Multi Period Daily process implemented

This commit is contained in:
Luis Fernando Molina committed 2018-02-18 15:28:33 +01:00
1 parent f83385d91d
commit 5ad5544de3
4 files changed
+843 -1

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@@ -20,6 +20,7 @@
<Content Include="package-lock.json" />
<Content Include="package.json" />
<Content Include="README.md" />
<Compile Include="Multi-Period-Daily\Interval.js" />
<Compile Include="Multi-Period-Market\Interval.js" />
<Content Include="logs\Dummy File.txt" />
<Content Include="obj\Debug\AABruce.njsproj.FileListAbsolute.txt" />
@@ -28,6 +29,7 @@
<Content Include="this.bot.config.json" />
</ItemGroup>
<ItemGroup>
<Folder Include="Multi-Period-Daily\" />
<Folder Include="Multi-Period-Market\" />
<Folder Include="bin" />
<Folder Include="logs" />
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@@ -0,0 +1,840 @@
exports.newInterval = function newInterval(BOT, UTILITIES, AZURE_FILE_STORAGE, DEBUG_MODULE, MARKETS_MODULE, POLONIEX_CLIENT_MODULE) {
let bot = BOT;
const GMT_SECONDS = ':00.000 GMT+0000';
const GMT_MILI_SECONDS = '.000 GMT+0000';
const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000;
const MODULE_NAME = "Interval";
const LOG_INFO = true;
const EXCHANGE_NAME = "Poloniex";
const EXCHANGE_ID = 1;
const TRADES_FOLDER_NAME = "Trades";
const CANDLES_FOLDER_NAME = "Candles";
const CANDLES_ONE_MIN = "One-Min";
const VOLUMES_FOLDER_NAME = "Volumes";
const VOLUMES_ONE_MIN = "One-Min";
const GO_RANDOM = false;
const FORCE_MARKET = 2; // This allows to debug the execution of an specific market. Not intended for production.
const logger = DEBUG_MODULE.newDebugLog();
logger.fileName = MODULE_NAME;
logger.bot = bot;
interval = {
initialize: initialize,
start: start
};
let markets;
let charlyAzureFileStorage = AZURE_FILE_STORAGE.newAzureFileStorage(bot);
let bruceAzureFileStorage = AZURE_FILE_STORAGE.newAzureFileStorage(bot);
let oliviaAzureFileStorage = AZURE_FILE_STORAGE.newAzureFileStorage(bot);
let utilities = UTILITIES.newUtilities(bot);
return interval;
function initialize(yearAssigend, monthAssigned, callBackFunction) {
try {
/* IMPORTANT NOTE:
We are ignoring in this Interval the received Year and Month. This interval is not depending on Year Month since it procecess the whole market at once.
*/
logger.fileName = MODULE_NAME;
const logText = "[INFO] initialize - Entering function 'initialize' ";
console.log(logText);
logger.write(logText);
charlyAzureFileStorage.initialize("Charly");
bruceAzureFileStorage.initialize("Bruce");
oliviaAzureFileStorage.initialize("Olivia");
markets = MARKETS_MODULE.newMarkets(bot);
markets.initialize(callBackFunction);
} catch (err) {
const logText = "[ERROR] initialize - ' ERROR : " + err.message;
console.log(logText);
logger.write(logText);
}
}
/*
This process is going to do the following:
Read the candles and volumes from Bruce and produce a single Index File for each market with daily candles and volumes.
*/
function start(callBackFunction) {
try {
if (LOG_INFO === true) {
logger.write("[INFO] Entering function 'start'");
}
let nextIntervalExecution = false; // This tell weather the Interval module will be executed again or not. By default it will not unless some hole have been found in the current execution.
let nextIntervalLapse; // With this we can request the next execution wait time.
let marketQueue; // This is the queue of all markets to be procesesd at each interval.
let market = { // This is the current market being processed after removing it from the queue.
id: 0,
assetA: "",
assetB: ""
};
let lastCandleFile; // Datetime of the last file included on the Index File.
let firstTradeFile; // Datetime of the first trade file in the whole market history.
let maxCandleFile; // Datetime of the last file available to be included in the Index File.
let periods =
'[' +
'[' + 55 * 60 * 1000 + ',' + '"55-min"' + ']' + ',' +
'[' + 50 * 60 * 1000 + ',' + '"50-min"' + ']' + ',' +
'[' + 45 * 60 * 1000 + ',' + '"45-min"' + ']' + ',' +
'[' + 40 * 60 * 1000 + ',' + '"40-min"' + ']' + ',' +
'[' + 35 * 60 * 1000 + ',' + '"35-min"' + ']' + ',' +
'[' + 30 * 60 * 1000 + ',' + '"30-min"' + ']' + ',' +
'[' + 25 * 60 * 1000 + ',' + '"25-min"' + ']' + ',' +
'[' + 20 * 60 * 1000 + ',' + '"20-min"' + ']' + ',' +
'[' + 15 * 60 * 1000 + ',' + '"15-min"' + ']' + ',' +
'[' + 10 * 60 * 1000 + ',' + '"10-min"' + ']' + ',' +
'[' + 05 * 60 * 1000 + ',' + '"05-min"' + ']' + ',' +
'[' + 04 * 60 * 1000 + ',' + '"04-min"' + ']' + ',' +
'[' + 03 * 60 * 1000 + ',' + '"03-min"' + ']' + ',' +
'[' + 02 * 60 * 1000 + ',' + '"02-min"' + ']' + ',' +
'[' + 01 * 60 * 1000 + ',' + '"01-min"' + ']' + ']';
const outputPeriods = JSON.parse(periods);
marketsLoop();
/*
At every run, the process needs to loop through all the markets at this exchange.
The following functions marketsLoop(), openMarket(), closeMarket() and closeAndOpenMarket() controls the serialization of this processing.
*/
function marketsLoop() {
try {
if (LOG_INFO === true) {
logger.write("[INFO] Entering function 'marketsLoop'");
}
markets.getMarketsByExchange(EXCHANGE_ID, onMarketsReady);
function onMarketsReady(marketsArray) {
marketQueue = JSON.parse(marketsArray);
openMarket(); // First execution and entering into the real loop.
}
}
catch (err) {
const logText = "[ERROR] 'marketsLoop' - ERROR : " + err.message;
logger.write(logText);
}
}
function openMarket() {
// To open a Market means picking a new market from the queue.
try {
if (LOG_INFO === true) {
logger.write("[INFO] Entering function 'openMarket'");
}
if (marketQueue.length === 0) {
if (LOG_INFO === true) {
logger.write("[INFO] 'openMarket' - marketQueue.length === 0");
}
const logText = "[WARN] We processed all the markets.";
logger.write(logText);
callBackFunction(nextIntervalExecution, nextIntervalLapse);
return;
}
if (GO_RANDOM === true) {
const index = parseInt(Math.random() * (marketQueue.length - 1));
market.id = marketQueue[index][0];
market.assetA = marketQueue[index][1];
market.assetB = marketQueue[index][2];
market.status = marketQueue[index][3];
marketQueue.splice(index, 1);
} else {
let marketRecord = marketQueue.shift();
market.id = marketRecord[0];
market.assetA = marketRecord[1];
market.assetB = marketRecord[2];
market.status = marketRecord[3];
if (FORCE_MARKET > 0) {
if (FORCE_MARKET !== market.id) {
closeAndOpenMarket();
return;
}
}
}
if (LOG_INFO === true) {
logger.write("[INFO] 'openMarket' - marketQueue.length = " + marketQueue.length);
logger.write("[INFO] 'openMarket' - market sucessfully opened : " + market.assetA + "_" + market.assetB);
}
if (market.status === markets.ENABLED) {
getStatusReport();
} else {
logger.write("[INFO] 'openMarket' - market " + market.assetA + "_" + market.assetB + " skipped because its status is not valid. Status = " + market.status);
closeAndOpenMarket();
return;
}
}
catch (err) {
const logText = "[ERROR] 'openMarket' - ERROR : " + err.message;
logger.write(logText);
closeMarket();
}
}
function closeMarket() {
if (LOG_INFO === true) {
logger.write("[INFO] Entering function 'closeMarket'");
}
}
function closeAndOpenMarket() {
if (LOG_INFO === true) {
logger.write("[INFO] Entering function 'closeAndOpenMarket'");
}
openMarket();
}
/*
The following code executes for each market.
*/
function getStatusReport() {
try {
let reportFilePath;
let fileName = "Status.Report." + market.assetA + '_' + market.assetB + ".json"
getHistoricTrades();
function getHistoricTrades() {
/*
We need to know where is the begining of the market, since that will help us know where the Index Files should start.
*/
reportFilePath = EXCHANGE_NAME + "/Processes/" + "Poloniex-Historic-Trades";
charlyAzureFileStorage.getTextFile(reportFilePath, fileName, onStatusReportReceived, true);
function onStatusReportReceived(text) {
let statusReport;
try {
statusReport = JSON.parse(text);
firstTradeFile = new Date(statusReport.lastFile.year + "-" + statusReport.lastFile.month + "-" + statusReport.lastFile.days + " " + statusReport.lastFile.hours + ":" + statusReport.lastFile.minutes + GMT_SECONDS);
getOneMinDailyCandlesVolumes();
} catch (err) {
const logText = "[INFO] 'getStatusReport' - Failed to read main Historic Trades Status Report for market " + market.assetA + '_' + market.assetB + " . Skipping it. ";
logger.write(logText);
closeAndOpenMarket();
}
}
}
function getOneMinDailyCandlesVolumes() {
/* We need to discover the maxCandle file, which is the last file with candles we can use as input. */
let date = new Date();
let currentYear = date.getUTCFullYear();
let currentMonth = utilities.pad(date.getUTCMonth() + 1,2);
reportFilePath = EXCHANGE_NAME + "/Processes/" + "One-Min-Daily-Candles-Volumes" + "/" + currentYear + "/" + currentMonth;
bruceAzureFileStorage.getTextFile(reportFilePath, fileName, onStatusReportReceived, true);
function onStatusReportReceived(text) {
let statusReport;
try {
statusReport = JSON.parse(text);
maxCandleFile = new Date(statusReport.lastFile.year + "-" + statusReport.lastFile.month + "-" + statusReport.lastFile.days + " " + "00:00" + GMT_SECONDS);
getThisProcessReport();
} catch (err) {
/*
It might happen that the file content is corrupt or it does not exist. In either case we will point our lastCandleFile
to the last day of the previous month.
*/
maxCandleFile = new Date(date.valueOf() - ONE_DAY_IN_MILISECONDS);
getThisProcessReport();
}
}
}
function getThisProcessReport() {
/* If the process run and was interrupted, there should be a status report that allows us to resume execution. */
reportFilePath = EXCHANGE_NAME + "/Processes/" + bot.process;
oliviaAzureFileStorage.getTextFile(reportFilePath, fileName, onStatusReportReceived, true);
function onStatusReportReceived(text) {
let statusReport;
try {
statusReport = JSON.parse(text);
lastCandleFile = new Date(statusReport.lastFile.year + "-" + statusReport.lastFile.month + "-" + statusReport.lastFile.days + " " + "00:00" + GMT_SECONDS);
buildCandles();
} catch (err) {
/*
It might happen that the file content is corrupt or it does not exist. In either case we will point our lastCandleFile
to the begining of the market.
*/
lastCandleFile = new Date(firstTradeFile.getUTCFullYear() + "-" + (firstTradeFile.getUTCMonth() + 1) + "-" + firstTradeFile.getUTCDate() + " " + "00:00" + GMT_SECONDS);
lastCandleFile = new Date(lastCandleFile.valueOf() - ONE_DAY_IN_MILISECONDS); // Go back one day to start well.
buildCandles();
}
}
}
}
catch (err) {
const logText = "[ERROR] 'getStatusReport' - ERROR : " + err.message;
logger.write(logText);
closeMarket();
}
}
function buildCandles() {
try {
/*
Firstly we prepere the arrays that will accumulate all the information for each output file.
*/
let outputCandles = [];
let outputVolumes = [];
for (n = 0; n < outputPeriods.length; n++) {
const emptyArray1 = [];
const emptyArray2 = [];
outputCandles.push(emptyArray1);
outputVolumes.push(emptyArray2);
}
advanceTime();
function advanceTime() {
lastCandleFile = new Date(lastCandleFile.valueOf() + ONE_DAY_IN_MILISECONDS);
const logText = "[INFO] New processing time @ " + lastCandleFile.getUTCFullYear() + "/" + (lastCandleFile.getUTCMonth() + 1) + "/" + lastCandleFile.getUTCDate() + ".";
console.log(logText);
logger.write(logText);
/* Validation that we are not going past the head of the market. */
if (lastCandleFile.valueOf() > maxCandleFile.valueOf()) {
nextIntervalExecution = true; // we request a new interval execution.
const logText = "[INFO] 'buildCandles' - Head of the market found @ " + lastCandleFile.getUTCFullYear() + "/" + (lastCandleFile.getUTCMonth() + 1) + "/" + lastCandleFile.getUTCDate() + ".";
logger.write(logText);
closeAndOpenMarket();
return;
}
periodsLoop();
}
function periodsLoop() {
/*
We will iterate through all posible periods.
*/
let n = 0 // loop Variable representing each possible period as defined at the periods array.
loopBody();
function loopBody() {
const outputPeriod = outputPeriods[n][0];
const folderName = outputPeriods[n][1];
nextCandleFile();
function nextCandleFile() {
let dateForPath = lastCandleFile.getUTCFullYear() + '/' + utilities.pad(lastCandleFile.getUTCMonth() + 1, 2) + '/' + utilities.pad(lastCandleFile.getUTCDate(), 2);
let fileName = market.assetA + '_' + market.assetB + ".json"
let filePath = EXCHANGE_NAME + "/Output/" + CANDLES_FOLDER_NAME + '/' + CANDLES_ONE_MIN + '/' + dateForPath;
bruceAzureFileStorage.getTextFile(filePath, fileName, onFileReceived, true);
function onFileReceived(text) {
let candlesFile;
try {
candlesFile = JSON.parse(text);
} catch (err) {
const logText = "[ERR] 'buildCandles' - Empty or corrupt candle file found at " + filePath + " for market " + market.assetA + '_' + market.assetB + " . Skipping this Market. ";
logger.write(logText);
closeAndOpenMarket();
nextIntervalExecution = true; // we request a new interval execution.
nextIntervalLapse = 30000;
return;
}
const inputCandlesPerdiod = 60 * 1000; // 1 min
const inputFilePeriod = 24 * 60 * 60 * 1000; // 24 hs
let totalOutputCandles = inputFilePeriod / outputPeriod;
let beginingOutputTime = lastCandleFile.valueOf();
for (let i = 0; i < totalOutputCandles; i++) {
let outputCandle = {
open: 0,
close: 0,
min: 0,
max: 0,
begin: 0,
end: 0
};
let saveCandle = false;
outputCandle.begin = beginingOutputTime + i * outputPeriod;
outputCandle.end = beginingOutputTime + (i + 1) * outputPeriod - 1;
for (let j = 0; j < candlesFile.length; j++) {
let candle = {
open: candlesFile[j][2],
close: candlesFile[j][3],
min: candlesFile[j][0],
max: candlesFile[j][1],
begin: candlesFile[j][4],
end: candlesFile[j][5]
};
/* Here we discard all the candles out of range. */
if (candle.begin >= outputCandle.begin && candle.end <= outputCandle.end) {
if (saveCandle === false) { // this will set the value only once.
outputCandle.open = candle.open;
outputCandle.min = candle.min;
outputCandle.max = candle.max;
}
saveCandle = true;
outputCandle.close = candle.close; // only the last one will be saved
if (candle.min < outputCandle.min) {
outputCandle.min = candle.min;
}
if (candle.max > outputCandle.max) {
outputCandle.max = candle.max;
}
}
}
if (saveCandle === true) { // then we have a valid candle, otherwise it means there were no candles to fill this one in its time range.
outputCandles[n].push(outputCandle);
}
}
nextVolumeFile();
}
}
function nextVolumeFile() {
let dateForPath = lastCandleFile.getUTCFullYear() + '/' + utilities.pad(lastCandleFile.getUTCMonth() + 1, 2) + '/' + utilities.pad(lastCandleFile.getUTCDate(), 2);
let fileName = market.assetA + '_' + market.assetB + ".json"
let filePath = EXCHANGE_NAME + "/Output/" + VOLUMES_FOLDER_NAME + '/' + VOLUMES_ONE_MIN + '/' + dateForPath;
bruceAzureFileStorage.getTextFile(filePath, fileName, onFileReceived, true);
function onFileReceived(text) {
let volumesFile;
try {
volumesFile = JSON.parse(text);
} catch (err) {
const logText = "[ERR] 'buildCandles' - Empty or corrupt candle file found at " + filePath + " for market " + market.assetA + '_' + market.assetB + " . Skipping this Market. ";
logger.write(logText);
closeAndOpenMarket();
return;
}
const inputVolumesPerdiod = 60 * 1000; // 1 min
const inputFilePeriod = 24 * 60 * 60 * 1000; // 24 hs
let totalOutputVolumes = inputFilePeriod / outputPeriod; // this should be 2 in this case.
let beginingOutputTime = lastCandleFile.valueOf();
for (let i = 0; i < totalOutputVolumes; i++) {
let outputVolume = {
buy: 0,
sell: 0,
begin: 0,
end: 0
};
let saveVolume = false;
outputVolume.begin = beginingOutputTime + i * outputPeriod;
outputVolume.end = beginingOutputTime + (i + 1) * outputPeriod - 1;
for (let j = 0; j < volumesFile.length; j++) {
let volume = {
buy: volumesFile[j][0],
sell: volumesFile[j][1],
begin: volumesFile[j][2],
end: volumesFile[j][3]
};
/* Here we discard all the Volumes out of range. */
if (volume.begin >= outputVolume.begin && volume.end <= outputVolume.end) {
saveVolume = true;
outputVolume.buy = outputVolume.buy + volume.buy;
outputVolume.sell = outputVolume.sell + volume.sell;
}
}
if (saveVolume === true) {
outputVolumes[n].push(outputVolume);
}
}
writeFiles(outputCandles[n], outputVolumes[n], folderName, controlLoop);
}
}
}
function controlLoop() {
n++;
if (n < outputPeriods.length) {
loopBody();
} else {
writeStatusReport(lastCandleFile, advanceTime);
}
}
}
}
catch (err) {
const logText = "[ERROR] 'buildCandles' - ERROR : " + err.message;
logger.write(logText);
closeMarket();
}
}
function writeFiles(candles, volumes, folderName, callBack) {
/*
Here we will write the contents of the Candles and Volumens files.
*/
try {
writeCandles();
function writeCandles() {
let separator = "";
let fileRecordCounter = 0;
let fileContent = "";
for (i = 0; i < candles.length; i++) {
let candle = candles[i];
fileContent = fileContent + separator + '[' + candles[i].min + "," + candles[i].max + "," + candles[i].open + "," + candles[i].close + "," + candles[i].begin + "," + candles[i].end + "]";
if (separator === "") { separator = ","; }
fileRecordCounter++;
}
fileContent = "[" + fileContent + "]";
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
let dateForPath = lastCandleFile.getUTCFullYear() + '/' + utilities.pad(lastCandleFile.getUTCMonth() + 1, 2) + '/' + utilities.pad(lastCandleFile.getUTCDate(), 2);
let filePath = EXCHANGE_NAME + "/Output/" + CANDLES_FOLDER_NAME + "/" + bot.process + "/" + folderName + "/" + dateForPath;
utilities.createFolderIfNeeded(filePath, oliviaAzureFileStorage, onFolderCreated);
function onFolderCreated() {
oliviaAzureFileStorage.createTextFile(filePath, fileName, fileContent + '\n', onFileCreated);
function onFileCreated() {
const logText = "[WARN] Finished with File @ " + market.assetA + "_" + market.assetB + ", " + fileRecordCounter + " records inserted into " + filePath + "/" + fileName + "";
console.log(logText);
logger.write(logText);
writeVolumes();
}
}
}
function writeVolumes() {
let separator = "";
let fileRecordCounter = 0;
let fileContent = "";
for (i = 0; i < volumes.length; i++) {
let candle = volumes[i];
fileContent = fileContent + separator + '[' + volumes[i].buy + "," + volumes[i].sell + "," + volumes[i].begin + "," + volumes[i].end + "]";
if (separator === "") { separator = ","; }
fileRecordCounter++;
}
fileContent = "[" + fileContent + "]";
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
let dateForPath = lastCandleFile.getUTCFullYear() + '/' + utilities.pad(lastCandleFile.getUTCMonth() + 1, 2) + '/' + utilities.pad(lastCandleFile.getUTCDate(), 2);
let filePath = EXCHANGE_NAME + "/Output/" + VOLUMES_FOLDER_NAME + "/" + bot.process + "/" + folderName + "/" + dateForPath;
utilities.createFolderIfNeeded(filePath, oliviaAzureFileStorage, onFolderCreated);
function onFolderCreated() {
oliviaAzureFileStorage.createTextFile(filePath, fileName, fileContent + '\n', onFileCreated);
function onFileCreated() {
const logText = "[WARN] Finished with File @ " + market.assetA + "_" + market.assetB + ", " + fileRecordCounter + " records inserted into " + filePath + "/" + fileName + "";
console.log(logText);
logger.write(logText);
callBack();
}
}
}
}
catch (err) {
const logText = "[ERROR] 'writeFiles' - ERROR : " + err.message;
logger.write(logText);
closeMarket();
}
}
function writeStatusReport(lastFileDate, callBack) {
if (LOG_INFO === true) {
logger.write("[INFO] Entering function 'writeStatusReport'");
}
try {
let reportFilePath = EXCHANGE_NAME + "/Processes/" + bot.process;
utilities.createFolderIfNeeded(reportFilePath, oliviaAzureFileStorage, onFolderCreated);
function onFolderCreated() {
try {
let fileName = "Status.Report." + market.assetA + '_' + market.assetB + ".json";
let report = {
lastFile: {
year: lastFileDate.getUTCFullYear(),
month: (lastFileDate.getUTCMonth() + 1),
days: lastFileDate.getUTCDate()
}
};
let fileContent = JSON.stringify(report);
oliviaAzureFileStorage.createTextFile(reportFilePath, fileName, fileContent + '\n', onFileCreated);
function onFileCreated() {
if (LOG_INFO === true) {
logger.write("[INFO] 'writeStatusReport' - Content written: " + fileContent);
}
callBack();
}
}
catch (err) {
const logText = "[ERROR] 'writeStatusReport - onFolderCreated' - ERROR : " + err.message;
logger.write(logText);
closeMarket();
}
}
}
catch (err) {
const logText = "[ERROR] 'writeStatusReport' - ERROR : " + err.message;
logger.write(logText);
closeMarket();
}
}
}
catch (err) {
const logText = "[ERROR] 'Start' - ERROR : " + err.message;
logger.write(logText);
}
}
};
+1 -1
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@@ -311,7 +311,7 @@ Read the candles and volumes from Bruce and produce a single Index File for each
function getOneMinDailyCandlesVolumes() {
/* If the process run and was interrupted, there should be a status report that allows us to resume execution. */
/* We need to discover the maxCandle file, which is the last file with candles we can use as input. */
let date = new Date();
let currentYear = date.getUTCFullYear();