Refactor Research

Document per-exchange requirements

• authentication required
• single socket / multi-socket / per-socket limits
• subscription limits

The goal of this research will be to determine how we can use a more generic base client and we can use composition to enable the required capabilities for an exchange.

• authenticate
• getSocket
• sendMessage
• message handling
• composite messages
• restRequests

Some features:

• emit raw message (possibly as third parameter) -> this will be useful for debugging
• emit unhandled message for debuugging -> this will be useful for seeing if anything is wrong

Poloniex

• performs REST request on client initialization for market identifiers.
• treats some markets like rooms, subscribing to ticker, trades, and orderbook in a single call to the market feed

JEX

• would benefit from event based pattern matching for subscribe as well as handling messages. It requires subscribing to spotTrade, optionTrade, or contractTrade. These emit similarly named events

Kucoin

• limit of 100 subscriptions per socket.

General Thoughts

• subscribe pushes subscriptions into central event subscriber for the client
• asynchronously acquire a connection which can be customized to meet the needs of the exchange
  • limits on subscriptions per socket
  • connection throttling
  • authentication (based on feed type)
• once a connection is provided for the subscription it can be placed into a "send" queue for the socket
• the send queue can customize behavior based on how the exchange works
  • throttling
  • batching
  • grouping