/
ohlc.go
193 lines (166 loc) · 3.97 KB
/
ohlc.go
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package kraken
import (
"fmt"
"net/http"
"regexp"
"strconv"
"time"
"github.com/hokaccha/go-prettyjson"
"github.com/pkg/errors"
)
type OHLC struct {
Timestamp int64
Open float64
High float64
Low float64
Close float64
VWAP float64
Volume float64
TradeCount int64
}
type OHLCResponse struct {
LastTimestamp int64
Current OHLC
History []OHLC
}
// OHLC returns OHLC entries based on market pair, interval and start time
func (c Client) OHLC(pair string, interval int64, since time.Time) (OHLCResponse, error) {
resp, err := c.getOHLC(pair, interval, since)
if err != nil {
return OHLCResponse{}, Wrap(err)
}
if len(resp.items) == 0 {
return OHLCResponse{}, Wrap(fmt.Errorf("empty OHLC response"))
}
fmt.Printf("%+v\n", resp)
j, _ := prettyjson.Marshal(resp)
fmt.Println(string(j))
var o OHLCResponse
o.LastTimestamp = resp.last
for _, item := range resp.items {
if item.Timestamp <= resp.last {
o.History = append(o.History, item)
} else {
o.Current = item
}
}
return o, nil
}
type ohlcKrakenResponse struct {
Result map[string]interface{}
Error KrakenErrors
}
type ohlcResponse struct {
items []OHLC
last int64
}
const ohlcPath = "/0/public/OHLC"
func (c Client) getOHLC(pair string, interval int64, since time.Time) (ohlcResponse, error) {
url := fmt.Sprintf("%s/%s/public/OHLC?pair=%s&interval=%v&since=%v",
baseURL, apiVersion, pair, interval, since.Unix())
fmt.Println(url)
req, err := http.NewRequest("GET", url, nil)
if err != nil {
return ohlcResponse{}, Wrap(err)
}
// sendPublic request
var resp ohlcKrakenResponse
if err := c.sendPublic(req, &resp); err != nil {
return ohlcResponse{}, Wrap(err)
}
// check for response errors
if err := resp.Error.Errors(); err != nil {
return ohlcResponse{}, Wrap(err)
}
// parse the response
var o ohlcResponse
for k, v := range resp.Result {
if k == "last" {
f, err := strconv.ParseFloat(fmt.Sprintf("%v", v), 10)
if err != nil {
return ohlcResponse{}, Wrap(err)
}
o.last = int64(f)
continue
} else {
s := fmt.Sprintf("%v", v)
o.items, err = parseOHLCResponse(s)
if err != nil {
return ohlcResponse{}, Wrap(err)
}
}
}
return o, nil
}
var ohlcSelect = regexp.MustCompile(`((?:[0-9\.]|e\+)+)`)
// because kraken's response is an array of arrays that cannot be converted to a Go struct, we need to parse the
// string response and assign it to fields in a struct.
// this is incredibly hacky but i dont want to spend too much time on this. still working on proof of concept and can
// come back and improve performance later.
func parseOHLCResponse(s string) ([]OHLC, error) {
var out []OHLC
if len(s) == 0 {
return nil, errors.New("expected OHLC array, received empty string")
}
result := ohlcSelect.FindAllString(s, -1)
var counter int // tracks which field we are dealing with
var ohlc OHLC
var err error
for _, s := range result {
switch counter {
case 0:
f, err := strconv.ParseFloat(s, 64)
if err != nil {
return nil, Wrap(err)
}
ohlc.Timestamp = int64(f)
counter++
case 1:
ohlc.Open, err = strconv.ParseFloat(s, 64)
if err != nil {
return nil, Wrap(err)
}
counter++
case 2:
ohlc.High, err = strconv.ParseFloat(s, 64)
if err != nil {
return nil, Wrap(err)
}
counter++
case 3:
ohlc.Low, err = strconv.ParseFloat(s, 64)
if err != nil {
return nil, Wrap(err)
}
counter++
case 4:
ohlc.Close, err = strconv.ParseFloat(s, 64)
if err != nil {
return nil, Wrap(err)
}
counter++
case 5:
ohlc.VWAP, err = strconv.ParseFloat(s, 64)
if err != nil {
return nil, Wrap(err)
}
counter++
case 6:
ohlc.Volume, err = strconv.ParseFloat(s, 64)
if err != nil {
return nil, Wrap(err)
}
counter++
case 7:
f, err := strconv.ParseFloat(s, 64)
if err != nil {
return nil, Wrap(err)
}
ohlc.TradeCount = int64(f)
out = append(out, ohlc)
ohlc = OHLC{}
counter = 0
}
}
return out, nil
}