[OPDATA-4255] DBAG Tadegate v2

.changeset/late-queens-check.md

@@ -0,0 +1,5 @@
+---
+'@chainlink/deutsche-boerse-adapter': minor
+---
+
+Split the endpoints and added support for tradegate

packages/sources/deutsche-boerse/src/endpoint/index.ts

@@ -1 +1,2 @@
 export { endpoint as lwba } from './lwba'
+export { endpoint as price } from './price'

packages/sources/deutsche-boerse/src/endpoint/lwba.ts

@@ -1,9 +1,9 @@
-import { AdapterEndpoint } from '@chainlink/external-adapter-framework/adapter'
+import { AdapterEndpoint } from '@chainlink/external-adapter-framework/adapter/endpoint'
 import { InputParameters } from '@chainlink/external-adapter-framework/validation'
 import { config } from '../config'
-import { wsTransport } from '../transport/lwba'
+import { lwbaProtobufWsTransport } from '../transport/lwba'
 
-export const MARKETS = ['md-xetraetfetp'] as const
+export const MARKETS = ['md-xetraetfetp', 'md-tradegate'] as const
 export type Market = (typeof MARKETS)[number]
 
 export const inputParameters = new InputParameters(
@@ -30,27 +30,26 @@ export const inputParameters = new InputParameters(
   ],
 )
 
-interface LwbaLatestPriceResponse {
+interface LwbaResponse {
   Result: number | null
   Data: {
     mid: number
     bid: number
     ask: number
-    latestPrice: number
-    quoteProviderIndicatedTimeUnixMs: number
-    tradeProviderIndicatedTimeUnixMs: number
+    bidSize: number
+    askSize: number
   }
 }
 
 export type BaseEndpointTypes = {
   Parameters: typeof inputParameters.definition
-  Response: LwbaLatestPriceResponse
+  Response: LwbaResponse
   Settings: typeof config.settings
 }
 
 export const endpoint = new AdapterEndpoint({
   name: 'lwba',
   aliases: [],
-  transport: wsTransport,
+  transport: lwbaProtobufWsTransport,
   inputParameters,
 })

packages/sources/deutsche-boerse/src/endpoint/price.ts

@@ -0,0 +1,24 @@
+import { AdapterEndpoint } from '@chainlink/external-adapter-framework/adapter'
+import { config } from '../config'
+import { priceProtobufWsTransport } from '../transport/price'
+import { inputParameters } from './lwba'
+
+export interface PriceResponse {
+  Result: number | null
+  Data: {
+    latestPrice: number
+  }
+}
+
+export type BaseEndpointTypes = {
+  Parameters: typeof inputParameters.definition
+  Response: PriceResponse
+  Settings: typeof config.settings
+}
+
+export const endpoint = new AdapterEndpoint({
+  name: 'price',
+  aliases: [],
+  transport: priceProtobufWsTransport,
+  inputParameters,
+})

packages/sources/deutsche-boerse/src/index.ts

@@ -1,13 +1,13 @@
 import { expose, ServerInstance } from '@chainlink/external-adapter-framework'
 import { Adapter } from '@chainlink/external-adapter-framework/adapter'
 import { config } from './config'
-import { lwba } from './endpoint'
+import { lwba, price } from './endpoint'
 
 export const adapter = new Adapter({
   defaultEndpoint: lwba.name,
   name: 'DEUTSCHE_BOERSE',
   config,
-  endpoints: [lwba],
+  endpoints: [lwba, price],
 })
 
 export const server = (): Promise<ServerInstance | undefined> => expose(adapter)

packages/sources/deutsche-boerse/src/transport/instrument-quote-cache.ts

@@ -4,71 +4,112 @@ export type Quote = {
   bid?: number
   ask?: number
   mid?: number
+  bidSize?: number
+  askSize?: number
   latestPrice?: number
   quoteProviderTimeUnixMs?: number
   tradeProviderTimeUnixMs?: number
 }
 
 export class InstrumentQuoteCache {
-  private readonly map = new Map<string, Quote>()
+  private readonly map = new Map<string, Map<string, Quote>>()
 
-  activate(isin: string) {
-    if (!this.map.has(isin)) this.map.set(isin, {})
+  isEmpty(): boolean {
+    return this.map.size === 0
+  }
+
+  hasMarket(market: string): boolean {
+    const marketMap = this.map.get(market)
+    return !!marketMap && marketMap.size > 0
+  }
+
+  getMarkets(): string[] {
+    return [...this.map].flatMap(([market, bucket]) => (bucket.size ? [market] : []))
   }
-  deactivate(isin: string) {
-    this.map.delete(isin)
+
+  activate(market: string, isin: string) {
+    let marketMap = this.map.get(market)
+    if (!marketMap) {
+      marketMap = new Map<string, Quote>()
+      this.map.set(market, marketMap)
+    }
+    if (!marketMap.has(isin)) marketMap.set(isin, {})
+  }
+
+  deactivate(market: string, isin: string) {
+    const marketMap = this.map.get(market)
+    if (!marketMap) {
+      return
+    }
+    marketMap.delete(isin)
+    if (marketMap.size === 0) {
+      this.map.delete(market)
+    }
   }
-  has(isin: string): boolean {
-    return this.map.has(isin)
+
+  has(market: string, isin: string): boolean {
+    return this.map.get(market)?.has(isin) ?? false
   }
-  get(isin: string): Quote | undefined {
-    return this.map.get(isin)
+
+  get(market: string, isin: string): Quote | undefined {
+    return this.map.get(market)?.get(isin)
   }
-  addQuote(isin: string, bid: number, ask: number, providerTime: number) {
-    const quote = this.get(isin)
+
+  addQuote(
+    market: string,
+    isin: string,
+    bid: number,
+    ask: number,
+    providerTime: number,
+    bidSz: number,
+    askSz: number,
+  ) {
+    const quote = this.get(market, isin)
     if (!quote) {
-      throw new Error(`Cannot add quote for inactive ISIN ${isin}`)
+      throw new Error(`Cannot add quote for inactive instrument ${market}-${isin}`)
     }
     const mid = new Decimal(bid).plus(ask).div(2)
     quote.bid = bid
     quote.ask = ask
     quote.mid = mid.toNumber()
     quote.quoteProviderTimeUnixMs = providerTime
+    quote.bidSize = bidSz
+    quote.askSize = askSz
   }
-  addBid(isin: string, bid: number, providerTime: number) {
-    const quote = this.get(isin)
+
+  addBid(market: string, isin: string, bid: number, providerTime: number, bidSz?: number) {
+    const quote = this.get(market, isin)
     if (!quote) {
       throw new Error(`Cannot add quote for inactive ISIN ${isin}`)
     }
     if (quote.ask !== undefined) {
-      const mid = new Decimal(bid).plus(quote.ask).div(2)
-      quote.mid = mid.toNumber()
+      quote.mid = new Decimal(bid).plus(quote.ask).div(2).toNumber()
     }
     quote.bid = bid
     quote.quoteProviderTimeUnixMs = providerTime
+    quote.bidSize = bidSz
   }
-  addAsk(isin: string, ask: number, providerTime: number) {
-    const quote = this.get(isin)
+
+  addAsk(market: string, isin: string, ask: number, providerTime: number, askSz?: number) {
+    const quote = this.get(market, isin)
     if (!quote) {
       throw new Error(`Cannot add quote for inactive ISIN ${isin}`)
     }
 
     if (quote.bid !== undefined) {
-      const mid = new Decimal(quote.bid).plus(ask).div(2)
-      quote.mid = mid.toNumber()
+      quote.mid = new Decimal(quote.bid).plus(ask).div(2).toNumber()
     }
     quote.ask = ask
     quote.quoteProviderTimeUnixMs = providerTime
+    quote.askSize = askSz
   }
-  addTrade(isin: string, lastPrice: number, providerTime: number) {
-    const quote = this.get(isin)
+
+  addTrade(market: string, isin: string, lastPrice: number, providerTime: number) {
+    const quote = this.get(market, isin)
     if (!quote) {
-      throw new Error(`Cannot add trade for inactive ISIN ${isin}`)
+      throw new Error(`Cannot add trade for inactive instrument ${market}-${isin}`)
     }
     quote.latestPrice = lastPrice
     quote.tradeProviderTimeUnixMs = providerTime
   }
-  isEmpty(): boolean {
-    return this.map.size === 0
-  }
 }