first commit

plugins/tradingAdvisor/asyncIndicatorRunner.js

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+const _ = require('lodash');
+const fs = require('fs');
+const util = require('../../core/util');
+const config = util.getConfig();
+const dirs = util.dirs();
+const log = require(dirs.core + 'log');
+
+const talib = require(dirs.core + 'talib');
+const tulind = require(dirs.core + 'tulind');
+
+const allowedTalibIndicators = _.keys(talib);
+const allowedTulipIndicators = _.keys(tulind);
+
+const AsyncIndicatorRunner = function() {
+  this.talibIndicators = {};
+  this.tulipIndicators = {};
+
+  this.candleProps = {
+    open: [],
+    high: [],
+    low: [],
+    close: [],
+    volume: []
+  };
+
+  this.candlePropsCacheSize = 1000;
+
+  this.inflight = false;
+  this.backlog = [];
+  this.age = 0;
+}
+
+AsyncIndicatorRunner.prototype.processCandle = function(candle, next) {
+  if(this.inflight) {
+    return this.backlog.push({candle, next});
+  }
+
+  this.age++;
+  this.inflight = true;  
+
+  this.candleProps.open.push(candle.open);
+  this.candleProps.high.push(candle.high);
+  this.candleProps.low.push(candle.low);
+  this.candleProps.close.push(candle.close);
+  this.candleProps.volume.push(candle.volume);
+
+  if(this.age > this.candlePropsCacheSize) {
+    this.candleProps.open.shift();
+    this.candleProps.high.shift();
+    this.candleProps.low.shift();
+    this.candleProps.close.shift();
+    this.candleProps.volume.shift();
+  }
+
+  this.calculateIndicators(next);
+}
+
+AsyncIndicatorRunner.prototype.calculateIndicators = function(next) {
+  const done = _.after(
+    _.size(this.talibIndicators) + _.size(this.tulipIndicators),
+    this.handlePostFlight(next)
+  );
+
+  // handle result from talib
+  const talibResultHander = name => (err, result) => {
+    if(err)
+      util.die('TALIB ERROR:', err);
+
+    this.talibIndicators[name].result = _.mapValues(result, v => _.last(v));
+    done();
+  }
+
+  // handle result from talib
+  _.each(
+    this.talibIndicators,
+    (indicator, name) => indicator.run(
+      this.candleProps,
+      talibResultHander(name)
+    )
+  );
+
+  // handle result from tulip
+  var tulindResultHander = name => (err, result) => {
+    if(err)
+      util.die('TULIP ERROR:', err);
+
+    this.tulipIndicators[name].result = _.mapValues(result, v => _.last(v));
+    done();
+  }
+
+  // handle result from tulip indicators
+  _.each(
+    this.tulipIndicators,
+    (indicator, name) => indicator.run(
+      this.candleProps,
+      tulindResultHander(name)
+    )
+  );
+}
+
+AsyncIndicatorRunner.prototype.handlePostFlight = function(next) {
+  return () => {
+    next();
+    this.inflight = false;
+
+    if(this.backlog.length) {
+      const { candle, next } = this.backlog.shift();
+      this.processCandle(candle, next);
+    }
+  }
+}
+
+AsyncIndicatorRunner.prototype.addTalibIndicator = function(name, type, parameters) {
+  if(!talib)
+    util.die('Talib is not enabled');
+
+  if(!_.contains(allowedTalibIndicators, type))
+    util.die('I do not know the talib indicator ' + type);
+
+  if(this.setup)
+    util.die('Can only add talib indicators in the init method!');
+
+  var basectx = this;
+
+  this.talibIndicators[name] = {
+    run: talib[type].create(parameters),
+    result: NaN
+  }
+}
+
+AsyncIndicatorRunner.prototype.addTulipIndicator = function(name, type, parameters) {
+  if(!tulind) {
+    util.die('Tulip indicators is not enabled');
+  }
+
+  if(!_.contains(allowedTulipIndicators, type))
+    util.die('I do not know the tulip indicator ' + type);
+
+  if(this.setup)
+    util.die('Can only add tulip indicators in the init method!');
+
+  var basectx = this;
+
+  this.tulipIndicators[name] = {
+    run: tulind[type].create(parameters),
+    result: NaN
+  }
+}
+
+module.exports = AsyncIndicatorRunner;