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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,242 @@ | ||
| var Gdax = require('gdax'); | ||
| var util = require('../core/util.js'); | ||
| var _ = require('lodash'); | ||
| var moment = require('moment'); | ||
| var log = require('../core/log'); | ||
|
|
||
| var batchSize = 100; | ||
|
|
||
| var Trader = function(config) { | ||
| _.bindAll(this); | ||
|
|
||
| this.post_only = false; // orders can be rejected because of this | ||
| this.use_sandbox = false; | ||
| this.name = 'GDAX'; | ||
| this.import = false; | ||
| this.scanback = false; | ||
| this.scanbackTid = 0; | ||
| this.scanbackResults = []; | ||
|
|
||
| if(_.isObject(config)) { | ||
| this.key = config.key; | ||
| this.secret = config.secret; | ||
| this.passphrase = config.passphrase; | ||
|
|
||
| this.pair = [config.asset, config.currency].join('-').toUpperCase(); | ||
| this.use_sandbox = config.sandbox ? config.sandbox : false; | ||
| this.post_only = config.post_only ? config.post_only : false; | ||
| } | ||
|
|
||
| this.gdax_public = new Gdax.PublicClient(this.pair, this.use_sandbox ? 'https://api-public.sandbox.gdax.com' : undefined); | ||
| this.gdax = new Gdax.AuthenticatedClient(this.key, this.secret, this.passphrase, this.use_sandbox ? 'https://api-public.sandbox.gdax.com' : undefined); | ||
| } | ||
|
|
||
| // if the exchange errors we try the same call again after | ||
| // waiting 10 seconds | ||
| Trader.prototype.retry = function(method, args) { | ||
| var wait = +moment.duration(10, 'seconds'); | ||
| log.debug(this.name, 'returned an error, retrying..'); | ||
|
|
||
| var self = this; | ||
|
|
||
| // make sure the callback (and any other fn) | ||
| // is bound to Trader | ||
| _.each(args, function(arg, i) { | ||
| if(_.isFunction(arg)) | ||
| args[i] = _.bind(arg, self); | ||
| }); | ||
|
|
||
| // run the failed method again with the same | ||
| // arguments after wait | ||
| setTimeout( | ||
| function() { method.apply(self, args) }, | ||
| wait | ||
| ); | ||
| } | ||
|
|
||
| Trader.prototype.getPortfolio = function(callback) { | ||
| var result = function(err, response, data) { | ||
| if (data.hasOwnProperty('message')) { | ||
| return callback(data.message, []); | ||
| } | ||
| var portfolio = data.map(function (account) { | ||
| return { | ||
| name: account.currency.toUpperCase(), | ||
| amount: parseFloat(account.available) | ||
| } | ||
| } | ||
| ); | ||
| callback(err, portfolio); | ||
| }; | ||
|
|
||
| this.gdax.getAccounts(result); | ||
| } | ||
|
|
||
| Trader.prototype.getTicker = function(callback) { | ||
| var result = function(err, response, data) { | ||
| callback(err, {bid: +data.bid, ask: +data.ask}) | ||
| }; | ||
|
|
||
| this.gdax_public.getProductTicker(result); | ||
| } | ||
|
|
||
| Trader.prototype.getFee = function(callback) { | ||
| //https://www.gdax.com/fees | ||
| //There is no maker fee, not sure if we need taker fee here | ||
| //If post only is enabled, gdax only does maker trades which are free | ||
| callback(false, this.post_only ? 0 : 0.0025); | ||
| } | ||
|
|
||
| Trader.prototype.buy = function(amount, price, callback) { | ||
| var buyParams = { | ||
| 'price': price, | ||
| 'size': amount, | ||
| 'product_id': this.pair, | ||
| 'post_only': this.post_only | ||
| }; | ||
| var result = function(err, response, data) { | ||
| if (data.hasOwnProperty('message')) { | ||
| return callback(data.message, null); | ||
| } | ||
| callback(err, data.id); | ||
| }; | ||
|
|
||
| this.gdax.buy(buyParams, result); | ||
| } | ||
|
|
||
| Trader.prototype.sell = function(amount, price, callback) { | ||
| var sellParams = { | ||
| 'price': price, | ||
| 'size': amount, | ||
| 'product_id': this.pair, | ||
| 'post_only': this.post_only | ||
| }; | ||
| var result = function(err, response, data) { | ||
| if (data.hasOwnProperty('message')) { | ||
| return callback(data.message, null); | ||
| } | ||
| callback(err, data.id); | ||
| }; | ||
|
|
||
| this.gdax.sell(sellParams, result); | ||
| } | ||
|
|
||
| Trader.prototype.checkOrder = function(order, callback) { | ||
|
|
||
| if (order == null) { | ||
| return callback('EMPTY ORDER_ID', false); | ||
| } | ||
|
|
||
| var result = function(err, response, data) { | ||
| if (data.hasOwnProperty('message')) { | ||
| return callback(data.message, null); | ||
| } | ||
|
|
||
| var status = data.status; | ||
| if (status == 'done') { | ||
| return callback(err, true); | ||
| } else if (status == 'rejected') { | ||
| return callback(err, false); | ||
| } else if (status == 'pending') { | ||
| return callback(err, false); | ||
| } | ||
| callback(err, false); | ||
| }; | ||
|
|
||
| this.gdax.getOrder(order, result); | ||
| } | ||
|
|
||
| Trader.prototype.cancelOrder = function(order) { | ||
| if (order == null) { | ||
| return; | ||
| } | ||
|
|
||
| var result = function(err, response, data) { | ||
| // | ||
| }; | ||
|
|
||
| this.gdax.cancelOrder(order, result); | ||
| } | ||
|
|
||
| Trader.prototype.getTrades = function(since, callback, descending) { | ||
| var args = _.toArray(arguments); | ||
| var lastScan = 0; | ||
|
|
||
| var process = function(err, response, data) { | ||
| if(err) | ||
| return this.retry(this.getTrades, args); | ||
|
|
||
| var result = _.map(data, function(trade) { | ||
| return { | ||
| tid: trade.trade_id, | ||
| amount: parseFloat(trade.size), | ||
| date: moment.utc(trade.time).format('X'), | ||
| price: parseFloat(trade.price) | ||
| }; | ||
| }); | ||
|
|
||
| if (this.scanback) { | ||
| var last = _.last(data); | ||
| var first = _.first(data); | ||
|
|
||
| // Try to find trade id matching the since date | ||
| if (!this.scanbackTid) { | ||
| // either scan for new ones or we found it. | ||
| if (moment.utc(last.time) < moment.utc(since)) { | ||
| this.scanbackTid = last.trade_id; | ||
| } else { | ||
| log.debug('Scanning backwards...' + last.time); | ||
| this.gdax_public.getProductTrades({after: last.trade_id - (batchSize * lastScan) , limit: batchSize}, process); | ||
| lastScan++; | ||
| if (lastScan > 100) { | ||
| lastScan = 10; | ||
| } | ||
| } | ||
| } | ||
|
|
||
| if (this.scanbackTid) { | ||
| // if scanbackTid is set we need to move forward again | ||
| log.debug('Backwards: ' + last.time + ' (' + last.trade_id + ') to ' + first.time + ' (' + first.trade_id + ')'); | ||
|
|
||
| if (this.import) { | ||
| this.scanbackTid = first.trade_id; | ||
| callback(null, result.reverse()); | ||
| } else { | ||
| this.scanbackResults = this.scanbackResults.concat(result.reverse()); | ||
|
|
||
| if (this.scanbackTid != first.trade_id) { | ||
| this.scanbackTid = first.trade_id; | ||
| this.gdax_public.getProductTrades({after: this.scanbackTid + batchSize + 1, limit: batchSize}, process); | ||
| } else { | ||
| this.scanback = false; | ||
| this.scanbackTid = 0; | ||
| if (!this.import) { | ||
| log.debug('Scan finished: data found:' + this.scanbackResults.length); | ||
| callback(null, this.scanbackResults); | ||
| } | ||
| this.scanbackResults = []; | ||
| } | ||
| } | ||
| } | ||
| } else { | ||
| callback(null, result.reverse()); | ||
| } | ||
| }.bind(this); | ||
|
|
||
| if (since || this.scanback) { | ||
| this.scanback = true; | ||
| if (this.scanbackTid) { | ||
| this.gdax_public.getProductTrades({after: this.scanbackTid + batchSize + 1, limit: batchSize}, process); | ||
| } else { | ||
| log.debug('Scanning back in the history needed...'); | ||
| log.debug(moment.utc(since).format()); | ||
| this.gdax_public.getProductTrades({limit: batchSize}, process); | ||
| } | ||
| } else { | ||
| this.gdax_public.getProductTrades({limit: batchSize}, process); | ||
| } | ||
|
|
||
| } | ||
|
|
||
|
|
||
| module.exports = Trader; |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,56 @@ | ||
| var Gdax = require('gdax'); | ||
| var util = require('../../core/util.js'); | ||
| var _ = require('lodash'); | ||
| var moment = require('moment'); | ||
| var log = require('../../core/log'); | ||
|
|
||
| var config = util.getConfig(); | ||
|
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||
| var dirs = util.dirs(); | ||
|
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| var Fetcher = require(dirs.exchanges + 'gdax'); | ||
|
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| util.makeEventEmitter(Fetcher); | ||
|
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||
| var end = false; | ||
| var done = false; | ||
| var from = false; | ||
|
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| var fetcher = new Fetcher(config.watch); | ||
|
|
||
| var fetch = () => { | ||
| fetcher.import = true; | ||
| fetcher.getTrades(from, handleFetch); | ||
| } | ||
|
|
||
| var handleFetch = (unk, trades) => { | ||
| var last = moment.unix(_.last(trades).date); | ||
|
|
||
| if(last < from) { | ||
| log.debug('Skipping data, they are before from date', last.format()); | ||
| return fetch(); | ||
| } | ||
|
|
||
| if (last > end) { | ||
| fetcher.emit('done'); | ||
|
|
||
| var endUnix = end.unix(); | ||
| trades = _.filter( | ||
| trades, | ||
| t => t.date <= endUnix | ||
| ) | ||
| } | ||
|
|
||
| fetcher.emit('trades', trades); | ||
| } | ||
|
|
||
| module.exports = function (daterange) { | ||
|
|
||
| from = daterange.from.clone(); | ||
| end = daterange.to.clone(); | ||
|
|
||
| return { | ||
| bus: fetcher, | ||
| fetch: fetch | ||
| } | ||
| } |
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