import crypto, { createHash } from 'crypto' import { createWriteStream, mkdirSync, rmSync } from 'node:fs' import { rename } from 'node:fs/promises' import type { RequestOptions, Agent } from 'https' import followRedirects from 'follow-redirects' import * as httpsProxyAgentPkg from 'https-proxy-agent' import path from 'path' import { debug } from './debug.ts' import { Mapper } from './mappers/index.ts' import { Disconnect, Exchange, Filter, FilterForExchange } from './types.ts' import * as socksProxyAgentPkg from 'socks-proxy-agent' const { http, https } = followRedirects const { HttpsProxyAgent } = httpsProxyAgentPkg const { SocksProxyAgent } = socksProxyAgentPkg export function parseAsUTCDate(val: string) { // Treat date-only and minute-level strings as UTC instead of local time. if (val.endsWith('Z') === false) { val += 'Z' } const date = new Date(val) return new Date(Date.UTC(date.getUTCFullYear(), date.getUTCMonth(), date.getUTCDate(), date.getUTCHours(), date.getUTCMinutes())) } export function wait(delayMS: number) { return new Promise((resolve) => { setTimeout(resolve, delayMS) }) } export function getRandomString() { return crypto.randomBytes(24).toString('hex') } export function formatDateToPath(date: Date) { const year = date.getUTCFullYear() const month = doubleDigit(date.getUTCMonth() + 1) const day = doubleDigit(date.getUTCDate()) const hour = doubleDigit(date.getUTCHours()) const minute = doubleDigit(date.getUTCMinutes()) return `${year}/${month}/${day}/${hour}/${minute}` } export function doubleDigit(input: number) { return input < 10 ? '0' + input : '' + input } export function sha256(obj: object) { return createHash('sha256').update(JSON.stringify(obj)).digest('hex') } export function addMinutes(date: Date, minutes: number) { return new Date(date.getTime() + minutes * 60000) } export function addDays(date: Date, days: number) { return new Date(date.getTime() + days * 60000 * 1440) } export function* sequence(end: number, seed = 0) { let current = seed while (current < end) { yield current current += 1 } return } export const ONE_SEC_IN_MS = 1000 export class HttpError extends Error { constructor( public readonly status: number, public readonly responseText: string, public readonly url: string ) { super(`HttpError: status code: ${status}, response text: ${responseText}`) } } class HttpClientError extends Error { constructor( public readonly response: HttpResponse, public readonly method: string, public readonly url: string ) { super(`HTTP ${method} ${url} failed with status ${response.statusCode}`) } } export function* take(iterable: Iterable, length: number) { if (length === 0) { return } for (const item of iterable) { yield item length-- if (length === 0) { return } } } export async function* normalizeMessages( exchange: Exchange, symbols: string[] | undefined, messages: AsyncIterableIterator<{ localTimestamp: Date; message: any } | undefined>, mappers: Mapper[], createMappers: (localTimestamp: Date) => Mapper[], withDisconnectMessages: boolean | undefined, filter?: (symbol: string) => boolean, currentTimestamp?: Date | undefined ) { let previousLocalTimestamp: Date | undefined = currentTimestamp let mappersForExchange: Mapper[] | undefined = mappers if (mappersForExchange.length === 0) { throw new Error(`Can't normalize data without any normalizers provided`) } for await (const messageWithTimestamp of messages) { if (messageWithTimestamp === undefined) { // we received undefined meaning Websocket disconnection // lets create new mappers with clean state for 'new connection' mappersForExchange = undefined // if flag withDisconnectMessages is set, yield disconnect message if (withDisconnectMessages === true && previousLocalTimestamp !== undefined) { const disconnect: Disconnect = { type: 'disconnect', exchange, localTimestamp: previousLocalTimestamp, symbols } yield disconnect as any } continue } if (mappersForExchange === undefined) { mappersForExchange = createMappers(messageWithTimestamp.localTimestamp) } previousLocalTimestamp = messageWithTimestamp.localTimestamp for (const mapper of mappersForExchange) { if (mapper.canHandle(messageWithTimestamp.message)) { const mappedMessages = mapper.map(messageWithTimestamp.message, messageWithTimestamp.localTimestamp) if (!mappedMessages) { continue } for (const message of mappedMessages) { if (filter === undefined) { yield message } else if (filter(message.symbol)) { yield message } } } } } } export function getFilters(mappers: Mapper[], symbols?: string[]) { const filters = mappers.flatMap((mapper) => mapper.getFilters(symbols)) const deduplicatedFilters = filters.reduce( (prev, current) => { const matchingExisting = prev.find((c) => c.channel === current.channel) if (matchingExisting !== undefined) { if (matchingExisting.symbols !== undefined && current.symbols) { for (let symbol of current.symbols) { if (matchingExisting.symbols.includes(symbol) === false) { matchingExisting.symbols.push(symbol) } } } else if (current.symbols) { matchingExisting.symbols = [...current.symbols] } } else { prev.push(current) } return prev }, [] as FilterForExchange[T][] ) return deduplicatedFilters } export function* batch(symbols: string[], batchSize: number) { for (let i = 0; i < symbols.length; i += batchSize) { yield symbols.slice(i, i + batchSize) } } export function* batchObjects(payload: T[], batchSize: number) { for (let i = 0; i < payload.length; i += batchSize) { yield payload.slice(i, i + batchSize) } } export function parseμs(dateString: string): number { // check if we have ISO 8601 format date string, e.g: 2019-06-01T00:03:03.1238784Z or 2020-07-22T00:09:16.836773Z // or 2020-03-01T00:00:24.893456+00:00 if (dateString.length === 27 || dateString.length === 28 || dateString.length === 32 || dateString.length === 30) { return Number(dateString.slice(23, 26)) } return 0 } export function optimizeFilters(filters: Filter[]) { // deduplicate filters (if the channel was provided multiple times) const optimizedFilters = filters.reduce((prev, current) => { const matchingExisting = prev.find((c) => c.channel === current.channel) if (matchingExisting) { // both previous and current have symbols let's merge them if (matchingExisting.symbols && current.symbols) { matchingExisting.symbols.push(...current.symbols) } else if (current.symbols) { matchingExisting.symbols = [...current.symbols] } } else { prev.push(current) } return prev }, [] as Filter[]) // sort filters in place to improve local disk cache ratio (no matter filters order if the same filters are provided will hit the cache) optimizedFilters.sort((f1, f2) => { if (f1.channel < f2.channel) { return -1 } if (f1.channel > f2.channel) { return 1 } return 0 }) // sort and deduplicate filters symbols optimizedFilters.forEach((filter) => { if (filter.symbols) { filter.symbols = [...new Set(filter.symbols)].sort() } }) return optimizedFilters } const httpsAgent = new https.Agent({ keepAlive: true, keepAliveMsecs: 10 * ONE_SEC_IN_MS, maxSockets: 120 }) export const httpsProxyAgent: Agent | undefined = process.env.HTTP_PROXY !== undefined ? new HttpsProxyAgent(process.env.HTTP_PROXY) : process.env.SOCKS_PROXY !== undefined ? new SocksProxyAgent(process.env.SOCKS_PROXY) : undefined const DEFAULT_FETCH_RETRY_LIMIT = 2 type HttpRetryOptions = | number | { limit?: number statusCodes?: number[] maxRetryAfter?: number } type HttpRequestOptions = { headers?: Record body?: string | object timeout?: number retry?: HttpRetryOptions } type HttpResponse = { statusCode: number headers: Record body: string } type JSONResponse = { data: T headers: Record statusCode: number } type RetrySettings = { limit: number maxRetryAfter?: number statusCodes?: Set } function getRetrySettings(method: string, retry?: HttpRetryOptions): RetrySettings { const retryOptions = typeof retry === 'object' ? retry : undefined const retryEnabled = method === 'GET' || retry !== undefined const limit = typeof retry === 'number' ? retry : (retryOptions?.limit ?? (retryEnabled ? DEFAULT_FETCH_RETRY_LIMIT : 0)) return { limit, maxRetryAfter: retryOptions?.maxRetryAfter, statusCodes: retryOptions?.statusCodes ? new Set(retryOptions.statusCodes) : undefined } } function parseResponseHeaders(headers: Headers) { return Object.fromEntries(headers.entries()) } function parseNodeResponseHeaders(headers: Record) { return Object.fromEntries( Object.entries(headers).flatMap(([key, value]) => { if (value === undefined) { return [] } return [[key.toLowerCase(), Array.isArray(value) ? value.join(', ') : value]] }) ) } function createHttpResponse(statusCode: number, headers: Record, body: string): HttpResponse { return { statusCode, headers, body } } function prepareRequest(method: string, options: HttpRequestOptions) { if (options.body === undefined) { return { headers: options.headers, body: undefined } } const headers = { ...options.headers } const body = typeof options.body === 'string' ? options.body : JSON.stringify(options.body) if (method !== 'GET' && headers['Content-Type'] === undefined && headers['content-type'] === undefined) { headers['Content-Type'] = 'application/json' } return { headers, body } } function getRetryAfterDelayMS(headers: Record, maxRetryAfter?: number) { const retryAfterHeader = headers['retry-after'] if (retryAfterHeader === undefined) { return } const parsedSeconds = Number.parseFloat(retryAfterHeader) let delayMS: number | undefined if (Number.isFinite(parsedSeconds)) { delayMS = parsedSeconds * ONE_SEC_IN_MS } else { const parsedDate = Date.parse(retryAfterHeader) if (Number.isFinite(parsedDate)) { delayMS = parsedDate - Date.now() } } if (delayMS === undefined || delayMS < 0) { return } if (maxRetryAfter !== undefined && delayMS > maxRetryAfter) { return } return delayMS } function getRetryDelayMS(attempt: number, headers: Record, maxRetryAfter?: number) { const retryAfterDelayMS = getRetryAfterDelayMS(headers, maxRetryAfter) if (retryAfterDelayMS !== undefined) { return retryAfterDelayMS } return Math.min(250 * 2 ** (attempt - 1), 5000) } function isRetryableStatus(statusCode: number, retrySettings: RetrySettings) { if (retrySettings.statusCodes !== undefined) { return retrySettings.statusCodes.has(statusCode) } return statusCode === 408 || statusCode === 429 || statusCode >= 500 } function shouldRetryHttpStatus(attempt: number, response: HttpResponse, retrySettings: RetrySettings) { return attempt <= retrySettings.limit && isRetryableStatus(response.statusCode, retrySettings) } function shouldRetryHttpError(attempt: number, retrySettings: RetrySettings) { return attempt <= retrySettings.limit } async function requestViaFetch(method: string, url: string, options: HttpRequestOptions): Promise { const controller = new AbortController() const timeoutMS = options.timeout const timeoutId = timeoutMS !== undefined ? setTimeout(() => controller.abort(), timeoutMS) : undefined const preparedRequest = prepareRequest(method, options) try { const response = await fetch(url, { method, headers: preparedRequest.headers, body: preparedRequest.body, signal: controller.signal }) const body = await response.text() return createHttpResponse(response.status, parseResponseHeaders(response.headers), body) } catch (error) { if (controller.signal.aborted) { throw new Error('Request timed out') } throw error } finally { if (timeoutId !== undefined) { clearTimeout(timeoutId) } } } async function requestViaProxy(method: string, url: string, options: HttpRequestOptions): Promise { const requestClient = new URL(url).protocol === 'http:' ? http : https const preparedRequest = prepareRequest(method, options) return await new Promise((resolve, reject) => { const request = requestClient .request( url, { method, agent: httpsProxyAgent, headers: preparedRequest.headers, timeout: options.timeout }, (response) => { response.setEncoding('utf8') let body = '' response.on('error', reject) response.on('data', (chunk) => (body += chunk)) response.on('end', () => { resolve(createHttpResponse(response.statusCode ?? 0, parseNodeResponseHeaders(response.headers), body)) }) } ) .on('error', reject) .on('timeout', () => { reject(new Error('Request timed out')) request.destroy() }) if (preparedRequest.body !== undefined) { request.write(preparedRequest.body) } request.end() }) } async function request(method: string, url: string, options: HttpRequestOptions = {}) { const retrySettings = getRetrySettings(method, options.retry) for (let attempt = 1; ; attempt += 1) { try { const response = httpsProxyAgent === undefined ? await requestViaFetch(method, url, options) : await requestViaProxy(method, url, options) if (response.statusCode >= 200 && response.statusCode < 300) { return response } if (shouldRetryHttpStatus(attempt, response, retrySettings)) { await wait(getRetryDelayMS(attempt, response.headers, retrySettings.maxRetryAfter)) continue } throw new HttpClientError(response, method, url) } catch (error) { if (error instanceof HttpClientError) { throw error } if (shouldRetryHttpError(attempt, retrySettings)) { await wait(Math.min(250 * 2 ** (attempt - 1), 5000)) continue } throw error } } } async function requestJSON(method: string, url: string, options?: HttpRequestOptions): Promise> { const response = await request(method, url, options) return { data: JSON.parse(response.body) as T, headers: response.headers, statusCode: response.statusCode } } export function getJSON(url: string, options?: HttpRequestOptions) { return requestJSON('GET', url, options) } export function postJSON(url: string, options?: HttpRequestOptions) { return requestJSON('POST', url, options) } export async function download({ apiKey, downloadPath, url, userAgent, appendContentEncodingExtension = false, acceptEncoding = 'gzip' }: { url: string downloadPath: string userAgent: string apiKey: string appendContentEncodingExtension?: boolean acceptEncoding?: string }) { const httpRequestOptions = { agent: httpsProxyAgent !== undefined ? httpsProxyAgent : httpsAgent, timeout: 90 * ONE_SEC_IN_MS, headers: { 'Accept-Encoding': acceptEncoding, 'User-Agent': userAgent, Authorization: apiKey ? `Bearer ${apiKey}` : '' } } const MAX_ATTEMPTS = 30 let attempts = 0 while (true) { // simple retry logic when fetching from the network... attempts++ try { const addRetryAttempt = attempts - 1 > 0 && url.endsWith('gz') if (addRetryAttempt) { return await _downloadFile(httpRequestOptions, `${url}?retryAttempt=${attempts - 1}`, downloadPath, appendContentEncodingExtension) } else { return await _downloadFile(httpRequestOptions, url, downloadPath, appendContentEncodingExtension) } } catch (error) { const unsupportedDataFeedEncoding = error instanceof Error && error.message.startsWith('Unsupported data feed content encoding') const badOrUnauthorizedRequest = error instanceof HttpError && ((error.status === 400 && error.message.includes('ISO 8601 format') === false) || error.status === 401) const tooManyRequests = error instanceof HttpError && error.status === 429 const internalServiceError = error instanceof HttpError && error.status === 500 // do not retry when we've got bad or unauthorized request or enough attempts if (unsupportedDataFeedEncoding || badOrUnauthorizedRequest || attempts === MAX_ATTEMPTS) { throw error } const randomIngridient = Math.random() * 500 const attemptsDelayMS = Math.min(Math.pow(2, attempts) * ONE_SEC_IN_MS, 120 * ONE_SEC_IN_MS) let nextAttemptDelayMS = randomIngridient + attemptsDelayMS if (tooManyRequests) { // when too many requests received wait one minute nextAttemptDelayMS += 60 * ONE_SEC_IN_MS } if (internalServiceError) { nextAttemptDelayMS = nextAttemptDelayMS * 2 } debug('download file error: %o, next attempt delay: %d, url %s, path: %s', error, nextAttemptDelayMS, url, downloadPath) await wait(nextAttemptDelayMS) } } } const tmpFileCleanups = new Map void>() export function cleanTempFiles() { tmpFileCleanups.forEach((cleanup) => cleanup()) } async function _downloadFile(requestOptions: RequestOptions, url: string, downloadPath: string, appendContentEncodingExtension: boolean) { // first ensure that directory where we want to download file exists mkdirSync(path.dirname(downloadPath), { recursive: true }) // create write file stream that we'll write data into - first as unconfirmed temp file const tmpFilePath = `${downloadPath}${crypto.randomBytes(8).toString('hex')}.unconfirmed` const fileWriteStream = createWriteStream(tmpFilePath) const cleanup = () => { try { fileWriteStream.destroy() rmSync(tmpFilePath, { force: true }) } catch {} } tmpFileCleanups.set(tmpFilePath, cleanup) let finalDownloadPath = downloadPath try { // based on https://github.com/nodejs/node/issues/28172 - only reliable way to consume response stream and avoiding all the 'gotchas' let responseHeaders: Record = {} await new Promise((resolve, reject) => { const req = https .get(url, requestOptions, (res) => { const { statusCode } = res if (statusCode !== 200) { // read the error response text and throw it as an HttpError res.setEncoding('utf8') let body = '' res.on('error', reject) res.on('data', (chunk) => (body += chunk)) res.on('end', () => { reject(new HttpError(statusCode!, body, url)) }) } else { responseHeaders = parseNodeResponseHeaders(res.headers) if (appendContentEncodingExtension) { const contentEncoding = asSingleHeaderValue(res.headers['content-encoding']) if (contentEncoding === 'zstd') { finalDownloadPath = `${downloadPath}.zst` } else if (contentEncoding === undefined || contentEncoding === 'gzip') { finalDownloadPath = `${downloadPath}.gz` } else { reject(new Error(`Unsupported data feed content encoding: ${contentEncoding}`)) return } } // consume the response stream by writing it to the file res .on('error', reject) .on('aborted', () => reject(new Error('Request aborted'))) .pipe(fileWriteStream) .on('error', reject) .on('finish', () => { if (res.complete) { resolve() } else { reject(new Error('The connection was terminated while the message was still being sent')) } }) } }) .on('error', reject) .on('timeout', () => { debug('download file request timeout, %s', url) reject(new Error('Request timed out')) req.destroy() }) }) // finally when saving from the network to file has succeded, rename tmp file to normal name // then we're sure that responses is 100% saved and also even if different process was doing the same we're good await rename(tmpFilePath, finalDownloadPath) return { downloadPath: finalDownloadPath, headers: responseHeaders } } finally { tmpFileCleanups.delete(tmpFilePath) cleanup() } } function asSingleHeaderValue(headerValue: string | string[] | undefined) { if (Array.isArray(headerValue)) { return headerValue[0] } return headerValue } export class CircularBuffer { private _buffer: T[] = [] private _index: number = 0 constructor(private readonly _bufferSize: number) {} append(value: T) { const isFull = this._buffer.length === this._bufferSize let poppedValue if (isFull) { poppedValue = this._buffer[this._index] } this._buffer[this._index] = value this._index = (this._index + 1) % this._bufferSize return poppedValue } *items() { for (let i = 0; i < this._buffer.length; i++) { const index = (this._index + i) % this._buffer.length yield this._buffer[index] } } get count() { return this._buffer.length } clear() { this._buffer = [] this._index = 0 } } export class CappedSet { private _set = new Set() constructor(private readonly _maxSize: number) {} public has(value: T) { return this._set.has(value) } public add(value: T) { if (this._set.size >= this._maxSize) { this._set.delete(this._set.keys().next().value!) } this._set.add(value) } public remove(value: T) { this._set.delete(value) } public size() { return this._set.size } } function hasFraction(n: number) { return Math.abs(Math.round(n) - n) > 1e-10 } // https://stackoverflow.com/a/44815797 export function decimalPlaces(n: number) { let count = 0 // multiply by increasing powers of 10 until the fractional part is ~ 0 while (hasFraction(n * 10 ** count) && isFinite(10 ** count)) count++ return count } /** * Parses optional numeric fields where: * * `0` **is valid and preserved** * * `undefined`, `null`, `NaN`, `Infinity`, and `-Infinity` are treated as not valid and mapped to `undefined` * * Use for nullable/optional numeric fields such as open interest, funding rates, and greeks. */ export function asNumberOrUndefined(val: string | number | undefined | null) { if (val === undefined || val === null || val === '') { return } if (typeof val === 'number') { return Number.isFinite(val) ? val : undefined } const asNumber = Number(val) return Number.isFinite(asNumber) ? asNumber : undefined } /** * Parses optional numeric fields where: * * `0`, `undefined`, `null`, `NaN`, `Infinity`, and `-Infinity` are treated as not valid and mapped to `undefined`. * * Use for empty quote/top-of-book values that exchanges encode as zero. */ export function asNonZeroNumberOrUndefined(val: string | number | undefined | null) { if (val === undefined || val === null || val === '' || val === 0) { return } if (typeof val === 'number') { return Number.isFinite(val) ? val : undefined } const asNumber = Number(val) return Number.isFinite(asNumber) && asNumber !== 0 ? asNumber : undefined } export function upperCaseSymbols(symbols?: string[]) { if (symbols !== undefined) { return symbols.map((s) => s.toUpperCase()) } return } export function lowerCaseSymbols(symbols?: string[]) { if (symbols !== undefined) { return symbols.map((s) => s.toLowerCase()) } return } export const fromMicroSecondsToDate = (micros: number) => { const isMicroseconds = micros > 1e15 // Check if the number is likely in microseconds if (!isMicroseconds) { return new Date(micros) } const timestamp = new Date(micros / 1000) timestamp.μs = micros % 1000 return timestamp } export function onlyUnique(value: string, index: number, array: string[]) { return array.indexOf(value) === index }