improvement: deribit mapper tweaks

tardis-dev · Sep 9, 2022 · 51a2788 · 51a2788
1 parent 0222f67
commit 51a2788
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Showing 2 changed files with 75 additions and 4 deletions.
diff --git a/src/mappers/deribit.ts b/src/mappers/deribit.ts
@@ -100,8 +100,7 @@ export class DeribitDerivativeTickerMapper implements Mapper<'deribit', Derivati
       return false
     }
 
-    // exclude options tickers
-    return channel.startsWith('ticker') && message.params.data.greeks === undefined
+    return channel.startsWith('ticker') && (message.params.data.greeks === undefined || message.params.data.combo_state === 'active')
   }
 
   getFilters(symbols?: string[]) {
@@ -150,8 +149,6 @@ export class DeribitOptionSummaryMapper implements Mapper<'deribit', OptionSumma
       return false
     }
 
-    // options ticker has greeks
-
     return (
       channel.startsWith('ticker') &&
       (message.params.data.instrument_name.endsWith('-P') || message.params.data.instrument_name.endsWith('-C'))

diff --git a/test/__snapshots__/mappers.test.ts.snap b/test/__snapshots__/mappers.test.ts.snap
@@ -4545,6 +4545,20 @@ Array [
 
 exports[`mappers map deribit messages 15`] = `
 Array [
+  Object {
+    "exchange": "deribit",
+    "fundingRate": undefined,
+    "fundingTimestamp": undefined,
+    "indexPrice": 21478.45,
+    "lastPrice": undefined,
+    "localTimestamp": 2019-06-01T00:00:28.619Z,
+    "markPrice": 0.1922,
+    "openInterest": 0,
+    "predictedFundingRate": undefined,
+    "symbol": "BTC-STRD-30SEP22-20000",
+    "timestamp": 2022-08-23T17:03:00.291Z,
+    "type": "derivative_ticker",
+  },
   Object {
     "askAmount": undefined,
     "askPrice": undefined,
@@ -4559,6 +4573,66 @@ Array [
 ]
 `;
 
+exports[`mappers map deribit messages 16`] = `
+Array [
+  Object {
+    "exchange": "deribit",
+    "fundingRate": undefined,
+    "fundingTimestamp": undefined,
+    "indexPrice": 19320.68,
+    "lastPrice": -13.5,
+    "localTimestamp": 2019-06-01T00:00:28.619Z,
+    "markPrice": 10.12,
+    "openInterest": 0,
+    "predictedFundingRate": undefined,
+    "symbol": "BTC-FS-30SEP22_PERP",
+    "timestamp": 2022-09-09T00:00:59.203Z,
+    "type": "derivative_ticker",
+  },
+  Object {
+    "askAmount": 300000,
+    "askPrice": -5,
+    "bidAmount": 300000,
+    "bidPrice": -7,
+    "exchange": "deribit",
+    "localTimestamp": 2019-06-01T00:00:28.619Z,
+    "symbol": "BTC-FS-30SEP22_PERP",
+    "timestamp": 2022-09-09T00:00:59.203Z,
+    "type": "book_ticker",
+  },
+]
+`;
+
+exports[`mappers map deribit messages 17`] = `
+Array [
+  Object {
+    "exchange": "deribit",
+    "fundingRate": undefined,
+    "fundingTimestamp": undefined,
+    "indexPrice": 19322.48,
+    "lastPrice": undefined,
+    "localTimestamp": 2019-06-01T00:00:28.619Z,
+    "markPrice": 0.0053,
+    "openInterest": 0,
+    "predictedFundingRate": undefined,
+    "symbol": "BTC-CSR12-16SEP22-21000_23000",
+    "timestamp": 2022-09-09T00:00:56.186Z,
+    "type": "derivative_ticker",
+  },
+  Object {
+    "askAmount": 18,
+    "askPrice": 0.008,
+    "bidAmount": 18,
+    "bidPrice": 0.003,
+    "exchange": "deribit",
+    "localTimestamp": 2019-06-01T00:00:28.619Z,
+    "symbol": "BTC-CSR12-16SEP22-21000_23000",
+    "timestamp": 2022-09-09T00:00:56.186Z,
+    "type": "book_ticker",
+  },
+]
+`;
+
 exports[`mappers map dydx messages 1`] = `Array []`;
 
 exports[`mappers map dydx messages 2`] = `