bluebot/importers/exchanges/bitfinex.js

A bitcoin trading bot for auto trading at various exchanges

var Bitfinex = require("bitfinex-api-node");
var util = require('../../core/util.js');
var _ = require('lodash');
var moment = require('moment');
var log = require('../../core/log');

var config = util.getConfig();

var dirs = util.dirs();

var Fetcher = require(dirs.exchanges + 'bitfinex');

Fetcher.prototype.getTrades = function(upto, callback, descending) {
    var args = _.toArray(arguments);
  
    var path = 'trades/t' + this.pair + '/hist';
    if (upto) {
        path += '?limit=1000';
        path += '&start=' + moment(upto).subtract(1, 'd').valueOf();
        path += '&end=' + moment(upto).valueOf();
    }
  
    log.debug('Querying trades with: ' + path);
    this.bitfinex.makePublicRequest(path, (err, data) => {
        if (err) {
            return this.retry(this.getTrades, args);
        }

        var trades = [];
        if (_.isArray(data)) {
            trades = _.map(data, function(trade) {
                return {
                    tid: trade.ID,
                    date: moment(trade.MTS).format('X'),
                    price: +trade.PRICE,
                    amount: +trade.AMOUNT
                }
            });
        }
    
        callback(null, descending ? trades : trades.reverse());
    });
}

util.makeEventEmitter(Fetcher);

var end = false;
var done = false;
var from = false;

var lastTimestamp = false;
var lastId = false;

var batch = [];
var batch_start = false;
var batch_end = false;
var batch_last = false;

var fetcher = new Fetcher(config.watch);
fetcher.bitfinex = new Bitfinex(null, null, { version: 2, transform: true }).rest;

var fetch = () => {
    fetcher.import = true;

    if (lastTimestamp) {
        // We need to slow this down to prevent hitting the rate limits
        setTimeout(() => {
            fetcher.getTrades(lastTimestamp, handleFetch);
        }, 3500);
    }
    else {
        lastTimestamp = from.valueOf();
        batch_start = moment(from);
        batch_end = moment(from).add(2, 'h');
        fetcher.getTrades(batch_end, handleFetch);   
    }
}

var handleFetch = (unk, trades) => {
    trades = _.filter(
        trades,
        t => !lastId || (t.tid < lastId)
    );

    if (trades.length) {
        batch = trades.concat(batch);
        var last = moment.unix(_.first(trades).date);
        lastTimestamp = last.valueOf();
        lastId = _.first(trades).tid; 
    }
    else {
        lastTimestamp = moment(lastTimestamp).subtract(1, 'd').valueOf();
    }

    // if we're not done the batch we need to refetch
    if (moment(lastTimestamp) >= batch_start) {
        return fetch();
    }

    var lastBatch = batch;

    // in this case we've finished the last batch and are complete
    if (batch_end.isSame(end)) {
        fetcher.emit('done');
    }
    // the batch if complete, lets advance to the next set
    else {
        lastId = false;
        batch = [];
        batch_start = moment(batch_end);
        batch_end = moment(batch_end).add(2, 'h');
    
        if (batch_end > end)
            batch_end = moment(end);

        lastTimestamp = batch_end.valueOf();
    }
    
    fetcher.emit('trades', lastBatch);
}

module.exports = function (daterange) {

    from = daterange.from.clone();
    end = daterange.to.clone();

    return {
        bus: fetcher,
        fetch: fetch
    }
}