Skip to content

Commit

Permalink
Merge pull request #18675 from Dan-krm/deltaFetchSettlementHistory
Browse files Browse the repository at this point in the history 
Delta: fetchSettlementHistory, createExpiredOptionMarket
  • Loading branch information
@kroitor
kroitor committed Jul 27, 2023
2 parents a790791 + 842c334 commit 7fce1ad
Showing 1 changed file with 264 additions and 0 deletions.
264 changes: 264 additions & 0 deletions ts/src/delta.ts
View file
Original file line number Diff line number Diff line change
Expand Up @@ -58,6 +58,7 @@ export default class delta extends Exchange {
'fetchPosition': true,
'fetchPositionMode': false,
'fetchPositions': true,
'fetchSettlementHistory': true,
'fetchStatus': true,
'fetchTicker': true,
'fetchTickers': true,
Expand Down Expand Up @@ -229,6 +230,108 @@ export default class delta extends Exchange {
});
}

convertExpireDate (date) {
// parse YYMMDD to timestamp
const year = date.slice (0, 2);
const month = date.slice (2, 4);
const day = date.slice (4, 6);
const reconstructedDate = '20' + year + '-' + month + '-' + day + 'T00:00:00Z';
return reconstructedDate;
}

createExpiredOptionMarket (symbol) {
// support expired option contracts
const quote = 'USDT';
const optionParts = symbol.split ('-');
const symbolBase = symbol.split ('/');
let base = undefined;
let expiry = undefined;
let optionType = undefined;
if (symbol.indexOf ('/') > -1) {
base = this.safeString (symbolBase, 0);
expiry = this.safeString (optionParts, 1);
optionType = this.safeString (optionParts, 3);
} else {
base = this.safeString (optionParts, 1);
expiry = this.safeString (optionParts, 3);
optionType = this.safeString (optionParts, 0);
}
const settle = quote;
const strike = this.safeString (optionParts, 2);
const datetime = this.convertExpireDate (expiry);
const timestamp = this.parse8601 (datetime);
return {
'id': optionType + '-' + base + '-' + strike + '-' + expiry,
'symbol': base + '/' + quote + ':' + settle + '-' + expiry + '-' + strike + '-' + optionType,
'base': base,
'quote': quote,
'settle': settle,
'baseId': base,
'quoteId': quote,
'settleId': settle,
'active': false,
'type': 'option',
'linear': undefined,
'inverse': undefined,
'spot': false,
'swap': false,
'future': false,
'option': true,
'margin': false,
'contract': true,
'contractSize': this.parseNumber ('1'),
'expiry': timestamp,
'expiryDatetime': datetime,
'optionType': (optionType === 'C') ? 'call' : 'put',
'strike': this.parseNumber (strike),
'precision': {
'amount': undefined,
'price': undefined,
},
'limits': {
'amount': {
'min': undefined,
'max': undefined,
},
'price': {
'min': undefined,
'max': undefined,
},
'cost': {
'min': undefined,
'max': undefined,
},
},
'info': undefined,
};
}

market (symbol) {
if (this.markets === undefined) {
throw new ExchangeError (this.id + ' markets not loaded');
}
if (typeof symbol === 'string') {
if (symbol in this.markets) {
return this.markets[symbol];
} else if (symbol in this.markets_by_id) {
const markets = this.markets_by_id[symbol];
return markets[0];
} else if ((symbol.indexOf ('-C') > -1) || (symbol.indexOf ('-P') > -1) || (symbol.indexOf ('C')) || (symbol.indexOf ('P'))) {
return this.createExpiredOptionMarket (symbol);
}
}
throw new BadSymbol (this.id + ' does not have market symbol ' + symbol);
}

safeMarket (marketId = undefined, market = undefined, delimiter = undefined, marketType = undefined) {
const isOption = (marketId !== undefined) && ((marketId.indexOf ('-C') > -1) || (marketId.indexOf ('-P') > -1) || (marketId.indexOf ('C')) || (marketId.indexOf ('P')));
if (isOption && !(marketId in this.markets_by_id)) {
// handle expired option contracts
return this.createExpiredOptionMarket (marketId);
}
return super.safeMarket (marketId, market, delimiter, marketType);
}

async fetchTime (params = {}) {
/**
* @method
Expand Down Expand Up @@ -2740,6 +2843,167 @@ export default class delta extends Exchange {
return await this.privatePostProductsProductIdOrdersLeverage (this.extend (request, params));
}

async fetchSettlementHistory (symbol: string = undefined, since: Int = undefined, limit: Int = undefined, params = {}) {
/**
* @method
* @name delta#fetchSettlementHistory
* @description fetches historical settlement records
* @see https://docs.delta.exchange/#get-product-settlement-prices
* @param {string} symbol unified market symbol of the settlement history
* @param {int} [since] timestamp in ms
* @param {int} [limit] number of records
* @param {object} [params] exchange specific params
* @returns {object[]} a list of [settlement history objects]
*/
await this.loadMarkets ();
let market = undefined;
if (symbol !== undefined) {
market = this.market (symbol);
}
const request = {
'states': 'expired',
};
if (limit !== undefined) {
request['page_size'] = limit;
}
const response = await this.publicGetProducts (this.extend (request, params));
//
// {
// "result": [
// {
// "contract_value": "0.001",
// "basis_factor_max_limit": "10.95",
// "maker_commission_rate": "0.0003",
// "launch_time": "2023-07-19T04:30:03Z",
// "trading_status": "operational",
// "product_specs": {
// "backup_vol_expiry_time": 31536000,
// "max_deviation_from_external_vol": 0.75,
// "max_lower_deviation_from_external_vol": 0.75,
// "max_upper_deviation_from_external_vol": 0.5,
// "max_volatility": 3,
// "min_volatility": 0.1,
// "premium_commission_rate": 0.1,
// "settlement_index_price": "29993.536675710806",
// "vol_calculation_method": "orderbook",
// "vol_expiry_time": 31536000
// },
// "description": "BTC call option expiring on 19-7-2023",
// "settlement_price": "0",
// "disruption_reason": null,
// "settling_asset": {},
// "initial_margin": "1",
// "tick_size": "0.1",
// "maintenance_margin": "0.5",
// "id": 117542,
// "notional_type": "vanilla",
// "ui_config": {},
// "contract_unit_currency": "BTC",
// "symbol": "C-BTC-30900-190723",
// "insurance_fund_margin_contribution": "1",
// "price_band": "2",
// "annualized_funding": "10.95",
// "impact_size": 200,
// "contract_type": "call_options",
// "position_size_limit": 255633,
// "max_leverage_notional": "200000",
// "initial_margin_scaling_factor": "0.000002",
// "strike_price": "30900",
// "is_quanto": false,
// "settlement_time": "2023-07-19T12:00:00Z",
// "liquidation_penalty_factor": "0.5",
// "funding_method": "mark_price",
// "taker_commission_rate": "0.0003",
// "default_leverage": "100.000000000000000000",
// "state": "expired",
// "auction_start_time": null,
// "short_description": "BTC Call",
// "quoting_asset": {},
// "maintenance_margin_scaling_factor":"0.000002"
// }
// ],
// "success": true
// }
//
const result = this.safeValue (response, 'result', []);
const settlements = this.parseSettlements (result, market);
const sorted = this.sortBy (settlements, 'timestamp');
return this.filterBySymbolSinceLimit (sorted, market['symbol'], since, limit);
}

parseSettlement (settlement, market) {
//
// {
// "contract_value": "0.001",
// "basis_factor_max_limit": "10.95",
// "maker_commission_rate": "0.0003",
// "launch_time": "2023-07-19T04:30:03Z",
// "trading_status": "operational",
// "product_specs": {
// "backup_vol_expiry_time": 31536000,
// "max_deviation_from_external_vol": 0.75,
// "max_lower_deviation_from_external_vol": 0.75,
// "max_upper_deviation_from_external_vol": 0.5,
// "max_volatility": 3,
// "min_volatility": 0.1,
// "premium_commission_rate": 0.1,
// "settlement_index_price": "29993.536675710806",
// "vol_calculation_method": "orderbook",
// "vol_expiry_time": 31536000
// },
// "description": "BTC call option expiring on 19-7-2023",
// "settlement_price": "0",
// "disruption_reason": null,
// "settling_asset": {},
// "initial_margin": "1",
// "tick_size": "0.1",
// "maintenance_margin": "0.5",
// "id": 117542,
// "notional_type": "vanilla",
// "ui_config": {},
// "contract_unit_currency": "BTC",
// "symbol": "C-BTC-30900-190723",
// "insurance_fund_margin_contribution": "1",
// "price_band": "2",
// "annualized_funding": "10.95",
// "impact_size": 200,
// "contract_type": "call_options",
// "position_size_limit": 255633,
// "max_leverage_notional": "200000",
// "initial_margin_scaling_factor": "0.000002",
// "strike_price": "30900",
// "is_quanto": false,
// "settlement_time": "2023-07-19T12:00:00Z",
// "liquidation_penalty_factor": "0.5",
// "funding_method": "mark_price",
// "taker_commission_rate": "0.0003",
// "default_leverage": "100.000000000000000000",
// "state": "expired",
// "auction_start_time": null,
// "short_description": "BTC Call",
// "quoting_asset": {},
// "maintenance_margin_scaling_factor":"0.000002"
// }
//
const datetime = this.safeString (settlement, 'settlement_time');
const marketId = this.safeString (settlement, 'symbol');
return {
'info': settlement,
'symbol': this.safeSymbol (marketId, market),
'price': this.safeNumber (settlement, 'settlement_price'),
'timestamp': this.parse8601 (datetime),
'datetime': datetime,
};
}

parseSettlements (settlements, market) {
const result = [];
for (let i = 0; i < settlements.length; i++) {
result.push (this.parseSettlement (settlements[i], market));
}
return result;
}

sign (path, api = 'public', method = 'GET', params = {}, headers = undefined, body = undefined) {
const requestPath = '/' + this.version + '/' + this.implodeParams (path, params);
let url = this.urls['api'][api] + requestPath;
Expand Down

0 comments on commit 7fce1ad

Please sign in to comment.