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const WS = require('ws') | |
const _ = require('lodash') | |
const async = require('async') | |
const fs = require('fs') | |
const moment = require('moment') | |
const CRC = require('crc-32') | |
const pair = process.argv[2] | |
const conf = { | |
wshost: "wss://api.bitfinex.com/ws/2" | |
} | |
const logfile = __dirname + '/logs/ws-book-aggr-err.log' | |
const BOOK = {} | |
console.log(pair, conf.wshost) | |
let connected = false | |
let connecting = false | |
let cli | |
let seq = null | |
function connect() { | |
if (connecting || connected) return | |
connecting = true | |
cli = new WS(conf.wshost, { /*rejectUnauthorized: false*/ }) | |
cli.on('open', function open() { | |
console.log('WS open') | |
connecting = false | |
connected = true | |
BOOK.bids = {} | |
BOOK.asks = {} | |
BOOK.psnap = {} | |
BOOK.mcnt = 0 | |
cli.send(JSON.stringify({ event: 'conf', flags: 65536 + 131072 })) | |
cli.send(JSON.stringify({ event: "subscribe", channel: "book", pair: pair, prec: "P0", len: 100 })) | |
}) | |
cli.on('close', function open() { | |
console.log('WS close') | |
connecting = false | |
connected = false | |
}) | |
cli.on('message', function(msg) { | |
msg = JSON.parse(msg) | |
if (msg.event) return | |
if (msg[1] === 'hb') { | |
seq = +msg[2] | |
return | |
} else if (msg[1] === 'cs') { | |
seq = +msg[3] | |
const checksum = msg[2] | |
const csdata = [] | |
const bids_keys = BOOK.psnap['bids'] | |
const asks_keys = BOOK.psnap['asks'] | |
for (let i = 0; i < 25; i++) { | |
if (bids_keys[i]) { | |
const price = bids_keys[i] | |
const pp = BOOK.bids[price] | |
csdata.push(pp.price, pp.amount) | |
} | |
if (asks_keys[i]) { | |
const price = asks_keys[i] | |
const pp = BOOK.asks[price] | |
csdata.push(pp.price, -pp.amount) | |
} | |
} | |
const cs_str = csdata.join(':') | |
const cs_calc = CRC.str(cs_str) | |
fs.appendFileSync(logfile, "[" + moment().format("YYYY-MM-DDTHH:mm:ss.SSS") + "] " + pair + " | " + JSON.stringify(["cs_string=" + cs_str, "cs_calc=" + cs_calc, "server_checksum=" + checksum]) + "\n") | |
if (cs_calc !== checksum) { | |
console.error("CHECKSUM_FAILED") | |
process.exit(-1) | |
} | |
return | |
} | |
fs.appendFileSync(logfile, "[" + moment().format("YYYY-MM-DDTHH:mm:ss.SSS") + "] " + pair + " | " + JSON.stringify(msg) + "\n") | |
if (BOOK.mcnt === 0) { | |
_.each(msg[1], function(pp) { | |
pp = { price: pp[0], cnt: pp[1], amount: pp[2] } | |
const side = pp.amount >= 0 ? 'bids' : 'asks' | |
pp.amount = Math.abs(pp.amount) | |
if (BOOK[side][pp.price]) { | |
fs.appendFileSync(logfile, "[" + moment().format() + "] " + pair + " | " + JSON.stringify(pp) + " BOOK snap existing bid override\n") | |
} | |
BOOK[side][pp.price] = pp | |
}) | |
} else { | |
const cseq = +msg[2] | |
msg = msg[1] | |
if (!seq) { | |
seq = cseq - 1 | |
} | |
if (cseq - seq !== 1) { | |
console.error('OUT OF SEQUENCE', seq, cseq) | |
process.exit() | |
} | |
seq = cseq | |
let pp = { price: msg[0], cnt: msg[1], amount: msg[2] } | |
if (!pp.cnt) { | |
let found = true | |
if (pp.amount > 0) { | |
if (BOOK['bids'][pp.price]) { | |
delete BOOK['bids'][pp.price] | |
} else { | |
found = false | |
} | |
} else if (pp.amount < 0) { | |
if (BOOK['asks'][pp.price]) { | |
delete BOOK['asks'][pp.price] | |
} else { | |
found = false | |
} | |
} | |
if (!found) { | |
fs.appendFileSync(logfile, "[" + moment().format() + "] " + pair + " | " + JSON.stringify(pp) + " BOOK delete fail side not found\n") | |
} | |
} else { | |
let side = pp.amount >= 0 ? 'bids' : 'asks' | |
pp.amount = Math.abs(pp.amount) | |
BOOK[side][pp.price] = pp | |
} | |
} | |
_.each(['bids', 'asks'], function(side) { | |
let sbook = BOOK[side] | |
let bprices = Object.keys(sbook) | |
let prices = bprices.sort(function(a, b) { | |
if (side === 'bids') { | |
return +a >= +b ? -1 : 1 | |
} else { | |
return +a <= +b ? -1 : 1 | |
} | |
}) | |
BOOK.psnap[side] = prices | |
//console.log("num price points", side, prices.length, prices[0]) | |
}) | |
BOOK.mcnt++ | |
checkCross(msg) | |
}) | |
} | |
setInterval(function() { | |
if (connected) return | |
connect() | |
}, 3500) | |
function checkCross(msg) { | |
let bid = BOOK.psnap.bids[0] | |
let ask = BOOK.psnap.asks[0] | |
if (bid >= ask) { | |
let lm = [moment.utc().format(), "bid(" + bid + ")>=ask(" + ask + ")"] | |
fs.appendFileSync(logfile, lm.join('/') + "\n") | |
console.log(lm.join('/')) | |
} | |
} | |
function saveBook() { | |
const now = moment.utc().format('YYYYMMDDHHmmss') | |
fs.writeFileSync(__dirname + "/logs/tmp-ws-book-aggr-" + pair + '-' + now + '.log', JSON.stringify({ bids: BOOK.bids, asks: BOOK.asks})) | |
} | |
setInterval(function() { | |
saveBook() | |
}, 30000) |
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