Class: Bitfinex::WSv2

Inherits:
Object
  • Object
show all
Includes:
Emittr::Events
Defined in:
lib/ws/ws2.rb

Constant Summary collapse

INFO_SERVER_RESTART = 
20051
INFO_MAINTENANCE_START = 
20060
INFO_MAINTENANCE_END = 
20061
FLAG_DEC_S =

enables all decimals as strings

8,         # enables all decimals as strings
FLAG_TIME_S = 32,       # enables all timestamps as strings
FLAG_TIMESTAMP = 32768, # timestamps in milliseconds
FLAG_SEQ_ALL = 65536,   # enable sequencing
FLAG_CHECKSUM = 131072

Instance Method Summary collapse

Constructor Details

#initialize(params = {}) ⇒ WSv2

enable OB checksums, top 25 levels per side



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# File 'lib/ws/ws2.rb', line 42

def initialize (params = {})
  @l = Logger.new(STDOUT)
  @l.progname = 'ws2'

  @url = params[:url] || 'wss://api.bitfinex.com/ws/2'
  @api_key = params[:api_key]
  @api_secret = params[:api_secret]
  @manage_obs = params[:manage_order_books]
  @transform = !!params[:transform]
  @seq_audit = !!params[:seq_audit]
  @checksum_audit = !!params[:checksum_audit]

  @enabled_flags = 0
  @is_open = false
  @is_authenticated = false
  @channel_map = {}
  @order_books = {}
  @last_pub_seq = nil
  @last_auth_seq = nil
end

Instance Method Details

#auth!(calc = 0, dms = 0) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 485

def auth! (calc = 0, dms = 0)
  if @is_authenticated
    raise Exception, 'already authenticated'
  end

  auth_nonce = new_nonce
  auth_payload = "AUTH#{auth_nonce}#{auth_nonce}"
  sig = sign(auth_payload)

  @ws.send(JSON.generate({
    :event => 'auth',
    :apiKey => @api_key,
    :authSig => sig,
    :authPayload => auth_payload,
    :authNonce => auth_nonce,
    :dms => dms,
    :calc => calc
  }))
end

#close! ⇒ Object 



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# File 'lib/ws/ws2.rb', line 109

def close!
  @ws.close
end

#enable_flag(flag) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 463

def enable_flag (flag)
  return unless @is_open

  @ws.send(JSON.generate({
    :event => 'conf',
    :flags => @enabled_flags | flag
  }))
end

#enable_ob_checksums ⇒ Object 



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# File 'lib/ws/ws2.rb', line 481

def enable_ob_checksums
  enable_flag(FLAG_CHECKSUM)
end

#enable_sequencing(audit = true) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 476

def enable_sequencing (audit = true)
  @seq_audit = audit
  enable_flag(FLAG_SEQ_ALL)
end

#handle_auth_event(msg) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 396

def handle_auth_event (msg)
  if msg['status'] != 'OK'
    @l.error "auth failed: #{msg['message']}"
    return
  end

  @channel_map[msg['chanId']] = { 'channel' => 'auth' }
  @is_authenticated = true
  emit(:auth, msg)

  @l.info 'authenticated'
end

#handle_auth_message(msg, chan) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 282

def handle_auth_message (msg, chan)
  type = msg[1]
  return if type == 'hb'
  payload = msg[2]

  case type
  when 'n'
    emit(:notification, @transform ? Models::Notification.new(payload) : payload)
  when 'te'
    emit(:trade_entry, @transform ? Models::Trade.new(payload) : payload)
  when 'tu'
    emit(:trade_update, @transform ? Models::Trade.new(payload) : payload)
  when 'os'
    emit(:order_snapshot, @transform ? payload.map { |o| Models::Order.new(o) } : payload)
  when 'ou'
    emit(:order_update, @transform ? Models::Order.new(payload) : payload)
  when 'on'
    emit(:order_new, @transform ? Models::Order.new(payload) : payload)
  when 'oc'
    emit(:order_close, @transform ? Models::Order.new(payload) : payload)
  when 'ps'
    emit(:position_snapshot, @transform ? payload.map { |p| Models::Position.new(p) } : payload)
  when 'pn'
    emit(:position_new, @transform ? Models::Position.new(payload) : payload)
  when 'pu'
    emit(:position_update, @transform ? Models::Position.new(payload) : payload)
  when 'pc'
    emit(:position_close, @transform ? Models::Position.new(payload) : payload)
  when 'fos'
    emit(:funding_offer_snapshot, @transform ? payload.map { |fo| Models::FundingOffer.new(fo) } : payload)
  when 'fon'
    emit(:funding_offer_new, @transform ? Models::FundingOffer.new(payload) : payload)
  when 'fou'
    emit(:funding_offer_update, @transform ? Models::FundingOffer.new(payload) : payload)
  when 'foc'
    emit(:funding_offer_close, @transform ? Models::FundingOffer.new(payload) : payload)
  when 'fcs'
    emit(:funding_credit_snapshot, @transform ? payload.map { |fc| Models::FundingCredit.new(fc) } : payload)
  when 'fcn'
    emit(:funding_credit_new, @transform ? Models::FundingCredit.new(payload) : payload)
  when 'fcu'
    emit(:funding_credit_update, @transform ? Models::FundingCredit.new(payload) : payload)
  when 'fcc'
    emit(:funding_credit_close, @transform ? Models::FundingCredit.new(payload) : payload)
  when 'fls'
    emit(:funding_loan_snapshot, @transform ? payload.map { |fl| Models::FundingLoan.new(fl) } : payload)
  when 'fln'
    emit(:funding_loan_new, @transform ? Models::FundingLoan.new(payload) : payload)
  when 'flu'
    emit(:funding_loan_update, @transform ? Models::FundingLoan.new(payload) : payload)
  when 'flc'
    emit(:funding_loan_close, @transform ? Models::FundingLoan.new(payload) : payload)
  when 'ws'
    emit(:wallet_snapshot, @transform ? payload.map { |w| Models::Wallet.new(payload) } : payload)
  when 'wu'
    emit(:wallet_update, @transform ? Models::Wallet.new(payload) : payload)
  when 'bu'
    emit(:balance_update, @transform ? Models::BalanceInfo.new(payload) : payload)
  when 'miu'
    emit(:margin_info_update, @transform ? Models::MarginInfo.new(payload) : payload)
  when 'fiu'
    emit(:funding_info_update, @transform ? Models::FundingInfo.new(payload) : payload)
  when 'fte'
    emit(:funding_trade_entry, @transform ? Models::FundingTrade.new(payload) : payload)
  when 'ftu'
    emit(:funding_trade_update, @transform ? Models::FundingTrade.new(payload) : payload)
  end
end

#handle_candles_message(msg, chan) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 231

def handle_candles_message (msg, chan)
  payload = msg[1]

  if payload[0].kind_of?(Array)
    emit(:candles, chan['key'], @transform ? payload.map { |c| Models::Candle.new(c) } : payload)
  else
    emit(:candles, chan['key'], @transform ? Models::Candle.new(payload) : payload)
  end
end

#handle_config_event(msg) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 442

def handle_config_event (msg)
  if msg['status'] != 'OK'
    @l.error "config failed: #{msg['message']}"
  else
    @l.info "flags updated to #{msg['flags']}"
    @enabled_flags = msg['flags']
  end
end

#handle_error_event(msg) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 438

def handle_error_event (msg)
  @l.error msg
end

#handle_info_event(msg) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 409

def handle_info_event (msg)
  if msg.include?('version')
    if msg['version'] != 2
      close!
      raise Exception, "server not running API v2: #{msg['version']}"
    end

    platform = msg['platform']

    @l.info "server running API v2 (platform: %s (%d))" % [
      platform['status'] == 0 ? 'under maintenance' : 'operating normally',
      platform['status']
    ]
  elsif msg.include?('code')
    code = msg['code']

    if code == INFO_SERVER_RESTART
      @l.info 'server restarted, please reconnect'
      emit(:server_restart)
    elsif code == INFO_MAINTENANCE_START
      @l.info 'server maintenance period started!'
      emit(:maintenance_start)
    elsif code == INFO_MAINTENANCE_END
      @l.info 'server maintenance period ended!'
      emit(:maintenance_end)
    end
  end
end

#handle_order_book_checksum_message(msg, chan) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 241

def handle_order_book_checksum_message (msg, chan)
  key = "#{chan['symbol']}:#{chan['prec']}:#{chan['len']}"
  emit(:checksum, chan['symbol'], msg)

  return unless @manage_obs
  return unless @order_books.has_key?(key)

  remote_cs = msg[2]
  local_cs = @order_books[key].checksum

  if local_cs != remote_cs
    err = "OB checksum mismatch, have #{local_cs} want #{remote_cs} [#{chan['symbol']}"
    @l.error err
    emit(:error, err)
  else
    @l.info "OB checksum OK #{local_cs} [#{chan['symbol']}]"
  end
end

#handle_order_book_message(msg, chan) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 260

def handle_order_book_message (msg, chan)
  ob = msg[1]

  if @manage_obs
    key = "#{chan['symbol']}:#{chan['prec']}:#{chan['len']}"

    if !@order_books.has_key?(key)
      @order_books[key] = Models::OrderBook.new(ob, chan['prec'][0] == 'R')
    else
      @order_books[key].update_with(ob)
    end

    data = @order_books[key]
  elsif @transform
    data = Models::OrderBook.new(ob)
  else
    data = ob
  end

  emit(:order_book, chan['symbol'], data)
end

#handle_subscribed_event(msg) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 451

def handle_subscribed_event (msg)
  @l.info "subscribed to #{msg['channel']} [#{msg['chanId']}]"
  @channel_map[msg['chanId']] = msg
  emit(:subscribed, msg['chanId'])
end

#handle_ticker_message(msg, chan) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 203

def handle_ticker_message (msg, chan)
  payload = msg[1]

  if chan['symbol'][0] === 't'
    emit(:ticker, chan['symbol'], @transform ? Models::TradingTicker.new(payload) : payload)
  else
    emit(:ticker, chan['symbol'], @transform ? Models::FundingTicker.new(payload) : payload)
  end
end

#handle_trades_message(msg, chan) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 213

def handle_trades_message (msg, chan)
  if msg[1].kind_of?(Array)
    payload = msg[1]
    emit(:public_trades, chan['symbol'], @transform ? payload.map { |t| Models::PublicTrade.new(t) } : payload)
  else
    payload = @transform ? Models::PublicTrade.new(msg[2]) : msg[2]
    type = msg[1]

    emit(:public_trades, chan['symbol'], payload)

    if type == 'te'
      emit(:public_trade_entry, chan['symbol'], payload)
    elsif type == 'tu'
      emit(:public_trade_update, chan['symbol'], payload)
    end
  end
end

#handle_unsubscribed_event(msg) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 457

def handle_unsubscribed_event (msg)
  @l.info "unsubscribed from #{msg['chanId']}"
  @channel_map.delete(msg['chanId'])
  emit(:unsubscribed, msg['chanId'])
end

#is_flag_enabled(flag) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 472

def is_flag_enabled (flag)
  (@enabled_flags & flag) == flag
end

#new_nonce ⇒ Object 



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# File 'lib/ws/ws2.rb', line 505

def new_nonce
  Time.now.to_i.to_s
end

#on_close(e) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 81

def on_close (e)
  @l.info 'client closed'
  @is_open = false
  emit(:close)
end

#on_message(e) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 72

def on_message (e)
  @l.info "recv #{e.data}"

  msg = JSON.parse(e.data)
  process_message(msg)

  emit(:message, msg)
end

#on_open(e) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 63

def on_open (e)
  @l.info 'client open'
  @is_open = true
  emit(:open)

  enable_sequencing if @seq_audit
  enable_ob_checksums if @checksum_audit
end

#open! ⇒ Object 



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# File 'lib/ws/ws2.rb', line 87

def open!
  if @is_open
    raise Exception, 'already open'
  end

  EM.run {
    @ws = Faye::WebSocket::Client.new(@url)

    @ws.on(:open) do |e|
      on_open(e)
    end

    @ws.on(:message) do |e|
      on_message(e)
    end

    @ws.on(:close) do |e|
      on_close(e)
    end
  }
end

#process_channel_message(msg) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 172

def process_channel_message (msg)
  if !@channel_map.include?(msg[0])
    @l.error "recv message on unknown channel: #{msg[0]}"
    return
  end

  chan = @channel_map[msg[0]]
  type = msg[1]

  if msg.size < 2 || type == 'hb'
    return
  end

  case chan['channel']
  when 'ticker'
    handle_ticker_message(msg, chan)
  when 'trades'
    handle_trades_message(msg, chan)
  when 'candles'
    handle_candles_message(msg, chan)
  when 'book'
    if type == 'cs'
      handle_order_book_checksum_message(msg, chan)
    else
      handle_order_book_message(msg, chan)
    end
  when 'auth'
    handle_auth_message(msg, chan)
  end
end

#process_event_message(msg) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 379

def process_event_message (msg)
  case msg['event']
  when 'auth'
    handle_auth_event(msg)
  when 'subscribed'
    handle_subscribed_event(msg)
  when 'unsubscribed'
    handle_unsubscribed_event(msg)
  when 'info'
    handle_info_event(msg)
  when 'conf'
    handle_config_event(msg)
  when 'error'
    handle_error_event(msg)
  end
end

#process_message(msg) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 113

def process_message (msg)
  if @seq_audit
    validate_message_seq(msg)
  end

  if msg.kind_of?(Array)
    process_channel_message(msg)
  elsif msg.kind_of?(Hash)
    process_event_message(msg)
  end
end

#sign(payload) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 509

def sign (payload)
  OpenSSL::HMAC.hexdigest('sha384', @api_secret, payload)
end

#submit_order(order) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 513

def submit_order (order)
  return if !@is_authenticated

  if order.kind_of?(Array)
    packet = order
  elsif order.instance_of?(Models::Order)
    packet = order.to_new_order_packet
  elsif order.kind_of?(Hash)
    packet = Models::Order.new(order).to_new_order_packet
  else
    raise Exception, 'tried to submit order of unkown type'
  end

  @ws.send(JSON.generate([0, 'on', nil, packet]))
end

#subscribe(channel, params = {}) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 351

def subscribe (channel, params = {})
  @l.info 'subscribing to channel %s [%s]' % [channel, params]
  @ws.send(JSON.generate(params.merge({
    :event => 'subscribe',
    :channel => channel,
  })))
end

#subscribe_candles(key) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 367

def subscribe_candles (key)
  subscribe('candles', { :key => key })
end

#subscribe_order_book(sym, prec, len) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 371

def subscribe_order_book (sym, prec, len)
  subscribe('book', {
    :symbol => sym,
    :prec => prec,
    :len => len
  })
end

#subscribe_ticker(sym) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 359

def subscribe_ticker (sym)
  subscribe('ticker', { :symbol => sym })
end

#subscribe_trades(sym) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 363

def subscribe_trades (sym)
  subscribe('trades', { :symbol => sym })
end

#validate_message_seq(msg) ⇒ Object 



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# File 'lib/ws/ws2.rb', line 125

def validate_message_seq (msg)
  return unless @seq_audit
  return unless msg.kind_of?(Array)
  return unless msg.size > 2

  # The auth sequence # is the last value in channel 0 non-hb packets
  if msg[0] == 0 && msg[1] != 'hb'
    auth_seq = msg[-1]
  else
    auth_seq = nil
  end

  # all other packets provide a public sequence # as the last value. For
  # chan 0 packets, these are included as the 2nd to last value
  #
  # note that error notifications lack seq
  if msg[0] == 0 && msg[1] != 'hb' && !(msg[1] && msg[2][6] == 'ERROR')
    pub_seq = msg[-2]
  else
    pub_seq = msg[-1]
  end

  return unless pub_seq.is_a?(Numeric)

  if @last_pub_seq.nil?
    @last_pub_seq = pub_seq
    return
  end

  if pub_seq != (@last_pub_seq + 1) # check pub seq
    @l.warn "invalid pub seq #; last #{@last_pub_seq}, got #{pub_seq}"
  end

  @last_pub_seq = pub_seq

  return unless auth_seq.is_a?(Numeric)
  return if auth_seq == 0
  return if msg[1] == 'n' && msg[2][6] == 'ERROR' # error notifications
  return if auth_seq == @last_auth_seq # seq didn't advance

  if !@last_auth_seq.nil? && auth_seq != @last_auth_seq + 1
    @l.warn "invalid auth seq #; last #{@last_auth_seq}, got #{auth_seq}"
  end

  @last_auth_seq = auth_seq
end