feat: Add additional WebSocket message types (#606)

src/client/WebSocketClient.test.ts

@@ -2,6 +2,13 @@ import WebSocket = require('ws');
 import tickerBTCUSD from '../test/fixtures/ws/ticker/BTC-USD.json';
 import statusPayload from '../test/fixtures/ws/status/status.json';
 import matchesBTCUSD from '../test/fixtures/ws/matches/BTC-USD.json';
+import l2snapshotBTCUSD from '../test/fixtures/ws/level2/snapshot.json';
+import l2updateBTCUSD from '../test/fixtures/ws/level2/l2update.json';
+import fullReceivedLimitBTCUSD from '../test/fixtures/ws/full/received-limit.json';
+import fullActivateBTCUSD from '../test/fixtures/ws/full/activate.json';
+import fullOpenBTCUSD from '../test/fixtures/ws/full/open.json';
+import fullDoneBTCUSD from '../test/fixtures/ws/full/done.json';
+import fullChangeBTCUSD from '../test/fixtures/ws/full/change.json';
 import emptySubscriptions from '../test/fixtures/ws/empty-subscriptions.json';
 import {
   WebSocketChannelName,
@@ -205,6 +212,129 @@ describe('WebSocketClient', () => {
       ws.connect();
     });
 
+    it('receives typed "snapshot" messages from "level2" channel', done => {
+      const channel = {
+        name: WebSocketChannelName.LEVEL2,
+        product_ids: ['BTC-USD'],
+      };
+
+      const ws = mockWebSocketResponse(done, channel, l2snapshotBTCUSD);
+
+      ws.on(WebSocketEvent.ON_MESSAGE_L2SNAPSHOT, snapshotMessage => {
+        expect<number>(snapshotMessage.asks.length).toBe(10);
+        expect(snapshotMessage.asks[0]).toEqual(['47009.28', '0.00100000']);
+        expect<number>(snapshotMessage.bids.length).toBe(10);
+        ws.unsubscribe(channel);
+      });
+
+      ws.connect();
+    });
+
+    it('receives typed "l2update" messages from "level2" channel', done => {
+      const channel = {
+        name: WebSocketChannelName.LEVEL2,
+        product_ids: ['BTC-USD'],
+      };
+
+      const ws = mockWebSocketResponse(done, channel, l2updateBTCUSD);
+
+      ws.on(WebSocketEvent.ON_MESSAGE_L2UPDATE, updateMessage => {
+        expect<number>(updateMessage.changes.length).toBe(5);
+        expect(updateMessage.changes[0]).toEqual(['buy', '46961.95', '0.00000000']);
+        expect(updateMessage.changes[1]).toEqual(['sell', '47027.24', '0.04443115']);
+        ws.unsubscribe(channel);
+      });
+
+      ws.connect();
+    });
+
+    it('receives typed "activate" messages from "full" channel', done => {
+      const channel = {
+        name: WebSocketChannelName.FULL,
+        product_ids: ['BTC-USD'],
+      };
+
+      const ws = mockWebSocketResponse(done, channel, fullActivateBTCUSD);
+
+      ws.on(WebSocketEvent.ON_MESSAGE_FULL_ACTIVATE, message => {
+        expect(message.profile_id).toBe('30000727-d308-cf50-7b1c-c06deb1934fc');
+        expect(message.private).toBe(true);
+        expect(message.stop_type).toBe('entry');
+        ws.unsubscribe(channel);
+      });
+
+      ws.connect();
+    });
+
+    it('receives typed "received" messages from "full" channel', done => {
+      const channel = {
+        name: WebSocketChannelName.FULL,
+        product_ids: ['BTC-USD'],
+      };
+
+      const ws = mockWebSocketResponse(done, channel, fullReceivedLimitBTCUSD);
+
+      ws.on(WebSocketEvent.ON_MESSAGE_FULL_RECEIVED, message => {
+        expect(message.order_type).toBe('limit');
+        expect(message.order_id).toBe('d50ec984-77a8-460a-b958-66f114b0de9b');
+        ws.unsubscribe(channel);
+      });
+
+      ws.connect();
+    });
+
+    it('receives typed "open" messages from "full" channel', done => {
+      const channel = {
+        name: WebSocketChannelName.FULL,
+        product_ids: ['BTC-USD'],
+      };
+
+      const ws = mockWebSocketResponse(done, channel, fullOpenBTCUSD);
+
+      ws.on(WebSocketEvent.ON_MESSAGE_FULL_OPEN, message => {
+        expect(message.profile_id).toBe(undefined);
+        expect(message.remaining_size).toBe('1.00');
+        ws.unsubscribe(channel);
+      });
+
+      ws.connect();
+    });
+
+    it('receives typed "done" messages from "full" channel', done => {
+      const channel = {
+        name: WebSocketChannelName.FULL,
+        product_ids: ['BTC-USD'],
+      };
+
+      const ws = mockWebSocketResponse(done, channel, fullDoneBTCUSD);
+
+      ws.on(WebSocketEvent.ON_MESSAGE_FULL_DONE, message => {
+        expect(message.profile_id).toBe(undefined);
+        expect(message.remaining_size).toBe('0');
+        expect(message.reason).toBe('filled');
+        ws.unsubscribe(channel);
+      });
+
+      ws.connect();
+    });
+
+    it('receives typed "change" messages from "full" channel', done => {
+      const channel = {
+        name: WebSocketChannelName.FULL,
+        product_ids: ['BTC-USD'],
+      };
+
+      const ws = mockWebSocketResponse(done, channel, fullChangeBTCUSD);
+
+      ws.on(WebSocketEvent.ON_MESSAGE_FULL_CHANGE, message => {
+        expect(message.new_size).toBe('5.23512');
+        expect(message.old_size).toBe('12.234412');
+        ws.unsubscribe(channel);
+      });
+
+      ws.connect();
+    });
+
     it('receives typed "ticker" messages from the special "ticker_1000" channel', done => {
       const channel = {
         name: WebSocketChannelName.TICKER_1000,

src/client/WebSocketClient.ts

@@ -130,21 +130,31 @@ type WebSocketMessage =
   | WebSocketStatusMessage
   | WebSocketTickerMessage
   | WebSocketMatchMessage
-  | WebSocketErrorMessage;
+  | WebSocketErrorMessage
+  | WebSocketLastMatchMessage
+  | WebSocketL2SnapshotMessage
+  | WebSocketL2UpdateMessage
+  | WebSocketFullReceivedMessage
+  | WebSocketFullOpenMessage
+  | WebSocketFullDoneMessage
+  | WebSocketFullChangeMessage
+  | WebSocketFullActivateMessage;
 
 export interface WebSocketErrorMessage {
   message: string;
   reason: string;
   type: WebSocketResponseType.ERROR;
 }
 
-export interface WebSocketMatchMessage {
+export interface WebSocketMatchMessage extends WebSocketUserMessage {
+  maker_fee_rate?: string;
   maker_order_id: UUID_V4;
   price: string;
   product_id: string;
   sequence: number;
   side: OrderSide;
   size: string;
+  taker_fee_rate?: string;
   taker_order_id: UUID_V4;
   time: ISO_8601_MS_UTC;
   trade_id: number;
@@ -185,6 +195,88 @@ export interface WebSocketTickerMessage {
   volume_30d: string;
 }
 
+export interface WebSocketL2SnapshotMessage {
+  asks: [string, string][];
+  bids: [string, string][];
+  product_id: string;
+  type: WebSocketResponseType.LEVEL2_SNAPSHOT;
+}
+
+export interface WebSocketL2UpdateMessage {
+  changes: [string, string, string][];
+  product_id: string;
+  type: WebSocketResponseType.LEVEL2_UPDATE;
+}
+
+export interface WebSocketFullReceivedMessage extends WebSocketUserMessage {
+  client_oid: string;
+  funds?: string;
+  order_id: string;
+  order_type: 'limit' | 'market';
+  price?: string;
+  product_id: string;
+  sequence: number;
+  side: OrderSide;
+  size?: string;
+  time: ISO_8601_MS_UTC;
+  type: WebSocketResponseType.FULL_RECEIVED;
+}
+
+export interface WebSocketFullOpenMessage extends WebSocketUserMessage {
+  order_id: string;
+  price: string;
+  product_id: string;
+  remaining_size: string;
+  sequence: number;
+  side: OrderSide;
+  time: ISO_8601_MS_UTC;
+  type: WebSocketResponseType.FULL_OPEN;
+}
+
+export interface WebSocketFullDoneMessage extends WebSocketUserMessage {
+  order_id: string;
+  price: string;
+  product_id: string;
+  reason: 'filled' | 'canceled';
+  remaining_size: string;
+  sequence: number;
+  side: OrderSide;
+  time: ISO_8601_MS_UTC;
+  type: WebSocketResponseType.FULL_DONE;
+}
+
+export interface WebSocketFullChangeMessage extends WebSocketUserMessage {
+  new_funds?: string;
+  new_size?: string;
+  old_funds?: string;
+  old_size?: string;
+  order_id: string;
+  price: string;
+  product_id: string;
+  sequence: number;
+  side: OrderSide;
+  time: ISO_8601_MS_UTC;
+  type: WebSocketResponseType.FULL_CHANGE;
+}
+
+export interface WebSocketFullActivateMessage extends WebSocketUserMessage {
+  funds: string;
+  order_id: string;
+  private: boolean;
+  product_id: string;
+  side: OrderSide;
+  size: string;
+  stop_price: string;
+  stop_type: string;
+  timestamp: string;
+  type: WebSocketResponseType.FULL_ACTIVATE;
+}
+
+interface WebSocketUserMessage {
+  profile_id?: string;
+  user_id?: string;
+}
+
 export type WebSocketLastMatchMessage = Omit<WebSocketMatchMessage, 'type'> & {type: WebSocketResponseType.LAST_MATCH};
 
 export interface WebSocketSubscription {
@@ -197,6 +289,13 @@ export enum WebSocketEvent {
   ON_ERROR = 'WebSocketEvent.ON_ERROR',
   ON_MESSAGE = 'WebSocketEvent.ON_MESSAGE',
   ON_MESSAGE_ERROR = 'WebSocketEvent.ON_MESSAGE_ERROR',
+  ON_MESSAGE_FULL_ACTIVATE = 'WebSocketEvent.ON_MESSAGE_FULL_ACTIVATE',
+  ON_MESSAGE_FULL_CHANGE = 'WebSocketEvent.ON_MESSAGE_FULL_CHANGE',
+  ON_MESSAGE_FULL_DONE = 'WebSocketEvent.ON_MESSAGE_FULL_DONE',
+  ON_MESSAGE_FULL_OPEN = 'WebSocketEvent.ON_MESSAGE_FULL_OPEN',
+  ON_MESSAGE_FULL_RECEIVED = 'WebSocketEvent.ON_MESSAGE_FULL_RECEIVED',
+  ON_MESSAGE_L2SNAPSHOT = 'WebSocketEvent.ON_MESSAGE_L2SNAPSHOT',
+  ON_MESSAGE_L2UPDATE = 'WebSocketEvent.ON_MESSAGE_L2UPDATE',
   ON_MESSAGE_MATCHES = 'WebSocketEvent.ON_MESSAGE_MATCHES',
   ON_MESSAGE_STATUS = 'WebSocketEvent.ON_MESSAGE_STATUS',
   ON_MESSAGE_TICKER = 'WebSocketEvent.ON_MESSAGE_TICKER',
@@ -224,6 +323,26 @@ export interface WebSocketClient {
 
   on(event: WebSocketEvent.ON_SUBSCRIPTION_UPDATE, listener: (subscriptions: WebSocketSubscription) => void): this;
 
+  on(event: WebSocketEvent.ON_MESSAGE_L2SNAPSHOT, listener: (subscriptions: WebSocketL2SnapshotMessage) => void): this;
+
+  on(event: WebSocketEvent.ON_MESSAGE_L2UPDATE, listener: (subscriptions: WebSocketL2UpdateMessage) => void): this;
+
+  on(
+    event: WebSocketEvent.ON_MESSAGE_FULL_RECEIVED,
+    listener: (subscriptions: WebSocketFullReceivedMessage) => void
+  ): this;
+
+  on(event: WebSocketEvent.ON_MESSAGE_FULL_OPEN, listener: (subscriptions: WebSocketFullOpenMessage) => void): this;
+
+  on(event: WebSocketEvent.ON_MESSAGE_FULL_DONE, listener: (subscriptions: WebSocketFullDoneMessage) => void): this;
+
+  on(event: WebSocketEvent.ON_MESSAGE_FULL_CHANGE, listener: (subscriptions: WebSocketFullChangeMessage) => void): this;
+
+  on(
+    event: WebSocketEvent.ON_MESSAGE_FULL_ACTIVATE,
+    listener: (subscriptions: WebSocketFullActivateMessage) => void
+  ): this;
+
   on(event: WebSocketEvent.ON_OPEN, listener: (event: Event) => void): this;
 }
 
@@ -303,6 +422,27 @@ export class WebSocketClient extends EventEmitter {
         case WebSocketResponseType.LAST_MATCH:
           this.emit(WebSocketEvent.ON_MESSAGE_MATCHES, response);
           break;
+        case WebSocketResponseType.LEVEL2_SNAPSHOT:
+          this.emit(WebSocketEvent.ON_MESSAGE_L2SNAPSHOT, response);
+          break;
+        case WebSocketResponseType.LEVEL2_UPDATE:
+          this.emit(WebSocketEvent.ON_MESSAGE_L2UPDATE, response);
+          break;
+        case WebSocketResponseType.FULL_RECEIVED:
+          this.emit(WebSocketEvent.ON_MESSAGE_FULL_RECEIVED, response);
+          break;
+        case WebSocketResponseType.FULL_OPEN:
+          this.emit(WebSocketEvent.ON_MESSAGE_FULL_OPEN, response);
+          break;
+        case WebSocketResponseType.FULL_DONE:
+          this.emit(WebSocketEvent.ON_MESSAGE_FULL_DONE, response);
+          break;
+        case WebSocketResponseType.FULL_CHANGE:
+          this.emit(WebSocketEvent.ON_MESSAGE_FULL_CHANGE, response);
+          break;
+        case WebSocketResponseType.FULL_ACTIVATE:
+          this.emit(WebSocketEvent.ON_MESSAGE_FULL_ACTIVATE, response);
+          break;
       }
     };
 

src/test/fixtures/ws/full/activate.json

@@ -0,0 +1,14 @@
+{
+  "type": "activate",
+  "product_id": "BTC-USD",
+  "timestamp": "1483736448.299000",
+  "user_id": "12",
+  "profile_id": "30000727-d308-cf50-7b1c-c06deb1934fc",
+  "order_id": "7b52009b-64fd-0a2a-49e6-d8a939753077",
+  "stop_type": "entry",
+  "side": "buy",
+  "stop_price": "80",
+  "size": "2",
+  "funds": "50",
+  "private": true
+}

src/test/fixtures/ws/full/change.json

@@ -0,0 +1,11 @@
+{
+  "type": "change",
+  "time": "2014-11-07T08:19:27.028459Z",
+  "sequence": 80,
+  "order_id": "ac928c66-ca53-498f-9c13-a110027a60e8",
+  "product_id": "BTC-USD",
+  "new_size": "5.23512",
+  "old_size": "12.234412",
+  "price": "400.23",
+  "side": "sell"
+}

src/test/fixtures/ws/full/done.json

@@ -0,0 +1,11 @@
+{
+  "type": "done",
+  "time": "2014-11-07T08:19:27.028459Z",
+  "product_id": "BTC-USD",
+  "sequence": 10,
+  "price": "200.2",
+  "order_id": "d50ec984-77a8-460a-b958-66f114b0de9b",
+  "reason": "filled",
+  "side": "sell",
+  "remaining_size": "0"
+}

src/test/fixtures/ws/full/open.json

@@ -0,0 +1,10 @@
+{
+  "type": "open",
+  "time": "2014-11-07T08:19:27.028459Z",
+  "product_id": "BTC-USD",
+  "sequence": 10,
+  "order_id": "d50ec984-77a8-460a-b958-66f114b0de9b",
+  "price": "200.2",
+  "remaining_size": "1.00",
+  "side": "sell"
+}

src/test/fixtures/ws/full/received-limit.json

@@ -0,0 +1,11 @@
+{
+  "type": "received",
+  "time": "2014-11-07T08:19:27.028459Z",
+  "product_id": "BTC-USD",
+  "sequence": 10,
+  "order_id": "d50ec984-77a8-460a-b958-66f114b0de9b",
+  "size": "1.34",
+  "price": "502.1",
+  "side": "buy",
+  "order_type": "limit"
+}