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feat: add hyperliquid exchange support
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,171 @@ | ||
| import { upperCaseSymbols } from '../handy' | ||
| import { BookChange, DerivativeTicker, Trade } from '../types' | ||
| import { Mapper, PendingTickerInfoHelper } from './mapper' | ||
|
|
||
| export class HyperliquidTradesMapper implements Mapper<'hyperliquid', Trade> { | ||
| private readonly _seenSymbols = new Set<string>() | ||
|
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||
| canHandle(message: HyperliquidTradeMessage) { | ||
| return message.channel === 'trades' | ||
| } | ||
|
|
||
| getFilters(symbols?: string[]) { | ||
| symbols = upperCaseSymbols(symbols) | ||
|
|
||
| return [ | ||
| { | ||
| channel: 'trades', | ||
| symbols | ||
| } | ||
| ] | ||
| } | ||
|
|
||
| *map(message: HyperliquidTradeMessage, localTimestamp: Date): IterableIterator<Trade> { | ||
| for (const hyperliquidTrade of message.data) { | ||
| if (this._seenSymbols.has(hyperliquidTrade.coin) === false) { | ||
| this._seenSymbols.add(hyperliquidTrade.coin) | ||
| break | ||
| } | ||
| yield { | ||
| type: 'trade', | ||
| symbol: hyperliquidTrade.coin, | ||
| exchange: 'hyperliquid', | ||
| id: hyperliquidTrade.tid.toString(), | ||
| price: Number(hyperliquidTrade.px), | ||
| amount: Number(hyperliquidTrade.sz), | ||
| side: hyperliquidTrade.side === 'B' ? 'buy' : 'sell', | ||
| timestamp: new Date(hyperliquidTrade.time), | ||
| localTimestamp: localTimestamp | ||
| } | ||
| } | ||
| } | ||
| } | ||
|
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||
| function mapHyperliquidLevel(level: HyperliquidWsLevel) { | ||
| return { | ||
| price: Number(level.px), | ||
| amount: Number(level.sz) | ||
| } | ||
| } | ||
| export class HyperliquidBookChangeMapper implements Mapper<'hyperliquid', BookChange> { | ||
| canHandle(message: HyperliquidWsBookMessage) { | ||
| return message.channel === 'l2Book' | ||
| } | ||
|
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| getFilters(symbols?: string[]) { | ||
| symbols = upperCaseSymbols(symbols) | ||
|
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||
| return [ | ||
| { | ||
| channel: 'l2Book', | ||
| symbols | ||
| } | ||
| ] | ||
| } | ||
|
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| *map(message: HyperliquidWsBookMessage, localTimestamp: Date): IterableIterator<BookChange> { | ||
| yield { | ||
| type: 'book_change', | ||
| symbol: message.data.coin, | ||
| exchange: 'hyperliquid', | ||
| isSnapshot: true, | ||
| bids: (message.data.levels[0] ? message.data.levels[0] : []).map(mapHyperliquidLevel), | ||
| asks: (message.data.levels[1] ? message.data.levels[1] : []).map(mapHyperliquidLevel), | ||
| timestamp: new Date(message.data.time), | ||
| localTimestamp | ||
| } | ||
| } | ||
| } | ||
|
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||
| export class HyperliquidDerivativeTickerMapper implements Mapper<'hyperliquid', DerivativeTicker> { | ||
| private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper() | ||
|
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| canHandle(message: HyperliquidContextMessage) { | ||
| return message.channel === 'activeAssetCtx' | ||
| } | ||
|
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| getFilters(symbols?: string[]) { | ||
| symbols = upperCaseSymbols(symbols) | ||
|
|
||
| return [ | ||
| { | ||
| channel: 'activeAssetCtx', | ||
| symbols | ||
| } | ||
| ] | ||
| } | ||
|
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||
| *map(message: HyperliquidContextMessage, localTimestamp: Date): IterableIterator<DerivativeTicker> { | ||
| const symbol = message.data.coin | ||
|
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| const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(symbol, 'hyperliquid') | ||
|
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||
| if (message.data.ctx.funding !== undefined) { | ||
| pendingTickerInfo.updateFundingRate(Number(message.data.ctx.funding)) | ||
| } | ||
|
|
||
| if (message.data.ctx.markPx !== undefined) { | ||
| pendingTickerInfo.updateMarkPrice(Number(message.data.ctx.markPx)) | ||
| } | ||
|
|
||
| if (message.data.ctx.openInterest !== undefined) { | ||
| pendingTickerInfo.updateOpenInterest(Number(message.data.ctx.openInterest)) | ||
| } | ||
|
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||
| if (message.data.ctx.oraclePx !== undefined) { | ||
| pendingTickerInfo.updateIndexPrice(Number(message.data.ctx.oraclePx)) | ||
| } | ||
|
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||
| if (pendingTickerInfo.hasChanged()) { | ||
| yield pendingTickerInfo.getSnapshot(localTimestamp) | ||
| } | ||
| } | ||
| } | ||
|
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||
| type HyperliquidTradeMessage = { | ||
| channel: 'trades' | ||
| data: [ | ||
| { | ||
| coin: string | ||
| side: string | ||
| px: string | ||
| sz: string | ||
| hash: string | ||
| time: number | ||
| tid: number // ID unique across all assets | ||
| } | ||
| ] | ||
| } | ||
|
|
||
| type HyperliquidWsBookMessage = { | ||
| channel: 'l2Book' | ||
| data: { | ||
| coin: 'ATOM' | ||
| time: 1730160007687 | ||
| levels: [HyperliquidWsLevel[], HyperliquidWsLevel[]] | ||
| } | ||
| } | ||
|
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||
| type HyperliquidWsLevel = { | ||
| px: string // price | ||
| sz: string // size | ||
| n: number // number of orders | ||
| } | ||
|
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||
| type HyperliquidContextMessage = { | ||
| channel: 'activeAssetCtx' | ||
| data: { | ||
| coin: 'RENDER' | ||
| ctx: { | ||
| funding: '0.0000125' | ||
| openInterest: '231067.2' | ||
| prevDayPx: '4.8744' | ||
| dayNtlVlm: '387891.57092' | ||
| premium: '0.0' | ||
| oraclePx: '4.9185' | ||
| markPx: '4.919' | ||
| midPx: '4.9183' | ||
| impactPxs: ['4.9176', '4.9191'] | ||
| } | ||
| } | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,38 @@ | ||
| import { Filter } from '../types' | ||
| import { RealTimeFeedBase } from './realtimefeed' | ||
|
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| export class HyperliquidRealTimeFeed extends RealTimeFeedBase { | ||
| protected wssURL = 'wss://api.hyperliquid.xyz/ws' | ||
|
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| protected mapToSubscribeMessages(filters: Filter<string>[]): any[] { | ||
| return filters | ||
| .map((filter) => { | ||
| if (!filter.symbols || filter.symbols.length === 0) { | ||
| throw new Error('HyperliquidRealTimeFeed requires explicitly specified symbols when subscribing to live feed') | ||
| } | ||
|
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| return filter.symbols.map((symbol) => { | ||
| return { | ||
| method: 'subscribe', | ||
| subscription: { | ||
| coin: symbol, | ||
| type: filter.channel | ||
| } | ||
| } | ||
| }) | ||
| }) | ||
| .flatMap((f) => f) | ||
| } | ||
|
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| protected messageIsError(message: any): boolean { | ||
| return message.channel === 'error' | ||
| } | ||
|
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| protected messageIsHeartbeat(message: any): boolean { | ||
| return message.channel === 'pong' | ||
| } | ||
|
|
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| protected sendCustomPing = () => { | ||
| this.send({ method: 'ping' }) | ||
| } | ||
| } |
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