better quotes response handling

huskly · Aug 30, 2023 · eb7feeb · eb7feeb
1 parent 6fdb0e9
commit eb7feeb
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Showing 3 changed files with 84 additions and 195 deletions.
diff --git a/package.json b/package.json
@@ -1,6 +1,6 @@
 {
   "name": "tda-wsjson-client",
-  "version": "0.5.0",
+  "version": "0.5.2",
   "description": "WebSocket client for the TD Ameritrade wsjson API",
   "main": "dist/web.bundle.js",
   "types": "dist/web.d.ts",

diff --git a/src/client/services/quotesMessageHandler.ts b/src/client/services/quotesMessageHandler.ts
@@ -2,47 +2,54 @@ import WebSocketApiMessageHandler, {
   newPayload,
 } from "./webSocketApiMessageHandler";
 import { RawPayloadRequest, RawPayloadResponse } from "../tdaWsJsonTypes";
-import { compact, isEmpty, isNumber } from "lodash";
+import { compact, isEmpty, isNil, isNumber, omitBy } from "lodash";
 import { ApiService } from "./apiService";
 
+const ALL_FIELDS = [
+  "MARK",
+  "MARK_CHANGE",
+  "MARK_PERCENT_CHANGE",
+  "NET_CHANGE",
+  "NET_CHANGE_PERCENT",
+  "BID",
+  "ASK",
+  "BID_SIZE",
+  "ASK_SIZE",
+  "VOLUME",
+  "OPEN",
+  "HIGH",
+  "LOW",
+  "LAST",
+  "LAST_SIZE",
+  "CLOSE",
+] as const;
+
+type FieldType = (typeof ALL_FIELDS)[number];
+
+export type RawPayloadResponseQuotesItem = {
+  symbol?: string;
+  isDelayed?: boolean;
+  values: {
+    [key in FieldType]?: number;
+  };
+};
+
 export type RawPayloadResponseQuotesSnapshot = {
-  items: {
-    isDelayed: boolean;
-    symbol: string;
-    values: { [key: string]: any };
-  }[];
+  items: RawPayloadResponseQuotesItem[];
 };
 
 type RawPayloadResponseQuotesPatchValue = {
-  items: {
-    symbol: string;
-    isDelayed: boolean;
-    values: {
-      ASK?: number;
-      ASK_SIZE?: number;
-      BID?: number;
-      BID_SIZE?: number;
-      LAST?: number;
-      LAST_SIZE?: number;
-      OPEN?: number;
-      CLOSE?: number;
-      HIGH?: number;
-      LOW?: number;
-      MARK?: number;
-      MARK_CHANGE?: number;
-      MARK_PERCENT_CHANGE?: number;
-      NET_CHANGE?: number;
-      NET_CHANGE_PERCENT?: number;
-      VOLUME?: number;
-    };
-  }[];
+  items: RawPayloadResponseQuotesItem[];
 };
 
 export type RawPayloadResponseQuotesPatch = {
   patches: {
     op: string;
     path: string;
-    value: number | RawPayloadResponseQuotesPatchValue;
+    value:
+      | number
+      | RawPayloadResponseQuotesPatchValue
+      | RawPayloadResponseQuotesItem;
   }[];
 };
 
@@ -98,24 +105,7 @@ export default class QuotesMessageHandler
         account: "COMBINED ACCOUNT",
         symbols,
         refreshRate: 300,
-        fields: [
-          "MARK",
-          "MARK_CHANGE",
-          "MARK_PERCENT_CHANGE",
-          "NET_CHANGE",
-          "NET_CHANGE_PERCENT",
-          "BID",
-          "ASK",
-          "BID_SIZE",
-          "ASK_SIZE",
-          "VOLUME",
-          "OPEN",
-          "HIGH",
-          "LOW",
-          "LAST",
-          "LAST_SIZE",
-          "CLOSE",
-        ],
+        fields: ALL_FIELDS,
       },
     });
   }
@@ -126,165 +116,59 @@ export default class QuotesMessageHandler
 function parseSnapshotDataMessage({
   items,
 }: RawPayloadResponseQuotesSnapshot): QuotesResponse {
-  const quotes = items.map(({ values, symbol }) => {
-    const last = values.LAST;
-    const lastSize = values.LAST_SIZE;
-    const ask = values.ASK;
-    const bid = values.BID;
-    const askSize = values.ASK_SIZE;
-    const bidSize = values.BID_SIZE;
-    const mark = values.MARK;
-    const markChange = values.MARK_CHANGE;
-    const markChangePercent = values.MARK_PERCENT_CHANGE;
-    const low = values.LOW;
-    const high = values.HIGH;
-    const volume = values.VOLUME;
-    const open = values.OPEN;
-    const close = values.CLOSE;
-    const netChange = values.NET_CHANGE;
-    const netChangePercent = values.NET_CHANGE_PERCENT;
-    return {
-      symbol,
-      last,
-      lastSize,
-      ask,
-      bid,
-      askSize,
-      bidSize,
-      mark,
-      markChange,
-      markChangePercent,
-      low,
-      high,
-      volume,
-      open,
-      close,
-      netChange,
-      netChangePercent,
-    };
-  });
+  const quotes = items.map(parseQuoteItem);
   return { quotes };
 }
 
+function parseQuoteItem({
+  symbol,
+  values,
+}: RawPayloadResponseQuotesItem): QuotesResponseItem {
+  return {
+    last: values.LAST,
+    lastSize: values.LAST_SIZE,
+    ask: values.ASK,
+    askSize: values.ASK_SIZE,
+    bid: values.BID,
+    bidSize: values.BID_SIZE,
+    high: values.HIGH,
+    low: values.LOW,
+    open: values.OPEN,
+    close: values.CLOSE,
+    mark: values.MARK,
+    markChange: values.MARK_CHANGE,
+    markChangePercent: values.MARK_PERCENT_CHANGE,
+    netChange: values.NET_CHANGE,
+    netChangePercent: values.NET_CHANGE_PERCENT,
+    volume: values.VOLUME,
+    symbol,
+  };
+}
+
 function parsePatchQuotesDataMessage({
   patches,
 }: RawPayloadResponseQuotesPatch): QuotesResponse | null {
   const valueIfPath = (value: number, path: string, suffix: string) =>
     path.endsWith(suffix) ? value : undefined;
   const quotes = patches.flatMap(({ path, value }) => {
     if (path && isNumber(value)) {
-      const last = valueIfPath(value, path, "/LAST");
-      const lastSize = valueIfPath(value, path, "/LAST_SIZE");
-      const mark = valueIfPath(value, path, "/MARK");
-      const markChange = valueIfPath(value, path, "/MARK_CHANGE");
-      const markChangePercent = valueIfPath(
-        value,
-        path,
-        "/MARK_PERCENT_CHANGE"
+      const fieldValues = Object.fromEntries(
+        ALL_FIELDS.map((f) => [f, valueIfPath(value, path, `/${f}`)])
       );
-      const ask = valueIfPath(value, path, "/ASK");
-      const askSize = valueIfPath(value, path, "/ASK_SIZE");
-      const bid = valueIfPath(value, path, "/BID");
-      const bidSize = valueIfPath(value, path, "/BID_SIZE");
-      const netChange = valueIfPath(value, path, "/NET_CHANGE");
-      const low = valueIfPath(value, path, "/LOW");
-      const high = valueIfPath(value, path, "/HIGH");
-      const open = valueIfPath(value, path, "/OPEN");
-      const close = valueIfPath(value, path, "/CLOSE");
-      const netChangePercent = valueIfPath(value, path, "/NET_CHANGE_PERCENT");
       const symbolIndex = +path.split("/")[2];
-      if (
-        !isEmpty(
-          compact([
-            last,
-            lastSize,
-            ask,
-            bid,
-            askSize,
-            bidSize,
-            symbolIndex,
-            mark,
-            markChange,
-            markChangePercent,
-            netChange,
-            netChangePercent,
-            low,
-            high,
-            open,
-            close,
-          ])
-        )
-      ) {
-        return [
-          {
-            last,
-            lastSize,
-            ask,
-            bid,
-            askSize,
-            bidSize,
-            symbolIndex,
-            mark,
-            markChange,
-            markChangePercent,
-            netChange,
-            netChangePercent,
-            low,
-            high,
-            open,
-            close,
-          },
-        ];
-      } else {
-        // no relevant data to return, omit
-        return [];
-      }
+      const quote = parseQuoteItem({ values: fieldValues });
+      return [{ ...quote, symbolIndex }];
+    } else if (!isNumber(value) && "items" in value) {
+      const { items } = value;
+      return items.map(parseQuoteItem);
+    } else if (!isNumber(value)) {
+      return [parseQuoteItem(value)];
     } else {
-      const { items } = value as RawPayloadResponseQuotesPatchValue;
-      return items.map(
-        ({
-          symbol,
-          values: {
-            LAST,
-            LAST_SIZE,
-            ASK,
-            ASK_SIZE,
-            BID,
-            BID_SIZE,
-            OPEN,
-            CLOSE,
-            HIGH,
-            LOW,
-            MARK,
-            MARK_CHANGE,
-            MARK_PERCENT_CHANGE,
-            NET_CHANGE,
-            NET_CHANGE_PERCENT,
-            VOLUME,
-          },
-        }) =>
-          ({
-            last: LAST,
-            lastSize: LAST_SIZE,
-            ask: ASK,
-            askSize: ASK_SIZE,
-            bid: BID,
-            bidSize: BID_SIZE,
-            high: HIGH,
-            low: LOW,
-            open: OPEN,
-            close: CLOSE,
-            mark: MARK,
-            markChange: MARK_CHANGE,
-            markChangePercent: MARK_PERCENT_CHANGE,
-            netChange: NET_CHANGE,
-            netChangePercent: NET_CHANGE_PERCENT,
-            volume: VOLUME,
-            symbol,
-          } as QuotesResponseItem)
-      );
+      return [];
     }
   });
   const finalQuotes = compact(quotes);
-  return !isEmpty(finalQuotes) ? { quotes: finalQuotes } : null;
+  return !isEmpty(finalQuotes)
+    ? { quotes: finalQuotes.map((q) => omitBy(q, isNil)) }
+    : null;
 }
diff --git a/src/testApp.ts b/src/testApp.ts
@@ -6,7 +6,6 @@ import { PlaceLimitOrderRequestParams } from "./client/services/placeOrderMessag
 import { CreateAlertRequestParams } from "./client/services/createAlertMessageHandler";
 import { OptionQuotesRequestParams } from "./client/services/optionQuotesMessageHandler";
 import fetch from "node-fetch";
-import { isNil, omitBy } from "lodash";
 
 const logger = debug("testapp");
 
@@ -44,7 +43,13 @@ class TestApp {
     for await (const quote of this.client.quotes(symbols)) {
       logger(
         "quotes() %O",
-        quote.quotes.map((q) => omitBy(q, isNil))
+        quote.quotes.map((q) => {
+          if (!q.symbol && q.symbolIndex) {
+            q.symbol = symbols[q.symbolIndex];
+            delete q.symbolIndex;
+          }
+          return q;
+        })
       );
     }
   }