ws2: maintain string copy of the orderbook for checksums

Author: JacobPlaster

lib/transports/ws2.js

@@ -14,6 +14,7 @@ const _pick = require('lodash/pick')
 const _isEqual = require('lodash/isEqual')
 const { genAuthSig, nonce } = require('bfx-api-node-util')
 const getMessagePayload = require('../util/ws2')
+const LosslessJSON = require('lossless-json')
 
 const {
   BalanceInfo,
@@ -104,6 +105,7 @@ class WSv2 extends EventEmitter {
     this._packetWDTimeout = null
     this._packetWDLastTS = 0
     this._orderBooks = {}
+    this._losslessOrderBooks = {}
     this._candles = {}
 
     /**
@@ -553,22 +555,22 @@ class WSv2 extends EventEmitter {
   }
 
   /**
-   * @param {string} msgJSON
+   * @param {string} rawMsg
    * @param {string} flags
    * @private
    */
-  _onWSMessage (msgJSON, flags) {
-    debug('recv msg: %s', msgJSON)
+  _onWSMessage (rawMsg, flags) {
+    debug('recv msg: %s', rawMsg)
 
     this._packetWDLastTS = Date.now()
     this._resetPacketWD()
 
     let msg
 
     try {
-      msg = JSON.parse(msgJSON)
+      msg = JSON.parse(rawMsg)
     } catch (e) {
-      this.emit('error', `invalid message JSON: ${msgJSON}`)
+      this.emit('error', `invalid message JSON: ${rawMsg}`)
       return
     }
 
@@ -585,19 +587,20 @@ class WSv2 extends EventEmitter {
     this.emit('message', msg, flags)
 
     if (Array.isArray(msg)) {
-      this._handleChannelMessage(msg)
+      this._handleChannelMessage(msg, rawMsg)
     } else if (msg.event) {
-      this._handleEventMessage(msg)
+      this._handleEventMessage(msg, rawMsg)
     } else {
       debug('recv unidentified message: %j', msg)
     }
   }
 
   /**
    * @param {array} msg
+   * @param {string} rawMsg
    * @private
    */
-  _handleChannelMessage (msg) {
+  _handleChannelMessage (msg, rawMsg) {
     const [chanId, type] = msg
     const channelData = this._channelMap[chanId]
 
@@ -614,7 +617,7 @@ class WSv2 extends EventEmitter {
         return this._handleOBChecksumMessage(msg, channelData)
       }
 
-      return this._handleOBMessage(msg, channelData)
+      return this._handleOBMessage(msg, channelData, rawMsg)
     } else if (channelData.channel === 'trades') {
       return this._handleTradeMessage(msg, channelData)
     } else if (channelData.channel === 'ticker') {
@@ -669,15 +672,17 @@ class WSv2 extends EventEmitter {
    *
    * @param {Array|Array[]} msg
    * @param {Object} chanData - entry from _channelMap
+   * @param {string} rawMsg
    * @private
    */
-  _handleOBMessage (msg, chanData) {
+  _handleOBMessage (msg, chanData, rawMsg) {
+
     const { symbol, prec } = chanData
     const raw = prec === 'R0'
     let data = getMessagePayload(msg)
 
     if (this._manageOrderBooks) {
-      const err = this._updateManagedOB(symbol, data, raw)
+      const err = this._updateManagedOB(symbol, data, raw, rawMsg)
 
       if (err) {
         this.emit('error', err)
@@ -710,11 +715,24 @@ class WSv2 extends EventEmitter {
    * @return {Error} err - null on success
    * @private
    */
-  _updateManagedOB (symbol, data, raw) {
+  _updateManagedOB (symbol, data, raw, rawMsg) {
+    // parse raw string with lossless parse which takes
+    // the exact strict values rather than converting to floats
+    // [0.00001, [1, 2, 3]] -> ['0.00001', ['1', '2', '3']]
+    const rawLossless = LosslessJSON.parse(rawMsg, (key, value) => {
+      if (value && value.isLosslessNumber) {
+        return value.toString()
+      }
+      else {
+        return value;
+      }
+    })
+    const losslessUpdate = rawLossless[1]
     // Snapshot, new OB. Note that we don't protect against duplicates, as they
     // could come in on re-sub
     if (Array.isArray(data[0])) {
       this._orderBooks[symbol] = data
+      this._losslessOrderBooks[symbol] = losslessUpdate
       return null
     }
 
@@ -724,7 +742,7 @@ class WSv2 extends EventEmitter {
     }
 
     OrderBook.updateArrayOBWith(this._orderBooks[symbol], data, raw)
-
+    OrderBook.updateArrayOBWith(this._losslessOrderBooks[symbol], losslessUpdate, raw)
     return null
   }
 
@@ -735,7 +753,7 @@ class WSv2 extends EventEmitter {
    * @return {Error} err - null if none
    */
   _verifyManagedOBChecksum (symbol, prec, cs) {
-    const ob = this._orderBooks[symbol]
+    const ob = this._losslessOrderBooks[symbol]
 
     if (!ob) return null
 
@@ -762,6 +780,21 @@ class WSv2 extends EventEmitter {
     return new OrderBook(this._orderBooks[symbol])
   }
 
+  /**
+   * Returns an up-to-date lossless copy of the order book for the specified symbol, or
+   * null if no OB is managed for that symbol. All amounts and prices are in original
+   * string format.
+   * Set `manageOrderBooks: true` in the constructor to use.
+   *
+   * @param {string} symbol
+   * @return {OrderBook} ob - null if not found
+   */
+  getLosslessOB (symbol) {
+    if (!this._losslessOrderBooks[symbol]) return null
+
+    return new OrderBook(this._losslessOrderBooks[symbol])
+  }
+
   /**
    * @param {Array} msg
    * @param {Object} chanData
@@ -1045,9 +1078,10 @@ class WSv2 extends EventEmitter {
 
   /**
    * @param {Object} msg
+   * @param {string} rawMsg
    * @private
    */
-  _handleEventMessage (msg) {
+  _handleEventMessage (msg, rawMsg) {
     if (msg.event === 'auth') {
       return this._handleAuthEvent(msg)
     } else if (msg.event === 'subscribed') {