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Francois Klieber committed
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@@ -0,0 +1,108 @@
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var _ = require('lodash');
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var util = require('../util');
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var config = util.getConfig();
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var dirs = util.dirs();
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var log = require(dirs.core + 'log');
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var moment = require('moment');
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var adapter = config[config.adapter];
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var Reader = require(dirs.gekko + adapter.path + '/reader');
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var daterange = config.backtest.daterange;
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var to = moment.utc(daterange.to);
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var from = moment.utc(daterange.from);
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if(to <= from)
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util.die('This daterange does not make sense.')
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if(!from.isValid())
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util.die('invalid `from`');
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if(!to.isValid())
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util.die('invalid `to`');
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var Market = function() {
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_.bindAll(this);
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this.pushing = false;
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this.ended = false;
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this.closed = false;
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Readable.call(this, {objectMode: true});
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log.write('');
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log.info('\tWARNING: BACKTESTING FEATURE NEEDS PROPER TESTING');
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log.info('\tWARNING: ACT ON THESE NUMBERS AT YOUR OWN RISK!');
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log.write('');
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this.reader = new Reader();
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this.batchSize = config.backtest.batchSize;
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this.iterator = {
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from: from.clone(),
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to: from.clone().add(this.batchSize, 'm').subtract(1, 's')
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}
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}
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var Readable = require('stream').Readable;
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Market.prototype = Object.create(Readable.prototype, {
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constructor: { value: Market }
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});
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Market.prototype._read = _.once(function() {
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this.get();
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});
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Market.prototype.get = function() {
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if(this.iterator.to >= to) {
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this.iterator.to = to;
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this.ended = true;
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}
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this.reader.get(
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this.iterator.from.unix(),
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this.iterator.to.unix(),
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'full',
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this.processCandles
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)
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}
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Market.prototype.processCandles = function(err, candles) {
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this.pushing = true;
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var amount = _.size(candles);
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if(amount === 0) {
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if(this.ended) {
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this.closed = true;
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this.reader.close();
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this.push({isFinished: true});
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} else {
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util.die('Query returned no candles (do you have local data for the specified range?)');
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}
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}
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if(!this.ended && amount < this.batchSize) {
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var d = function(ts) {
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return moment.unix(ts).utc().format('YYYY-MM-DD HH:mm:ss');
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}
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var from = d(_.first(candles).start);
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var to = d(_.last(candles).start);
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log.warn(`Simulation based on incomplete market data (${this.batchSize - amount} missing between ${from} and ${to}).`);
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}
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_.each(candles, function(c, i) {
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c.start = moment.unix(c.start);
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this.push(c);
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}, this);
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this.pushing = false;
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this.iterator = {
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from: this.iterator.from.clone().add(this.batchSize, 'm'),
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to: this.iterator.from.clone().add(this.batchSize * 2, 'm').subtract(1, 's')
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}
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if(!this.closed)
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this.get();
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}
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module.exports = Market;
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@@ -0,0 +1,117 @@
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var _ = require('lodash');
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var util = require('../util');
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var config = util.getConfig();
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var dirs = util.dirs();
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var log = require(dirs.core + 'log');
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var moment = require('moment');
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var gekkoEnv = util.gekkoEnv();
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var adapter = config[config.adapter];
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var daterange = config.importer.daterange;
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var from = moment.utc(daterange.from);
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if(daterange.to) {
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var to = moment.utc(daterange.to);
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} else {
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var to = moment().utc();
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log.debug(
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'No end date specified for importing, setting to',
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to.format()
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);
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}
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log.debug(to.format());
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if(!from.isValid())
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util.die('invalid `from`');
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if(!to.isValid())
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util.die('invalid `to`');
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var TradeBatcher = require(dirs.budfox + 'tradeBatcher');
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var CandleManager = require(dirs.budfox + 'candleManager');
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var exchangeChecker = require(dirs.gekko + 'exchange/exchangeChecker');
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var error = exchangeChecker.cantFetchFullHistory(config.watch);
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if(error)
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util.die(error, true);
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var fetcher = require(dirs.importers + config.watch.exchange);
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if(to <= from)
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util.die('This daterange does not make sense.')
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var Market = function() {
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_.bindAll(this);
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this.exchangeSettings = exchangeChecker.settings(config.watch);
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this.tradeBatcher = new TradeBatcher(this.exchangeSettings.tid);
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this.candleManager = new CandleManager;
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this.fetcher = fetcher({
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to: to,
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from: from
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});
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this.done = false;
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this.fetcher.bus.on(
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'trades',
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this.processTrades
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);
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this.fetcher.bus.on(
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'done',
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function() {
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this.done = true;
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}.bind(this)
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)
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this.tradeBatcher.on(
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'new batch',
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this.candleManager.processTrades
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);
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this.candleManager.on(
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'candles',
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this.pushCandles
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);
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Readable.call(this, {objectMode: true});
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this.get();
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}
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var Readable = require('stream').Readable;
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Market.prototype = Object.create(Readable.prototype, {
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constructor: { value: Market }
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});
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Market.prototype._read = _.noop;
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Market.prototype.pushCandles = function(candles) {
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_.each(candles, this.push);
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}
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Market.prototype.get = function() {
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this.fetcher.fetch();
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}
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Market.prototype.processTrades = function(trades) {
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this.tradeBatcher.write(trades);
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if(this.done) {
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log.info('Done importing!');
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this.emit('end');
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return;
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}
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if(_.size(trades) && gekkoEnv === 'child-process') {
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let lastAtTS = _.last(trades).date;
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let lastAt = moment.unix(lastAtTS).utc().format();
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process.send({event: 'marketUpdate', payload: lastAt});
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}
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setTimeout(this.get, 1000);
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}
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module.exports = Market;
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@@ -0,0 +1,91 @@
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// a leech market is "semi-realtime" and pulls out candles of a
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// database (which is expected to be updated regularly, like with a
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// realtime market running in parallel).
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const _ = require('lodash');
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const moment = require('moment');
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const util = require('../util');
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const dirs = util.dirs();
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const config = util.getConfig();
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const exchangeChecker = require(dirs.gekko + 'exchange/exchangeChecker');
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const adapter = config[config.adapter];
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const Reader = require(dirs.gekko + adapter.path + '/reader');
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const TICKINTERVAL = 20 * 1000; // 20 seconds
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const slug = config.watch.exchange.toLowerCase();
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const exchange = exchangeChecker.getExchangeCapabilities(slug);
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if(!exchange)
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util.die(`Unsupported exchange: ${slug}`)
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const error = exchangeChecker.cantMonitor(config.watch);
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if(error)
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util.die(error, true);
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if(config.market.from)
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var fromTs = moment.utc(config.market.from).unix();
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else
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var fromTs = moment().startOf('minute').unix();
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var Market = function() {
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_.bindAll(this);
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Readable.call(this, {objectMode: true});
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this.reader = new Reader();
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this.latestTs = fromTs;
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setInterval(
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this.get,
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TICKINTERVAL
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);
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}
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var Readable = require('stream').Readable;
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Market.prototype = Object.create(Readable.prototype, {
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constructor: { value: Market }
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});
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Market.prototype._read = _.once(function() {
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this.get();
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});
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Market.prototype.get = function() {
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var future = moment().add(1, 'minute').unix();
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this.reader.get(
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this.latestTs,
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future,
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'full',
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this.processCandles
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)
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}
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Market.prototype.processCandles = function(err, candles) {
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var amount = _.size(candles);
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if(amount === 0) {
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// no new candles!
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return;
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}
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// TODO:
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// verify that the correct amount of candles was passed:
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//
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// if `this.latestTs` was at 10:00 and we receive 3 candles with the latest at 11:00
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// we know we are missing 57 candles...
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_.each(candles, function(c, i) {
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c.start = moment.unix(c.start).utc();
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this.push(c);
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}, this);
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this.latestTs = _.last(candles).start.unix() + 1;
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}
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module.exports = Market;
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@@ -0,0 +1,19 @@
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const _ = require('lodash');
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const util = require('../util');
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const dirs = util.dirs();
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const exchangeChecker = require(dirs.gekko + 'exchange/exchangeChecker');
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const config = util.getConfig();
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const slug = config.watch.exchange.toLowerCase();
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const exchange = exchangeChecker.getExchangeCapabilities(slug);
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if(!exchange)
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util.die(`Unsupported exchange: ${slug}`)
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const error = exchangeChecker.cantMonitor(config.watch);
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if(error)
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util.die(error, true);
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module.exports = require(dirs.budfox + 'budfox');
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