Merge branch 'master' into user-defined-type-guards

.npmignore

@@ -6,7 +6,7 @@ node_modules/
 !types/
 docs/apiref
 
-src/
+/src/
 npm-shrinkwrap.json
 yarn.lock
 tsconfig.json

package.json

@@ -44,8 +44,7 @@
     "@types/query-string": "3.0.30",
     "@types/simple-mock": "0.0.27",
     "@types/superagent": "2.0.35",
-    "@types/uuid": "2.0.29",
-    "@types/winston": "2.2.0",
+    "@types/winston": "2.3.8",
     "@types/ws": "0.0.37",
     "bignumber.js": "4.0.2",
     "bintrees": "1.0.1",
@@ -72,11 +71,10 @@
     "nock": "9.0.2",
     "nyc": "11.1.0",
     "source-map-support": "0.4.16",
-    "ts-node": "^3.3.0",
-    "tslint": "5.6.0",
+    "ts-node": "^5.0.1",
+    "tslint": "^5.9.1",
     "typedoc": "0.8.0",
-    "typescript": "^2.5.3",
-    "uuid": "3.0.0"
+    "typescript": "^2.7.2"
   },
   "resolutions": {
     "deasync": "^0.1.12"

src/consoles/gdaxConsole.ts

@@ -22,7 +22,9 @@ import { Ticker } from '../exchanges/PublicExchangeAPI';
 import { Balances } from '../exchanges/AuthenticatedExchangeAPI';
 import { PlaceOrderMessage } from '../core/Messages';
 import { LiveOrder } from '../lib/Orderbook';
-import { AuthCallOptions, GDAXAuthConfig, GDAXConfig } from '../exchanges/gdax/GDAXInterfaces';
+import { AuthCallOptions,
+         GDAXAuthConfig,
+         GDAXConfig } from '../exchanges/gdax/GDAXInterfaces';
 import { TransferRequest, TransferResult } from '../exchanges/ExchangeTransferAPI';
 import { Big } from '../lib/types';
 
@@ -142,11 +144,11 @@ if (program.newMarketOrder && hasAuth()) {
     }
     const vals = program.newMarketOrder.split(',');
     const params: PlaceOrderMessage = {
+        type: 'placeOrder',
         time: new Date(),
         clientId: null,
         side: vals[0],
         size: vals[1],
-        type: 'market',
         productId: program.product,
         price: null,
         orderType: 'market'
@@ -165,11 +167,11 @@ if (program.newLimitOrder && hasAuth()) {
     }
     const [side, size, price] = program.newLimitOrder.split(',');
     const params: PlaceOrderMessage = {
+        type: 'placeOrder',
         time: new Date(),
         clientId: null,
         side: side,
         size: size,
-        type: 'market',
         productId: program.product,
         price: price,
         orderType: 'limit'

src/core/ExchangeRateFilter.ts

@@ -12,7 +12,8 @@
  * License for the specific language governing permissions and limitations under the License.                              *
  ***************************************************************************************************************************/
 
-import { AbstractMessageTransform, MessageTransformConfig } from '../lib/AbstractMessageTransform';
+import { AbstractMessageTransform,
+         MessageTransformConfig } from '../lib/AbstractMessageTransform';
 import { StreamMessage } from './Messages';
 import { CurrencyPair, FXObject, pairAsString } from '../FXService/FXProvider';
 import { FXRates, FXService } from '../FXService/FXService';

src/core/HFTFilter.ts

@@ -12,7 +12,12 @@
  * License for the specific language governing permissions and limitations under the License.                              *
  ***************************************************************************************************************************/
 
-import { BaseOrderMessage, ChangedOrderMessage, isBaseOrderMessage, isStreamMessage, NewOrderMessage, StreamMessage } from './Messages';
+import { BaseOrderMessage,
+         ChangedOrderMessage,
+         isBaseOrderMessage,
+         isStreamMessage,
+         NewOrderMessage,
+         StreamMessage } from './Messages';
 import { RBTree } from 'bintrees';
 import { Duplex } from 'stream';
 import { MessageTransformConfig } from '../lib/AbstractMessageTransform';

src/core/LiveOrderbook.ts

@@ -13,8 +13,14 @@
  ***************************************************************************************************************************/
 
 import { Big, BigJS, Biglike, ZERO } from '../lib/types';
-import { CumulativePriceLevel, Level3Order, Orderbook, OrderbookState } from '../lib/Orderbook';
-import { AggregatedLevelFactory, AggregatedLevelWithOrders, BookBuilder, StartPoint } from '../lib/BookBuilder';
+import { CumulativePriceLevel,
+         Level3Order,
+         Orderbook,
+         OrderbookState } from '../lib/Orderbook';
+import { AggregatedLevelFactory,
+         AggregatedLevelWithOrders,
+         BookBuilder,
+         StartPoint } from '../lib/BookBuilder';
 import { Logger } from '../utils/Logger';
 import { Ticker } from '../exchanges/PublicExchangeAPI';
 import {
@@ -292,8 +298,7 @@ export class LiveOrderbook extends Duplex implements Orderbook {
         // If we're using an order pool, then we only remove orders that we're aware of. GDAX, for example might
         // send a done message for a stop order that is cancelled (and was not previously known to us).
         // Also filled orders will already have been removed by the time a GDAX done order reaches here
-        const book: BookBuilder = this._book;
-        if (!book.hasOrder(msg.orderId)) {
+        if (!this._book.hasOrder(msg.orderId)) {
             return;
         }
         if (!(this._book.remove(msg.orderId))) {

src/core/MessageQueue.ts

@@ -27,7 +27,7 @@ import { Duplex } from 'stream';
  *
  * @param logger {Logger} An optional logging interface
  *
- * @param product {string} A product to filter for. A single feed might be producing messages form multiple products (each with their own
+ * @param product {string} A product to filter for. A single feed might be producing messages from multiple products (each with their own
  * sequence numbers). This selects for the product so that all messages can be emitted in strictly increasing sequence number.
  *
  * @param targetQueueLength {number} Tries to maintain the queue length at this value. Default is zero, but you can increase to

src/core/Messages.ts

@@ -55,6 +55,7 @@ export function isErrorMessage(msg: any): msg is ErrorMessage {
  * Any context-rich information can be extracted into the `extra` field, and the original message should be attached to the `origin` field as usual.
  */
 export interface UnknownMessage extends StreamMessage {
+    type: 'unknown';
     sequence?: number;
     productId?: string;
     tag?: string;
@@ -179,6 +180,7 @@ export interface TickerMessage extends StreamMessage, Ticker {
  * in the extra field, which can be handled by the target trade engine.
  */
 export interface PlaceOrderMessage extends StreamMessage {
+    type: 'placeOrder';
     productId: string;
     clientId?: string;
     side: string;
@@ -191,14 +193,15 @@ export interface PlaceOrderMessage extends StreamMessage {
 }
 
 export interface CancelOrderRequestMessage extends StreamMessage {
-    type: string; // cancelOrder
+    type: 'cancelOrder';
     orderId: string;
 }
 
 /**
  * Emitted from a feed when one of my orders has been matched. (An authenticated feed is required)
  */
 export interface TradeExecutedMessage extends StreamMessage {
+    type: 'tradeExecuted';
     productId: string;
     orderId: string;
     side: string;
@@ -209,6 +212,7 @@ export interface TradeExecutedMessage extends StreamMessage {
 }
 
 export interface TradeFinalizedMessage extends StreamMessage {
+    type: 'tradeFinalized';
     productId: string;
     orderId: string;
     side: string;
@@ -218,6 +222,7 @@ export interface TradeFinalizedMessage extends StreamMessage {
 }
 
 export interface MyOrderPlacedMessage extends StreamMessage {
+    type: 'myOrderPlaced';
     productId: string;
     orderId: string;
     side: string;

src/core/ProductFilter.ts

@@ -12,7 +12,9 @@
  * License for the specific language governing permissions and limitations under the License.                              *
  ***************************************************************************************************************************/
 
-import { AbstractMessageTransform, MessageTransformConfig } from '../lib/AbstractMessageTransform';
+import { AbstractMessageTransform,
+         MessageTransformConfig } from '../lib/AbstractMessageTransform';
+import { StreamMessage } from '../core/Messages';
 
 export interface ProductFilterConfig extends MessageTransformConfig {
     productId: string;
@@ -29,8 +31,8 @@ export class ProductFilter extends AbstractMessageTransform {
         this.productId = config.productId;
     }
 
-    transformMessage(msg: any): any {
-        if (!msg || !msg.productId || msg.productId !== this.productId) {
+    transformMessage(msg: StreamMessage): StreamMessage {
+        if (!msg || !(msg as any).productId || (msg as any).productId !== this.productId) {
             return null;
         }
         return msg;

src/core/Trader.ts

@@ -17,7 +17,13 @@ import { Logger } from '../utils/Logger';
 import { AuthenticatedExchangeAPI } from '../exchanges/AuthenticatedExchangeAPI';
 import { BookBuilder } from '../lib/BookBuilder';
 import { Level3Order, LiveOrder, OrderbookState } from '../lib/Orderbook';
-import { CancelOrderRequestMessage, isStreamMessage, MyOrderPlacedMessage, PlaceOrderMessage, StreamMessage, TradeExecutedMessage, TradeFinalizedMessage } from './Messages';
+import { CancelOrderRequestMessage,
+         isStreamMessage,
+         MyOrderPlacedMessage,
+         PlaceOrderMessage,
+         StreamMessage,
+         TradeExecutedMessage,
+         TradeFinalizedMessage } from './Messages';
 import { OrderbookDiff } from '../lib/OrderbookDiff';
 import { Big, BigJS } from '../lib/types';
 import { StreamError } from '../lib/errors';
@@ -104,15 +110,14 @@ export class Trader extends Writable {
             // We pass the message along, but let the user decide what to do
             // We also have to wrap this call in a setImmediate; else any errors in the event handler will get thrown from here and lead to an unhandledRejection
             this.emitMessageAsync('Trader.place-order-failed', err.asMessage());
-            return Promise.resolve(null);
+            return null;
         });
     }
 
     cancelOrder(orderId: string): Promise<string> {
-        return this.api.cancelOrder(orderId).then((id: string) => {
-            // To avoid race conditions, we only actually remove the order when the tradeFinalized message arrives
-            return id;
-        });
+        // To avoid race conditions, we only actually remove the order
+        // when the tradeFinalized message arrives.
+        return this.api.cancelOrder(orderId);
     }
 
     cancelMyOrders(): Promise<string[]> {
@@ -159,8 +164,7 @@ export class Trader extends Writable {
             actualOrders.forEach((order: LiveOrder) => {
                 book.add(order);
             });
-            const diff = OrderbookDiff.compareByOrder(this.myBook, book);
-            return Promise.resolve(diff);
+            return OrderbookDiff.compareByOrder(this.myBook, book);
         });
     }
 
@@ -211,7 +215,7 @@ export class Trader extends Writable {
 
     private handleCancelOrder(request: CancelOrderRequestMessage) {
         this.cancelOrder(request.orderId).then((result: string) => {
-            return this.emitMessageAsync('Trader.order-cancelled', result);
+            this.emitMessageAsync('Trader.order-cancelled', result);
         }, (err: Error) => {
             this.emitMessageAsync('Trader.cancel-order-failed', err);
         });
@@ -228,7 +232,8 @@ export class Trader extends Writable {
         const order: Level3Order = this.myBook.getOrder(msg.orderId);
         if (!order) {
             this.logger.log('warn', 'Traded order not in my book', msg);
-            this.emit('Trader.outOfSyncWarning', 'Traded order not in my book');
+            this.emit('Trader.outOfSyncWarning',
+                      `Traded order ${msg.orderId} not in my book`);
             return;
         }
         let newSize: BigJS;

src/exchanges/AuthenticatedExchangeAPI.ts

@@ -62,6 +62,10 @@ export interface AvailableBalance {
     available: BigJS;
 }
 
+export interface AvailableBalances {
+    [currency: string]: AvailableBalance;
+}
+
 export interface Balances {
-    [profileId: string]: { [currency: string]: AvailableBalance };
+    [profileId: string]: AvailableBalances;
 }

src/exchanges/ExchangeFeed.ts

@@ -23,7 +23,7 @@ import { sanitizeMessage } from '../core/Messages';
 export class ExchangeFeedConfig {
     wsUrl: string;
     logger: Logger;
-    auth: ExchangeAuthConfig;
+    auth?: ExchangeAuthConfig;
 }
 
 // hooks for replacing libraries if desired

src/exchanges/ccxt/index.ts

@@ -18,7 +18,7 @@ import { Candle, CandleRequestOptions, Product, PublicExchangeAPI, Ticker } from
 import { AuthenticatedExchangeAPI, Balances } from '../AuthenticatedExchangeAPI';
 import { CryptoAddress, ExchangeTransferAPI, TransferRequest, TransferResult, WithdrawalRequest } from '../ExchangeTransferAPI';
 import { ExchangeAuthConfig } from '../AuthConfig';
-import { Big, BigJS } from '../../lib/types';
+import { Big, BigJS, ZERO } from '../../lib/types';
 import { BookBuilder } from '../../lib/BookBuilder';
 import { PlaceOrderMessage, TradeMessage } from '../../core/Messages';
 import { Level3Order, LiveOrder } from '../../lib/Orderbook';
@@ -235,7 +235,7 @@ export default class CCXTExchangeWrapper implements PublicExchangeAPI, Authentic
             }
             const t: Ticker = {
                 productId: gdaxProduct,
-                price: Big(0),
+                price: ZERO,
                 time: new Date(ticker.timestamp),
                 ask: Big(ticker.bid),
                 bid: Big(ticker.ask),

src/exchanges/gdax/GDAXExchangeAPI.ts

@@ -243,10 +243,7 @@ export class GDAXExchangeAPI implements PublicExchangeAPI, AuthenticatedExchange
                 return Promise.reject(new GTTError('Invalid Order type: ' + order.type));
         }
 
-        // TODO: use this.authClient.placeOrder() when gdax's
-        // index.d.ts adds it.
-        const promise = side === 'buy' ? this.authClient.buy(gdaxOrder) : this.authClient.sell(gdaxOrder);
-        return promise.then((result: OrderResult) => {
+        return this.authClient.placeOrder(gdaxOrder).then((result: OrderResult) => {
             // Check for error
             // TODO: Remove the first type assertion when https://github.com/coinbase/gdax-node/issues/269 is fixed.
             if ((result as any).status === 'rejected' || (result as any).message) {
@@ -376,9 +373,9 @@ export class GDAXExchangeAPI implements PublicExchangeAPI, AuthenticatedExchange
         });
     }
 
-    checkAuth(): Promise<GDAXAuthConfig> {
+    checkAuth(): Promise<void> {
         return new Promise((resolve, reject) => {
-            if (this.auth === null) {
+            if (!this.auth) {
                 return reject(new GTTError('You cannot make authenticated requests if a GDAXAuthConfig object was not provided to the GDAXExchangeAPI constructor'));
             }
             if (!(this.auth.key && this.auth.secret && this.auth.passphrase)) {