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Initial changes towards HitBTC v2 api and websocket *INCOMPLETE* #207

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Initial changes towards HitBTC v2 api and websocket *INCOMPLETE* #207

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8b47a09
Initial changes towards HitBTC v2 api and websocket
jaysonsantos Jan 6, 2018
3d65e57
Adapt NewOrder interface for hitbtc and change lot multiplier to one …
jaysonsantos Jan 6, 2018
0d8020b
Change report structure and subscribe to them on api v2 of hitbtc
jaysonsantos Jan 7, 2018
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152 changes: 89 additions & 63 deletions src/service/gateways/hitbtc.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -21,7 +21,8 @@ import log from "../logging";
const shortId = require("shortid");
const SortedMap = require("collections/sorted-map");

const _lotMultiplier = 100.0;
// const _lotMultiplier = 100.0; // FIXME: Is this still valid in api v2?
const _lotMultiplier = 1.0; // FIXME: Is this still valid in api v2?

interface NoncePayload<T> {
nonce: number;
Expand All @@ -44,9 +45,9 @@ interface NewOrder extends HitBtcPayload {
clientOrderId : string;
symbol : string;
side : string;
quantity : number;
quantity : string;
type : string;
price : number;
price : string;
timeInForce : string;
}

Expand Down Expand Up @@ -87,23 +88,22 @@ interface MarketDataIncrementalRefresh {
}

interface ExecutionReport {
orderId : string;
id : string;
clientOrderId : string;
execReportType : "new"|"canceled"|"rejected"|"expired"|"trade"|"status";
orderStatus : "new"|"partiallyFilled"|"filled"|"canceled"|"rejected"|"expired";
orderRejectReason? : string;
reportType : "new"|"canceled"|"rejected"|"expired"|"trade"|"status";
status : "new"|"partiallyFilled"|"filled"|"canceled"|"rejected"|"expired";
symbol : string;
side : string;
timestamp : number;
price : number;
quantity : number;
price : string;
quantity : string;
type : string;
timeInForce : string;
tradeId? : string;
lastQuantity? : number;
lastPrice? : number;
leavesQuantity? : number;
cumQuantity? : number;
cumQuantity? : string;
averagePrice? : number;
}

Expand All @@ -116,8 +116,18 @@ interface CancelReject {
}

interface MarketTrade {
price : number;
amount : number;
price : string;
quantity : string;
side : string;
timestamp : string; // "2014-11-07T08:19:27.028459Z",
}

function decodeSide(side: string) {
switch (side) {
case "buy": return Models.Side.Bid;
case "sell": return Models.Side.Ask;
default: return Models.Side.Unknown;
}
}

class SideMarketData {
Expand Down Expand Up @@ -230,27 +240,50 @@ class HitBtcMarketDataGateway implements Interfaces.IMarketDataGateway {

ConnectChanged = new Utils.Evt<Models.ConnectivityStatus>();
private onConnectionStatusChange = () => {
if (this._marketDataWs.isConnected && this._tradesClient.connected) {
if (this._marketDataWs.isConnected && this._tradesClient.isConnected) {
this.ConnectChanged.trigger(Models.ConnectivityStatus.Connected);
}
else {
this.ConnectChanged.trigger(Models.ConnectivityStatus.Disconnected);
}
};

private onTrade = (t: MarketTrade) => {
let side : Models.Side = Models.Side.Unknown;
if (this._lastAsks.any() && this._lastBids.any()) {
const distance_from_bid = Math.abs(this._lastBids.max().price - t.price);
const distance_from_ask = Math.abs(this._lastAsks.min().price - t.price);
if (distance_from_bid < distance_from_ask) side = Models.Side.Bid;
if (distance_from_bid > distance_from_ask) side = Models.Side.Ask;
private processMarketData = (trade: MarketTrade) => {
const side : Models.Side = decodeSide(trade.side);
const tradePrice = parseFloat(trade.price);
const time = new Date(trade.timestamp);
this.MarketTrade.trigger(new Models.GatewayMarketTrade(tradePrice, tradePrice, new Date(), false, side));
}

private onTrade = (raw: Models.Timestamped<string>) => {
let msg: any;

try {
msg = JSON.parse(raw.data);
if (msg.method == 'snapshotTrades') {
this._log.info("Parsing %s trades", msg.params.data.length);
msg.params.data.map(this.processMarketData);
}
}
catch (e) {
this._log.error(e, "exception while processing message", raw);
throw e;
}
};

this.MarketTrade.trigger(new Models.GatewayMarketTrade(t.price, t.amount, new Date(), false, side));
private subscribeTrades = () => {
this._log.info("Subscribing to trades");
const payload = {
method: "subscribeTrades",
params: {
symbol: this._symbolProvider.symbol
}
};
this._tradesClient.send(JSON.stringify(payload));
this.onConnectionStatusChange();
}

private readonly _tradesClient : SocketIOClient.Socket;
private readonly _tradesClient : WebSocket;
private readonly _log = log("tribeca:gateway:HitBtcMD");
constructor(
config : Config.IConfigProvider,
Expand All @@ -264,10 +297,12 @@ class HitBtcMarketDataGateway implements Interfaces.IMarketDataGateway {
this.onConnectionStatusChange);
this._marketDataWs.connect();

this._tradesClient = io.connect(config.GetString("HitBtcSocketIoUrl") + "/trades/" + this._symbolProvider.symbol);
this._tradesClient.on("connect", this.onConnectionStatusChange);
this._tradesClient.on("trade", this.onTrade);
this._tradesClient.on("disconnect", this.onConnectionStatusChange);
this._tradesClient = new WebSocket(
config.GetString("HitBtcOrderEntryUrl"), 5000,
this.onTrade,
this.subscribeTrades,
this.onConnectionStatusChange);
this._tradesClient.connect();

request.get(
{url: url.resolve(config.GetString("HitBtcPullUrl"), "/api/1/public/" + this._symbolProvider.symbol + "/orderbook")},
Expand Down Expand Up @@ -302,7 +337,7 @@ class HitBtcOrderEntryGateway implements Interfaces.IOrderEntryGateway {
_nonce = 1;

cancelOrder = (cancel : Models.OrderStatusReport) => {
this.sendAuth<OrderCancel>("OrderCancel", {clientOrderId: cancel.orderId,
this.sendAuth<OrderCancel>("cancelOrder", {clientOrderId: cancel.orderId,
cancelRequestClientOrderId: cancel.orderId + "C",
symbol: this._symbolProvider.symbol,
side: HitBtcOrderEntryGateway.getSide(cancel.side)}, () => {
Expand All @@ -323,13 +358,13 @@ class HitBtcOrderEntryGateway implements Interfaces.IOrderEntryGateway {
clientOrderId: order.orderId,
symbol: this._symbolProvider.symbol,
side: HitBtcOrderEntryGateway.getSide(order.side),
quantity: order.quantity * _lotMultiplier,
type: HitBtcOrderEntryGateway.getType(order.type),
price: order.price,
quantity: (order.quantity * _lotMultiplier).toString(),
price: (order.price).toString(),
timeInForce: HitBtcOrderEntryGateway.getTif(order.timeInForce)
};

this.sendAuth<NewOrder>("NewOrder", hitBtcOrder, () => {
this.sendAuth<NewOrder>("newOrder", hitBtcOrder, () => {
this.OrderUpdate.trigger({
orderId: order.orderId,
computationalLatency: Utils.fastDiff(Utils.date(), order.time)
Expand All @@ -338,7 +373,7 @@ class HitBtcOrderEntryGateway implements Interfaces.IOrderEntryGateway {
};

private static getStatus(m : ExecutionReport) : Models.OrderStatus {
switch (m.execReportType) {
switch (m.reportType) {
case "new":
case "status":
return Models.OrderStatus.Working;
Expand All @@ -348,7 +383,7 @@ class HitBtcOrderEntryGateway implements Interfaces.IOrderEntryGateway {
case "rejected":
return Models.OrderStatus.Rejected;
case "trade":
if (m.orderStatus == "filled")
if (m.status == "filled")
return Models.OrderStatus.Complete;
else
return Models.OrderStatus.Working;
Expand Down Expand Up @@ -397,27 +432,23 @@ class HitBtcOrderEntryGateway implements Interfaces.IOrderEntryGateway {
let lastQuantity : number = undefined;
let lastPrice : number = undefined;


const status : Models.OrderStatusUpdate = {
exchangeId: msg.orderId,
exchangeId: msg.id,
orderId: msg.clientOrderId,
orderStatus: ordStatus,
time: t,
};

if (msg.lastQuantity > 0 && msg.execReportType === "trade") {
if (msg.lastQuantity > 0 && msg.reportType === "trade") {
status.lastQuantity = msg.lastQuantity / _lotMultiplier;
status.lastPrice = msg.lastPrice;
}

if (msg.orderRejectReason)
status.rejectMessage = msg.orderRejectReason;

if (status.leavesQuantity)
status.leavesQuantity = msg.leavesQuantity / _lotMultiplier;

if (msg.cumQuantity)
status.cumQuantity = msg.cumQuantity / _lotMultiplier;
status.cumQuantity = parseFloat(msg.cumQuantity) / _lotMultiplier;

if (msg.averagePrice)
status.averagePrice = msg.averagePrice;
Expand All @@ -437,23 +468,8 @@ class HitBtcOrderEntryGateway implements Interfaces.IOrderEntryGateway {
this.OrderUpdate.trigger(status);
};

private authMsg = <T>(payload : T) : AuthorizedHitBtcMessage<T> => {
const msg = {nonce: this._nonce, payload: payload};
this._nonce += 1;

const signMsg = m => {
return crypto.createHmac('sha512', this._secret)
.update(JSON.stringify(m))
.digest('base64');
};

return {apikey: this._apiKey, signature: signMsg(msg), message: msg};
};

private sendAuth = <T extends HitBtcPayload>(msgType : string, msg : T, cb?: () => void) => {
const v = {};
v[msgType] = msg;
const readyMsg = this.authMsg(v);
const readyMsg = {method: msgType, params: msg, id: msgType};
this._orderEntryWs.send(JSON.stringify(readyMsg), cb);
};

Expand All @@ -468,7 +484,7 @@ class HitBtcOrderEntryGateway implements Interfaces.IOrderEntryGateway {
};

private onOpen = () => {
this.sendAuth("Login", {});
this.sendAuth("login", {algo: "BASIC", pKey: this._apiKey, sKey: this._secret});
this.onConnectionStatusChange();
};

Expand All @@ -479,11 +495,17 @@ class HitBtcOrderEntryGateway implements Interfaces.IOrderEntryGateway {
if (this._log.debug())
this._log.debug(msg, "message");

if (msg.hasOwnProperty("ExecutionReport")) {
this.onExecutionReport(new Models.Timestamped(msg.ExecutionReport, raw.time));
if (msg.method === 'report') {
this.onExecutionReport(new Models.Timestamped(msg.params, raw.time));
}
else if (msg.id === 'newOrder' || msg.id === "cancelOrder") {
// Handled by report
}
else if (msg.hasOwnProperty("CancelReject")) {
this.onCancelReject(new Models.Timestamped(msg.CancelReject, raw.time));
else if (msg.id == 'login' && msg.result === true) {
this._log.info("Logged in successfuly");
this.onLogin();
} else if (msg.id === 'subscribeReports' && msg.result === true) {
this._log.info("Subscribed to reports")
}
else {
this._log.info("unhandled message", msg);
Expand All @@ -499,6 +521,10 @@ class HitBtcOrderEntryGateway implements Interfaces.IOrderEntryGateway {
return shortId.generate();
}

onLogin = () => {
this.sendAuth("subscribeReports", {});
}

private readonly _log = log("tribeca:gateway:HitBtcOE");
private readonly _apiKey : string;
private readonly _secret : string;
Expand All @@ -515,8 +541,8 @@ class HitBtcOrderEntryGateway implements Interfaces.IOrderEntryGateway {

interface HitBtcPositionReport {
currency_code : string;
cash : number;
reserved : number;
cash : string;
reserved : string;
}

class HitBtcPositionGateway implements Interfaces.IPositionGateway {
Expand Down Expand Up @@ -559,7 +585,7 @@ class HitBtcPositionGateway implements Interfaces.IPositionGateway {
return;
}
if (currency == null) return;
const position = new Models.CurrencyPosition(r.cash, r.reserved, currency);
const position = new Models.CurrencyPosition(parseFloat(r.cash), parseFloat(r.reserved), currency);
this.PositionUpdate.trigger(position);
});
}
Expand Down
1 change: 1 addition & 0 deletions src/static/index.html
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Original file line number Diff line number Diff line change
Expand Up @@ -294,6 +294,7 @@ <h4 style="font-size: 20px" class="col-md-12 col-xs-3">{{ exch_name }}</h4>

<div class="row table-responsive">
<div class="col-md-12 col-xs-12">
<!-- OrderListController order-list -->
<order-list></order-list>
</div>
</div>
Expand Down