Token_orderbook_snapshots for Ddex and Paradex(#1354)

* Implements the TokenOrderbookSnapshot Table

* Scripts, Data Sources and Entities to pull Ddex and Paradex API data.

2 files changed, 170 insertions, 0 deletions

diff --git a/packages/pipeline/src/data_sources/ddex/index.ts b/packages/pipeline/src/data_sources/ddex/index.ts
new file mode 100644
index 000000000..2bbd8c29b
--- /dev/null
+++ b/packages/pipeline/src/data_sources/ddex/index.ts
@@ -0,0 +1,78 @@
+import { fetchAsync, logUtils } from '@0x/utils';
+
+const DDEX_BASE_URL = 'https://api.ddex.io/v2';
+const ACTIVE_MARKETS_URL = `${DDEX_BASE_URL}/markets`;
+const NO_AGGREGATION_LEVEL = 3; // See https://docs.ddex.io/#get-orderbook
+const ORDERBOOK_ENDPOINT = `/orderbook?level=${NO_AGGREGATION_LEVEL}`;
+export const DDEX_SOURCE = 'ddex';
+
+export interface DdexActiveMarketsResponse {
+    status: number;
+    desc: string;
+    data: {
+        markets: DdexMarket[];
+    };
+}
+
+export interface DdexMarket {
+    id: string;
+    quoteToken: string;
+    quoteTokenDecimals: number;
+    quoteTokenAddress: string;
+    baseToken: string;
+    baseTokenDecimals: number;
+    baseTokenAddress: string;
+    minOrderSize: string;
+    maxOrderSize: string;
+    pricePrecision: number;
+    priceDecimals: number;
+    amountDecimals: number;
+}
+
+export interface DdexOrderbookResponse {
+    status: number;
+    desc: string;
+    data: {
+        orderBook: DdexOrderbook;
+    };
+}
+
+export interface DdexOrderbook {
+    marketId: string;
+    bids: DdexOrder[];
+    asks: DdexOrder[];
+}
+
+export interface DdexOrder {
+    price: string;
+    amount: string;
+    orderId: string;
+}
+
+// tslint:disable:prefer-function-over-method
+// ^ Keep consistency with other sources and help logical organization
+export class DdexSource {
+    /**
+     * Call Ddex API to find out which markets they are maintaining orderbooks for.
+     */
+    public async getActiveMarketsAsync(): Promise<DdexMarket[]> {
+        logUtils.log('Getting all active DDEX markets');
+        const resp = await fetchAsync(ACTIVE_MARKETS_URL);
+        const respJson: DdexActiveMarketsResponse = await resp.json();
+        const markets = respJson.data.markets;
+        logUtils.log(`Got ${markets.length} markets.`);
+        return markets;
+    }
+
+    /**
+     * Retrieve orderbook from Ddex API for a given market.
+     * @param marketId String identifying the market we want data for. Eg. 'REP/AUG'
+     */
+    public async getMarketOrderbookAsync(marketId: string): Promise<DdexOrderbook> {
+        logUtils.log(`${marketId}: Retrieving orderbook.`);
+        const marketOrderbookUrl = `${ACTIVE_MARKETS_URL}/${marketId}${ORDERBOOK_ENDPOINT}`;
+        const resp = await fetchAsync(marketOrderbookUrl);
+        const respJson: DdexOrderbookResponse = await resp.json();
+        return respJson.data.orderBook;
+    }
+}
diff --git a/packages/pipeline/src/data_sources/paradex/index.ts b/packages/pipeline/src/data_sources/paradex/index.ts
new file mode 100644
index 000000000..69a03d553
--- /dev/null
+++ b/packages/pipeline/src/data_sources/paradex/index.ts
@@ -0,0 +1,92 @@
+import { fetchAsync, logUtils } from '@0x/utils';
+
+const PARADEX_BASE_URL = 'https://api.paradex.io/consumer/v0';
+const ACTIVE_MARKETS_URL = PARADEX_BASE_URL + '/markets';
+const ORDERBOOK_ENDPOINT = PARADEX_BASE_URL + '/orderbook';
+const TOKEN_INFO_ENDPOINT = PARADEX_BASE_URL + '/tokens';
+export const PARADEX_SOURCE = 'paradex';
+
+export type ParadexActiveMarketsResponse = ParadexMarket[];
+
+export interface ParadexMarket {
+    id: string;
+    symbol: string;
+    baseToken: string;
+    quoteToken: string;
+    minOrderSize: string;
+    maxOrderSize: string;
+    priceMaxDecimals: number;
+    amountMaxDecimals: number;
+    // These are not native to the Paradex API response. We tag them on later
+    // by calling the token endpoint and joining on symbol.
+    baseTokenAddress?: string;
+    quoteTokenAddress?: string;
+}
+
+export interface ParadexOrderbookResponse {
+    marketId: number;
+    marketSymbol: string;
+    bids: ParadexOrder[];
+    asks: ParadexOrder[];
+}
+
+export interface ParadexOrder {
+    amount: string;
+    price: string;
+}
+
+export type ParadexTokenInfoResponse = ParadexTokenInfo[];
+
+export interface ParadexTokenInfo {
+    name: string;
+    symbol: string;
+    address: string;
+}
+
+export class ParadexSource {
+    private readonly _apiKey: string;
+
+    constructor(apiKey: string) {
+        this._apiKey = apiKey;
+    }
+
+    /**
+     * Call Paradex API to find out which markets they are maintaining orderbooks for.
+     */
+    public async getActiveMarketsAsync(): Promise<ParadexActiveMarketsResponse> {
+        logUtils.log('Getting all active Paradex markets.');
+        const resp = await fetchAsync(ACTIVE_MARKETS_URL, {
+            headers: { 'API-KEY': this._apiKey },
+        });
+        const markets: ParadexActiveMarketsResponse = await resp.json();
+        logUtils.log(`Got ${markets.length} markets.`);
+        return markets;
+    }
+
+    /**
+     * Call Paradex API to find out their token information.
+     */
+    public async getTokenInfoAsync(): Promise<ParadexTokenInfoResponse> {
+        logUtils.log('Getting token information from Paradex.');
+        const resp = await fetchAsync(TOKEN_INFO_ENDPOINT, {
+            headers: { 'API-KEY': this._apiKey },
+        });
+        const tokens: ParadexTokenInfoResponse = await resp.json();
+        logUtils.log(`Got information for ${tokens.length} tokens.`);
+        return tokens;
+    }
+
+    /**
+     * Retrieve orderbook from Paradex API for a given market.
+     * @param marketSymbol String representing the market we want data for.
+     */
+    public async getMarketOrderbookAsync(marketSymbol: string): Promise<ParadexOrderbookResponse> {
+        logUtils.log(`${marketSymbol}: Retrieving orderbook.`);
+        const marketOrderbookUrl = `${ORDERBOOK_ENDPOINT}?market=${marketSymbol}`;
+        const resp = await fetchAsync(marketOrderbookUrl, {
+            headers: { 'API-KEY': this._apiKey },
+        });
+        const orderbookResponse: ParadexOrderbookResponse = await resp.json();
+        return orderbookResponse;
+    }
+}