feat: update bitmex api warper

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;

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;
+}

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';

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 <T>(symbol: string, handler: (order: OrderResponse) => Promise<any> = async () => {}): Promise<T> => {
-  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 = <T>(symbol: string, handler: (order: OrderResponse) => Promise<T>): Observable<T> => {
+  const remaining$ = new Subject<number>();
+  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;
+      }),
+    );
 };

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;
+}

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",

modules/exchanges/crypto/bitmex/rest/types/endpoint.ts → 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',
 }

modules/exchanges/crypto/bitmex/rest/internal/private/index.ts

@@ -1,2 +1,3 @@
 export * from './order';
+export * from './multiple-order';
 export * from './position';

modules/exchanges/crypto/bitmex/rest/internal/private/multiple-order/index.ts

@@ -0,0 +1 @@
+export * from './multiple-order';