/*************************************************************************************************************************** * @license * * Copyright 2017 Coinbase, Inc. * * * * Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance * * with the License. You may obtain a copy of the License at * * * * http://www.apache.org/licenses/LICENSE-2.0 * * * * Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on * * an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the * * License for the specific language governing permissions and limitations under the License. * ***************************************************************************************************************************/ import { LiveOrderbook } from '../../src/core/LiveOrderbook'; import { GDAX_WS_FEED, GDAXFeed } from '../../src/exchanges/gdax/GDAXFeed'; import { NullLogger } from '../../src/utils/Logger'; import { EventEmitter } from 'events'; import { Big } from '../../src/lib/types'; import { GDAXL2UpdateMessage, GDAXMatchMessage, GDAXMessage, GDAXSnapshotMessage } from '../../src/exchanges/gdax/GDAXMessages'; import { OrderbookState } from '../../src/lib/Orderbook'; import { BookBuilder } from '../../src/lib/BookBuilder'; import { hooks } from '../../src/exchanges/ExchangeFeed'; import { prepareProductMap } from '../../test/helper'; import simple = require('simple-mock'); const assert = require('assert'); const mockSocket: any = new EventEmitter(); mockSocket.send = () => { /* no-op */ }; mockSocket.close = () => { mockSocket.removeAllListeners(); }; describe('GDAX Message feed', () => { before(async () => { return prepareProductMap(); }) const messages: GDAXMessage[] = [ { type: 'l2update', product_id: 'BTC-USD', changes: [['buy', '100.0', '10.0']] } as GDAXL2UpdateMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['buy', '95.0', '5.0']] } as GDAXL2UpdateMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['buy', '98.0', '2.5']] } as GDAXL2UpdateMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['buy', '100.0', '15.0']] } as GDAXL2UpdateMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['sell', '200.0', '15.0']] } as GDAXL2UpdateMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['buy', '100.0', '5.0']] } as GDAXL2UpdateMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['buy', '100.0', '11.0']] } as GDAXL2UpdateMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['sell', '115.0', '5.0']] } as GDAXL2UpdateMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['sell', '111.0', '1.0']] } as GDAXL2UpdateMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['sell', '115.0', '3.0']] } as GDAXL2UpdateMessage, { type: 'match', product_id: 'BTC-USD', sequence: 10, time: '2017-01-01 15:00Z', price: '100.0', size: '4.0', side: 'buy', maker_order_id: '9e8aa3b8-60bd-11e7-907b-a6006ad30006', // Remaining = 2 taker_order_id: '9e8aa3b8-60bd-11e7-907b-a6006ad0010', trade_id: '1' } as GDAXMatchMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['buy', '100.0', '7.0']] } as GDAXL2UpdateMessage, { type: 'match', product_id: 'BTC-USD', sequence: 12, time: '2017-01-01 15:00Z', price: '111.0', size: '1.0', side: 'sell', maker_order_id: '9e8aa3b8-60bd-11e7-907b-a6006ad30008', taker_order_id: '9e8aa3b8-60bd-11e7-907b-a6006ad00800', trade_id: '2' } as GDAXMatchMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['sell', '111.0', '0.0']] } as GDAXL2UpdateMessage, { type: 'match', product_id: 'BTC-USD', sequence: 14, time: '2017-01-01 15:00Z', price: '115.0', size: '1.0', side: 'sell', maker_order_id: '9e8aa3b8-60bd-11e7-907b-a6006ad30007', taker_order_id: '9e8aa3b8-60bd-11e7-907b-a6006ad00800', trade_id: '3' } as GDAXMatchMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['sell', '115.0', '2.0']] } as GDAXL2UpdateMessage, { type: 'match', product_id: 'BTC-USD', sequence: 16, time: '2017-01-01 15:00Z', price: '200.0', size: '3.0', side: 'sell', maker_order_id: '9e8aa3b8-60bd-11e7-907b-a6006ad30004', taker_order_id: '9e8aa3b8-60bd-11e7-907b-a6006ad01600', trade_id: '4' } as GDAXMatchMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['buy', '100.0', '10.0']] } as GDAXL2UpdateMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['buy', '100.0', '10.1']] } as GDAXL2UpdateMessage, { type: 'match', product_id: 'BTC-USD', sequence: 20, time: '2017-01-01 15:00Z', price: '100.0', size: '2.0', side: 'buy', maker_order_id: '9e8aa3b8-60bd-11e7-907b-a6006ad30006', // Filled taker_order_id: '9e8aa3b8-60bd-11e7-907b-a6006ad00801', trade_id: '4' } as GDAXMatchMessage, { type: 'match', product_id: 'BTC-USD', sequence: 21, time: '2017-01-01 15:00Z', price: '100.0', size: '4.0', side: 'buy', maker_order_id: '9e8aa3b8-60bd-11e7-907b-a6006ad30018', // Remaining = 4 taker_order_id: '9e8aa3b8-60bd-11e7-907b-a6006ad00802', trade_id: '5' } as GDAXMatchMessage, { type: 'l2update', product_id: 'BTC-USD', changes: [['buy', '100.0', '5.1']] } as GDAXL2UpdateMessage ]; const expectedState: OrderbookState = { sequence: 17, orderPool: { '100.0': { id: '100.0', side: 'buy', price: Big(100), size: Big(4.1) }, '115.0': { id: '115.0', side: 'sell', price: Big(115), size: Big(2) }, '200.0': { id: '200.0', side: 'sell', price: Big(200), size: Big(15) }, '98.0': { id: '98.0', side: 'buy', price: Big(98), size: Big(2.5) }, '95.0': { id: '95.0', side: 'buy', price: Big(95), size: Big(5) } }, bids: [ { price: Big(100), totalSize: Big(5.1), orders: [{ id: '100.0', side: 'buy', price: Big(100), size: Big(5.1) }] }, { price: Big(98), totalSize: Big(2.5), orders: [{ id: '98.0', side: 'buy', price: Big(98), size: Big(2.5) } ] }, { price: Big(95), totalSize: Big(5), orders: [{ id: '95.0', side: 'buy', price: Big(95), size: Big(5) }] } ], asks: [ { price: Big(200), totalSize: Big(15), orders: [{ id: '200.0', side: 'sell', price: Big(200), size: Big(15) }] }, { price: Big(115), totalSize: Big(2), orders: [{ id: '115.0', side: 'sell', price: Big(115), size: Big(2) }] } ] }; let book: LiveOrderbook; let gdaxFeed: GDAXFeed; before(() => { simple.mock(hooks, 'WebSocket').callFn(() => mockSocket); gdaxFeed = new GDAXFeed({ logger: null, auth: null, apiUrl: '', wsUrl: '', channels: null }); book = new LiveOrderbook({ logger: NullLogger, strictMode: true, product: 'BTC/USD' }); gdaxFeed.pipe(book); }); after(() => { gdaxFeed.disconnect(); }); it('produces a matching live GDAX book', (done) => { book.once('LiveOrderbook.snapshot', () => { snapshot = true; }); let snapshot = false; mockSocket.emit('open'); mockSocket.emit('message', JSON.stringify({ type: 'snapshot', product_id: 'BTC-USD', sequence: 0, bids: [], asks: [] } as GDAXSnapshotMessage)); for (const message of messages) { mockSocket.emit('message', JSON.stringify(message)); } setImmediate(() => { assert.equal(book.sequence, 17, 'Did not process all relevant messages'); assert.ok(snapshot, 'Did not receive snapshot'); const expectedBook = new BookBuilder(NullLogger); expectedBook.fromState(expectedState); assert.deepEqual(book.state(), expectedBook.state()); done(); }); }); after(() => { simple.restore(); }); }); describe('GDAX feed with channels', () => { let book: LiveOrderbook; let gdaxFeed: GDAXFeed; const messages: GDAXMessage[] = [ { type: 'snapshot', product_id: 'BTC-EUR', bids: [['100', '10'], ['90', '5']], asks: [['110', '1'], ['115', '2']] } as GDAXSnapshotMessage, { type: 'l2update', product_id: 'BTC-EUR', from_sequence: 1000, to_sequence: 1010, changes: [['buy', '100', '5'], ['sell', '110', '3']] } as GDAXL2UpdateMessage, { type: 'l2update', product_id: 'BTC-EUR', from_sequence: 1010, to_sequence: 1011, changes: [['buy', '90', '0']] } as GDAXL2UpdateMessage, { type: 'l2update', product_id: 'BTC-EUR', from_sequence: 1011, to_sequence: 1025, changes: [['sell', '200', '1']] } as GDAXL2UpdateMessage ]; const expectedState: OrderbookState = { sequence: 5, orderPool: { 100: { id: '100', price: Big(100), size: Big(5), side: 'buy' }, 115: { id: '115', price: Big(115), size: Big(2), side: 'sell' }, 110: { id: '110', price: Big(110), size: Big(3), side: 'sell' }, 200: { id: '200', price: Big(200), size: Big(1), side: 'sell' } }, bids: [ { price: Big(100), totalSize: Big(5), orders: [ { id: '100', price: Big(100), size: Big(5), side: 'buy' } ] } ], asks: [ { price: Big(110), totalSize: Big(3), orders: [ { id: '110', price: Big(110), size: Big(3), side: 'sell' } ] }, { price: Big(115), totalSize: Big(2), orders: [ { id: '115', price: Big(115), size: Big(2), side: 'sell' } ] }, { price: Big(200), totalSize: Big(1), orders: [ { id: '200', price: Big(200), size: Big(1), side: 'sell' } ] } ] }; before(() => { simple.mock(hooks, 'WebSocket').callFn(() => mockSocket); gdaxFeed = new GDAXFeed({ logger: NullLogger, apiUrl: '', auth: null, wsUrl: GDAX_WS_FEED, channels: null }); (gdaxFeed as any).queueing['BTC-EUR'] = false; book = new LiveOrderbook({ logger: NullLogger, strictMode: true, product: 'BTC/EUR' }); gdaxFeed.pipe(book); }); it('produces a matching live GDAX book', (done) => { book.once('LiveOrderbook.snapshot', () => { snapshot = true; }); let snapshot = false; mockSocket.emit('open'); for (const message of messages) { mockSocket.emit('message', JSON.stringify(message)); } setImmediate(() => { assert.equal(book.sequence, 5, 'Did not process all relevant messages'); assert.ok(snapshot, 'Did not receive snapshot'); const expectedBook = new BookBuilder(NullLogger); expectedBook.fromState(expectedState); assert.deepEqual(book.state(), expectedBook.state()); done(); }); }); });