tlab-trading-toolkit
Version:
A trading toolkit for building advanced trading bots on the GDAX platform
122 lines (121 loc) • 6.09 kB
JavaScript
;
var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
return new (P || (P = Promise))(function (resolve, reject) {
function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
function step(result) { result.done ? resolve(result.value) : new P(function (resolve) { resolve(result.value); }).then(fulfilled, rejected); }
step((generator = generator.apply(thisArg, _arguments || [])).next());
});
};
Object.defineProperty(exports, "__esModule", { value: true });
/***************************************************************************************************************************
* @license *
* Copyright 2017 Coinbase, Inc. *
* *
* Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance *
* with the License. You may obtain a copy of the License at *
* *
* http://www.apache.org/licenses/LICENSE-2.0 *
* *
* Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on *
* an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the *
* License for the specific language governing permissions and limitations under the License. *
***************************************************************************************************************************/
const GTT = require("../src/index");
const ProductMap_1 = require("../src/exchanges/ProductMap");
const core_1 = require("../src/core");
const stream_1 = require("stream");
let snapshot = require('./snapshot.json');
let levels = require('./levelchange.json');
class MockFeed extends stream_1.Readable {
constructor(messageCount) {
super({ objectMode: true, highWaterMark: 1024 });
this.messageCount = messageCount;
this.snapshotRead = false;
this.lastLevelMessage = 0;
this.lastSentSequence = 0;
}
reset() {
this.snapshotRead = false;
this.lastLevelMessage = 0;
this.lastSentSequence = 0;
}
_read() {
if (this.lastSentSequence > this.messageCount) {
return false;
}
process.nextTick(() => {
if (!this.snapshotRead) {
this.push(snapshot);
this.lastSentSequence = snapshot.sequence;
this.snapshotRead = true;
}
else {
if (this.lastLevelMessage >= levels.length) {
this.lastLevelMessage = 0;
// console.log(`Used memory in MB : ${process.memoryUsage().heapUsed / (1000 * 1000)} \r`);
process.stdout.write(`Used memory @ ${this.lastSentSequence} in MB : ${process.memoryUsage().heapUsed / (1000 * 1000)} \r`);
}
let levelMessage = levels[this.lastLevelMessage];
let currentSequnce = ++this.lastSentSequence;
levelMessage.sequence = currentSequnce;
levelMessage.sourceSequence = currentSequnce;
this.push(levelMessage);
this.lastLevelMessage++;
}
});
return true;
}
}
const products = ['BTC/USDT'];
const logger = GTT.utils.ConsoleLoggerFactory({ level: 'debug' });
// const printOrderbook = GTT.utils.printOrderbook;
const printTicker = GTT.utils.printTicker;
/*
Simple demo that sets up a live order book and then periodically prints some stats to the console.
*/
const EXCHANGE = process.env.Exchange || "Bittrex";
function start() {
return __awaiter(this, void 0, void 0, function* () {
let feed = new MockFeed(Infinity);
let tradeVolume = 0;
yield ProductMap_1.ProductMap.configureExchange(EXCHANGE);
let product = products[0];
const config = {
product: product,
logger: logger
};
const book = new core_1.LiveOrderbook(config);
book.on('LiveOrderbook.snapshot', () => {
logger.log('info', 'Snapshot received by LiveOrderbook Demo for ' + product);
});
book.on('LiveOrderbook.ticker', (ticker) => {
console.log(printTicker(ticker));
});
book.on('LiveOrderbook.trade', (trade) => {
tradeVolume += +(trade.size);
});
book.on('LiveOrderbook.skippedMessage', (details) => {
// On GDAX, this event should never be emitted, but we put it here for completeness
console.log('SKIPPED MESSAGE', details);
console.log('Reconnecting to feed');
});
book.on('end', () => {
console.log('Orderbook closed');
});
book.on('error', (err) => {
console.log('Livebook errored: ', err);
});
console.log('Setting timer');
setInterval(() => {
console.log('info', 'Cleared Book');
book.book.clear();
feed.reset();
console.log('Reset feed');
console.log('');
process.stdout.write(`Used memory in MB : ${process.memoryUsage().heapUsed / (1000 * 1000)} \r`);
}, 1000 * 10);
feed.pipe(book);
});
}
start();