue: null, - pegPriceType: '', - currency: 'USD', - settlCurrency: 'XBt', - ordType: 'Limit', - timeInForce: 'GoodTillCancel', - execInst: '', - contingencyType: '', - exDestination: 'XBME', - ordStatus: 'New', - triggered: '', - workingIndicator: true, - ordRejReason: '', - simpleLeavesQty: null, - leavesQty: 25, - simpleCumQty: null, - cumQty: 0, - avgPx: null, - multiLegReportingType: 'SingleSecurity', - transactTime: overrideValue, - timestamp: overrideValue, - }, - ], - }), - ).not.toThrow(); - }); + it('get order by id', (done) => { + receiveOrderData(pair, async (order) => { + price = order.price ? order.price : 0; - it('cancel order', async () => { - const request: Partial = { - orderID: order.orderID, - }; - const res = await rest.cancelOrder(request); - expect(res.order.ordStatus).toEqual(OrderStatus.Canceled); + return rest.getOrderById(pair, order.orderID).toPromise(); + }).subscribe((res) => { + expect(res.data[0].price).toEqual(price); + done(); }); }); - it('config is null', async () => { + it('config is null', (done) => { const rest2 = new Rest({}); const request: Partial = { symbol: pair, side: OrderSide.Buy, - price: 8000, + price, orderQty: 25, ordType: OrderType.Limit, }; - const res = await rest2.createOrder(request); - expect(res.error!.name).toEqual('HTTPError'); - expect(res.error!.message).toEqual('Missing API key.'); - }); - - it('fetch instrument', async () => { - const res = await rest.fetchInstrument(); - expect(res.instruments.length).toBeGreaterThan(0); + rest2.createOrder(request).subscribe( + () => {}, + (error) => { + expect(error).toBeDefined(); + done(); + }, + ); }); - it('fetch bar', async () => { - const time = Date.now(); - const res = await rest.fetchBar({ - symbol: pair, - binSize: Resolution.day, - startTime: moment(time - 1000 * 60 * 60 * 24 * 60).toISOString(), - endTime: moment(time).toISOString(), + it('fetch instrument', (done) => { + rest.fetchInstrument().subscribe((res) => { + expect(res.data.length).toBeGreaterThan(0); + done(); }); - expect(res.bars.length).toEqual(60); }); - it('create/fetch position ', async () => { - await sleep(2000); - const res = await rest.createPosition(pair, OrderSide.Buy, 25); - expect(() => - assertExisitingColumns(overrideTimestampColumns(res), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, - }, - orders: [ - { - account: isPositive, - symbol: 'XBTUSD', - currency: 'XBt', - underlying: 'XBT', - quoteCurrency: 'USD', - commission: isPositive, - initMarginReq: isPositive, - maintMarginReq: isPositive, - riskLimit: isPositive, - leverage: isPositive, - crossMargin: false, - rebalancedPnl: isPositive, - prevClosePrice: isPositive, - execQty: 25, - currentTimestamp: overrideValue, - currentQty: 25, - isOpen: true, - timestamp: overrideValue, - lastPrice: isPositive, - }, - ], - }), - ).not.toThrow(); - - const postions = await rest.fetchPosition({ - filter: { + it('fetch bar', (done) => { + const time = Date.now(); + rest + .fetchBar({ symbol: pair, - isOpen: true, - }, - }); - expect(() => - assertExisitingColumns(overrideTimestampColumns(postions), { - ratelimit: { - remaining: isPositive, - reset: overrideValue, - limit: isPositive, - }, - orders: [ - { - account: isPositive, - symbol: 'XBTUSD', - currency: 'XBt', - underlying: 'XBT', - quoteCurrency: 'USD', - commission: isPositive, - initMarginReq: isPositive, - maintMarginReq: isPositive, - riskLimit: isPositive, - leverage: isPositive, - crossMargin: false, - rebalancedPnl: isPositive, - prevClosePrice: isPositive, - execQty: 25, - currentTimestamp: overrideValue, - currentQty: 25, - isOpen: true, - timestamp: overrideValue, - lastPrice: isPositive, - }, - ], - }), - ).not.toThrow(); + binSize: Resolution.day, + startTime: moment(time - 1000 * 60 * 60 * 24 * 60).toISOString(), + endTime: moment(time).toISOString(), + }) + .subscribe((res) => { + expect(res.data.length).toEqual(60); + done(); + }); }); }); diff --git a/modules/exchanges/crypto/bitmex/rest/rest.ts b/modules/exchanges/crypto/bitmex/rest/rest.ts index e18a24c..7ac11dd 100644 --- a/modules/exchanges/crypto/bitmex/rest/rest.ts +++ b/modules/exchanges/crypto/bitmex/rest/rest.ts @@ -1,13 +1,15 @@ -import { Config, ExecInst, OrderStatus, OrderType } from '../types'; +import { Observable } from 'rxjs'; + +import { Config, ExecInst, OrderResponse, OrderType, RestResponse } from '../types'; import { RestBase } from './rest-base'; -import { RestOrderRequest, RestOrderResponse, RestOrdersResponse } from './types'; +import { RestOrderRequest } from './types'; export class Rest extends RestBase { constructor(config: Config) { super(config); } - async createLimitOrder(request: Partial): Promise { + createLimitOrder(request: Partial): Observable> { return this.createOrder({ ...request, ordType: OrderType.Limit, @@ -19,28 +21,28 @@ export class Rest extends RestBase { * @param request * @Return Promise */ - async createLimitOrderParticipateDoNotInitiate(request: Partial): Promise { + createLimitOrderParticipateDoNotInitiate(request: Partial): Observable> { return this.createLimitOrder({ ...request, execInst: ExecInst.ParticipateDoNotInitiate, }); } - async createStopOrder(request: Partial): Promise { + createStopOrder(request: Partial): Observable> { return this.createOrder({ ...request, ordType: OrderType.Stop, }); } - async createStopOrderLastPriceReduceOnly(request: Partial): Promise { + createStopOrderLastPriceReduceOnly(request: Partial): Observable> { return this.createStopOrder({ ...request, execInst: `${ExecInst.LastPrice},${ExecInst.ReduceOnly}`, }); } - async getOrderById(symbol: string, orderID: string): Promise { + getOrderById(symbol: string, orderID: string | string[]): Observable> { return this.fetchOrder({ symbol, filter: { @@ -49,13 +51,22 @@ export class Rest extends RestBase { }); } - async getStopOrder(symbol: string): Promise { + getStopOrder(symbol: string): Observable> { return this.fetchOrder({ symbol, filter: { - ordStatus: OrderStatus.New, ordType: OrderType.Stop, }, + } + }); + + getActiveStopLimitOrder(symbol: string): Observable> { + return this.fetchOrder({ + symbol, + filter: { + ordType: OrderType.StopLimit, + open: true, + }, }); } } diff --git a/modules/exchanges/crypto/bitmex/rest/types/index.ts b/modules/exchanges/crypto/bitmex/rest/types/index.ts index 46cae96..56e4b05 100644 --- a/modules/exchanges/crypto/bitmex/rest/types/index.ts +++ b/modules/exchanges/crypto/bitmex/rest/types/index.ts @@ -1,3 +1 @@ export * from './request'; -export * from './endpoint'; -export * from './response'; diff --git a/modules/exchanges/crypto/bitmex/rest/types/request.ts b/modules/exchanges/crypto/bitmex/rest/types/request.ts index 0de3b8b..3683c17 100644 --- a/modules/exchanges/crypto/bitmex/rest/types/request.ts +++ b/modules/exchanges/crypto/bitmex/rest/types/request.ts @@ -19,6 +19,17 @@ export interface RestOrderRequest { text: string; } +export interface RestMultipleOrderRequest { + orders: Partial[]; +} + +export interface RestCancelMultipleOrderRequest { + symbol: string; + filter: Partial; + /** cancellation annotation. e.g. 'Spread Exceeded */ + text: number; +} + export interface RestFetchOrderRequest { symbol: string; filter: { [filterKey: string]: any }; @@ -36,6 +47,11 @@ export interface RestFetchPositionRequest { count: number; } +export interface RestLeverageRequest { + symbol: string; + leverage: number; +} + export interface RestOrderbookRequest { symbol: string; depth: number; diff --git a/modules/exchanges/crypto/bitmex/rest/types/response.ts b/modules/exchanges/crypto/bitmex/rest/types/response.ts deleted file mode 100644 index c2988c5..0000000 --- a/modules/exchanges/crypto/bitmex/rest/types/response.ts +++ /dev/null @@ -1,37 +0,0 @@ -import { - BarResponse, - ErrorResponse, - InstrumentResponse, - OrderResponse, - OrderbookL2Response, - PositionResponse, - RateLimit, -} from '../../types'; - -export interface RestRateLimitResponse extends ErrorResponse { - ratelimit: RateLimit; -} - -export interface RestInstrumentResponse extends RestRateLimitResponse { - instruments: InstrumentResponse[]; -} - -export interface RestBarResponse extends RestRateLimitResponse { - bars: BarResponse[]; -} - -export interface RestOrderResponse extends RestRateLimitResponse { - order: OrderResponse; -} - -export interface RestOrdersResponse extends RestRateLimitResponse { - orders: OrderResponse[]; -} - -export interface RestPositionsResponse extends RestRateLimitResponse { - orders: PositionResponse[]; -} - -export interface RestOrderbookL2Response extends RestRateLimitResponse { - orderbook: OrderbookL2Response; -} diff --git a/modules/exchanges/crypto/bitmex/types/response.ts b/modules/exchanges/crypto/bitmex/types/response.ts index 79b42cd..befed6f 100644 --- a/modules/exchanges/crypto/bitmex/types/response.ts +++ b/modules/exchanges/crypto/bitmex/types/response.ts @@ -1,13 +1,9 @@ import { RateLimit } from './exchange'; import { OrderSide } from './order'; -export interface ErrorResponse { - error?: Error; -} - -export interface RestResponse extends ErrorResponse { - ratelimit: RateLimit; - body: { [attr: string]: any }; +export interface RestResponse { + rateLimit: RateLimit; + data: T; } export interface TradeResponse { @@ -27,6 +23,13 @@ export interface QuoteResponse { askPrice: number; } +export interface MarginResponse { + // 钱包余额 + walletBalance: number; + // 杠杆倍数 + leverage: number; +} + export interface SettlementResponse { timestamp: number; symbol: string; @@ -161,6 +164,7 @@ export interface OrderResponse { text: string; transactTime: Date; timestamp: string; + error: string; } export interface PositionResponse { @@ -173,7 +177,13 @@ export interface PositionResponse { initMarginReq: number; maintMarginReq: number; riskLimit: number; + /** + * 杠杆倍数 + */ leverage: number; + /** + * 是否全仓 + */ crossMargin: boolean; deleveragePercentile: number | null; rebalancedPnl: number; @@ -230,6 +240,9 @@ export interface PositionResponse { varMargin: number; realisedGrossPnl: number; realisedTax: number; + /** + * 已实现盈亏 + */ realisedPnl: number; unrealisedGrossPnl: number; longBankrupt: number; @@ -238,14 +251,29 @@ export interface PositionResponse { indicativeTaxRate: number; indicativeTax: number; unrealisedTax: number; + /** + * 未实现盈亏 + */ unrealisedPnl: number; + /** + * 未实现盈亏比 + */ unrealisedPnlPcnt: number; unrealisedRoePcnt: number; + /** + * 平均成本价 + */ avgCostPrice: number; + /** + * 平均价格 + */ avgEntryPrice: number; breakEvenPrice: number; marginCallPrice: number; liquidationPrice: number; + /** + * 强平价格 + */ bankruptPrice: number; timestamp: number; lastPrice: number; diff --git a/modules/exchanges/crypto/bitmex/yarn.lock b/modules/exchanges/crypto/bitmex/yarn.lock new file mode 100644 index 0000000..7e6c757 --- /dev/null +++ b/modules/exchanges/crypto/bitmex/yarn.lock @@ -0,0 +1,1342 @@ +# THIS IS AN AUTOGENERATED FILE. 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d594c5cdc7bfa4d4914409f5deaa04111bc75735 Mon Sep 17 00:00:00 2001 From: zlq4863947 Date: Thu, 11 Feb 2021 00:56:47 +0900 Subject: [PATCH 2/2] fix rest.ts --- modules/exchanges/crypto/bitmex/rest/rest.ts | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/modules/exchanges/crypto/bitmex/rest/rest.ts b/modules/exchanges/crypto/bitmex/rest/rest.ts index 7ac11dd..dc93d5f 100644 --- a/modules/exchanges/crypto/bitmex/rest/rest.ts +++ b/modules/exchanges/crypto/bitmex/rest/rest.ts @@ -57,8 +57,8 @@ export class Rest extends RestBase { filter: { ordType: OrderType.Stop, }, - } - }); + }); + } getActiveStopLimitOrder(symbol: string): Observable> { return this.fetchOrder({