1243 lines
55 KiB
JavaScript
1243 lines
55 KiB
JavaScript
exports.newUserBot = function newUserBot(bot, logger, COMMONS, UTILITIES, BLOB_STORAGE, FILE_STORAGE) {
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const FULL_LOG = true;
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const LOG_FILE_CONTENT = false;
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const GMT_SECONDS = ':00.000 GMT+0000';
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const GMT_MILI_SECONDS = '.000 GMT+0000';
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const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000;
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const MODULE_NAME = "User Bot";
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const EXCHANGE_NAME = "Poloniex";
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const TRADES_FOLDER_NAME = "Trades";
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const CANDLES_FOLDER_NAME = "Candles";
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const CANDLE_STAIRS_FOLDER_NAME = "Candle-Stairs";
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const VOLUMES_FOLDER_NAME = "Volumes";
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const VOLUME_STAIRS_FOLDER_NAME = "Volume-Stairs";
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const commons = COMMONS.newCommons(bot, logger, UTILITIES);
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thisObject = {
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initialize: initialize,
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start: start
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};
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let oliviaStorage = BLOB_STORAGE.newBlobStorage(bot, logger);
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let tomStorage = BLOB_STORAGE.newBlobStorage(bot, logger);
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let utilities = UTILITIES.newCloudUtilities(bot, logger);
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let statusDependencies;
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return thisObject;
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function initialize(pStatusDependencies, pMonth, pYear, callBackFunction) {
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try {
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logger.fileName = MODULE_NAME;
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logger.initialize();
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
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statusDependencies = pStatusDependencies;
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commons.initializeStorage(oliviaStorage, tomStorage, onInizialized);
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function onInizialized(err) {
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if (err.result === global.DEFAULT_OK_RESPONSE.result) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> onInizialized -> Initialization Succeed."); }
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callBackFunction(global.DEFAULT_OK_RESPONSE);
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} else {
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logger.write(MODULE_NAME, "[ERROR] initialize -> onInizialized -> err = " + err.message);
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callBackFunction(err);
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}
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}
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] initialize -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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/*
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This process is going to do the following:
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Read the candles and volumes from Olivia and produce for each market two files with candles stairs and volumes stairs respectively.
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*/
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function start(callBackFunction) {
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try {
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if (LOG_INFO === true) {
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logger.write("[INFO] Entering function 'start'");
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}
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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.
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let nextIntervalLapse; // With this we can request the next execution wait time.
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let marketQueue; // This is the queue of all markets to be procesesd at each interval.
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let market = { // This is the current market being processed after removing it from the queue.
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id: 0,
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assetA: "",
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assetB: ""
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};
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let periods =
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'[' +
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'[' + 45 * 60 * 1000 + ',' + '"45-min"' + ']' + ',' +
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'[' + 40 * 60 * 1000 + ',' + '"40-min"' + ']' + ',' +
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'[' + 30 * 60 * 1000 + ',' + '"30-min"' + ']' + ',' +
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'[' + 20 * 60 * 1000 + ',' + '"20-min"' + ']' + ',' +
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'[' + 15 * 60 * 1000 + ',' + '"15-min"' + ']' + ',' +
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'[' + 10 * 60 * 1000 + ',' + '"10-min"' + ']' + ',' +
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'[' + 05 * 60 * 1000 + ',' + '"05-min"' + ']' + ',' +
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'[' + 04 * 60 * 1000 + ',' + '"04-min"' + ']' + ',' +
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'[' + 03 * 60 * 1000 + ',' + '"03-min"' + ']' + ',' +
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'[' + 02 * 60 * 1000 + ',' + '"02-min"' + ']' + ',' +
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'[' + 01 * 60 * 1000 + ',' + '"01-min"' + ']' + ']';
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const outputPeriods = JSON.parse(periods);
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/* One of the challenges of this process is that each imput file contains one day of candles. So if a stair spans more than one day
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then we dont want to break the stais in two pieces. What we do is that we read to candles files at the time and record at the current
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date all stairs of the day plus the ones thas spans to the second day without bigining at the second day. Then when we process the next
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day, we must remember where the last stairs of each type endded, so as not to create overlapping stairs in the current day. These next
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3 variables are stored at the status report and they are to remember where the last staris ended. */
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let lastEndValues = [];
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for (let i = 0; i < outputPeriods.length; i++) {
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let lastEndValuesItem = {
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timePeriod: outputPeriods[i][1],
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candleStairEnd: undefined,
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volumeBuyEnd: undefined,
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volumeSellEnd: undefined
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};
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lastEndValues.push(lastEndValuesItem);
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}
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let currentEndValues = [];
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for (let i = 0; i < outputPeriods.length; i++) {
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let currentEndValuesItem = {
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timePeriod: outputPeriods[i][1],
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candleStairEnd: undefined,
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volumeBuyEnd: undefined,
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volumeSellEnd: undefined
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};
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currentEndValues.push(currentEndValuesItem);
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}
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let market = global.MARKET;
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/* Context Variables */
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let contextVariables = {
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lastCandleFile: undefined, // Datetime of the last file files sucessfully produced by this process.
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firstTradeFile: undefined, // Datetime of the first trade file in the whole market history.
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maxCandleFile: undefined // Datetime of the last file available to be used as an input of this process.
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};
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getContextVariables();
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function getContextVariables() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> Entering function."); }
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let thisReport;
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let reportKey;
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let statusReport;
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/* We look first for Charly in order to get when the market starts. */
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reportKey = "AAMasters" + "-" + "AACharly" + "-" + "Poloniex-Historic-Trades" + "-" + "dataSet.V1";
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> reportKey = " + reportKey); }
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statusReport = statusDependencies.statusReports.get(reportKey);
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if (statusReport === "undefined") { // This means the status report does not exist, that could happen for instance at the begining of a month.
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logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Status Report does not exist. Retrying Later. ");
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callBackFunction(global.DEFAULT_RETRY_RESPONSE);
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return;
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}
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if (statusReport.status === "Status Report is corrupt.") {
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logger.write(MODULE_NAME, "[ERROR] start -> getContextVariables -> Can not continue because dependecy Status Report is corrupt. ");
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callBackFunction(global.DEFAULT_RETRY_RESPONSE);
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return;
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}
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thisReport = statusDependencies.statusReports.get(reportKey).file;
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if (thisReport.lastFile === undefined) {
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logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Undefined Last File. -> reportKey = " + reportKey);
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logger.write(MODULE_NAME, "[HINT] start -> getContextVariables -> It is too early too run this process since the trade history of the market is not there yet.");
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let customOK = {
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result: global.CUSTOM_OK_RESPONSE.result,
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message: "Dependency does not exist."
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}
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logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> customOK = " + customOK.message);
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callBackFunction(customOK);
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return;
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}
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contextVariables.firstTradeFile = new Date(thisReport.lastFile.year + "-" + thisReport.lastFile.month + "-" + thisReport.lastFile.days + " " + thisReport.lastFile.hours + ":" + thisReport.lastFile.minutes + GMT_SECONDS);
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/* Second, we get the report from Olivia, to know when the marted ends. */
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reportKey = "AAMasters" + "-" + "AAOlivia" + "-" + "Multi-Period-Daily" + "-" + "dataSet.V1";
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> reportKey = " + reportKey); }
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statusReport = statusDependencies.statusReports.get(reportKey);
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if (statusReport === "undefined") { // This means the status report does not exist, that could happen for instance at the begining of a month.
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logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Status Report does not exist. Retrying Later. ");
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callBackFunction(global.DEFAULT_RETRY_RESPONSE);
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return;
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}
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if (statusReport.status === "Status Report is corrupt.") {
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logger.write(MODULE_NAME, "[ERROR] start -> getContextVariables -> Can not continue because dependecy Status Report is corrupt. ");
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callBackFunction(global.DEFAULT_RETRY_RESPONSE);
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return;
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}
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thisReport = statusDependencies.statusReports.get(reportKey).file;
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if (thisReport.lastFile === undefined) {
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logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Undefined Last File. -> reportKey = " + reportKey);
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let customOK = {
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result: global.CUSTOM_OK_RESPONSE.result,
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message: "Dependency not ready."
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}
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logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> customOK = " + customOK.message);
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callBackFunction(customOK);
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return;
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}
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contextVariables.maxCandleFile = new Date(thisReport.lastFile.year + "-" + thisReport.lastFile.month + "-" + thisReport.lastFile.days + " " + "00:00" + GMT_SECONDS);
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/* Finally we get our own Status Report. */
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reportKey = "AAMasters" + "-" + "AATom" + "-" + "Multi-Period-Daily" + "-" + "dataSet.V1";
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> reportKey = " + reportKey); }
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statusReport = statusDependencies.statusReports.get(reportKey);
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if (statusReport === "undefined") { // This means the status report does not exist, that could happen for instance at the begining of a month.
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logger.write(MODULE_NAME, "[WARN] start -> getContextVariables -> Status Report does not exist. Retrying Later. ");
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callBackFunction(global.DEFAULT_RETRY_RESPONSE);
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return;
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}
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if (statusReport.status === "Status Report is corrupt.") {
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logger.write(MODULE_NAME, "[ERROR] start -> getContextVariables -> Can not continue because self dependecy Status Report is corrupt. Aborting Process.");
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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return;
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}
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thisReport = statusDependencies.statusReports.get(reportKey).file;
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if (thisReport.lastFile !== undefined) {
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contextVariables.lastCandleFile = new Date(thisReport.lastFile);
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/*
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Here we assume that the last day written might contain incomplete information. This actually happens every time the head of the market is reached.
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For that reason we go back one day, the partial information is discarded and added again with whatever new info is available.
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*/
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contextVariables.lastCandleFile = new Date(contextVariables.lastCandleFile.valueOf() - ONE_DAY_IN_MILISECONDS);
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buildStairs();
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return;
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} else {
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contextVariables.lastCandleFile = new Date(contextVariables.firstTradeFile.getUTCFullYear() + "-" + (contextVariables.firstTradeFile.getUTCMonth() + 1) + "-" + contextVariables.firstTradeFile.getUTCDate() + " " + "00:00" + GMT_SECONDS);
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contextVariables.lastCandleFile = new Date(contextVariables.lastCandleFile.valueOf() - ONE_DAY_IN_MILISECONDS); // Go back one day to start well.
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buildStairs();
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return;
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}
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> getContextVariables -> err = " + err.message);
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if (err.message === "Cannot read property 'file' of undefined") {
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logger.write(MODULE_NAME, "[HINT] start -> getContextVariables -> Check the bot configuration to see if all of its statusDependencies declarations are correct. ");
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logger.write(MODULE_NAME, "[HINT] start -> getContextVariables -> Dependencies loaded -> keys = " + JSON.stringify(statusDependencies.keys));
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}
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function buildStairs() {
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let n;
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let currentDay = contextVariables.lastCandleFile;
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let nextDay;
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advanceTime();
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function advanceTime() {
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currentDay = new Date(currentDay.valueOf() + ONE_DAY_IN_MILISECONDS);
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nextDay = new Date(currentDay.valueOf() + ONE_DAY_IN_MILISECONDS);
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const logText = "[INFO] New current day @ " + currentDay.getUTCFullYear() + "/" + (currentDay.getUTCMonth() + 1) + "/" + currentDay.getUTCDate() + ".";
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console.log(logText);
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logger.write(logText);
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/* Validation that we are not going past the head of the market. */
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if (currentDay.valueOf() > contextVariables.maxCandleFile.valueOf()) {
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nextIntervalExecution = true; // we request a new interval execution.
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const logText = "[INFO] 'buildStairs' - Head of the market found @ " + currentDay.getUTCFullYear() + "/" + (currentDay.getUTCMonth() + 1) + "/" + currentDay.getUTCDate() + ".";
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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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periodsLoop();
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}
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function periodsLoop() {
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/*
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We will iterate through all posible periods.
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*/
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n = 0 // loop Variable representing each possible period as defined at the periods array.
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loopBody();
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}
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function loopBody() {
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const folderName = outputPeriods[n][1];
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processCandles();
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function processCandles() {
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let candles = [];
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let stairsArray = [];
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let currentDayFile;
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let nextDayFile;
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getCurrentDayFile();
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function getCurrentDayFile() {
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let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
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let fileName = market.assetA + '_' + market.assetB + ".json"
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let filePath = EXCHANGE_NAME + "/Output/" + CANDLES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + folderName + "/" + dateForPath;
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oliviaAzureFileStorage.getTextFile(filePath, fileName, onCurrentDayFileReceived, true);
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function onCurrentDayFileReceived(text) {
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try {
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currentDayFile = JSON.parse(text);
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getNextDayFile()
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} catch (err) {
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const logText = "[ERR] 'processCandles - getCurrentDayFile' - Empty or corrupt candle file found at " + 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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nextIntervalExecution = true; // we request a new interval execution.
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nextIntervalLapse = 30000;
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return;
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}
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}
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}
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function getNextDayFile() {
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let dateForPath = nextDay.getUTCFullYear() + '/' + utilities.pad(nextDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(nextDay.getUTCDate(), 2);
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let fileName = market.assetA + '_' + market.assetB + ".json"
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let filePath = EXCHANGE_NAME + "/Output/" + CANDLES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + folderName + "/" + dateForPath;
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oliviaAzureFileStorage.getTextFile(filePath, fileName, onCurrentDayFileReceived, true);
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function onCurrentDayFileReceived(text) {
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try {
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nextDayFile = JSON.parse(text);
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buildCandles();
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} catch (err) {
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if (nextDay.valueOf() > contextVariables.maxCandleFile.valueOf()) {
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nextDayFile = []; // we are past the head of the market, then no worries if this file is non existent.
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buildCandles();
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} else {
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const logText = "[ERR] 'processCandles - getNextDayFile' - Empty or corrupt candle file found at " + 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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nextIntervalExecution = true; // we request a new interval execution.
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nextIntervalLapse = 30000;
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return;
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}
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}
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}
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}
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function buildCandles() {
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try {
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pushCandles(currentDayFile);
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pushCandles(nextDayFile);
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findCandleStairs();
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function pushCandles(candlesFile) {
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for (let i = 0; i < candlesFile.length; i++) {
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let candle = {
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open: undefined,
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close: undefined,
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min: 10000000000000,
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max: 0,
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begin: undefined,
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end: undefined,
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direction: undefined
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};
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candle.min = candlesFile[i][0];
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candle.max = candlesFile[i][1];
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candle.open = candlesFile[i][2];
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candle.close = candlesFile[i][3];
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candle.begin = candlesFile[i][4];
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candle.end = candlesFile[i][5];
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if (candle.open > candle.close) { candle.direction = 'down'; }
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if (candle.open < candle.close) { candle.direction = 'up'; }
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if (candle.open === candle.close) { candle.direction = 'side'; }
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candles.push(candle);
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}
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}
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} catch (err) {
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const logText = "[ERR] 'buildCandles' - Message: " + err.message;
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logger.write(logText);
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closeAndOpenMarket();
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nextIntervalExecution = true; // we request a new interval execution.
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nextIntervalLapse = 30000;
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return;
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}
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}
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function findCandleStairs() {
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try {
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/* Finding stairs */
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let stairs;
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for (let i = 0; i < candles.length - 1; i++) {
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let currentCandle = candles[i];
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let nextCandle = candles[i + 1];
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if (currentCandle.direction === nextCandle.direction && currentCandle.direction !== 'side') {
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if (stairs === undefined) {
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stairs = {
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open: undefined,
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close: undefined,
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min: 10000000000000,
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max: 0,
|
|
begin: undefined,
|
|
end: undefined,
|
|
direction: undefined,
|
|
candleCount: 0,
|
|
firstMin: 0,
|
|
firstMax: 0,
|
|
lastMin: 0,
|
|
lastMax: 0
|
|
};
|
|
|
|
stairs.direction = currentCandle.direction;
|
|
stairs.candleCount = 2;
|
|
|
|
stairs.begin = currentCandle.begin;
|
|
stairs.end = nextCandle.end;
|
|
|
|
stairs.open = currentCandle.open;
|
|
stairs.close = nextCandle.close;
|
|
|
|
if (currentCandle.min < nextCandle.min) { stairs.min = currentCandle.min; } else { stairs.min = nextCandle.min; }
|
|
if (currentCandle.max > nextCandle.max) { stairs.max = currentCandle.max; } else { stairs.max = nextCandle.max; }
|
|
|
|
if (stairs.direction === 'up') {
|
|
|
|
stairs.firstMin = currentCandle.open;
|
|
stairs.firstMax = currentCandle.close;
|
|
|
|
stairs.lastMin = nextCandle.open;
|
|
stairs.lastMax = nextCandle.close;
|
|
|
|
} else {
|
|
|
|
stairs.firstMin = currentCandle.close;
|
|
stairs.firstMax = currentCandle.open;
|
|
|
|
stairs.lastMin = nextCandle.close;
|
|
stairs.lastMax = nextCandle.open;
|
|
|
|
}
|
|
|
|
|
|
} else {
|
|
|
|
stairs.candleCount++;
|
|
stairs.end = nextCandle.end;
|
|
stairs.close = nextCandle.close;
|
|
|
|
if (stairs.min < nextCandle.min) { stairs.min = currentCandle.min; }
|
|
if (stairs.max > nextCandle.max) { stairs.max = currentCandle.max; }
|
|
|
|
if (stairs.direction === 'up') {
|
|
|
|
stairs.lastMin = nextCandle.open;
|
|
stairs.lastMax = nextCandle.close;
|
|
|
|
} else {
|
|
|
|
stairs.lastMin = nextCandle.close;
|
|
stairs.lastMax = nextCandle.open;
|
|
|
|
}
|
|
|
|
}
|
|
|
|
} else {
|
|
|
|
if (stairs !== undefined) {
|
|
|
|
/* As we are using two consecutives days of candles, we do want to include stairs that spans from the first
|
|
day to the second, but we do not want to include stairs that begins on the second day, since thos are to be
|
|
included when time advances one day. */
|
|
|
|
if (stairs.begin < nextDay.valueOf()) {
|
|
|
|
/* Also, we dont want to include stairs that started in the previous day. To detect that we use the date
|
|
that we recorded on the Status Report with the end of the last stair of the previous day. */
|
|
|
|
if (lastEndValues[n].candleStairEnd !== undefined) {
|
|
|
|
if (stairs.begin > lastEndValues[n].candleStairEnd) {
|
|
|
|
stairsArray.push(stairs);
|
|
currentEndValues[n].candleStairEnd = stairs.end;
|
|
|
|
}
|
|
} else {
|
|
|
|
stairsArray.push(stairs);
|
|
currentEndValues[n].candleStairEnd = stairs.end;
|
|
|
|
}
|
|
}
|
|
stairs = undefined;
|
|
}
|
|
}
|
|
}
|
|
|
|
writeCandleStairsFile();
|
|
|
|
} catch (err) {
|
|
|
|
const logText = "[ERR] 'findCandleStairs' - Message: " + err.message;
|
|
logger.write(logText);
|
|
|
|
closeAndOpenMarket();
|
|
|
|
nextIntervalExecution = true; // we request a new interval execution.
|
|
nextIntervalLapse = 30000;
|
|
|
|
return;
|
|
|
|
}
|
|
}
|
|
|
|
function writeCandleStairsFile() {
|
|
|
|
try {
|
|
|
|
let separator = "";
|
|
let fileRecordCounter = 0;
|
|
|
|
let fileContent = "";
|
|
|
|
for (i = 0; i < stairsArray.length; i++) {
|
|
|
|
let stairs = stairsArray[i];
|
|
|
|
fileContent = fileContent + separator + '[' +
|
|
stairs.open + "," +
|
|
stairs.close + "," +
|
|
stairs.min + "," +
|
|
stairs.max + "," +
|
|
stairs.begin + "," +
|
|
stairs.end + "," +
|
|
'"' + stairs.direction + '"' + "," +
|
|
stairs.candleCount + "," +
|
|
stairs.firstMin + "," +
|
|
stairs.firstMax + "," +
|
|
stairs.lastMin + "," +
|
|
stairs.lastMax + "]";
|
|
|
|
if (separator === "") { separator = ","; }
|
|
|
|
fileRecordCounter++;
|
|
|
|
}
|
|
|
|
fileContent = "[" + fileContent + "]";
|
|
|
|
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
|
|
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
|
let filePath = EXCHANGE_NAME + "/" + bot.name + "/" + bot.dataSetVersion + "/Output/" + CANDLE_STAIRS_FOLDER_NAME + "/" + bot.process + "/" + folderName + "/" + dateForPath;
|
|
|
|
utilities.createFolderIfNeeded(filePath, tomAzureFileStorage, onFolderCreated);
|
|
|
|
function onFolderCreated() {
|
|
|
|
tomAzureFileStorage.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);
|
|
|
|
processVolumes();
|
|
}
|
|
}
|
|
} catch (err) {
|
|
|
|
const logText = "[ERR] 'writeCandleStairsFile' - Message: " + err.message;
|
|
logger.write(logText);
|
|
|
|
closeAndOpenMarket();
|
|
|
|
nextIntervalExecution = true; // we request a new interval execution.
|
|
nextIntervalLapse = 30000;
|
|
|
|
return;
|
|
|
|
}
|
|
}
|
|
}
|
|
|
|
function processVolumes() {
|
|
|
|
let volumes = [];
|
|
let stairsArray = [];
|
|
let currentDayFile;
|
|
let nextDayFile;
|
|
|
|
getCurrentDayFile();
|
|
|
|
function getCurrentDayFile() {
|
|
|
|
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
|
|
let fileName = market.assetA + '_' + market.assetB + ".json"
|
|
let filePath = EXCHANGE_NAME + "/Output/" + VOLUMES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + folderName + "/" + dateForPath;
|
|
|
|
oliviaAzureFileStorage.getTextFile(filePath, fileName, onCurrentDayFileReceived, true);
|
|
|
|
function onCurrentDayFileReceived(text) {
|
|
|
|
try {
|
|
|
|
currentDayFile = JSON.parse(text);
|
|
getNextDayFile()
|
|
|
|
} catch (err) {
|
|
|
|
const logText = "[ERR] 'processVolumes - getCurrentDayFile' - 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;
|
|
}
|
|
}
|
|
}
|
|
|
|
function getNextDayFile() {
|
|
|
|
let dateForPath = nextDay.getUTCFullYear() + '/' + utilities.pad(nextDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(nextDay.getUTCDate(), 2);
|
|
let fileName = market.assetA + '_' + market.assetB + ".json"
|
|
let filePath = EXCHANGE_NAME + "/Output/" + VOLUMES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + folderName + "/" + dateForPath;
|
|
|
|
oliviaAzureFileStorage.getTextFile(filePath, fileName, onCurrentDayFileReceived, true);
|
|
|
|
function onCurrentDayFileReceived(text) {
|
|
|
|
try {
|
|
|
|
nextDayFile = JSON.parse(text);
|
|
buildVolumes();
|
|
|
|
} catch (err) {
|
|
|
|
if (nextDay.valueOf() > contextVariables.maxCandleFile.valueOf()) {
|
|
|
|
nextDayFile = []; // we are past the head of the market, then no worries if this file is non existent.
|
|
buildVolumes();
|
|
|
|
} else {
|
|
|
|
const logText = "[ERR] 'processVolumes - getNextDayFile' - 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;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function buildVolumes() {
|
|
|
|
try {
|
|
|
|
pushVolumes(currentDayFile);
|
|
pushVolumes(nextDayFile);
|
|
findVolumesStairs();
|
|
|
|
function pushVolumes(volumesFile) {
|
|
|
|
for (let i = 0; i < volumesFile.length; i++) {
|
|
|
|
let volume = {
|
|
amountBuy: 0,
|
|
amountSell: 0,
|
|
begin: undefined,
|
|
end: undefined
|
|
};
|
|
|
|
volume.amountBuy = volumesFile[i][0];
|
|
volume.amountSell = volumesFile[i][1];
|
|
|
|
volume.begin = volumesFile[i][2];
|
|
volume.end = volumesFile[i][3];
|
|
|
|
volumes.push(volume);
|
|
|
|
}
|
|
}
|
|
} catch (err) {
|
|
|
|
const logText = "[ERR] 'buildVolumes' - Message: " + err.message;
|
|
logger.write(logText);
|
|
|
|
closeAndOpenMarket();
|
|
|
|
nextIntervalExecution = true; // we request a new interval execution.
|
|
nextIntervalLapse = 30000;
|
|
|
|
return;
|
|
|
|
}
|
|
}
|
|
|
|
function findVolumesStairs() {
|
|
|
|
try {
|
|
|
|
|
|
/* Finding stairs */
|
|
|
|
let buyUpStairs;
|
|
let buyDownStairs;
|
|
|
|
let sellUpStairs;
|
|
let sellDownStairs;
|
|
|
|
for (let i = 0; i < volumes.length - 1; i++) {
|
|
|
|
let currentVolume = volumes[i];
|
|
let nextVolume = volumes[i + 1];
|
|
|
|
|
|
/* buy volume going up */
|
|
|
|
if (currentVolume.amountBuy < nextVolume.amountBuy) {
|
|
|
|
if (buyUpStairs === undefined) {
|
|
|
|
buyUpStairs = {
|
|
type: undefined,
|
|
begin: undefined,
|
|
end: undefined,
|
|
direction: undefined,
|
|
barsCount: 0,
|
|
firstAmount: 0,
|
|
lastAmount: 0
|
|
};
|
|
|
|
buyUpStairs.type = 'buy';
|
|
buyUpStairs.direction = 'up';
|
|
buyUpStairs.barsCount = 2;
|
|
|
|
buyUpStairs.begin = currentVolume.begin;
|
|
buyUpStairs.end = nextVolume.end;
|
|
|
|
buyUpStairs.firstAmount = currentVolume.amountBuy;
|
|
buyUpStairs.lastAmount = nextVolume.amountBuy;
|
|
|
|
} else {
|
|
|
|
buyUpStairs.barsCount++;
|
|
buyUpStairs.end = nextVolume.end;
|
|
buyUpStairs.lastAmount = nextVolume.amountBuy;
|
|
|
|
}
|
|
|
|
} else {
|
|
|
|
if (buyUpStairs !== undefined) {
|
|
|
|
if (buyUpStairs.barsCount > 2) {
|
|
|
|
pushToArray(buyUpStairs);
|
|
}
|
|
|
|
buyUpStairs = undefined;
|
|
}
|
|
}
|
|
|
|
/* buy volume going down */
|
|
|
|
if (currentVolume.amountBuy > nextVolume.amountBuy) {
|
|
|
|
if (buyDownStairs === undefined) {
|
|
|
|
buyDownStairs = {
|
|
type: undefined,
|
|
begin: undefined,
|
|
end: undefined,
|
|
direction: undefined,
|
|
barsCount: 0,
|
|
firstAmount: 0,
|
|
lastAmount: 0
|
|
};
|
|
|
|
buyDownStairs.type = 'buy';
|
|
buyDownStairs.direction = 'down';
|
|
buyDownStairs.barsCount = 2;
|
|
|
|
buyDownStairs.begin = currentVolume.begin;
|
|
buyDownStairs.end = nextVolume.end;
|
|
|
|
buyDownStairs.firstAmount = currentVolume.amountBuy;
|
|
buyDownStairs.lastAmount = nextVolume.amountBuy;
|
|
|
|
} else {
|
|
|
|
buyDownStairs.barsCount++;
|
|
buyDownStairs.end = nextVolume.end;
|
|
buyDownStairs.lastAmount = nextVolume.amountBuy;
|
|
|
|
}
|
|
|
|
} else {
|
|
|
|
if (buyDownStairs !== undefined) {
|
|
|
|
if (buyDownStairs.barsCount > 2) {
|
|
|
|
pushToArray(buyDownStairs);
|
|
}
|
|
|
|
buyDownStairs = undefined;
|
|
}
|
|
}
|
|
|
|
/* sell volume going up */
|
|
|
|
if (currentVolume.amountSell < nextVolume.amountSell) {
|
|
|
|
if (sellUpStairs === undefined) {
|
|
|
|
sellUpStairs = {
|
|
type: undefined,
|
|
begin: undefined,
|
|
end: undefined,
|
|
direction: undefined,
|
|
barsCount: 0,
|
|
firstAmount: 0,
|
|
lastAmount: 0
|
|
};
|
|
|
|
sellUpStairs.type = 'sell';
|
|
sellUpStairs.direction = 'up';
|
|
sellUpStairs.barsCount = 2;
|
|
|
|
sellUpStairs.begin = currentVolume.begin;
|
|
sellUpStairs.end = nextVolume.end;
|
|
|
|
sellUpStairs.firstAmount = currentVolume.amountSell;
|
|
sellUpStairs.lastAmount = nextVolume.amountSell;
|
|
|
|
} else {
|
|
|
|
sellUpStairs.barsCount++;
|
|
sellUpStairs.end = nextVolume.end;
|
|
sellUpStairs.lastAmount = nextVolume.amountSell;
|
|
|
|
}
|
|
|
|
} else {
|
|
|
|
if (sellUpStairs !== undefined) {
|
|
|
|
if (sellUpStairs.barsCount > 2) {
|
|
|
|
pushToArray(sellUpStairs);
|
|
}
|
|
|
|
sellUpStairs = undefined;
|
|
}
|
|
}
|
|
|
|
/* sell volume going down */
|
|
|
|
if (currentVolume.amountSell > nextVolume.amountSell) {
|
|
|
|
if (sellDownStairs === undefined) {
|
|
|
|
sellDownStairs = {
|
|
type: undefined,
|
|
begin: undefined,
|
|
end: undefined,
|
|
direction: undefined,
|
|
barsCount: 0,
|
|
firstAmount: 0,
|
|
lastAmount: 0
|
|
};
|
|
|
|
sellDownStairs.type = 'sell';
|
|
sellDownStairs.direction = 'down';
|
|
sellDownStairs.barsCount = 2;
|
|
|
|
sellDownStairs.begin = currentVolume.begin;
|
|
sellDownStairs.end = nextVolume.end;
|
|
|
|
sellDownStairs.firstAmount = currentVolume.amountSell;
|
|
sellDownStairs.lastAmount = nextVolume.amountSell;
|
|
|
|
} else {
|
|
|
|
sellDownStairs.barsCount++;
|
|
sellDownStairs.end = nextVolume.end;
|
|
sellDownStairs.lastAmount = nextVolume.amountSell;
|
|
|
|
}
|
|
|
|
} else {
|
|
|
|
if (sellDownStairs !== undefined) {
|
|
|
|
if (sellDownStairs.barsCount > 2) {
|
|
|
|
pushToArray(sellDownStairs);
|
|
}
|
|
|
|
sellDownStairs = undefined;
|
|
}
|
|
}
|
|
|
|
function pushToArray(stairs) {
|
|
|
|
if (stairs !== undefined) {
|
|
|
|
/* As we are using two consecutives days of candles, we do want to include stairs that spans from the first
|
|
day to the second, but we do not want to include stairs that begins on the second day, since those are to be
|
|
included when time advances one day. */
|
|
|
|
if (stairs.begin < nextDay.valueOf()) {
|
|
|
|
/* Also, we dont want to include stairs that started in the previous day. To detect that we use the date
|
|
that we recorded on the Status Report with the end of the last stair of the previous day. */
|
|
|
|
/* Additional to that, there are two types of stais: buy and sell. */
|
|
|
|
if (stairs.type === 'sell') {
|
|
|
|
if (lastEndValues[n].volumeSellEnd !== undefined) {
|
|
|
|
if (stairs.begin > lastEndValues[n].volumeSellEnd) {
|
|
|
|
stairsArray.push(stairs);
|
|
currentEndValues[n].volumeSellEnd = stairs.end;
|
|
}
|
|
} else {
|
|
|
|
stairsArray.push(stairs);
|
|
currentEndValues[n].volumeSellEnd = stairs.end;
|
|
}
|
|
|
|
} else {
|
|
|
|
if (lastEndValues[n].volumeBuyEnd !== undefined) {
|
|
|
|
if (stairs.begin > lastEndValues[n].volumeBuyEnd) {
|
|
|
|
stairsArray.push(stairs);
|
|
currentEndValues[n].volumeBuyEnd = stairs.end;
|
|
}
|
|
} else {
|
|
|
|
stairsArray.push(stairs);
|
|
currentEndValues[n].volumeBuyEnd = stairs.end;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
writeVolumeStairsFile();
|
|
|
|
} catch (err) {
|
|
|
|
const logText = "[ERR] 'findVolumesStairs' - Message: " + err.message;
|
|
logger.write(logText);
|
|
|
|
closeAndOpenMarket();
|
|
|
|
nextIntervalExecution = true; // we request a new interval execution.
|
|
nextIntervalLapse = 30000;
|
|
|
|
return;
|
|
|
|
}
|
|
}
|
|
|
|
function writeVolumeStairsFile() {
|
|
|
|
try {
|
|
|
|
let separator = "";
|
|
let fileRecordCounter = 0;
|
|
|
|
let fileContent = "";
|
|
|
|
for (i = 0; i < stairsArray.length; i++) {
|
|
|
|
let stairs = stairsArray[i];
|
|
|
|
fileContent = fileContent + separator + '[' +
|
|
'"' + stairs.type + '"' + "," +
|
|
stairs.begin + "," +
|
|
stairs.end + "," +
|
|
'"' + stairs.direction + '"' + "," +
|
|
stairs.barsCount + "," +
|
|
stairs.firstAmount + "," +
|
|
stairs.lastAmount + "]";
|
|
|
|
if (separator === "") { separator = ","; }
|
|
|
|
fileRecordCounter++;
|
|
|
|
}
|
|
|
|
fileContent = "[" + fileContent + "]";
|
|
|
|
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
|
|
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
|
let filePath = EXCHANGE_NAME + "/" + bot.name + "/" + bot.dataSetVersion + "/Output/" + VOLUME_STAIRS_FOLDER_NAME + "/" + bot.process + "/" + folderName + "/" + dateForPath;
|
|
|
|
utilities.createFolderIfNeeded(filePath, tomAzureFileStorage, onFolderCreated);
|
|
|
|
function onFolderCreated() {
|
|
|
|
tomAzureFileStorage.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);
|
|
|
|
controlLoop();
|
|
}
|
|
}
|
|
} catch (err) {
|
|
|
|
const logText = "[ERR] 'writeVolumeStairsFile' - Message: " + err.message;
|
|
logger.write(logText);
|
|
|
|
closeAndOpenMarket();
|
|
|
|
nextIntervalExecution = true; // we request a new interval execution.
|
|
nextIntervalLapse = 30000;
|
|
|
|
return;
|
|
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function controlLoop() {
|
|
|
|
n++;
|
|
|
|
if (n < outputPeriods.length) {
|
|
|
|
loopBody();
|
|
|
|
} else {
|
|
|
|
n = 0;
|
|
writeStatusReport(currentDay, switchEndValues);
|
|
|
|
function switchEndValues() {
|
|
|
|
lastEndValues = currentEndValues;
|
|
advanceTime();
|
|
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
function writeStatusReport(currentDay, callBackFunction) {
|
|
|
|
if (LOG_INFO === true) {
|
|
logger.write("[INFO] Entering function 'writeStatusReport'");
|
|
}
|
|
|
|
try {
|
|
|
|
let reportFilePath = EXCHANGE_NAME + "/" + bot.name + "/" + bot.dataSetVersion + "/Processes/" + bot.process;
|
|
|
|
utilities.createFolderIfNeeded(reportFilePath, tomAzureFileStorage, onFolderCreated);
|
|
|
|
function onFolderCreated() {
|
|
|
|
try {
|
|
|
|
let lastFileDate = new Date();
|
|
|
|
let fileName = "Status.Report." + market.assetA + '_' + market.assetB + ".json";
|
|
|
|
let report = {
|
|
lastFile: {
|
|
year: currentDay.getUTCFullYear(),
|
|
month: (currentDay.getUTCMonth() + 1),
|
|
days: currentDay.getUTCDate()
|
|
},
|
|
lastEndValues: currentEndValues
|
|
};
|
|
|
|
let fileContent = JSON.stringify(report);
|
|
|
|
tomAzureFileStorage.createTextFile(reportFilePath, fileName, fileContent + '\n', onFileCreated);
|
|
|
|
function onFileCreated() {
|
|
|
|
if (LOG_INFO === true) {
|
|
logger.write("[INFO] 'writeStatusReport' - Content written: " + fileContent);
|
|
}
|
|
|
|
callBackFunction();
|
|
}
|
|
}
|
|
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);
|
|
}
|
|
}
|
|
};
|