Add bulkDepth functionality

README.md

@@ -67,6 +67,7 @@ Following examples will use the `await` form, which requires some configuration
     - [depositAddress](#depositaddress)
 - [Websockets](#websockets)
     - [depth](#depth)
+    - [bulkDepth](#bulkdepth)
     - [partialDepth](#partialdepth)
     - [ticker](#ticker)
     - [allTickers](#alltickers)
@@ -910,6 +911,42 @@ client.ws.depth('ETHBTC', depth => {
 
 </details>
 
+#### bulkDepth
+
+Live depth market data feed. The first parameter can either
+be a single symbol string or an array of symbols.
+
+This method creates only one connection, that prevents from overpopulating the server.
+
+```js
+client.ws.bulkDepth('ETHBTC', depth => {
+  console.log(depth);
+})
+```
+
+<details>
+<summary>Output</summary>
+
+```js
+{
+  eventType: 'depthUpdate',
+  eventTime: 1508612956950,
+  symbol: 'ETHBTC',
+  firstUpdateId: 18331140,
+  finalUpdateId: 18331145,
+  bidDepth: [
+    { price: '0.04896500', quantity: '0.00000000' },
+    { price: '0.04891100', quantity: '15.00000000' },
+    { price: '0.04891000', quantity: '0.00000000' } ],
+  askDepth: [
+    { price: '0.04910600', quantity: '0.00000000' },
+    { price: '0.04910700', quantity: '11.24900000' }
+  ]
+}
+```
+
+</details>
+
 #### partialDepth
 
 Top levels bids and asks, pushed every second. Valid levels are 5, 10, or 20.

src/websocket.js

@@ -36,6 +36,38 @@ const depth = (payload, cb) => {
   return (options) => cache.forEach(w => w.close(1000, 'Close handle was called', { keepClosed: true, ...options }))
 }
 
+const bulkDepth = (payload, cb) => {
+  const _BASE = BASE.replace(/ws$/gi, 'stream');
+  const streams = (Array.isArray(payload) ? payload : [payload])
+    .map(symbol => `${symbol}@depth`)
+    .join('/');
+
+  const w = openWebSocket(`${_BASE}?streams=${streams.toLowerCase()}`);
+  w.onmessage = msg => {
+    const {
+      e: eventType,
+      E: eventTime,
+      s: symbol,
+      U: firstUpdateId,
+      u: finalUpdateId,
+      b: bidDepth,
+      a: askDepth,
+    } = JSON.parse(msg.data).data
+
+    cb({
+      eventType,
+      eventTime,
+      symbol,
+      firstUpdateId,
+      finalUpdateId,
+      bidDepth: bidDepth.map(b => zip(['price', 'quantity'], b)),
+      askDepth: askDepth.map(a => zip(['price', 'quantity'], a)),
+    });
+  }
+
+  return (options) => w.close(1000, 'Close handle was called', { keepClosed: true, ...options });
+}
+
 const partialDepth = (payload, cb) => {
   const cache = (Array.isArray(payload) ? payload : [payload]).map(({ symbol, level }) => {
     const w = openWebSocket(`${BASE}/${symbol.toLowerCase()}@depth${level}`)
@@ -272,6 +304,7 @@ const user = opts => cb => {
 
 export default opts => ({
   depth,
+  bulkDepth,
   partialDepth,
   candles,
   trades,

test/index.js

@@ -130,6 +130,26 @@ test('[WS] depth', t => {
   })
 })
 
+test('[WS] bulk depth', t => {
+  return new Promise(resolve => {
+    const symbols = ['ETHBTC', 'LTCBTC'];
+    const connection = client.ws.bulkDepth(symbols, depth => {
+      checkFields(t, depth, [
+        'eventType',
+        'eventTime',
+        'firstUpdateId',
+        'finalUpdateId',
+        'symbol',
+        'bidDepth',
+        'askDepth',
+      ]);
+
+      connection();
+      resolve();
+    });
+  });
+});
+
 test('[WS] partial depth', t => {
   return new Promise(resolve => {
     client.ws.partialDepth({ symbol: 'ETHBTC', level: 10 }, depth => {