feat: Return historical prices (#54)

src/market/MarketAPI.ts

@@ -1,4 +1,5 @@
 import {AxiosInstance} from 'axios';
+import {PricesAPI} from './prices';
 
 export interface Currency {
   baseExchangeRate: number;
@@ -185,8 +186,11 @@ export class MarketAPI {
     MARKETNAVIGATION: `/marketnavigation`,
     MARKETS: `/markets`,
   };
+  prices: PricesAPI;
 
-  constructor(private readonly apiClient: AxiosInstance) {}
+  constructor(private readonly apiClient: AxiosInstance) {
+    this.prices = new PricesAPI(apiClient);
+  }
 
   /**
    * Returns all markets matching the search term.

src/market/prices/PricesAPI.test.ts

@@ -0,0 +1,161 @@
+/* eslint-disable sort-keys */
+import nock from 'nock';
+import {APIClient} from '../../APIClient';
+import {PricesAPI, Resolution} from './PricesAPI';
+
+describe('PricesAPI', () => {
+  describe('getPrices', () => {
+    it('returns n number of price points from now', async () => {
+      nock(APIClient.URL_DEMO)
+        .get(`${PricesAPI.URL.PRICES}/CS.D.GBPUSD.TODAY.IP?max=5&pageNumber=1&pageSize=0&resolution=HOUR_4`)
+        .reply(
+          200,
+          JSON.stringify({
+            prices: [
+              {
+                snapshotTime: '2021/01/26 00:00:00',
+                snapshotTimeUTC: '2021-01-26T00:00:00',
+                openPrice: {bid: 13676.1, ask: 13677.6, lastTraded: null},
+                closePrice: {bid: 13663.8, ask: 13664.7, lastTraded: null},
+                highPrice: {bid: 13676.8, ask: 13678.1, lastTraded: null},
+                lowPrice: {bid: 13659.5, ask: 13661, lastTraded: null},
+                lastTradedVolume: 16435,
+              },
+              {
+                snapshotTime: '2021/01/26 04:00:00',
+                snapshotTimeUTC: '2021-01-26T04:00:00',
+                openPrice: {bid: 13663.7, ask: 13664.6, lastTraded: null},
+                closePrice: {bid: 13611.5, ask: 13613, lastTraded: null},
+                highPrice: {bid: 13666, ask: 13667.1, lastTraded: null},
+                lowPrice: {bid: 13609.2, ask: 13610.1, lastTraded: null},
+                lastTradedVolume: 22061,
+              },
+              {
+                snapshotTime: '2021/01/26 08:00:00',
+                snapshotTimeUTC: '2021-01-26T08:00:00',
+                openPrice: {bid: 13611.8, ask: 13612.7, lastTraded: null},
+                closePrice: {bid: 13674.1, ask: 13675.6, lastTraded: null},
+                highPrice: {bid: 13676.2, ask: 13677.1, lastTraded: null},
+                lowPrice: {bid: 13610.5, ask: 13611.8, lastTraded: null},
+                lastTradedVolume: 29631,
+              },
+              {
+                snapshotTime: '2021/01/26 12:00:00',
+                snapshotTimeUTC: '2021-01-26T12:00:00',
+                openPrice: {bid: 13675.2, ask: 13676.1, lastTraded: null},
+                closePrice: {bid: 13741.5, ask: 13742.4, lastTraded: null},
+                highPrice: {bid: 13744, ask: 13745, lastTraded: null},
+                lowPrice: {bid: 13670.5, ask: 13671.4, lastTraded: null},
+                lastTradedVolume: 31848,
+              },
+              {
+                snapshotTime: '2021/01/26 16:00:00',
+                snapshotTimeUTC: '2021-01-26T16:00:00',
+                openPrice: {bid: 13741.4, ask: 13742.3, lastTraded: null},
+                closePrice: {bid: 13731.4, ask: 13732.3, lastTraded: null},
+                highPrice: {bid: 13742.9, ask: 13743.8, lastTraded: null},
+                lowPrice: {bid: 13717.5, ask: 13718.4, lastTraded: null},
+                lastTradedVolume: 12235,
+              },
+            ],
+            instrumentType: 'CURRENCIES',
+            metadata: {
+              allowance: {remainingAllowance: 9945, totalAllowance: 10000, allowanceExpiry: 524060},
+              size: 5,
+              pageData: {pageSize: 20, pageNumber: 1, totalPages: 1},
+            },
+          })
+        );
+
+      const getPrices = await global.client.rest.market.prices.getPrices('CS.D.GBPUSD.TODAY.IP', Resolution.HOUR_4, 5);
+      expect(getPrices.prices.length).toBe(5);
+      expect(getPrices.instrumentType).toBe('CURRENCIES');
+    });
+  });
+  describe('getPricesBetweenDates', () => {
+    it('returns prices between given dates', async () => {
+      nock(APIClient.URL_DEMO)
+        .get(
+          `${PricesAPI.URL.PRICES}/CS.D.GBPUSD.TODAY.IP?from=2021-01-15T00%3A00%3A00.000Z&pageNumber=1&pageSize=0&resolution=HOUR_4&to=2021-01-16T00%3A00%3A00.000Z`
+        )
+        // .query(true)
+        .reply(
+          200,
+          JSON.stringify({
+            prices: [
+              {
+                snapshotTime: '2021/01/15 00:00:00',
+                snapshotTimeUTC: '2021-01-15T00:00:00',
+                openPrice: {bid: 13681.9, ask: 13684, lastTraded: null},
+                closePrice: {bid: 13681.4, ask: 13682.9, lastTraded: null},
+                highPrice: {bid: 13697.4, ask: 13698.9, lastTraded: null},
+                lowPrice: {bid: 13674.1, ask: 13675.3, lastTraded: null},
+                lastTradedVolume: 22064,
+              },
+              {
+                snapshotTime: '2021/01/15 04:00:00',
+                snapshotTimeUTC: '2021-01-15T04:00:00',
+                openPrice: {bid: 13681.3, ask: 13682.8, lastTraded: null},
+                closePrice: {bid: 13662.4, ask: 13663.3, lastTraded: null},
+                highPrice: {bid: 13684.3, ask: 13685.3, lastTraded: null},
+                lowPrice: {bid: 13657, ask: 13658.4, lastTraded: null},
+                lastTradedVolume: 24315,
+              },
+              {
+                snapshotTime: '2021/01/15 08:00:00',
+                snapshotTimeUTC: '2021-01-15T08:00:00',
+                openPrice: {bid: 13662.3, ask: 13663.2, lastTraded: null},
+                closePrice: {bid: 13638.9, ask: 13639.8, lastTraded: null},
+                highPrice: {bid: 13669.7, ask: 13670.6, lastTraded: null},
+                lowPrice: {bid: 13636.9, ask: 13637.9, lastTraded: null},
+                lastTradedVolume: 32672,
+              },
+              {
+                snapshotTime: '2021/01/15 12:00:00',
+                snapshotTimeUTC: '2021-01-15T12:00:00',
+                openPrice: {bid: 13638.4, ask: 13639.3, lastTraded: null},
+                closePrice: {bid: 13583.5, ask: 13584.4, lastTraded: null},
+                highPrice: {bid: 13641.3, ask: 13642.2, lastTraded: null},
+                lowPrice: {bid: 13571.8, ask: 13572.7, lastTraded: null},
+                lastTradedVolume: 43169,
+              },
+              {
+                snapshotTime: '2021/01/15 16:00:00',
+                snapshotTimeUTC: '2021-01-15T16:00:00',
+                openPrice: {bid: 13583.6, ask: 13584.5, lastTraded: null},
+                closePrice: {bid: 13579.2, ask: 13580.7, lastTraded: null},
+                highPrice: {bid: 13606.2, ask: 13607.1, lastTraded: null},
+                lowPrice: {bid: 13574.2, ask: 13575.1, lastTraded: null},
+                lastTradedVolume: 23937,
+              },
+              {
+                snapshotTime: '2021/01/15 20:00:00',
+                snapshotTimeUTC: '2021-01-15T20:00:00',
+                openPrice: {bid: 13579.1, ask: 13580.6, lastTraded: null},
+                closePrice: {bid: 13582.1, ask: 13592.1, lastTraded: null},
+                highPrice: {bid: 13589.1, ask: 13596.3, lastTraded: null},
+                lowPrice: {bid: 13574.8, ask: 13576.3, lastTraded: null},
+                lastTradedVolume: 8749,
+              },
+            ],
+            instrumentType: 'CURRENCIES',
+            metadata: {
+              allowance: {remainingAllowance: 9994, totalAllowance: 10000, allowanceExpiry: 604799},
+              size: 6,
+              pageData: {pageSize: 6, pageNumber: 1, totalPages: 1},
+            },
+          })
+        );
+
+      const getPricesBetweenDates = await global.client.rest.market.prices.getPricesBetweenDates(
+        'CS.D.GBPUSD.TODAY.IP',
+        Resolution.HOUR_4,
+        new Date('2021-01-15T00:00:00'),
+        new Date('2021-01-16T00:00:00')
+      );
+
+      expect(getPricesBetweenDates.prices.length).toBe(6);
+      expect(getPricesBetweenDates.instrumentType).toBe('CURRENCIES');
+    });
+  });
+});

src/market/prices/PricesAPI.ts

@@ -0,0 +1,153 @@
+import {AxiosInstance} from 'axios';
+import querystring from 'querystring';
+interface BidAsk {
+  ask: number;
+  bid: number;
+  lastTraded: number | null;
+}
+export interface CandleStick {
+  closePrice: BidAsk;
+  highPrice: BidAsk;
+  lastTradedVolume: number;
+  lowPrice: BidAsk;
+  openPrice: BidAsk;
+  snapshotTime: Date | string;
+  snapshotTimeUTC: Date | string;
+}
+
+export interface HistoricalPricesAllowance {
+  allowanceExpiry: number;
+  remainingAllowance: number;
+  totalAllowance: number;
+}
+
+export interface HistoricalPricesMetadata {
+  allowance: HistoricalPricesAllowance;
+  pageData: HistoricalPricesPagination;
+  size: number;
+}
+
+export interface HistoricalPricesPagination {
+  pageNumber: number;
+  pageSize: number;
+  totalPages: number;
+}
+
+export interface HistoricalPricesResponse {
+  instrumentType:
+    | 'BUNGEE_COMMODITIES'
+    | 'BUNGEE_CURRENCIES'
+    | 'BUNGEE_INDICES'
+    | 'COMMODITIES'
+    | 'CURRENCIES'
+    | 'INDICES'
+    | 'OPT_COMMODITIES'
+    | 'OPT_CURRENCIES'
+    | 'OPT_INDICES'
+    | 'OPT_RATES'
+    | 'OPT_SHARES'
+    | 'RATES'
+    | 'SECTORS'
+    | 'SHARES'
+    | 'SPRINT_MARKET'
+    | 'TEST_MARKET'
+    | 'UNKNOWN';
+  metadata: HistoricalPricesMetadata;
+  prices: CandleStick[];
+}
+
+export enum Resolution {
+  DAY = 'DAY',
+  HOUR = 'HOUR',
+  HOUR_2 = 'HOUR_2',
+  HOUR_3 = 'HOUR_3',
+  HOUR_4 = 'HOUR_4',
+  MINUTE = 'MINUTE',
+  MINUTE_10 = 'MINUTE_10',
+  MINUTE_15 = 'MINUTE_15',
+  MINUTE_2 = 'MINUTE_2',
+  MINUTE_3 = 'MINUTE_3',
+  MINUTE_30 = 'MINUTE_30',
+  MINUTE_5 = 'MINUTE_5',
+  MONTH = 'MONTH',
+  SECOND = 'SECOND',
+  WEEK = 'WEEK',
+}
+
+export enum ResolutionTime {
+  DAY = 86400000,
+  HOUR = 3600000,
+  HOUR_2 = 7200000,
+  HOUR_3 = 10800000,
+  HOUR_4 = 14400000,
+  MINUTE = 60000,
+  MINUTE_10 = 600000,
+  MINUTE_15 = 900000,
+  MINUTE_2 = 120000,
+  MINUTE_3 = 180000,
+  MINUTE_30 = 1800000,
+  MINUTE_5 = 300000,
+  MONTH = 2419200000,
+  SECOND = 1000,
+  WEEK = 604800000,
+}
+
+export class PricesAPI {
+  static readonly URL = {
+    PRICES: '/prices',
+  };
+
+  constructor(private readonly apiClient: AxiosInstance) {}
+
+  /**
+   * Returns historical prices between given dates
+   * NOTE: Uses the V3 API response
+   * @param epic - The epic of the market to be retrieved
+   * @param resolution - the time resolution to get
+   * @param startDate - Start date
+   * @param endDate - End date - must be later than start date
+   * @param pageSize - Number of candles per page of results (default 0 - no pagination)
+   * @param pageNumber - the page of results to return
+   * @see https://labs.ig.com/rest-trading-api-reference/service-detail?id=521
+   */
+  async getPricesBetweenDates(
+    epic: string,
+    resolution: Resolution,
+    startDate: Date,
+    endDate: Date,
+    pageSize: number = 0,
+    pageNumber: number = 1
+  ): Promise<HistoricalPricesResponse> {
+    const qs = querystring.stringify({
+      from: startDate.toISOString(),
+      pageNumber,
+      pageSize,
+      resolution,
+      to: endDate.toISOString(),
+    });
+
+    const resource = `${PricesAPI.URL.PRICES}/${epic}?${qs}`;
+
+    const response = await this.apiClient.get<HistoricalPricesResponse>(resource, {headers: {Version: 3}});
+
+    return response.data;
+  }
+
+  async getPrices(
+    epic: string,
+    resolution: Resolution,
+    pointCount: number,
+    pageSize: number = 0,
+    pageNumber: number = 1
+  ): Promise<HistoricalPricesResponse> {
+    const qs = querystring.stringify({
+      max: pointCount,
+      pageNumber,
+      pageSize,
+      resolution,
+    });
+    const resource = `${PricesAPI.URL.PRICES}/${epic}?${qs}`;
+    const response = await this.apiClient.get<HistoricalPricesResponse>(resource, {headers: {Version: 3}});
+    return response.data;
+  }
+}

src/market/prices/index.ts

@@ -0,0 +1 @@
+export * from './PricesAPI';