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Add strategy safe guards #21

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merged 6 commits into from
May 24, 2022
Merged

Add strategy safe guards #21

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93f4dd1
add price feed
tferraz-bitfinex May 20, 2022
67fc9de
update price feed
tferraz-bitfinex May 20, 2022
e185dea
add perf results
tferraz-bitfinex May 22, 2022
d8fc61c
add invoke method
tferraz-bitfinex May 22, 2022
ec1bf42
use candlePrice conf
tferraz-bitfinex May 24, 2022
fcb74b6
bump minor version
tferraz-bitfinex May 24, 2022
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16 changes: 15 additions & 1 deletion index.js
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Original file line number Diff line number Diff line change
Expand Up @@ -9,6 +9,7 @@ const _isEmpty = require('lodash/isEmpty')
const _reverse = require('lodash/reverse')
const _isFunction = require('lodash/isFunction')
const _isPlainObject = require('lodash/isPlainObject')
const BigNumber = require('bignumber.js')

const { candleWidth } = require('bfx-hf-util')
const { subscribe } = require('bfx-api-node-core')
Expand Down Expand Up @@ -40,11 +41,12 @@ class LiveStrategyExecution extends EventEmitter {
* @param {string} args.strategyOpts.tf - time frame to execute on
* @param {boolean} args.strategyOpts.includeTrades - if true, trade data is subscribed to and processed
* @param {number} args.strategyOpts.seedCandleCount - size of indicator candle seed window, before which trading is disabled
* @param {object} args.priceFeed
*/
constructor (args) {
super()

const { strategy, ws2Manager, rest, strategyOpts } = args
const { strategy, ws2Manager, rest, strategyOpts, priceFeed } = args

this.strategyState = {
...(strategy || {}),
Expand All @@ -54,6 +56,7 @@ class LiveStrategyExecution extends EventEmitter {
this.ws2Manager = ws2Manager || {}
this.rest = rest || {}
this.strategyOpts = strategyOpts || {}
this.priceFeed = priceFeed

this.lastCandle = null
this.lastTrade = null
Expand All @@ -74,13 +77,19 @@ class LiveStrategyExecution extends EventEmitter {

const { includeTrades, symbol, tf } = this.strategyOpts
const candleKey = `trade:${tf}:${symbol}`
let lastUpdate = 0
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if (includeTrades) {
this.ws2Manager.onWS('trades', { symbol }, async (trades) => {
if (trades.length > 1) { // we don't pass snapshots through
return
}

if (trades.mts > lastUpdate) {
this.priceFeed.update(new BigNumber(trades.price))
lastUpdate = trades.mts
}

this._enqueueMessage('trade', trades)
})
}
Expand All @@ -94,6 +103,11 @@ class LiveStrategyExecution extends EventEmitter {
candle.symbol = symbol
candle.tf = tf

if (candle.mts > lastUpdate) {
this.priceFeed.update(new BigNumber(candle.close))
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lastUpdate = candle.mts
}

this._enqueueMessage('candle', candle)
})
}
Expand Down
1 change: 1 addition & 0 deletions package.json
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Expand Up @@ -39,6 +39,7 @@
"bfx-api-node-util": "^1.0.2",
"bfx-hf-strategy": "git+https://github.com/bitfinexcom/bfx-hf-strategy.git#v1.2.4",
"bfx-hf-util": "git+https://github.com/bitfinexcom/bfx-hf-util.git#v1.0.12",
"bignumber.js": "^9.0.2",
"debug": "^4.3.3",
"lodash": "^4.17.10",
"mathjs": "^10.1.0",
Expand Down