Merge pull request #1 from f3rno/master

v1.0.0: (initial import from bfx-hf-strategy)

.gitignore

@@ -0,0 +1,14 @@
+.idea
+dist/*
+node_modules
+npm-debug.log
+.vscode
+*.swo
+*.swp
+.DS_Store
+db/*.sql
+.env
+scripts/*
+!db/.keep
+db/*
+package-lock.json

index.js

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+'use strict'
+
+const debug = require('debug')('hf:strategy:exec')
+const { subscribe } = require('bfx-api-node-core')
+const { padCandles } = require('bfx-api-node-util')
+const { candleWidth } = require('bfx-hf-util')
+const _isEmpty = require('lodash/isEmpty')
+const _reverse = require('lodash/reverse')
+const PromiseThrottle = require('promise-throttle')
+
+const {
+  onSeedCandle, onCandle, onCandleUpdate, onTrade, indicatorValues
+} = require('bfx-hf-strategy')
+
+const CANDLE_FETCH_LIMIT = 1000
+const pt = new PromiseThrottle({
+  requestsPerSecond: 10.0 / 60.0, // taken from docs
+  promiseImplementation: Promise
+})
+
+module.exports = async (strategy = {}, wsManager = {}, args = {}) => {
+  const { symbol, tf, includeTrades, seedCandleCount = 5000 } = args
+  const candleKey = `trade:${tf}:${symbol}`
+  const messages = []
+  let strategyState = strategy
+  let lastCandle = null
+  let processing = false
+
+  debug('seeding with last ~%d candles...', seedCandleCount)
+
+  const cWidth = candleWidth(tf)
+  const now = Date.now()
+  const seedStart = now - (seedCandleCount * cWidth)
+
+  for (let i = 0; i < Math.ceil(seedCandleCount / CANDLE_FETCH_LIMIT); i += 1) {
+    let seededCandles = 0
+    let candle
+
+    const start = seedStart + (i * 1000 * cWidth)
+    const end = Math.min(seedStart + ((i + 1) * 1000 * cWidth), now)
+
+    const candleResponse = await pt.add(
+      wsManager.rest.candles.bind(wsManager.rest, ({
+        symbol,
+        timeframe: tf,
+        query: {
+          limit: CANDLE_FETCH_LIMIT,
+          start,
+          end,
+        }
+      }))
+    )
+
+    const candles = _reverse(padCandles(candleResponse, cWidth))
+
+    for (let i = 0; i < candles.length; i += 1) {
+      candle = candles[i]
+
+      if (lastCandle && lastCandle.mts >= candle.mts) {
+        continue
+      }
+
+      candle.tf = tf
+      candle.symbol = symbol
+
+      strategyState = await onSeedCandle(strategyState, candle)
+      lastCandle = candle
+      seededCandles += 1
+    }
+
+    debug(
+      'seeded with %d candles from %s - %s',
+      seededCandles, new Date(start).toLocaleString(), new Date(end).toLocaleString()
+    )
+  }
+
+  const enqueMessage = (type, data) => {
+    debug('enqueue %s', type)
+
+    messages.push({ type, data })
+
+    if (!processing) {
+      processMessages().catch((err) => {
+        debug('error processing: %s', err.stack)
+      })
+    }
+  }
+
+  const processMessage = async (msg) => {
+    const { type, data } = msg
+
+    switch (type) {
+      case 'trade': {
+        debug('recv trade: %j', data)
+        strategyState = await onTrade(strategyState, data)
+        break
+      }
+
+      case 'candle': {
+        if (lastCandle === null || lastCandle.mts < data.mts) {
+          debug('recv candle %j', data)
+          strategyState = await onCandle(strategyState, data)
+          lastCandle = data
+        } else if (lastCandle.mts === data.mts) {
+          debug('updated candle %j', data)
+          strategyState = await onCandleUpdate(strategyState, data)
+        }
+
+        break
+      }
+
+      default: {
+        debug('unknown message type: %s', type)
+      }
+    }
+  }
+
+  const processMessages = async () => {
+    processing = true
+
+    while (!_isEmpty(messages)) {
+      const [ msg ] = messages.splice(0, 1)
+
+      await processMessage(msg)
+    }
+
+    processing = false
+  }
+
+
+  if (includeTrades) {
+    wsManager.onWS('trades', { symbol }, async (trades) => {
+      if (trades.length > 1) { // we don't pass snapshots through
+        return
+      }
+
+      const [trade] = trades
+      enqueMessage('trade', trade)
+    })
+  }
+
+  wsManager.onWS('candles', { key: candleKey }, async (candles) => {
+    if (candles.length > 1) { // seeding happens at start via RESTv2
+      return
+    }
+
+    const [candle] = candles
+    candle.symbol = symbol
+    candle.tf = tf
+
+    enqueMessage('candle', candle)
+  })
+
+  wsManager.withSocket((socket) => {
+    let nextSocket = subscribe(socket, 'candles', { key: candleKey })
+
+    if (includeTrades) {
+      nextSocket = subscribe(nextSocket, 'trades', { symbol })
+    }
+
+    return nextSocket
+  })
+}

package.json

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+{
+  "name": "bfx-hf-strategy-exec",
+  "version": "1.0.0",
+  "description": "Execution logic for bfx-hf-strategy",
+  "main": "./index.js",
+  "directories": {
+    "lib": "lib"
+  },
+  "author": "Cris Mihalache <[email protected]> (https://www.bitfinex.com)",
+  "license": "Apache-2.0",
+  "scripts": {
+    "build": "babel -q ./index.js -d ./dist && copy package.json dist",
+    "test": "NODE_ENV=test BABEL_ENV=test node_modules/tape-watch/bin/tape-watch -r babel-register ./test/*.spec.js | faucet",
+    "postinstall": "npm run build"
+  },
+  "repository": {
+    "type": "git",
+    "url": "https://github.com/f3rno/bfx-hf-strategy-exec.git"
+  },
+  "bugs": {
+    "url": "https://github.com/f3rno/bfx-hf-strategy-exec/issues"
+  },
+  "keywords": [
+    "honey framework",
+    "bitfinex",
+    "bitcoin",
+    "BTC"
+  ],
+  "dependencies": {
+    "babel-core": "^6.26.3",
+    "babel-plugin-transform-object-rest-spread": "^6.23.0",
+    "babel-plugin-transform-regenerator": "^6.24.1",
+    "babel-polyfill": "^6.26.0",
+    "babel-preset-es2015": "^6.24.1",
+    "bfx-api-node-core": "^1.0.0",
+    "bfx-api-node-util": "^1.0.0",
+    "bfx-hf-indicators": "^1.0.0",
+    "bfx-hf-strategy": "^1.0.0-alpha.2",
+    "bfx-hf-util": "^1.0.0",
+    "copy": "^0.3.1",
+    "lodash": "^4.17.10",
+    "p-iteration": "^1.1.8",
+    "promise-throttle": "^1.0.0"
+  },
+  "devDependencies": {
+    "babel-cli": "^6.26.0",
+    "babel-eslint": "^7.2.2",
+    "babel-loader": "^6.4.1",
+    "babel-plugin-import-directory": "^1.0.3",
+    "babel-plugin-lodash": "^3.2.11",
+    "babel-preset-env": "^1.4.0",
+    "babel-preset-stage-0": "^6.24.1",
+    "bitfinex-api-node": "^2.0.0",
+    "cli-table": "^0.3.1",
+    "colors": "^1.3.1",
+    "compression-webpack-plugin": "^0.4.0",
+    "create-index": "^2.3.0",
+    "eslint": "^4.19.1",
+    "eslint-config-airbnb": "^16.1.0",
+    "eslint-config-standard": "^7.0.0",
+    "eslint-loader": "^1.7.1",
+    "eslint-plugin-import": "^2.12.0",
+    "eslint-plugin-jsx-a11y": "^6.0.3",
+    "eslint-plugin-promise": "^3.5.0",
+    "eslint-plugin-standard": "^2.0.1",
+    "faucet": "^0.0.1",
+    "moment": "^2.22.2",
+    "sprintf-js": "^1.1.1",
+    "tape": "^4.6.3",
+    "tape-watch": "^2.3.0",
+    "webpack": "^2.4.1",
+    "yargs": "6.6.0"
+  }
+}