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@prdn
Last active February 25, 2022 04:52
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/*USAGE:
npm install ws lodash async moment crc-32
mkdir logs
node bfx_test_book.js BTCUSD
*/
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-raw.log'
const BOOK = {}
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: "R0", len: 25 }))
})
cli.on('close', function open() {
seq = null
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 eid = bids_keys[i]
const pp = BOOK.bids[eid]
csdata.push(pp.id, pp.amount)
}
if (asks_keys[i]) {
const eid = asks_keys[i]
const pp = BOOK.asks[eid]
csdata.push(pp.id, -pp.amount)
}
}
const cs_str = csdata.join(':')
console.log(cs_str)
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", checksum, cs_calc)
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 = { id: pp[0], price: pp[1], amount: pp[2] }
const side = pp.amount >= 0 ? 'bids' : 'asks'
pp.amount = Math.abs(pp.amount)
BOOK[side][pp.id] = 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
const pp = { id: msg[0], price: msg[1], amount: msg[2], ix: msg[3] }
if (!pp.price) {
let found = true
if (pp.amount > 0) {
if (BOOK['bids'][pp.id]) {
delete BOOK['bids'][pp.id]
} else {
found = false
}
} else if (pp.amount < 0) {
if (BOOK['asks'][pp.id]) {
delete BOOK['asks'][pp.id]
} else {
found = false
}
}
if (!found) {
fs.appendFileSync(logfile, "[" + moment().format() + "] " + pair + " | " + JSON.stringify(pp) + " BOOK_RAW delete fail found\n")
}
} else {
const side = pp.amount >= 0 ? 'bids' : 'asks'
pp.amount = Math.abs(pp.amount)
BOOK[side][pp.id] = pp
}
}
_.each(['bids', 'asks'], function(side) {
let sbook = BOOK[side]
let bentries = Object.keys(sbook)
let prices = bentries.sort(function(a, b) {
if (+sbook[a].price === +sbook[b].price) {
return a - b
}
if (side === 'bids') {
return +sbook[a].price >= +sbook[b].price ? -1 : 1
} else {
return +sbook[a].price <= +sbook[b].price ? -1 : 1
}
})
BOOK.psnap[side] = bentries
})
BOOK.mcnt++
})
}
setInterval(function() {
if (connected) return
connect()
}, 3500)
function saveBook() {
const now = moment.utc().format('YYYYMMDDHHmmss')
fs.writeFileSync(__dirname + "/logs/tmp-ws-book-raw-" + pair + '-' + now + '.log', JSON.stringify({ bids: BOOK.bids, asks: BOOK.asks}))
}
setInterval(function() {
saveBook()
}, 30000)
@ctubio
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ctubio commented Feb 16, 2021

the input values used for the checksum calculation on bitfinex side are a joke

with a bit of debug you can see all they do (and have some laughts while considering to do the same on your end)

hire someone at kraken please, the kraken api is a pleasure to sync with

@BlueFrye2
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Bitcoin

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