Add mid to stock quotes

Author: mxiao-cll

.changeset/violet-zoos-walk.md

@@ -0,0 +1,6 @@
+---
+'@chainlink/dxfeed-adapter': minor
+'@chainlink/finage-adapter': minor
+---
+
+Add mid to stock quotes

packages/sources/dxfeed/src/endpoint/stock-quotes.ts

@@ -14,6 +14,7 @@ export type BaseEndpointTypes = {
   Response: {
     Result: null
     Data: {
+      mid_price: number
       bid_price: number
       bid_volume: number
       ask_price: number

packages/sources/dxfeed/src/transport/stock-quotes.ts

@@ -16,12 +16,18 @@ export const transport = buildWsTransport<BaseEndpointTypes>(
 
     const data = message[0].data[1]
 
+    const midPrice =
+      (Number(data[bidPriceIndex]) * Number(data[bidSizeIndex]) +
+        Number(data[askPriceIndex]) * Number(data[askSizeIndex])) /
+      (Number(data[bidSizeIndex]) + Number(data[askSizeIndex]))
+
     return [
       {
         params: { base: data[eventSymbolIndex] },
         response: {
           result: null,
           data: {
+            mid_price: midPrice,
             bid_price: Number(data[bidPriceIndex]),
             bid_volume: Number(data[bidSizeIndex]),
             ask_price: Number(data[askPriceIndex]),

packages/sources/dxfeed/test/integration/__snapshots__/adapter-ws.test.ts.snap

@@ -7,6 +7,7 @@ exports[`websocket quote endpoint should return success 1`] = `
     "ask_volume": 100,
     "bid_price": 170,
     "bid_volume": 148,
+    "mid_price": 170.80645161290323,
   },
   "result": null,
   "statusCode": 200,

packages/sources/finage/src/endpoint/stock-quotes.ts

@@ -11,6 +11,7 @@ export type BaseEndpointTypes = {
   Response: {
     Result: null
     Data: {
+      mid_price: number
       bid_price: number
       bid_volume: number
       ask_price: number

packages/sources/finage/src/transport/stock-quotes.ts

@@ -48,16 +48,23 @@ export const transport = new WebSocketTransport<WsTransportTypes>({
         return []
       }
 
+      const bidPrice = isValidNumber(message.b) ? Number(message.b) : Number(message.bp)
+      const bidVolume = Number(message.bs)
+      const askPrice = isValidNumber(message.a) ? Number(message.a) : Number(message.ap)
+      const askVolume = Number(message.as)
+      const midPrice = (bidPrice * bidVolume + askPrice * askVolume) / (bidVolume + askVolume)
+
       return [
         {
           params: { base: message.s },
           response: {
             result: null,
             data: {
-              bid_price: isValidNumber(message.b) ? Number(message.b) : Number(message.bp),
-              bid_volume: Number(message.bs),
-              ask_price: isValidNumber(message.a) ? Number(message.a) : Number(message.ap),
-              ask_volume: Number(message.as),
+              mid_price: midPrice,
+              bid_price: bidPrice,
+              bid_volume: bidVolume,
+              ask_price: askPrice,
+              ask_volume: askVolume,
             },
             timestamps: {
               providerIndicatedTimeUnixMs: message.t,

packages/sources/finage/test/integration/__snapshots__/adapter-stock-quote.test.ts.snap

@@ -7,6 +7,7 @@ exports[`stock quotes websocket stock quotes endpoint missing a and b fields sho
     "ask_volume": 11,
     "bid_price": 12,
     "bid_volume": 13,
+    "mid_price": 11.083333333333334,
   },
   "result": null,
   "statusCode": 200,
@@ -25,6 +26,7 @@ exports[`stock quotes websocket stock quotes endpoint should return success 1`]
     "ask_volume": 6,
     "bid_price": 7,
     "bid_volume": 8,
+    "mid_price": 6.142857142857143,
   },
   "result": null,
   "statusCode": 200,