Merge Complete

TaskServer/node_modules/ccxt/js/base/functions/misc.js

@@ -0,0 +1,131 @@
+'use strict';
+
+const { ROUND_UP, ROUND_DOWN } = require ('./number')
+const { NotSupported } = require ('./../errors')
+
+//-------------------------------------------------------------------------
+// converts timeframe to seconds
+const parseTimeframe = (timeframe) => {
+
+    const amount = timeframe.slice (0, -1)
+    const unit = timeframe.slice (-1)
+    let scale = undefined;
+
+    if (unit === 'y') {
+        scale = 60 * 60 * 24 * 365
+    } else if (unit === 'M') {
+        scale = 60 * 60 * 24 * 30
+    } else if (unit === 'w') {
+        scale = 60 * 60 * 24 * 7
+    } else if (unit === 'd') {
+        scale = 60 * 60 * 24
+    } else if (unit === 'h') {
+        scale = 60 * 60
+    } else if (unit === 'm') {
+        scale = 60
+    } else if (unit === 's') {
+        scale = 1
+    } else {
+        throw new NotSupported ('timeframe unit ' + unit + ' is not supported')
+    }
+
+    return amount * scale
+}
+
+const roundTimeframe = (timeframe, timestamp, direction = ROUND_DOWN) => {
+    const ms = parseTimeframe (timeframe) * 1000
+    // Get offset based on timeframe in milliseconds
+    const offset = timestamp % ms
+    return timestamp - offset + ((direction === ROUND_UP) ? ms : 0);
+}
+
+// given a sorted arrays of trades (recent last) and a timeframe builds an array of OHLCV candles
+const buildOHLCVC = (trades, timeframe = '1m', since = -Infinity, limit = Infinity) => {
+    const ms = parseTimeframe (timeframe) * 1000;
+    const ohlcvs = [];
+    const [ timestamp, /* open */, high, low, close, volume, count ] = [ 0, 1, 2, 3, 4, 5, 6 ];
+    const oldest = Math.min (trades.length - 1, limit);
+
+    for (let i = 0; i <= oldest; i++) {
+        const trade = trades[i];
+        if (trade.timestamp < since)
+            continue;
+        const openingTime = Math.floor (trade.timestamp / ms) * ms; // shift to the edge of m/h/d (but not M)
+        const candle = ohlcvs.length - 1;
+
+        if (candle === -1 || openingTime >= ohlcvs[candle][timestamp] + ms) {
+            // moved to a new timeframe -> create a new candle from opening trade
+            ohlcvs.push ([
+                openingTime,  // timestamp
+                trade.price,  // O
+                trade.price,  // H
+                trade.price,  // L
+                trade.price,  // C
+                trade.amount, // V
+                1,            // count
+            ]);
+        } else {
+            // still processing the same timeframe -> update opening trade
+            ohlcvs[candle][high] = Math.max (ohlcvs[candle][high], trade.price);
+            ohlcvs[candle][low] = Math.min (ohlcvs[candle][low], trade.price);
+            ohlcvs[candle][close] = trade.price;
+            ohlcvs[candle][volume] += trade.amount;
+            ohlcvs[candle][count]++;
+        } // if
+    } // for
+    return ohlcvs;
+}
+
+const extractParams = (string) => {
+    const re = /{([\w-]+)}/g
+    const matches = []
+    let match = re.exec (string)
+    while (match) {
+        matches.push (match[1])
+        match = re.exec (string)
+    }
+    return matches
+}
+
+const implodeParams = (string, params) => {
+    if (!Array.isArray (params)) {
+        const keys = Object.keys (params)
+        for (let i = 0; i < keys.length; i++) {
+            const key = keys[i]
+            if (!Array.isArray (params[key])) {
+                string = string.replace ('{' + key + '}', params[key])
+            }
+        }
+    }
+    return string
+}
+
+/*  ------------------------------------------------------------------------ */
+
+module.exports = {
+
+    aggregate (bidasks) {
+
+        const result = {}
+
+        for (let i = 0; i < bidasks.length; i++) {
+            const [ price, volume ] = bidasks[i];
+            if (volume > 0) {
+                result[price] = (result[price] || 0) + volume
+            }
+        }
+
+        return Object.keys (result).map (price => [parseFloat (price), parseFloat (result[price])])
+    },
+
+    parseTimeframe,
+    roundTimeframe,
+    buildOHLCVC,
+    ROUND_UP,
+    ROUND_DOWN,
+
+    implodeParams,
+    extractParams
+}
+
+/*  ------------------------------------------------------------------------ */