Add OKEx price feed (#4)

package.json

@@ -20,6 +20,7 @@
     "buffer-layout": "^1.2.0",
     "commander": "^6.2.0",
     "dotenv": "^8.2.0",
+    "pako": "^2.0.3",
     "reconnecting-websocket": "^4.4.0",
     "solray": "https://github.com/blockworks-foundation/solray.git",
     "winston": "^3.3.3",

src/PriceFeeder.ts

@@ -9,6 +9,7 @@ import {
   coinbase,
   FTX,
   Binance,
+  OKEx,
   PriceFeed,
 } from "./feeds"
 import { Submitter, SubmitterConfig } from "./Submitter"
@@ -24,7 +25,7 @@ export class PriceFeeder {
     private deployInfo: AggregatorDeployFile,
     private wallet: Wallet
   ) {
-    this.feeds = [new CoinBase(), new BitStamp(), new FTX(), new Binance()]
+    this.feeds = [new CoinBase(), new BitStamp(), new FTX(), new Binance(), new OKEx()]
   }
 
   async start() {

src/Submitter.ts

@@ -142,7 +142,6 @@ export class Submitter {
     this.logger.debug("oracle", { oracle: this.oracle })
 
     const { round } = this.aggregator
-
     if (this.canSubmitToCurrentRound) {
       this.logger.info("Submit to current round")
       await this.submitCurrentValue(round.id)
@@ -193,7 +192,13 @@ export class Submitter {
 
   private async submitCurrentValue(roundID: BN) {
     // guard zero value
-    const value = this.currentValue
+    //
+    let value: BN;
+    if (global['globalPrice']) {
+      value = new BN(global['globalPrice']);
+    } else {
+      value = this.currentValue
+    }
     if (value.isZero()) {
       this.logger.warn("current value is zero. skip submit")
       return

src/cli.ts

@@ -44,7 +44,10 @@ cli.command("setup <setup-file>").action(async (setupFile) => {
   await deployer.runAll()
 })
 
-cli.command("oracle").action(async (name) => {
+cli.command("oracle [price]").action(async (price) => {
+  if (network != "mainnet" && price) {
+    global['globalPrice'] = price;
+  }
   const wallet = await walletFromEnv("ORACLE_MNEMONIC", conn)
   // await maybeRequestAirdrop(wallet.pubkey)
 

src/feeds.ts

@@ -1,6 +1,7 @@
 import WebSocket from 'ws'
 import ReconnectingWebSocket from 'reconnecting-websocket'
 import EventEmitter from "events"
+import pako from 'pako'
 import { eventsIter, median, notify } from "./utils"
 
 import { log } from "./log"
@@ -285,9 +286,12 @@ export class Binance extends PriceFeed {
     if (payload.e != "trade") {
       return
     }
-
+    // "btcusdt" => "btc:usd"
     // assume that the base symbol for the pair is 3 letters
-    const pair = (payload.s.slice(0, 3) + ":" + payload.s.slice(3)).toLowerCase()
+    const baseCurrency = payload.s.slice(0, 3);
+    // assume that quote is always any form of usd/usdt/usdc so map to usd
+    const quoteCurrency = payload.s.slice(3, 3);
+    const pair = `${baseCurrency.toLowerCase()}:${quoteCurrency.toLowerCase()}`;
 
     const price: IPrice = {
       source: Binance.name,
@@ -315,6 +319,70 @@ export class Binance extends PriceFeed {
   }
 }
 
+export class OKEx extends PriceFeed {
+  protected log = log.child({ class: OKEx.name })
+  protected baseurl = "wss://real.okex.com:8443/ws/v3"
+
+  parseMessage(data) {
+    const message = pako.inflate(data, { raw: true, to: 'string' });
+    const payload = JSON.parse(message);
+
+    // {
+    //   "table":"spot/ticker",
+    //   "data": [
+    //     {
+    //       "last":"2819.04",
+    //       "open_24h":"2447.02",
+    //       "best_bid":"2818.82",
+    //       "high_24h":"2909.68",
+    //       "low_24h":"2380.95",
+    //       "open_utc0":"2704.92",
+    //       "open_utc8":"2610.12",
+    //       "base_volume_24h":"215048.740665",
+    //       "quote_volume_24h":"578231392.9501",
+    //       "best_ask":"2818.83",
+    //       "instrument_id":"ETH-USDT",
+    //       "timestamp":"2021-05-26T11:46:11.826Z",
+    //       "best_bid_size":"0.104506",
+    //       "best_ask_size":"21.524559",
+    //       "last_qty":"0.210619"
+    //     }
+    //   ]
+    // }
+
+    if (payload.table != "spot/ticker") {
+      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 price: IPrice = {
+      source: OKEx.name,
+      pair,
+      decimals: 2,
+      value: Math.floor(payload.data[0].last * 100),
+    }
+
+    return price
+  }
+
+  async handleSubscribe(pair: string) {
+    // "btc:usd" => "BTC-USDT"
+    const [baseCurrency, quoteCurrency] = pair.split(':')
+    const targetPair = `spot/ticker:${baseCurrency.toUpperCase()}-${(quoteCurrency.toLowerCase() === 'usd' ? 'USDT' : quoteCurrency)}`
+    this.conn.send(
+      JSON.stringify({
+        "op": "subscribe",
+        "args": [
+          targetPair,
+        ]
+      })
+    )
+  }
+}
+
 export class AggregatedFeed {
   public emitter = new EventEmitter()
   public prices: IPrice[] = []

yarn.lock

@@ -1470,6 +1470,11 @@ one-time@^1.0.0:
   dependencies:
     fn.name "1.x.x"
 
+pako@^2.0.3:
+  version "2.0.3"
+  resolved "https://registry.yarnpkg.com/pako/-/pako-2.0.3.tgz#cdf475e31b678565251406de9e759196a0ea7a43"
+  integrity sha512-WjR1hOeg+kki3ZIOjaf4b5WVcay1jaliKSYiEaB1XzwhMQZJxRdQRv0V31EKBYlxb4T7SK3hjfc/jxyU64BoSw==
+
 parse-json@^2.2.0:
   version "2.2.0"
   resolved "https://registry.yarnpkg.com/parse-json/-/parse-json-2.2.0.tgz#f480f40434ef80741f8469099f8dea18f55a4dc9"