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trade.go
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trade.go
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package trade
import (
"errors"
"fmt"
"sort"
"sync"
"sync/atomic"
"time"
"github.com/gofrs/uuid"
"github.com/idoall/gocryptotrader/common"
"github.com/idoall/gocryptotrader/currency"
"github.com/idoall/gocryptotrader/database"
tradesql "github.com/idoall/gocryptotrader/database/repository/trade"
"github.com/idoall/gocryptotrader/exchanges/asset"
"github.com/idoall/gocryptotrader/exchanges/kline"
"github.com/idoall/gocryptotrader/exchanges/order"
"github.com/idoall/gocryptotrader/log"
)
// Setup creates the trade processor if trading is supported
func (p *Processor) setup(wg *sync.WaitGroup) {
p.mutex.Lock()
p.bufferProcessorInterval = BufferProcessorIntervalTime
p.mutex.Unlock()
go p.Run(wg)
}
// Setup configures necessary fields to the `Trade` structure that govern trade data
// processing.
func (t *Trade) Setup(exchangeName string, tradeFeedEnabled bool, c chan interface{}) {
t.exchangeName = exchangeName
t.dataHandler = c
t.tradeFeedEnabled = tradeFeedEnabled
}
// Update processes trade data, either by saving it or routing it through
// the data channel.
func (t *Trade) Update(save bool, data ...Data) error {
if len(data) == 0 {
// nothing to do
return nil
}
if t.tradeFeedEnabled {
t.dataHandler <- data
}
if save {
if err := AddTradesToBuffer(t.exchangeName, data...); err != nil {
return err
}
}
return nil
}
// AddTradesToBuffer will push trade data onto the buffer
func AddTradesToBuffer(exchangeName string, data ...Data) error {
cfg := database.DB.GetConfig()
if database.DB == nil || cfg == nil || !cfg.Enabled {
return nil
}
if len(data) == 0 {
return nil
}
var errs common.Errors
if atomic.AddInt32(&processor.started, 0) == 0 {
var wg sync.WaitGroup
wg.Add(1)
processor.setup(&wg)
wg.Wait()
}
var validDatas []Data
for i := range data {
if data[i].Price == 0 ||
data[i].Amount == 0 ||
data[i].CurrencyPair.IsEmpty() ||
data[i].Exchange == "" ||
data[i].Timestamp.IsZero() {
errs = append(errs, fmt.Errorf("%v received invalid trade data: %+v", exchangeName, data[i]))
continue
}
if data[i].Price < 0 {
data[i].Price *= -1
data[i].Side = order.Sell
}
if data[i].Amount < 0 {
data[i].Amount *= -1
data[i].Side = order.Sell
}
if data[i].Side == order.Bid {
data[i].Side = order.Buy
}
if data[i].Side == order.Ask {
data[i].Side = order.Sell
}
uu, err := uuid.NewV4()
if err != nil {
errs = append(errs, fmt.Errorf("%s uuid failed to generate for trade: %+v", exchangeName, data[i]))
}
data[i].ID = uu
validDatas = append(validDatas, data[i])
}
processor.mutex.Lock()
processor.buffer = append(processor.buffer, validDatas...)
processor.mutex.Unlock()
if len(errs) > 0 {
return errs
}
return nil
}
// Run will save trade data to the database in batches
func (p *Processor) Run(wg *sync.WaitGroup) {
wg.Done()
if !atomic.CompareAndSwapInt32(&p.started, 0, 1) {
log.Error(log.Trade, "trade processor already started")
return
}
defer func() {
atomic.CompareAndSwapInt32(&p.started, 1, 0)
}()
p.mutex.Lock()
ticker := time.NewTicker(p.bufferProcessorInterval)
p.mutex.Unlock()
for {
<-ticker.C
p.mutex.Lock()
// nolint: gocritic
bufferCopy := append(p.buffer[:0:0], p.buffer...)
p.buffer = nil
p.mutex.Unlock()
if len(bufferCopy) == 0 {
ticker.Stop()
return
}
err := SaveTradesToDatabase(bufferCopy...)
if err != nil {
log.Error(log.Trade, err)
}
}
}
// SaveTradesToDatabase converts trades and saves results to database
func SaveTradesToDatabase(trades ...Data) error {
sqlTrades, err := tradeToSQLData(trades...)
if err != nil {
return err
}
return tradesql.Insert(sqlTrades...)
}
// GetTradesInRange calls db function to return trades in range
// to minimise tradesql package usage
func GetTradesInRange(exchangeName, assetType, base, quote string, startDate, endDate time.Time) ([]Data, error) {
if exchangeName == "" || assetType == "" || base == "" || quote == "" || startDate.IsZero() || endDate.IsZero() {
return nil, errors.New("invalid arguments received")
}
if !database.DB.IsConnected() {
return nil, fmt.Errorf("cannot process trades in range %s-%s as %w", startDate, endDate, database.ErrDatabaseNotConnected)
}
results, err := tradesql.GetInRange(exchangeName, assetType, base, quote, startDate, endDate)
if err != nil {
return nil, err
}
return SQLDataToTrade(results...)
}
// HasTradesInRanges Creates an executes an SQL query to verify if a trade exists within a timeframe
func HasTradesInRanges(exchangeName, assetType, base, quote string, rangeHolder *kline.IntervalRangeHolder) error {
if exchangeName == "" || assetType == "" || base == "" || quote == "" {
return errors.New("invalid arguments received")
}
return tradesql.VerifyTradeInIntervals(exchangeName, assetType, base, quote, rangeHolder)
}
func tradeToSQLData(trades ...Data) ([]tradesql.Data, error) {
sort.Sort(ByDate(trades))
var results []tradesql.Data
for i := range trades {
tradeID, err := uuid.NewV4()
if err != nil {
return nil, err
}
results = append(results, tradesql.Data{
ID: tradeID.String(),
Timestamp: trades[i].Timestamp,
Exchange: trades[i].Exchange,
Base: trades[i].CurrencyPair.Base.String(),
Quote: trades[i].CurrencyPair.Quote.String(),
AssetType: trades[i].AssetType.String(),
Price: trades[i].Price,
Amount: trades[i].Amount,
Side: trades[i].Side.String(),
TID: trades[i].TID,
})
}
return results, nil
}
// SQLDataToTrade converts sql data to glorious trade data
func SQLDataToTrade(dbTrades ...tradesql.Data) (result []Data, err error) {
for i := range dbTrades {
var cp currency.Pair
cp, err = currency.NewPairFromStrings(dbTrades[i].Base, dbTrades[i].Quote)
if err != nil {
return nil, err
}
cp = cp.Upper()
var a = asset.Item(dbTrades[i].AssetType)
if !a.IsValid() {
return nil, fmt.Errorf("invalid asset type %v", a)
}
var s order.Side
s, err = order.StringToOrderSide(dbTrades[i].Side)
if err != nil {
return nil, err
}
result = append(result, Data{
ID: uuid.FromStringOrNil(dbTrades[i].ID),
Timestamp: dbTrades[i].Timestamp.UTC(),
Exchange: dbTrades[i].Exchange,
CurrencyPair: cp.Upper(),
AssetType: a,
Price: dbTrades[i].Price,
Amount: dbTrades[i].Amount,
Side: s,
})
}
return result, nil
}
// ConvertTradesToCandles turns trade data into kline.Items
func ConvertTradesToCandles(interval kline.Interval, trades ...Data) (kline.Item, error) {
if len(trades) == 0 {
return kline.Item{}, ErrNoTradesSupplied
}
groupedData := groupTradesToInterval(interval, trades...)
candles := kline.Item{
Exchange: trades[0].Exchange,
Pair: trades[0].CurrencyPair,
Asset: trades[0].AssetType,
Interval: interval,
}
for k, v := range groupedData {
candles.Candles = append(candles.Candles, classifyOHLCV(time.Unix(k, 0), v...))
}
return candles, nil
}
func groupTradesToInterval(interval kline.Interval, times ...Data) map[int64][]Data {
groupedData := make(map[int64][]Data)
for i := range times {
nearestInterval := getNearestInterval(times[i].Timestamp, interval)
groupedData[nearestInterval] = append(
groupedData[nearestInterval],
times[i],
)
}
return groupedData
}
func getNearestInterval(t time.Time, interval kline.Interval) int64 {
return t.Truncate(interval.Duration()).UTC().Unix()
}
func classifyOHLCV(t time.Time, datas ...Data) (c kline.Candle) {
sort.Sort(ByDate(datas))
c.Open = datas[0].Price
c.Close = datas[len(datas)-1].Price
for i := range datas {
if datas[i].Price < 0 {
datas[i].Price *= -1
}
if datas[i].Amount < 0 {
datas[i].Amount *= -1
}
if datas[i].Price < c.Low || c.Low == 0 {
c.Low = datas[i].Price
}
if datas[i].Price > c.High {
c.High = datas[i].Price
}
c.Volume += datas[i].Amount
}
c.Time = t
return c
}
// FilterTradesByTime removes any trades that are not between the start
// and end times
func FilterTradesByTime(trades []Data, startTime, endTime time.Time) []Data {
if startTime.IsZero() || endTime.IsZero() {
// can't filter without boundaries
return trades
}
var filteredTrades []Data
for i := range trades {
if trades[i].Timestamp.After(startTime) && trades[i].Timestamp.Before(endTime) {
filteredTrades = append(filteredTrades, trades[i])
}
}
return filteredTrades
}