first commit

core/budfox/tradeBatcher.js

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+// 
+// Small wrapper that only propagates new trades.
+// 
+// Expects trade batches to be written like:
+// [
+//  {
+//    tid: x, // tid is preferred, but if none available date will also work
+//    price: x,
+//    date: (timestamp),
+//    amount: x
+//  },
+//  {
+//    tid: x + 1,
+//    price: x,
+//    date: (timestamp),
+//    amount: x
+//  }
+// ]
+// 
+// Emits 'new trades' event with:
+// {
+//   amount: x,
+//   start: (moment),
+//   end: (moment),
+//   first: (trade),
+//   last: (trade)
+//   data: [
+//      // batch of new trades with 
+//      // moments instead of timestamps
+//   ]
+// }
+
+var _ = require('lodash');
+var moment = require('moment');
+var util = require('../util');
+var log = require('../log');
+
+var TradeBatcher = function(tid) {
+  if(!_.isString(tid))
+    throw new Error('tid is not a string');
+
+  _.bindAll(this);
+  this.tid = tid;
+  this.last = -1;
+}
+
+util.makeEventEmitter(TradeBatcher);
+
+TradeBatcher.prototype.write = function(batch) {
+
+  if(!_.isArray(batch))
+    throw new Error('batch is not an array');
+
+  if(_.isEmpty(batch))
+    return log.debug('Trade fetch came back empty.');
+
+  var filterBatch = this.filter(batch);
+
+  var amount = _.size(filterBatch);
+  if(!amount)
+    return log.debug('No new trades.');
+
+  var momentBatch = this.convertDates(filterBatch);
+
+  var last = _.last(momentBatch);
+  var first = _.first(momentBatch);
+
+  log.debug(
+    'Processing', amount, 'new trades.',
+    'From',
+    first.date.format('YYYY-MM-DD HH:mm:ss'),
+    'UTC to',
+    last.date.format('YYYY-MM-DD HH:mm:ss'),
+    'UTC.',
+    '(' + first.date.from(last.date, true) + ')'
+  );
+
+  this.emit('new batch', {
+    amount: amount,
+    start: first.date,
+    end: last.date,
+    last: last,
+    first: first,
+    data: momentBatch
+  });
+
+  this.last = last[this.tid];
+
+  // we overwrote those, get unix ts back
+  if(this.tid === 'date')
+    this.last = this.last.unix();
+
+}
+
+TradeBatcher.prototype.filter = function(batch) {
+  // make sure we're not trying to count
+  // beyond infinity
+  var lastTid = _.last(batch)[this.tid];
+  if(lastTid === lastTid + 1)
+    util.die('trade tid is max int, Gekko can\'t process..');
+
+  // remove trades that have zero amount
+  // see @link
+  // https://github.com/askmike/gekko/issues/486
+  batch = _.filter(batch, function(trade) {
+    return trade.amount > 0;
+  });
+
+  // weed out known trades
+  // TODO: optimize by stopping as soon as the
+  // first trade is too old (reverse first)
+  return _.filter(batch, function(trade) {
+    return this.last < trade[this.tid];
+  }, this);
+}
+
+TradeBatcher.prototype.convertDates = function(batch) {
+  return _.map(_.cloneDeep(batch), function(trade) {
+    trade.date = moment.unix(trade.date).utc();
+    return trade;
+  });
+}
+
+module.exports = TradeBatcher;