From ce1a4fb64fdfb33da111504b2da59b7c3744c0b7 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Tarc=C3=ADsio=20Zotelli=20Ferraz?=
 <tar-2008.ferraz@hotmail.com>
Date: Tue, 16 Aug 2022 09:42:40 -0300
Subject: [PATCH] use trade data for price feed (#30)

* wip

* update with mts

* update version

Co-authored-by: Tarcisio Ferraz <tarcisio.ferraz@bitfinex.com>
---
 index.js     | 47 +++++++++++++++++++++--------------------------
 package.json |  2 +-
 2 files changed, 22 insertions(+), 27 deletions(-)

diff --git a/index.js b/index.js
index db0c494..ed3e102 100644
--- a/index.js
+++ b/index.js
@@ -40,16 +40,16 @@ class LiveStrategyExecution extends EventEmitter {
   constructor (args) {
     super()
 
-    const { strategy = {}, ws2Manager, rest, strategyOptions, priceFeed, perfManager } = args
+    const { strategy, ws2Manager, rest, strategyOptions, priceFeed, perfManager } = args
 
     this.strategyState = {
       ...strategy,
       emit: this.emit.bind(this)
     }
 
-    this.ws2Manager = ws2Manager || {}
-    this.rest = rest || {}
-    this.strategyOptions = strategyOptions || {}
+    this.ws2Manager = ws2Manager
+    this.rest = rest
+    this.strategyOptions = strategyOptions
     this.priceFeed = priceFeed
     this.perfManager = perfManager
 
@@ -108,18 +108,23 @@ class LiveStrategyExecution extends EventEmitter {
       throw new Error('WS2 manager not available')
     }
 
-    const { trades, symbol, timeframe } = this.strategyOptions
+    const { trades: includeTrades, symbol, timeframe } = this.strategyOptions
     const candleKey = `trade:${timeframe}:${symbol}`
 
-    if (trades) {
-      this.ws2Manager.onWS('trades', { symbol }, async (trades) => {
-        if (trades.length > 1) { // we don't pass snapshots through
-          return
-        }
+    this.ws2Manager.onWS('trades', { symbol }, async (trades) => {
+      if (trades.length > 1) { // we don't pass snapshots through
+        return
+      }
 
+      if (includeTrades) {
         this._enqueueMessage('trade', trades)
-      })
-    }
+      }
+
+      if (trades.mts > this.lastPriceFeedUpdate) {
+        this.priceFeed.update(trades.price, trades.mts)
+        this.lastPriceFeedUpdate = trades.mts
+      }
+    })
 
     this.ws2Manager.onWS('candles', { key: candleKey }, async (candles) => {
       if (candles.length > 1) { // seeding happens at start via RESTv2
@@ -322,11 +327,6 @@ class LiveStrategyExecution extends EventEmitter {
       return
     }
 
-    if (data.mts > this.lastPriceFeedUpdate) {
-      this.priceFeed.update(data.price)
-      this.lastPriceFeedUpdate = data.mts
-    }
-
     const { symbol } = this.strategyState
     data.symbol = symbol
     debug('recv trade: %j', data)
@@ -341,7 +341,7 @@ class LiveStrategyExecution extends EventEmitter {
    */
   async _processCandleData (data) {
     if (data.mts > this.lastPriceFeedUpdate) {
-      this.priceFeed.update(data[this.candlePrice])
+      this.priceFeed.update(data[this.candlePrice], data.mts)
       this.lastPriceFeedUpdate = data.mts
     }
 
@@ -385,17 +385,12 @@ class LiveStrategyExecution extends EventEmitter {
    * @private
    */
   _subscribeCandleAndTradeEvents () {
-    const { trades, symbol, timeframe } = this.strategyOptions
+    const { symbol, timeframe } = this.strategyOptions
     const candleKey = `trade:${timeframe}:${symbol}`
 
     this.ws2Manager.withSocket((socket) => {
-      let nextSocket = subscribe(socket, 'candles', { key: candleKey })
-
-      if (trades) {
-        nextSocket = subscribe(nextSocket, 'trades', { symbol })
-      }
-
-      return nextSocket
+      const nextSocket = subscribe(socket, 'candles', { key: candleKey })
+      return subscribe(nextSocket, 'trades', { symbol })
     })
   }
 
diff --git a/package.json b/package.json
index 71148b5..8526b4e 100644
--- a/package.json
+++ b/package.json
@@ -1,6 +1,6 @@
 {
   "name": "bfx-hf-strategy-exec",
-  "version": "2.2.2",
+  "version": "2.3.0",
   "description": "Execution logic for bfx-hf-strategy",
   "main": "./index.js",
   "directories": {