-
Notifications
You must be signed in to change notification settings - Fork 65
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
feat: add binance european options support
- Loading branch information
Showing
9 changed files
with
650 additions
and
8 deletions.
There are no files selected for viewing
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
|
|
@@ -3,4 +3,5 @@ node_modules | |
| /*.log | ||
| package-lock.json | ||
| .tardis-cache | ||
| *.tsbuildinfo | ||
| *.tsbuildinfo | ||
| cache | ||
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,303 @@ | ||
| import { asNumberIfValid, upperCaseSymbols } from '../handy' | ||
| import { BookChange, OptionSummary, Trade } from '../types' | ||
| import { Mapper } from './mapper' | ||
|
|
||
| // https://binance-docs.github.io/apidocs/voptions/en/#websocket-market-streams | ||
|
|
||
| export class BinanceEuropeanOptionsTradesMapper implements Mapper<'binance-european-options', Trade> { | ||
| canHandle(message: BinanceResponse<any>) { | ||
| if (message.stream === undefined) { | ||
| return false | ||
| } | ||
|
|
||
| return message.stream.endsWith('@trade') | ||
| } | ||
|
|
||
| getFilters(symbols?: string[]) { | ||
| symbols = upperCaseSymbols(symbols) | ||
|
|
||
| return [ | ||
| { | ||
| channel: 'trade', | ||
| symbols | ||
| } as const | ||
| ] | ||
| } | ||
|
|
||
| *map(binanceTradeResponse: BinanceResponse<BinanceOptionsTradeData>, localTimestamp: Date) { | ||
| const trade: Trade = { | ||
| type: 'trade', | ||
| symbol: binanceTradeResponse.data.s, | ||
| exchange: 'binance-european-options', | ||
| id: binanceTradeResponse.data.t, | ||
| price: Number(binanceTradeResponse.data.p), | ||
| amount: Number(binanceTradeResponse.data.q), | ||
| side: binanceTradeResponse.data.S === '-1' ? 'sell' : 'buy', | ||
| timestamp: new Date(binanceTradeResponse.data.T), | ||
| localTimestamp: localTimestamp | ||
| } | ||
|
|
||
| yield trade | ||
| } | ||
| } | ||
|
|
||
| export class BinanceEuropeanOptionsBookChangeMapper implements Mapper<'binance-european-options', BookChange> { | ||
| canHandle(message: BinanceResponse<any>) { | ||
| if (message.stream === undefined) { | ||
| return false | ||
| } | ||
|
|
||
| return message.stream.includes('@depth100') | ||
| } | ||
|
|
||
| getFilters(symbols?: string[]) { | ||
| symbols = upperCaseSymbols(symbols) | ||
|
|
||
| return [ | ||
| { | ||
| channel: 'depth100', | ||
| symbols | ||
| } as const | ||
| ] | ||
| } | ||
|
|
||
| *map(message: BinanceResponse<BinanceOptionsDepthData>, localTimestamp: Date) { | ||
| const bookChange: BookChange = { | ||
| type: 'book_change', | ||
| symbol: message.data.s, | ||
| exchange: 'binance-european-options', | ||
| isSnapshot: true, | ||
| bids: message.data.b.map(this.mapBookLevel), | ||
| asks: message.data.a.map(this.mapBookLevel), | ||
| timestamp: new Date(message.data.E), | ||
| localTimestamp | ||
| } | ||
|
|
||
| yield bookChange | ||
| } | ||
|
|
||
| protected mapBookLevel(level: BinanceBookLevel) { | ||
| const price = Number(level[0]) | ||
| const amount = Number(level[1]) | ||
| return { price, amount } | ||
| } | ||
| } | ||
|
|
||
| export class BinanceEuropeanOptionSummaryMapper implements Mapper<'binance-european-options', OptionSummary> { | ||
| private readonly _indexPrices = new Map<string, number>() | ||
| private readonly _openInterests = new Map<string, number>() | ||
|
|
||
| canHandle(message: BinanceResponse<any>) { | ||
| if (message.stream === undefined) { | ||
| return false | ||
| } | ||
|
|
||
| return message.stream.endsWith('@ticker') || message.stream.endsWith('@index') || message.stream.includes('@openInterest') | ||
| } | ||
|
|
||
| getFilters(symbols?: string[]) { | ||
| symbols = upperCaseSymbols(symbols) | ||
|
|
||
| const indexes = | ||
| symbols !== undefined | ||
| ? symbols.map((s) => { | ||
| const symbolParts = s.split('-') | ||
| return `${symbolParts[0]}USDT` | ||
| }) | ||
| : undefined | ||
|
|
||
| const underlyings = | ||
| symbols !== undefined | ||
| ? symbols.map((s) => { | ||
| const symbolParts = s.split('-') | ||
| return `${symbolParts[0]}` | ||
| }) | ||
| : undefined | ||
|
|
||
| return [ | ||
| { | ||
| channel: 'ticker', | ||
| symbols | ||
| } as const, | ||
| { | ||
| channel: 'index', | ||
| symbols: indexes | ||
| } as const, | ||
| { | ||
| channel: 'openInterest', | ||
| symbols: underlyings | ||
| } as const | ||
| ] | ||
| } | ||
|
|
||
| *map( | ||
| message: BinanceResponse<BinanceOptionsTickerData | BinanceOptionsIndexData | BinanceOptionsOpenInterestData[]>, | ||
| localTimestamp: Date | ||
| ) { | ||
| if (message.stream.endsWith('@index')) { | ||
| const lastIndexPrice = Number((message.data as any).p) | ||
| if (lastIndexPrice > 0) { | ||
| this._indexPrices.set((message.data as any).s, lastIndexPrice) | ||
| } | ||
| return | ||
| } | ||
|
|
||
| if (message.stream.includes('@openInterest')) { | ||
| for (let data of message.data as BinanceOptionsOpenInterestData[]) { | ||
| const openInterest = Number(data.o) | ||
| if (openInterest > 0) { | ||
| this._openInterests.set(data.s, openInterest) | ||
| } | ||
| } | ||
|
|
||
| return | ||
| } | ||
|
|
||
| const optionInfo = message.data as BinanceOptionsTickerData | ||
|
|
||
| const [base, expiryPart, strikePrice, optionType] = optionInfo.s.split('-') | ||
|
|
||
| const expirationDate = new Date(`20${expiryPart.slice(0, 2)}-${expiryPart.slice(2, 4)}-${expiryPart.slice(4, 6)}Z`) | ||
| expirationDate.setUTCHours(8) | ||
|
|
||
| const isPut = optionType === 'P' | ||
|
|
||
| const underlyingIndex = `${base}USDT` | ||
|
|
||
| let bestBidPrice = asNumberIfValid(optionInfo.bo) | ||
| if (bestBidPrice === 0) { | ||
| bestBidPrice = undefined | ||
| } | ||
|
|
||
| let bestBidAmount = asNumberIfValid(optionInfo.bq) | ||
| if (bestBidAmount === 0) { | ||
| bestBidAmount = undefined | ||
| } | ||
| let bestAskPrice = asNumberIfValid(optionInfo.ao) | ||
| if (bestAskPrice === 0) { | ||
| bestAskPrice = undefined | ||
| } | ||
|
|
||
| let bestAskAmount = asNumberIfValid(optionInfo.aq) | ||
| if (bestAskAmount === 0) { | ||
| bestAskAmount = undefined | ||
| } | ||
|
|
||
| let bestBidIV = bestBidPrice !== undefined ? asNumberIfValid(optionInfo.b) : undefined | ||
| if (bestBidIV === -1) { | ||
| bestBidIV = undefined | ||
| } | ||
|
|
||
| let bestAskIV = bestAskPrice !== undefined ? asNumberIfValid(optionInfo.a) : undefined | ||
| if (bestAskIV === -1) { | ||
| bestAskIV = undefined | ||
| } | ||
|
|
||
| const optionSummary: OptionSummary = { | ||
| type: 'option_summary', | ||
| symbol: optionInfo.s, | ||
| exchange: 'binance-european-options', | ||
| optionType: isPut ? 'put' : 'call', | ||
| strikePrice: Number(strikePrice), | ||
| expirationDate, | ||
|
|
||
| bestBidPrice, | ||
| bestBidAmount, | ||
| bestBidIV, | ||
|
|
||
| bestAskPrice, | ||
| bestAskAmount, | ||
| bestAskIV, | ||
|
|
||
| lastPrice: asNumberIfValid(optionInfo.c), | ||
|
|
||
| openInterest: this._openInterests.get(optionInfo.s), | ||
|
|
||
| markPrice: asNumberIfValid(optionInfo.mp), | ||
| markIV: undefined, | ||
|
|
||
| delta: asNumberIfValid(optionInfo.d), | ||
| gamma: asNumberIfValid(optionInfo.g), | ||
| vega: asNumberIfValid(optionInfo.v), | ||
| theta: asNumberIfValid(optionInfo.t), | ||
| rho: undefined, | ||
|
|
||
| underlyingPrice: this._indexPrices.get(underlyingIndex), | ||
| underlyingIndex, | ||
|
|
||
| timestamp: new Date(optionInfo.E), | ||
| localTimestamp: localTimestamp | ||
| } | ||
|
|
||
| yield optionSummary | ||
| } | ||
| } | ||
|
|
||
| type BinanceResponse<T> = { | ||
| stream: string | ||
| data: T | ||
| } | ||
|
|
||
| type BinanceOptionsTradeData = { | ||
| e: 'trade' | ||
| E: 1696118408137 | ||
| s: 'DOGE-231006-0.06-C' | ||
| t: '15' | ||
| p: '2.64' | ||
| q: '0.01' | ||
| b: '4647850284614262784' | ||
| a: '4719907951072796672' | ||
| T: 1696118408134 | ||
| S: '-1' | ||
| } | ||
|
|
||
| type BinanceOptionsDepthData = { | ||
| e: 'depth' | ||
| E: 1696118400038 | ||
| T: 1696118399082 | ||
| s: 'BTC-231027-34000-C' | ||
| u: 1925729 | ||
| pu: 1925729 | ||
| b: [['60', '7.31'], ['55', '2.5'], ['50', '15'], ['45', '15'], ['40', '34.04']] | ||
| a: [['65', '8.28'], ['70', '38.88'], ['75', '15'], ['1200', '0.01'], ['4660', '0.42']] | ||
| } | ||
|
|
||
| type BinanceOptionsTickerData = { | ||
| e: '24hrTicker' | ||
| E: 1696118400043 | ||
| T: 1696118400000 | ||
| s: 'BNB-231013-200-P' | ||
| o: '1' | ||
| h: '1' | ||
| l: '0.9' | ||
| c: '0.9' | ||
| V: '11.08' | ||
| A: '9.97' | ||
| P: '-0.1' | ||
| p: '-0.1' | ||
| Q: '11' | ||
| F: '0' | ||
| L: '8' | ||
| n: 1 | ||
| bo: '1' | ||
| ao: '1.7' | ||
| bq: '50' | ||
| aq: '50' | ||
| b: '0.35929501' | ||
| a: '0.43317497' | ||
| d: '-0.16872899' | ||
| t: '-0.16779034' | ||
| g: '0.0153237' | ||
| v: '0.09935076' | ||
| vo: '0.41658748' | ||
| mp: '1.5' | ||
| hl: '37.1' | ||
| ll: '0.1' | ||
| eep: '0' | ||
| } | ||
|
|
||
| type BinanceOptionsIndexData = { e: 'index'; E: 1696118400040; s: 'BNBUSDT'; p: '214.6133998' } | ||
|
|
||
| type BinanceOptionsOpenInterestData = { e: 'openInterest'; E: 1696118400042; s: 'XRP-231006-0.46-P'; o: '39480.0'; h: '20326.64319' } | ||
|
|
||
| type BinanceBookLevel = [string, string] |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Oops, something went wrong.