Add weighted averages

test/1-api.spec.js

@@ -1768,7 +1768,7 @@ describe('API', () => {
     this.timeout(120000)
 
     const paramsArr = [
-      { end, start },
+      { end, start, symbol: 'tBTCUSD' },
       {
         end,
         start: end - (10 * 60 * 60 * 1000),

test/4-queue-base.spec.js

@@ -835,6 +835,7 @@ describe('Queue', () => {
         auth,
         method: 'getWeightedAveragesReportCsv',
         params: {
+          symbol: 'tBTCUSD',
           end,
           start: _start,
           email

test/helpers/helpers.mock-rest-v2.js

@@ -219,7 +219,8 @@ const getMockDataOpts = () => ({
   get_settings: null,
   set_settings: null,
   generate_token: null,
-  movement_info: null
+  movement_info: null,
+  weighted_averages: null
 })
 
 const createMockRESTv2SrvWithDate = (

test/helpers/mock-data.js

@@ -758,5 +758,19 @@ module.exports = new Map([
         merchantName: 'Testing'
       }
     ]
+  ],
+  [
+    'weighted_averages',
+    [
+      321,
+      684407.06727697,
+      32.30565315,
+      null,
+      -596599.40936202,
+      -33.16213227,
+      null,
+      21185.36542503,
+      17990.3814539
+    ]
   ]
 ])

workers/loc.api/helpers/schema.js

@@ -141,7 +141,16 @@ const paramsSchemaForWeightedAveragesReportApi = {
       type: 'integer'
     },
     symbol: {
-      type: ['string', 'array']
+      type: ['string', 'array'],
+      if: {
+        type: 'array'
+      },
+      then: {
+        maxItems: 1,
+        items: {
+          type: 'string'
+        }
+      }
     }
   }
 }

workers/loc.api/service.report.js

@@ -99,6 +99,14 @@ class ReportService extends Api {
     return Array.isArray(res) ? res : []
   }
 
+  _getWeightedAveragesReportFromApi (args) {
+    const { auth, params } = args ?? {}
+
+    const rest = this._getREST(auth)
+
+    return rest.getWeightedAverages(params)
+  }
+
   getPositionsSnapshot (space, args, cb) {
     return this._responder(() => {
       return this._prepareApiResponse(
@@ -621,7 +629,7 @@ class ReportService extends Api {
 
   getWeightedAveragesReport (space, args, cb) {
     return this._responder(async () => {
-      checkParams(args, 'paramsSchemaForWeightedAveragesReportApi')
+      checkParams(args, 'paramsSchemaForWeightedAveragesReportApi', ['symbol'])
 
       return this._weightedAveragesReport
         .getWeightedAveragesReport(args)

workers/loc.api/weighted.averages.report/index.js

@@ -13,13 +13,19 @@ class WeightedAveragesReport {
   ) {
     this.rService = rService
     this.getDataFromApi = getDataFromApi
+
+    // Used to switch data fetching from DB for framework mode
+    this._isNotCalcTakenFromBfxApi = false
   }
 
-  async getWeightedAveragesReport (args = {}) {
+  async getWeightedAveragesReport (args = {}, opts = {}) {
     const {
       auth = {},
       params = {}
     } = args ?? {}
+    const {
+      isNotCalcTakenFromBfxApi = this._isNotCalcTakenFromBfxApi
+    } = opts ?? {}
 
     const {
       start = 0,
@@ -33,6 +39,13 @@ class WeightedAveragesReport {
       s && typeof s === 'string'
     ))
 
+    if (!isNotCalcTakenFromBfxApi) {
+      return await this._getWeightedAveragesReportFromApi({
+        auth,
+        params: { start, end, symbol }
+      })
+    }
+
     const {
       res: trades,
       nextPage
@@ -50,6 +63,69 @@ class WeightedAveragesReport {
     }
   }
 
+  async _getWeightedAveragesReportFromApi (args) {
+    const limit = 100_000
+    const symbols = args?.params?.symbol ?? []
+
+    const weightedAverages = []
+
+    // If `nextPage === true` it means that data is not consistent and need to change timeframe
+    let nextPage = false
+
+    /*
+     * The loop here is to keep previous implementation,
+     * amount of symbols is limited in params schema
+     */
+    for (const symbol of symbols) {
+      const res = await this.getDataFromApi({
+        getData: (space, _args) => this.rService._getWeightedAveragesReportFromApi(_args),
+        args: {
+          auth: args?.auth ?? {},
+          params: { ...args?.params, limit, symbol },
+          notThrowError: true
+        },
+        callerName: 'WEIGHTED_AVERAGES',
+        eNetErrorAttemptsTimeframeMin: 10 / 60,
+        eNetErrorAttemptsTimeoutMs: 1000,
+        shouldNotInterrupt: true
+      })
+
+      const {
+        tradeCount,
+        sumBuyingSpent = 0,
+        sumBuyingAmount = 0,
+        sumSellingSpent = 0,
+        sumSellingAmount = 0,
+        buyingWeightedPrice = 0,
+        sellingWeightedPrice = 0
+      } = res ?? {}
+
+      if (tradeCount >= limit) {
+        nextPage = true
+      }
+
+      const cumulativeAmount = sumBuyingAmount + sumSellingAmount
+      const cumulativeWeightedPrice = cumulativeAmount === 0
+        ? 0
+        : (sumBuyingSpent + sumSellingSpent) / cumulativeAmount
+
+      weightedAverages.push({
+        symbol,
+        buyingWeightedPrice,
+        buyingAmount: sumBuyingAmount,
+        sellingWeightedPrice,
+        sellingAmount: sumSellingAmount,
+        cumulativeWeightedPrice,
+        cumulativeAmount
+      })
+    }
+
+    return {
+      nextPage,
+      res: weightedAverages
+    }
+  }
+
   async _getTrades (args) {
     const limit = 2000
     const start = args?.start ?? 0