tlab-trading-toolkit
Version:
A trading toolkit for building advanced trading bots on the GDAX platform
177 lines (176 loc) • 9.86 kB
JavaScript
;
var __extends = (this && this.__extends) || (function () {
var extendStatics = Object.setPrototypeOf ||
({ __proto__: [] } instanceof Array && function (d, b) { d.__proto__ = b; }) ||
function (d, b) { for (var p in b) if (b.hasOwnProperty(p)) d[p] = b[p]; };
return function (d, b) {
extendStatics(d, b);
function __() { this.constructor = d; }
d.prototype = b === null ? Object.create(b) : (__.prototype = b.prototype, new __());
};
})();
var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
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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());
});
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exports.__esModule = 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. *
***************************************************************************************************************************/
var GTT = require("..");
var RedisBook_1 = require("../src/core/RedisBook");
var stream_1 = require("stream");
var RedisConnector_1 = require("../src/core/RedisConnector");
var tlab_util_1 = require("tlab-util");
var redisct = RedisConnector_1.getRedisct();
var io = RedisConnector_1.getEmitter();
var EXCHANGE = process.env.Exchange || "GDAX";
var orderBooks = new Map();
var SocketStream = (function (_super) {
__extends(SocketStream, _super);
function SocketStream() {
return _super !== null && _super.apply(this, arguments) || this;
}
SocketStream.prototype.write = function (msg, callback) {
msg.exchange = EXCHANGE;
var room = msg.exchange + ":" + msg.productId;
var orderBookRoom = room + ":book";
var tickerRoom = room + ":ticker";
var type = 'book';
var toRoom = '';
switch (msg.type) {
case 'ticker':
toRoom = tickerRoom;
type = 'ticker';
break;
case 'snapshot':
type = 'snapshot';
toRoom = orderBookRoom;
break;
case 'trade':
var ltt = new Date(msg.time).getTime();
var ticker = {
type: 'trade',
ltt: ltt,
scrip: msg.productId,
exchange: msg.exchange,
ltp: msg.price,
volume: msg.size
};
io.of('/api/quotes').to(tickerRoom).emit('ticker', Object.assign({}, ticker, { productId: room }));
var quote = { ts: tlab_util_1.getIntervalTimeStamp(ltt, 60, 0), o: msg.price, h: msg.price, l: msg.price, c: msg.price, v: msg.size, exchange: msg.exchange, scrip: msg.productId };
redisct.saveQuotes(quote, tlab_util_1.getIntervalTimeStamp(ltt, 86400, 0));
case 'level':
toRoom = orderBookRoom;
type = 'book';
break;
}
io.of('/api/quotes').to(toRoom).emit(type, Object.assign({}, msg, { productId: room }));
return true;
};
return SocketStream;
}(stream_1.Writable));
var logger = GTT.utils.ConsoleLoggerFactory({ level: 'debug' });
function start() {
return __awaiter(this, void 0, void 0, function () {
var tradeVolume, products, factories, socketStream;
return __generator(this, function (_a) {
switch (_a.label) {
case 0:
tradeVolume = 0;
console.log('Configuring Exchange ', EXCHANGE);
return [4 /*yield*/, GTT.Exchanges.ProductMap.configureExchange(EXCHANGE)];
case 1:
_a.sent();
return [4 /*yield*/, GTT.Exchanges.ProductMap.ExchangeMap.get(EXCHANGE).getAvailableProducts()];
case 2:
products = _a.sent();
console.log('Total available products', products.length);
factories = GTT.Factories;
socketStream = new SocketStream();
factories[EXCHANGE].FeedFactory(logger, products).then(function (feed) {
// Configure the live book object
console.log('Feed started for exchange ', EXCHANGE);
products.forEach(function (product) {
var config = {
product: product,
logger: logger,
exchange: EXCHANGE
};
var book = new RedisBook_1.RedisBook(config);
book.on('LiveOrderbook.snapshot', function () {
// logger.log('info', 'Snapshot received by LiveOrderbook Demo for '+product);
});
book.on('LiveOrderbook.ticker', function (ticker) {
// console.log(printTicker(ticker));
});
book.on('LiveOrderbook.trade', function (trade) {
tradeVolume += +(trade.size);
});
book.on('LiveOrderbook.skippedMessage', function (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');
feed.reconnect(0);
});
book.on('end', function () {
console.log('Orderbook closed');
});
book.on('error', function (err) {
console.log('Livebook errored: ', err);
feed.pipe(book);
});
feed.pipe(book);
orderBooks.set(product, book);
});
feed.pipe(socketStream);
})["catch"](function (err) {
logger.error(err);
});
return [2 /*return*/];
}
});
});
}
start();