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iex-ws.ts
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iex-ws.ts
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import { WebSocketTransport } from '@chainlink/external-adapter-framework/transports/websocket'
import { BaseEndpointTypes } from '../endpoint/iex'
import { TiingoWebsocketTransport } from './utils'
interface Message {
service: string
messageType: string
data: [
string,
string,
number,
string,
number,
number,
number,
number,
number,
number,
number,
number,
number,
number,
number,
number,
]
}
const dateIndex = 1
const tickerIndex = 3
const priceIndexMap = {
lastTrade: 9,
quote: 6,
}
const updateTypeMap = {
lastTrade: 'T',
quote: 'Q',
}
type WsTransportTypes = BaseEndpointTypes & {
Provider: {
WsMessage: Message
}
}
/*
Tiingo EA currently does not receive asset prices during off-market hours. When a heartbeat message is received during these hours,
we update the TTL of cache entries that EA is requested to provide a price during off-market hours.
*/
const updateTTL = async (transport: WebSocketTransport<WsTransportTypes>, ttl: number) => {
const params = await transport.subscriptionSet.getAll()
transport.responseCache.writeTTL(transport.name, params, ttl)
}
export const wsTransport: TiingoWebsocketTransport<WsTransportTypes> =
new TiingoWebsocketTransport<WsTransportTypes>({
url: (context) => {
wsTransport.apiKey = context.adapterSettings.API_KEY
return `${context.adapterSettings.WS_API_ENDPOINT}/iex`
},
handlers: {
message(message, context) {
// Check for a heartbeat message, refresh the TTLs of all requested entries in the cache
if (message.messageType === 'H') {
wsTransport.lastMessageReceivedAt = Date.now()
updateTTL(wsTransport, context.adapterSettings.CACHE_MAX_AGE)
return []
}
const updateType = message.data[0]
// Expects Last Trade (T) or Quote (Q) messages
if (
!message?.data?.length ||
message.messageType !== 'A' ||
(updateType !== updateTypeMap.lastTrade && updateType !== updateTypeMap.quote)
) {
return []
}
let result: number
if (updateType === updateTypeMap.lastTrade) {
result = message.data[priceIndexMap.lastTrade] as number
} else {
result = message.data[priceIndexMap.quote] as number
}
return [
{
params: { base: message.data[tickerIndex] },
response: {
data: {
result,
},
result,
timestamps: {
providerIndicatedTimeUnixMs: new Date(message.data[dateIndex]).getTime(),
},
},
},
]
},
},
builders: {
subscribeMessage: (params) => {
return {
eventName: 'subscribe',
authorization: wsTransport.apiKey,
eventData: { thresholdLevel: 5, tickers: [params.base] },
}
},
unsubscribeMessage: (params) => {
return {
eventName: 'unsubscribe',
authorization: wsTransport.apiKey,
eventData: { thresholdLevel: 5, tickers: [params.base] },
}
},
},
})