improvement: include best ask & bid size for coinbase book ticker when available

Author: thaaddeus

src/mappers/coinbase.ts

@@ -155,10 +155,10 @@ export const coinbaseBookTickerMapper: Mapper<'coinbase', BookTicker> = {
       type: 'book_ticker',
       symbol: message.product_id,
       exchange: 'coinbase',
-      askAmount: undefined,
+      askAmount: message.best_ask_size !== undefined ? Number(message.best_ask_size) : undefined,
       askPrice: message.best_ask !== undefined ? Number(message.best_ask) : undefined,
       bidPrice: message.best_bid !== undefined ? Number(message.best_bid) : undefined,
-      bidAmount: undefined,
+      bidAmount: message.best_bid_size !== undefined ? Number(message.best_bid_size) : undefined,
       timestamp,
       localTimestamp: localTimestamp
     }
@@ -193,12 +193,34 @@ type CoinbaseLevel2Update = {
   changes: CoinbaseUpdateBookLevel[]
 }
 
-type CoinbaseTicker = {
-  type: 'ticker'
-  sequence: 2349290585
-  product_id: 'CGLD-USD'
-  price: '5.415'
-  best_bid: '5.4149'
-  best_ask: '5.4150'
-  time: '2021-10-13T07:05:00.028961Z'
-}
+type CoinbaseTicker =
+  | {
+      type: 'ticker'
+      sequence: 2349290585
+      product_id: 'CGLD-USD'
+      price: '5.415'
+      best_bid: '5.4149'
+      best_ask: '5.4150'
+      time: '2021-10-13T07:05:00.028961Z'
+      best_bid_size: undefined
+      best_ask_size: undefined
+    }
+  | {
+      type: 'ticker'
+      sequence: 50978628538
+      product_id: 'BTC-USD'
+      price: '17165.16'
+      open_24h: '16437.94'
+      volume_24h: '42492.05081975'
+      low_24h: '16423.37'
+      high_24h: '17259.37'
+      volume_30d: '1093827.95195495'
+      best_bid: '17165.15'
+      best_bid_size: '0.61540890'
+      best_ask: '17167.76'
+      best_ask_size: '0.18528568'
+      side: 'sell'
+      time: '2022-12-01T00:00:00.122581Z'
+      trade_id: 463751434
+      last_size: '0.05'
+    }

test/__snapshots__/mappers.test.ts.snap

@@ -3463,6 +3463,22 @@ Array [
 ]
 `;
 
+exports[`mappers map coinbase messages 9`] = `
+Array [
+  Object {
+    "askAmount": 0.18528568,
+    "askPrice": 17167.76,
+    "bidAmount": 0.6154089,
+    "bidPrice": 17165.15,
+    "exchange": "coinbase",
+    "localTimestamp": 2019-09-01T00:00:01.275Z,
+    "symbol": "BTC-USD",
+    "timestamp": 2022-12-01T00:00:00.122581Z,
+    "type": "book_ticker",
+  },
+]
+`;
+
 exports[`mappers map coinflex messages 1`] = `Array []`;
 
 exports[`mappers map coinflex messages 2`] = `Array []`;

test/mappers.test.ts

@@ -3945,6 +3945,25 @@ describe('mappers', () => {
         time: '2021-04-01T00:00:01.618503Z',
         trade_id: 151521557,
         last_size: '0.05'
+      },
+      {
+        type: 'ticker',
+        sequence: 50978628538,
+        product_id: 'BTC-USD',
+        price: '17165.16',
+        open_24h: '16437.94',
+        volume_24h: '42492.05081975',
+        low_24h: '16423.37',
+        high_24h: '17259.37',
+        volume_30d: '1093827.95195495',
+        best_bid: '17165.15',
+        best_bid_size: '0.61540890',
+        best_ask: '17167.76',
+        best_ask_size: '0.18528568',
+        side: 'sell',
+        time: '2022-12-01T00:00:00.122581Z',
+        trade_id: 463751434,
+        last_size: '0.05'
       }
     ]