tlab-trading-toolkit
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A trading toolkit for building advanced trading bots on the GDAX platform
84 lines (83 loc) • 4.9 kB
JavaScript
/***************************************************************************************************************************
* @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 __assign = (this && this.__assign) || Object.assign || function(t) {
for (var s, i = 1, n = arguments.length; i < n; i++) {
s = arguments[i];
for (var p in s) if (Object.prototype.hasOwnProperty.call(s, p))
t[p] = s[p];
}
return t;
};
exports.__esModule = true;
var GTT = require("gdax-trading-toolkit");
/**
* This Demonstration program illustrates how one can pipe the GDAX message streams through filters to transform the
* data feed in a straightforward way.
*
* In this example, we make use of a FXService class (which provides Exchange rate data) and the ExchangeRateFilter
* to convert EUR and GBP prices to USD on the EUR and GBP books on the fly.
*/
var products = ['BTC-USD', 'BTC-EUR', 'BTC-GBP'];
// Create a single logger instance to pass around
var logger = GTT.utils.ConsoleLoggerFactory();
var padfloat = GTT.utils.padfloat;
GTT.Factories.GDAX.FeedFactory(logger, products).then(function (feed) {
// Configure all message streams to use the same websocket feed
// Create the source message streams by creating a MessageStream for each product, using the same WS feed for each
var streams = products.map(function (product) { return new GTT.Core.ProductFilter({ logger: logger, productId: product }); });
// Let's grab a simple FXService object that uses Yahoo Finance as its source
var fxService = GTT.Factories.SimpleFXServiceFactory('yahoo', logger);
// We add the EUR and GBP exchange rates and reset the refresh interval to 1 minute
fxService
.addCurrencyPair({ from: 'GBP', to: 'USD' })
.addCurrencyPair({ from: 'EUR', to: 'USD' })
.setRefreshInterval(1000 * 60);
// Now lets pipe the websocket feeds for the EUR and GBP books through an FX filter so that prices all come out in USD
var commonFilterConfig = {
fxService: fxService,
logger: logger,
pair: { from: null, to: 'USD' },
precision: 2
};
// Use the spread operator to overwrite the config properties that differ. Neat!
var fxGBP = new GTT.Core.ExchangeRateFilter(__assign({}, commonFilterConfig, { pair: { from: 'GBP', to: 'USD' } }));
var fxEUR = new GTT.Core.ExchangeRateFilter(__assign({}, commonFilterConfig, { pair: { from: 'EUR', to: 'USD' } }));
var outStream = new Array(3);
outStream[0] = feed.pipe(streams[0]);
// The EUR and GBP stream get passed through an exchange rate filter to convert prices to USD equivalent
outStream[1] = feed.pipe(streams[1]).pipe(fxEUR);
outStream[2] = feed.pipe(streams[2]).pipe(fxGBP);
var latest = [-100000, -100000, -100000];
var _loop_1 = function (i) {
outStream[i].on('data', function (msg) {
if (msg.type === 'trade') {
latest[i] = +msg.price;
if (latest[0] + latest[1] + latest[2] < 0) {
return;
}
printLatestPrices(latest);
}
});
};
for (var i = 0; i < 3; i++) {
_loop_1(i);
}
});
function printLatestPrices(prices) {
var cur = ['USD', 'EUR', 'GBP'];
var pstr = cur.map(function (c, i) { return c + " $" + padfloat(prices[i], 6, 2); });
var msg = pstr.join(' | ');
console.log(msg);
}