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

@@ -2,8 +2,10 @@ import { BaseEndpointTypes } from '../endpoint/stock-quotes'
 import { buildWsTransport } from './ws'
 
 const eventSymbolIndex = 0
+const bidTimeIndex = 4
 const bidPriceIndex = 6
 const bidSizeIndex = 7
+const askTimeIndex = 8
 const askPriceIndex = 10
 const askSizeIndex = 11
 
@@ -16,17 +18,39 @@ export const transport = buildWsTransport<BaseEndpointTypes>(
 
     const data = message[0].data[1]
 
+    const bidPrice = Number(data[bidPriceIndex])
+    const askPrice = Number(data[askPriceIndex])
+
+    let midPrice: number
+
+    if (bidPrice == 0) {
+      midPrice = askPrice
+    } else if (askPrice == 0) {
+      midPrice = bidPrice
+    } else {
+      midPrice =
+        (bidPrice * Number(data[bidSizeIndex]) + askPrice * Number(data[askSizeIndex])) /
+        (Number(data[bidSizeIndex]) + Number(data[askSizeIndex]))
+    }
+
     return [
       {
         params: { base: data[eventSymbolIndex] },
         response: {
           result: null,
           data: {
-            bid_price: Number(data[bidPriceIndex]),
+            mid_price: midPrice,
+            bid_price: bidPrice,
             bid_volume: Number(data[bidSizeIndex]),
-            ask_price: Number(data[askPriceIndex]),
+            ask_price: askPrice,
             ask_volume: Number(data[askSizeIndex]),
           },
+          timestamps: {
+            providerIndicatedTimeUnixMs: Math.max(
+              Number(data[bidTimeIndex]),
+              Number(data[askTimeIndex]),
+            ),
+          },
         },
       },
     ]

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

@@ -1,18 +1,58 @@
 // Jest Snapshot v1, https://goo.gl/fbAQLP
 
+exports[`websocket quote endpoint should return ask when bid is 0 1`] = `
+{
+  "data": {
+    "ask_price": 172,
+    "ask_volume": 100,
+    "bid_price": 0,
+    "bid_volume": 148,
+    "mid_price": 172,
+  },
+  "result": null,
+  "statusCode": 200,
+  "timestamps": {
+    "providerDataReceivedUnixMs": 1018,
+    "providerDataStreamEstablishedUnixMs": 1010,
+    "providerIndicatedTimeUnixMs": 1670868378000,
+  },
+}
+`;
+
+exports[`websocket quote endpoint should return bid when ask is 0 1`] = `
+{
+  "data": {
+    "ask_price": 0,
+    "ask_volume": 100,
+    "bid_price": 170,
+    "bid_volume": 148,
+    "mid_price": 170,
+  },
+  "result": null,
+  "statusCode": 200,
+  "timestamps": {
+    "providerDataReceivedUnixMs": 1018,
+    "providerDataStreamEstablishedUnixMs": 1010,
+    "providerIndicatedTimeUnixMs": 1670868378000,
+  },
+}
+`;
+
 exports[`websocket quote endpoint should return success 1`] = `
 {
   "data": {
     "ask_price": 172,
     "ask_volume": 100,
     "bid_price": 170,
     "bid_volume": 148,
+    "mid_price": 170.80645161290323,
   },
   "result": null,
   "statusCode": 200,
   "timestamps": {
     "providerDataReceivedUnixMs": 1018,
     "providerDataStreamEstablishedUnixMs": 1010,
+    "providerIndicatedTimeUnixMs": 1670868378000,
   },
 }
 `;

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

@@ -45,7 +45,7 @@ describe('websocket', () => {
     // Send initial request to start background execute and wait for cache to be filled with result
     await testAdapter.request(quoteData)
     await testAdapter.request(stockData)
-    await testAdapter.waitForCache(2)
+    await testAdapter.waitForCache(4)
   })
 
   afterAll(async () => {
@@ -67,5 +67,21 @@ describe('websocket', () => {
       const response = await testAdapter.request(quoteData)
       expect(response.json()).toMatchSnapshot()
     })
+
+    it('should return bid when ask is 0', async () => {
+      const response = await testAdapter.request({
+        base: 'NO_ASK',
+        endpoint: 'stock_quotes',
+      })
+      expect(response.json()).toMatchSnapshot()
+    })
+
+    it('should return ask when bid is 0', async () => {
+      const response = await testAdapter.request({
+        base: 'NO_BID',
+        endpoint: 'stock_quotes',
+      })
+      expect(response.json()).toMatchSnapshot()
+    })
   })
 })

packages/sources/dxfeed/test/integration/fixtures.ts

@@ -62,6 +62,25 @@ export const mockWebSocketServer = (URL: string): MockWebsocketServer => {
       channel: '/service/data',
     },
   ]
+
+  const quoteReponse2 = [
+    {
+      data: [
+        'Quote',
+        ['NO_BID', 0, 0, 0, 1670868378000, 'V', 0, 148.0, 1670868370000, 'V', 172.0, 100.0],
+      ],
+      channel: '/service/data',
+    },
+  ]
+  const quoteReponse3 = [
+    {
+      data: [
+        'Quote',
+        ['NO_ASK', 0, 0, 0, 1670868378000, 'V', 170.0, 148.0, 1670868370000, 'V', 0, 100.0],
+      ],
+      channel: '/service/data',
+    },
+  ]
   const tradeResponse = [
     {
       data: [
@@ -97,6 +116,8 @@ export const mockWebSocketServer = (URL: string): MockWebsocketServer => {
     )
     socket.on('message', () => {
       socket.send(JSON.stringify(quoteReponse))
+      socket.send(JSON.stringify(quoteReponse2))
+      socket.send(JSON.stringify(quoteReponse3))
       socket.send(JSON.stringify(tradeResponse))
     })
   })

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 +48,31 @@ 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)
+
+      let midPrice: number
+      if (bidPrice == 0) {
+        midPrice = askPrice
+      } else if (askPrice == 0) {
+        midPrice = bidPrice
+      } else {
+        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,
@@ -18,13 +19,52 @@ exports[`stock quotes websocket stock quotes endpoint missing a and b fields sho
 }
 `;
 
+exports[`stock quotes websocket stock quotes endpoint should return ask when bid is 0 1`] = `
+{
+  "data": {
+    "ask_price": 5,
+    "ask_volume": 6,
+    "bid_price": 0,
+    "bid_volume": 8,
+    "mid_price": 5,
+  },
+  "result": null,
+  "statusCode": 200,
+  "timestamps": {
+    "providerDataReceivedUnixMs": 1018,
+    "providerDataStreamEstablishedUnixMs": 1010,
+    "providerIndicatedTimeUnixMs": 7,
+  },
+}
+`;
+
+exports[`stock quotes websocket stock quotes endpoint should return bid when ask is 0 1`] = `
+{
+  "data": {
+    "ask_price": 0,
+    "ask_volume": 6,
+    "bid_price": 7,
+    "bid_volume": 8,
+    "mid_price": 7,
+  },
+  "result": null,
+  "statusCode": 200,
+  "timestamps": {
+    "providerDataReceivedUnixMs": 1018,
+    "providerDataStreamEstablishedUnixMs": 1010,
+    "providerIndicatedTimeUnixMs": 5,
+  },
+}
+`;
+
 exports[`stock quotes websocket stock quotes endpoint should return success 1`] = `
 {
   "data": {
     "ask_price": 5,
     "ask_volume": 6,
     "bid_price": 7,
     "bid_volume": 8,
+    "mid_price": 6.142857142857143,
   },
   "result": null,
   "statusCode": 200,

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

@@ -41,7 +41,7 @@ describe('stock quotes websocket', () => {
     // Send initial request to start background execute and wait for cache to be filled with results
     await testAdapter.request(data)
     await testAdapter.request(fallBackData)
-    await testAdapter.waitForCache(2)
+    await testAdapter.waitForCache(4)
   })
 
   afterAll(async () => {
@@ -61,5 +61,21 @@ describe('stock quotes websocket', () => {
       const response = await testAdapter.request(fallBackData)
       expect(response.json()).toMatchSnapshot()
     })
+
+    it('should return bid when ask is 0', async () => {
+      const response = await testAdapter.request({
+        base: 'NO_ASK',
+        endpoint: 'stock_quotes',
+      })
+      expect(response.json()).toMatchSnapshot()
+    })
+
+    it('should return ask when bid is 0', async () => {
+      const response = await testAdapter.request({
+        base: 'NO_BID',
+        endpoint: 'stock_quotes',
+      })
+      expect(response.json()).toMatchSnapshot()
+    })
   })
 })