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Closes #12
Happy to re-work this one if needed.
Opted to go for onClosed rather than onReadyStateChange as that was more useful.
I wasn't quite sure where to put the onClosed call so put it in close() and in connect(), in both cases it only fires if the previous state was OPEN so there shouldn't be any cases of it double-firing.
This means that the event will fire if the user calls close(), or if the socket ends up getting closed by other means.
Only putting it in connect() seemed mean that a user calling close() didn't get the onClosed event fired quickly as it waited until there was some data on the socket to read before it ultimately got round to calling the finally block.