12 hs process implemented
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Luis Fernando Molina committed
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+107
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@@ -482,8 +482,8 @@ Read the candles and volumes from Bruce and produce a single Index File for each
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*/
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let indexCandles = [];
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let indexVolumes = [];
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let outputCandles = [];
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let outputVolumes = [];
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try {
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@@ -500,7 +500,7 @@ Read the candles and volumes from Bruce and produce a single Index File for each
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end: previousCandles[i][5]
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};
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indexCandles.push(candle);
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outputCandles.push(candle);
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}
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}
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@@ -516,7 +516,7 @@ Read the candles and volumes from Bruce and produce a single Index File for each
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sell: previousVolumes[i][1]
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};
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indexVolumes.push(volume);
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outputVolumes.push(volume);
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}
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}
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@@ -574,64 +574,77 @@ Read the candles and volumes from Bruce and produce a single Index File for each
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return;
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}
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let indexCandle = {
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open: 0,
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close: 0,
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min: 0,
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max: 0,
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begin: 0,
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end: 0
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};
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const outputCandlesPeriod = 12 * 60 * 60 * 1000; // 12 hs
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const inputCandlesPerdiod = 60 * 1000; // 1 min
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const inputFilePeriod = 24 * 60 * 60 * 1000; // 24 hs
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if (candlesFile.length > 0) {
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let totalOutputCandles = inputFilePeriod / outputCandlesPeriod; // this should be 2 in this case.
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let beginingOutputTime = lastCandleFile.valueOf();
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indexCandle.open = candlesFile[0][2];
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indexCandle.close = candlesFile[candlesFile.length - 1][3];
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for (let i = 0; i < totalOutputCandles; i++) {
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indexCandle.min = candlesFile[0][0];
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indexCandle.max = candlesFile[0][1];
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indexCandle.begin = candlesFile[0][4];
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indexCandle.end = candlesFile[candlesFile.length - 1][5];
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} else {
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const logText = "[ERR] 'buildCandles' - No candles found at file " + filePath + " for market " + market.assetA + '_' + market.assetB + " . Skipping this Market. ";
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logger.write(logText);
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closeAndOpenMarket();
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return;
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}
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for (let i = 0; i < candlesFile.length; i++) {
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let candle = {
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open: candlesFile[i][2],
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close: candlesFile[i][3],
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min: candlesFile[i][0],
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max: candlesFile[i][1],
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begin: candlesFile[i][4],
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end: candlesFile[i][5]
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let outputCandle = {
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open: 0,
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close: 0,
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min: 0,
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max: 0,
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begin: 0,
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end: 0
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};
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if (candle.min < indexCandle.min) {
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let saveCandle = false;
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indexCandle.min = candle.min;
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outputCandle.begin = beginingOutputTime + i * outputCandlesPeriod;
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outputCandle.end = beginingOutputTime + (i + 1) * outputCandlesPeriod - 1;
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for (let j = 0; j < candlesFile.length; j++) {
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let candle = {
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open: candlesFile[j][2],
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close: candlesFile[j][3],
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min: candlesFile[j][0],
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max: candlesFile[j][1],
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begin: candlesFile[j][4],
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end: candlesFile[j][5]
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};
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/* Here we discard all the candles out of range. */
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if (candle.begin >= outputCandle.begin && candle.end <= outputCandle.end) {
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if (saveCandle === false) { // this will set the value only once.
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outputCandle.open = candle.open;
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outputCandle.min = candle.min;
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outputCandle.max = candle.max;
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}
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saveCandle = true;
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outputCandle.close = candle.close; // only the last one will be saved
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if (candle.min < outputCandle.min) {
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outputCandle.min = candle.min;
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}
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if (candle.max > outputCandle.max) {
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outputCandle.max = candle.max;
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}
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}
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if (saveCandle === true) { // then we have a valid candle, otherwise it means there were no candles to fill this one in its time range.
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outputCandles.push(outputCandle);
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}
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}
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if (candle.max > indexCandle.max) {
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indexCandle.max = candle.max;
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}
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}
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indexCandles.push(indexCandle);
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nextVolumeFile();
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}
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@@ -663,46 +676,57 @@ Read the candles and volumes from Bruce and produce a single Index File for each
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return;
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}
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let indexVolume = {
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buy: 0,
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sell: 0,
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begin: 0,
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end: 0
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};
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const outputVolumesPeriod = 12 * 60 * 60 * 1000; // 12 hs
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const inputVolumesPerdiod = 60 * 1000; // 1 min
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const inputFilePeriod = 24 * 60 * 60 * 1000; // 24 hs
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if (volumesFile.length > 0) {
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let totalOutputVolumes = inputFilePeriod / outputVolumesPeriod; // this should be 2 in this case.
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let beginingOutputTime = lastCandleFile.valueOf();
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indexVolume.begin = volumesFile[0][2];
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indexVolume.end = volumesFile[volumesFile.length - 1][3];
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for (let i = 0; i < totalOutputVolumes; i++) {
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} else {
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const logText = "[ERR] 'buildCandles' - No volumes found at file " + filePath + " for market " + market.assetA + '_' + market.assetB + " . Skipping this Market. ";
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logger.write(logText);
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closeAndOpenMarket();
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return;
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}
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for (let i = 0; i < volumesFile.length; i++) {
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let volume = {
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buy: volumesFile[i][0],
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sell: volumesFile[i][1],
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begin: volumesFile[i][2],
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end: volumesFile[i][3]
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let outputVolume = {
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buy: 0,
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sell: 0,
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begin: 0,
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end: 0
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};
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indexVolume.buy = indexVolume.buy + volume.buy;
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indexVolume.sell = indexVolume.sell + volume.sell;
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let saveVolume = false;
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outputVolume.begin = beginingOutputTime + i * outputVolumesPeriod;
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outputVolume.end = beginingOutputTime + (i + 1) * outputVolumesPeriod - 1;
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for (let j = 0; j < VolumesFile.length; j++) {
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let volume = {
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buy: volumesFile[i][0],
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sell: volumesFile[i][1],
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begin: volumesFile[i][2],
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end: volumesFile[i][3]
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};
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/* Here we discard all the Volumes out of range. */
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if (volume.begin >= outputVolume.begin && volume.end <= outputVolume.end) {
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saveVolume = true;
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outputVolume.buy = outputVolume.buy + volume.buy;
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outputVolume.sell = outputVolume.sell + volume.sell;
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}
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if (saveVolume === true) {
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outputVolumes.push(outputVolume);
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}
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}
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}
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indexVolumes.push(indexVolume);
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writeFiles(lastCandleFile, outputCandles, outputVolumes, advanceTime);
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writeFiles(lastCandleFile, indexCandles, indexVolumes, advanceTime);
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}
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}
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}
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