Better and dynamic priceFeedMapping
This commit is contained in:
Ralfs
parent
fbba3cc410
commit
552444f773
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@ -22,7 +22,7 @@
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"blockworks"
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]
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},
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"sol:usd": {
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"btc:usdt": {
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"decimals": 2,
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"minSubmissions": 1,
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"maxSubmissions": 13,
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@ -33,7 +33,7 @@
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"blockworks"
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]
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},
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"srm:usd": {
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"eth:usdt": {
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"decimals": 2,
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"minSubmissions": 1,
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"maxSubmissions": 13,
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@ -43,6 +43,28 @@
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"oracles": [
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"blockworks"
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]
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},
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"sol:usd": {
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"decimals": 4,
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"minSubmissions": 1,
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"maxSubmissions": 13,
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"restartDelay": 0,
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"rewardAmount": 10000,
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"rewardTokenAccount": "3oLHHTaRqNsuTMjsTtkVy8bock6Bx8gCmDxku4TurVj1",
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"oracles": [
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"blockworks"
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]
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},
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"srm:usd": {
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"decimals": 4,
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"minSubmissions": 1,
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"maxSubmissions": 13,
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"restartDelay": 0,
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"rewardAmount": 10000,
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"rewardTokenAccount": "3oLHHTaRqNsuTMjsTtkVy8bock6Bx8gCmDxku4TurVj1",
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"oracles": [
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"blockworks"
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]
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}
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},
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"oracles": {
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@ -1,6 +1,6 @@
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{
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"aggregators": {
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"btc:usd": {
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"btc:usdt": {
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"pubkey": {
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"type": "PublicKey",
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"base58": "6Xvk6VC423bbhwnCfMyPfE4C1vytoqsVMUY1Lbqeh6pf"
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@ -10,7 +10,7 @@
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"base58": "GXdZLSvnreqyUd92tXFShpF8DPvpqDBRkukAtraZ3rCf"
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},
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"config": {
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"description": "btc:usd",
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"description": "btc:usdt",
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"decimals": 2,
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"minSubmissions": 1,
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"maxSubmissions": 13,
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@ -34,7 +34,7 @@
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}
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}
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},
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"eth:usd": {
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"eth:usdt": {
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"pubkey": {
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"type": "PublicKey",
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"base58": "4CoKvk3NUXYiHKGbQvihadw6TC8LTN1qjfadPcsaURbW"
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@ -44,7 +44,7 @@
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"base58": "GXdZLSvnreqyUd92tXFShpF8DPvpqDBRkukAtraZ3rCf"
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},
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"config": {
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"description": "eth:usd",
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"description": "eth:usdt",
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"decimals": 2,
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"minSubmissions": 1,
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"maxSubmissions": 13,
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@ -68,17 +68,17 @@
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}
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}
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},
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"sol:usd": {
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"btc:usd": {
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"pubkey": {
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"type": "PublicKey",
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"base58": "Ej5FrNjhXaePK7cVMZtSooatzXMeunNsjxrnubefEyNC"
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"base58": "FuEnReoxhqW8Li6EMLoaaUWbWAEjTfSRuBARo5GrGCqN"
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},
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"owner": {
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"type": "PublicKey",
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"base58": "GXdZLSvnreqyUd92tXFShpF8DPvpqDBRkukAtraZ3rCf"
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},
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"config": {
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"description": "sol:usd",
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"description": "btc:usd",
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"decimals": 2,
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"minSubmissions": 1,
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"maxSubmissions": 13,
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@ -93,7 +93,75 @@
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"blockworks": {
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"pubkey": {
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"type": "PublicKey",
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"base58": "4fuTrajqBHGGM1ig4b57DD9JxcN5Q2MmoDVnMtnucjS7"
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"base58": "AhD1vCnNBgECpoBrfsqP83KSZsd4TtrWvP3FgebUDoRu"
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},
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"owner": {
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"type": "PublicKey",
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"base58": "GXdZLSvnreqyUd92tXFShpF8DPvpqDBRkukAtraZ3rCf"
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}
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}
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}
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},
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"eth:usd": {
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"pubkey": {
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"type": "PublicKey",
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"base58": "GzfYWGM1oeVrha9zvM1awnTJEUAuinpnVRUyYQYELzqg"
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},
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"owner": {
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"type": "PublicKey",
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"base58": "GXdZLSvnreqyUd92tXFShpF8DPvpqDBRkukAtraZ3rCf"
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},
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"config": {
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"description": "eth:usd",
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"decimals": 2,
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"minSubmissions": 1,
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"maxSubmissions": 13,
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"restartDelay": 0,
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"rewardTokenAccount": {
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"type": "PublicKey",
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"base58": "3oLHHTaRqNsuTMjsTtkVy8bock6Bx8gCmDxku4TurVj1"
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},
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"rewardAmount": 10000
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},
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"oracles": {
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"blockworks": {
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"pubkey": {
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"type": "PublicKey",
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"base58": "HhBmYDPRzJDCbtsTcaB2j6sbpcNDK41CUciev94eroUE"
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},
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"owner": {
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"type": "PublicKey",
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"base58": "GXdZLSvnreqyUd92tXFShpF8DPvpqDBRkukAtraZ3rCf"
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}
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}
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}
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},
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"sol:usd": {
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"pubkey": {
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"type": "PublicKey",
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"base58": "AshULbjkGvse8YW2ojjeqHdMbFGigLy2xxiGVhsLqX5T"
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},
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"owner": {
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"type": "PublicKey",
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"base58": "GXdZLSvnreqyUd92tXFShpF8DPvpqDBRkukAtraZ3rCf"
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},
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"config": {
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"description": "sol:usd",
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"decimals": 4,
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"minSubmissions": 1,
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"maxSubmissions": 13,
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"restartDelay": 0,
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"rewardTokenAccount": {
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"type": "PublicKey",
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"base58": "3oLHHTaRqNsuTMjsTtkVy8bock6Bx8gCmDxku4TurVj1"
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},
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"rewardAmount": 10000
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},
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"oracles": {
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"blockworks": {
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"pubkey": {
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"type": "PublicKey",
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"base58": "2K38TaiEJEiPZY3TGKjuLMoHgZgXxX7YX2wRD2WvfUDM"
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},
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"owner": {
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"type": "PublicKey",
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@ -105,7 +173,7 @@
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"srm:usd": {
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"pubkey": {
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"type": "PublicKey",
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"base58": "GR9tYpi8CM8u8sdRaJZoP32KoWBphyoWV3xoNt4XwmRV"
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"base58": "B3nWGxqNQzJeRfpYSXU8qJaTQxspZmqAt91FRAhfoFQL"
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},
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"owner": {
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"type": "PublicKey",
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@ -113,7 +181,7 @@
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},
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"config": {
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"description": "srm:usd",
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"decimals": 2,
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"decimals": 4,
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"minSubmissions": 1,
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"maxSubmissions": 13,
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"restartDelay": 0,
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@ -127,7 +195,7 @@
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"blockworks": {
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"pubkey": {
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"type": "PublicKey",
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"base58": "8tn58rnF1QzPqQea4xegck556s45DUGBJvWLNdsLpT69"
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"base58": "CsyV4JuPjdYRusw4sa7Ba8Ab8yR7vjyp4wAPuC2neejS"
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},
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"owner": {
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"type": "PublicKey",
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@ -141,4 +209,4 @@
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"type": "PublicKey",
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"base58": "Agc6kwhaMw6rmAtfL7jfaFx1Su4QbjGBD5M42YwetqDe"
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}
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}
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}
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@ -16,22 +16,44 @@ import { Submitter, SubmitterConfig } from "./Submitter"
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import { log } from "./log"
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import { conn } from "./context"
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// 0 => Coinbase, BTC-USD
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// 1 => BitStamp, live_trades_btcusd
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// 2 => FTX, BTC/USD
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// 3 => Binance, BTCBUSD
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// 4 => OKEx, BTC-USDC
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const priceFeedMapping = {
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'btc:usdt': {
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minValueChangeForNewRound: 5000,
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useFeeds: [0,2,3,4],
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pairNames: ['BTC-USDT', 'BTC/USDT', 'BTCUSDT', 'BTC-USDT']
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},
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'btc:usd': {
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minValueChangeForNewRound: 5000,
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useFeeds: [0,1,2,3]
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useFeeds: [0,1,2,3,4],
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pairNames: ['BTC-USD', 'live_trades_btcusd', 'BTC/USD', 'BTCBUSD', 'BTC-USDC']
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},
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'eth:usdt': {
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minValueChangeForNewRound: 150,
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useFeeds: [0,2,3,4],
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pairNames: ['ETH-USDT', 'ETH/USDT', 'ETHUSDT', 'ETH-USDT']
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},
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'eth:usd': {
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minValueChangeForNewRound: 150,
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useFeeds: [0,1,2,3]
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useFeeds: [0,1,2,3,4],
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pairNames: ['ETH-USD', 'live_trades_ethusd', 'ETH/USD', 'ETHBUSD', 'ETH-USDC']
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},
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'sol:usd': {
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minValueChangeForNewRound: 4,
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useFeeds: [2,3,4]
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useFeeds: [2,3,4],
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pairNames: ['SOL/USD', 'SOLBUSD', 'SOL-USDT']
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// uses USDT for OKEx
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},
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'srm:usd': {
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minValueChangeForNewRound: 1,
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useFeeds: [2,3,4]
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useFeeds: [2,3,4],
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pairNames: ['SRM/USD', 'SRMBUSD', 'SRM-USDT']
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// uses USDT for OKEx
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},
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}
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@ -77,7 +99,7 @@ export class PriceFeeder {
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}
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const useFeeds = (priceFeedMapping[name]) ? priceFeedMapping[name].useFeeds.map(x => this.feeds[x]) : this.feeds;
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const feed = new AggregatedFeed(useFeeds, name)
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const feed = new AggregatedFeed(useFeeds, priceFeedMapping[name].pairNames, name)
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const priceFeed = feed.medians()
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const minValueChangeForNewRound = priceFeedMapping[name].minValueChangeForNewRound || 100
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181
src/feeds.ts
181
src/feeds.ts
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@ -97,6 +97,58 @@ export abstract class PriceFeed {
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abstract handleSubscribe(pair: string): Promise<void>
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}
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export class CoinBase extends PriceFeed {
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protected log = log.child({ class: CoinBase.name })
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protected baseurl = "wss://ws-feed.pro.coinbase.com"
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parseMessage(data) {
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const payload = JSON.parse(data)
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// {
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// "type": "ticker",
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// "sequence": 22772426228,
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// "product_id": "BTC-USD",
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// "price": "53784.59",
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// "open_24h": "58795.78",
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// "volume_24h": "35749.39437842",
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// "low_24h": "53221",
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// "high_24h": "58799.66",
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// "volume_30d": "733685.27275521",
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// "best_bid": "53784.58",
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// "best_ask": "53784.59",
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// "side": "buy",
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// "time": "2021-03-16T06:26:06.791440Z",
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// "trade_id": 145698988,
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// "last_size": "0.00474597"
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// }
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if (payload.type != "ticker") {
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return
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}
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const pair = payload.product_id as string
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const price: IPrice = {
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source: CoinBase.name,
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pair,
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decimals: 2,
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value: Math.floor(payload.price * 100),
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}
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return price
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}
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async handleSubscribe(pair: string) {
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this.conn.send(
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JSON.stringify({
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type: "subscribe",
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product_ids: [pair],
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channels: ["ticker"],
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})
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)
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}
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}
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export class BitStamp extends PriceFeed {
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protected log = log.child({ class: BitStamp.name })
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protected baseurl = "wss://ws.bitstamp.net"
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@ -125,10 +177,7 @@ export class BitStamp extends PriceFeed {
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return
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}
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const channel = (payload.channel as string).replace("live_trades_", "")
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// assume that the base symbol for the pair is 3 letters
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const pair = channel.slice(0, 3) + ":" + channel.slice(3)
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const pair = payload.channel as string
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const price: IPrice = {
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source: BitStamp.name,
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@ -141,14 +190,11 @@ export class BitStamp extends PriceFeed {
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}
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async handleSubscribe(pair: string) {
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// "btc:usd" => "BTCUSD"
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const targetPair = pair.replace(":", "").toUpperCase()
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this.conn.send(
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JSON.stringify({
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event: "bts:subscribe",
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data: {
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channel: `live_trades_${targetPair.replace("/", "").toLowerCase()}`,
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channel: pair,
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},
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})
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)
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@ -180,7 +226,7 @@ export class FTX extends PriceFeed {
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return
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}
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const pair = (payload.market as string).replace("/", ":").toLowerCase()
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const pair = payload.market as string
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const price: IPrice = {
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source: FTX.name,
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@ -193,70 +239,11 @@ export class FTX extends PriceFeed {
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}
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async handleSubscribe(pair: string) {
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// "btc:usd" => "BTC-USD"
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const targetPair = pair.replace(":", "/").toUpperCase()
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this.conn.send(
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JSON.stringify({
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op: "subscribe",
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channel: "ticker",
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market: targetPair,
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})
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)
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}
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}
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export class CoinBase extends PriceFeed {
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protected log = log.child({ class: CoinBase.name })
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protected baseurl = "wss://ws-feed.pro.coinbase.com"
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parseMessage(data) {
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const payload = JSON.parse(data)
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// {
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// "type": "ticker",
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// "sequence": 22772426228,
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// "product_id": "BTC-USD",
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// "price": "53784.59",
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// "open_24h": "58795.78",
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// "volume_24h": "35749.39437842",
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// "low_24h": "53221",
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// "high_24h": "58799.66",
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// "volume_30d": "733685.27275521",
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// "best_bid": "53784.58",
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// "best_ask": "53784.59",
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// "side": "buy",
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// "time": "2021-03-16T06:26:06.791440Z",
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// "trade_id": 145698988,
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// "last_size": "0.00474597"
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// }
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if (payload.type != "ticker") {
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return
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}
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// "BTC-USD" => "btc:usd"
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const pair = (payload.product_id as string).replace("-", ":").toLowerCase()
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const price: IPrice = {
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source: CoinBase.name,
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pair,
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decimals: 2,
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value: Math.floor(payload.price * 100),
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}
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return price
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}
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async handleSubscribe(pair: string) {
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// "btc:usd" => "BTC-USD"
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const targetPair = pair.replace(":", "-").toUpperCase()
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this.conn.send(
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JSON.stringify({
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type: "subscribe",
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product_ids: [targetPair],
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channels: ["ticker"],
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market: pair,
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})
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)
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}
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@ -286,11 +273,8 @@ export class Binance extends PriceFeed {
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if (payload.e != "trade") {
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return
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}
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// "btcbusd" => "btc:usd"
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// assume that the base symbol for the pair is 3 letters
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const baseCurrency = payload.s.slice(0, 3).toLowerCase();
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const quoteCurrency = payload.s.slice(3).toLowerCase();
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const pair = `${baseCurrency}:${quoteCurrency == 'busd' ? 'usd' : quoteCurrency}`;
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const pair = payload.s;
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const price: IPrice = {
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@ -304,9 +288,7 @@ export class Binance extends PriceFeed {
|
|||
}
|
||||
|
||||
async handleSubscribe(pair: string) {
|
||||
// "btc:usd" => "btcbusd"
|
||||
const [baseCurrency, quoteCurrency] = pair.split(':')
|
||||
const targetPair = `${baseCurrency}${(quoteCurrency.toLowerCase() === 'usd' ? 'busd' : quoteCurrency)}@trade`.toLowerCase()
|
||||
const targetPair = `${pair}@trade`.toLowerCase()
|
||||
this.conn.send(
|
||||
JSON.stringify({
|
||||
method: "SUBSCRIBE",
|
||||
|
|
@ -354,10 +336,8 @@ export class OKEx extends PriceFeed {
|
|||
return
|
||||
}
|
||||
|
||||
// "BTC-USDT" => "btc:usd"
|
||||
const [baseCurrency, quoteCurrency] = (payload.data[0].instrument_id as string).toLowerCase().split('-');
|
||||
// assume that quote is always any form of usd/usdt/usdc so map to usd
|
||||
const pair = `${baseCurrency}:${quoteCurrency.slice(0, 3)}`;
|
||||
const pair = payload.data[0].instrument_id as string;
|
||||
|
||||
const price: IPrice = {
|
||||
source: OKEx.name,
|
||||
pair,
|
||||
|
|
@ -369,9 +349,7 @@ export class OKEx extends PriceFeed {
|
|||
}
|
||||
|
||||
async handleSubscribe(pair: string) {
|
||||
// "btc:usd" => "BTC-USDT"
|
||||
const [baseCurrency, quoteCurrency] = pair.split(':')
|
||||
const targetPair = `spot/ticker:${baseCurrency.toUpperCase()}-${(quoteCurrency.toLowerCase() === 'usd' ? 'USDT' : quoteCurrency)}`
|
||||
const targetPair = `spot/ticker:${pair}`
|
||||
this.conn.send(
|
||||
JSON.stringify({
|
||||
"op": "subscribe",
|
||||
|
|
@ -388,31 +366,30 @@ export class AggregatedFeed {
|
|||
public prices: IPrice[] = []
|
||||
|
||||
// assume that the feeds are already connected
|
||||
constructor(public feeds: PriceFeed[], public pair: string) {
|
||||
constructor(public feeds: PriceFeed[], public pairMappings: string[], public pair: string) {
|
||||
this.subscribe()
|
||||
}
|
||||
|
||||
private subscribe() {
|
||||
const pair = this.pair
|
||||
const pairMappings = this.pairMappings;
|
||||
|
||||
let i = 0
|
||||
for (let feed of this.feeds) {
|
||||
feed.subscribe(pair)
|
||||
let j = 0
|
||||
|
||||
const index = i
|
||||
i++
|
||||
|
||||
// store the price updates in the ith position of `this.prices`
|
||||
feed.emitter.on(UPDATE, (price: IPrice) => {
|
||||
if (price.pair != pair) {
|
||||
return
|
||||
}
|
||||
|
||||
price.timestamp = Date.now()
|
||||
this.prices[index] = price
|
||||
|
||||
this.onPriceUpdate(price)
|
||||
})
|
||||
for (let i = 0; i < this.feeds.length; i++) {
|
||||
const feed = this.feeds[i];
|
||||
feed.subscribe(pairMappings[i]);
|
||||
const index = j;
|
||||
j++;
|
||||
// store the price updates in the ith position of `this.prices`
|
||||
feed.emitter.on(UPDATE, (price: IPrice) => {
|
||||
if (price.pair != pairMappings[i]) {
|
||||
return
|
||||
}
|
||||
price.timestamp = Date.now()
|
||||
this.prices[index] = price
|
||||
this.onPriceUpdate(price)
|
||||
})
|
||||
}
|
||||
}
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue