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 = '[' + '[' + 45 * 60 * 1000 + ',' + '"45-min"' + ']' + ',' + '[' + 40 * 60 * 1000 + ',' + '"40-min"' + ']' + ',' + '[' + 30 * 60 * 1000 + ',' + '"30-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 { let outputCandles; let outputVolumes; 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; } /* We prepere the arrays that will accumulate all the information for each output file. */ outputCandles = []; outputVolumes = []; for (n = 0; n < outputPeriods.length; n++) { const emptyArray1 = []; const emptyArray2 = []; outputCandles.push(emptyArray1); outputVolumes.push(emptyArray2); } 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); } } };