cryptometric - npm Package Compare versions

Comparing version 0.0.5 to 0.0.6

package.json

 {
   "name": "cryptometric",
-  "version": "0.0.5",
+  "version": "0.0.6",
   "dependencies": {
@@ -5,0 +5,0 @@ "eventemitter3": "^4.0.7",

src/connection.js

@@ -11,2 +11,3 @@ const EventEmitter = require('eventemitter3')
     this.reconnectionDelay = 1000
+    this.connectionTimeoutDelay = 6000
     // this.valid = false
@@ -41,3 +42,16 @@ }
 
-      return true
+      // Sometimes sockets will get stuck connecting which will prevent ready
+      // events. Force closure if timeout is exceeded.
+      this.connectionTimeout = setTimeout(() => {
+        if (!this.connected) {
+          if (this.socket)
+            this.socket.close()
+          // this.connect(true)
+          //   .catch(err => {
+          //     console.log(`[${this.id}] reconnection error`, err)
+          //   })
+        }
+      }, this.connectionTimeoutDelay)
+
+      return true //Promise.resolve()
     // }
@@ -65,3 +79,4 @@ }
     if (this.connected) {
-      return
+      this.disconnect()
+      // return
     }
@@ -74,2 +89,5 @@
         this.connect(true)
+          .catch(err => {
+            console.log(`[${this.id}] reconnection error`, err.message)
+          })
       }
@@ -86,2 +104,4 @@ }, this.reconnectionDelay)
   emitOpen(event) {
+    clearTimeout(this.connectionTimeout)
+
     this.connected = true
@@ -99,3 +119,3 @@ this.error = false
 
-    this.emit('error')
+    this.emit('error', this.error)
   }
@@ -102,0 +122,0 @@

src/exchange-manager.js

@@ -1,6 +0,3 @@
-// const EventEmitter = require('eventemitter3')
 const Exchanges = require('./exchanges')
-// const Config = require('../config')
 
-
 const QUEUE = {}
@@ -19,40 +16,79 @@ const REFS = {}
 let sumsInterval = null
-// let activeExchanges = []
- // extends EventEmitter
 
 class ExchangeManager {
-  constructor(ticker, options) {
-    // super()
-
-
+  constructor(ticker, pair, options) {
     this.ticker = ticker
-    this.instances = {}
-    this.ready = false
+    this.pair = pair
     this.options = Object.assign({
       aggregateTrades: true,
-      showSlippage: 'price',           // false, 'price', 'bps'
+      showSlippage: 'price', // false, 'price', 'bps'
       preferQuoteCurrencySize: true,
     }, options)
+    this.instances = {}
+    this.ready = false
   }
 
-  async initialize(pair, options) {
-    this.pair = pair
+  initialize() {
     for (const name in Exchanges) {
-      await this.initExchange(name, pair, options)
+      this.initExchange(name)
+        .catch(err => {
+          console.log(`[exchange-manager] ${name} initialize error`, err.message)
+        })
     }
 
-    setInterval(this.emitAggr.bind(this), 100)
+    this.aggrInterval = setInterval(this.emitAggr.bind(this), 100)
+    this.initHeartbeat()
   }
 
-  async initExchange(name, pair, options) {
+  shudown() {
+
+    // FIXME: unbind preperly
+    Object.keys(this.instances).map(x => x.shutdown())
+
+    clearInterval(this.heartbeatInterval)
+    clearInterval(this.aggrInterval)
+  }
+
+  initHeartbeat() {
+    const timeout = 60
+    this.heartbeatInterval = setInterval(() => {
+      const now = new Date().getTime() / 1000
+      Object.values(this.instances).map(exchange => {
+        if (exchange.alive && (now - exchange.alive) > timeout) {
+          console.log('[exchange] heartbeat check failed', exchange.id, now - exchange.alive)
+          if (!exchange.connecting()) {
+            exchange.alive = null
+            exchange.reconnect()
+          } else {
+            console.log('[exchange] heartbeat check failed: already connecting')
+          }
+        }
+      })
+    }, 5 * 1000)
+  }
+
+  initExchange(name) {
     if (this.instances[name])
       throw new Error(`${name} exchange already initialized`)
 
-    const exchange = new Exchanges[name](options)
-    exchange.pairs = [pair]
-    exchange.connect()
+    const exchange = new Exchanges[name](this.options)
+    exchange.pairs = [this.ticker.pair]
     this.instances[name] = exchange
 
     exchange.on('trades', trades => {
-      // console.log(`[exchange-manager] ${exchange.id} trades`, trades)
+      // if (exchange.id === 'kraken' || exchange.id === 'hitbtc') {
+      //
+      //     const now = new Date().getTime() / 1000
+      //     console.log(`[exchange-manager] ${exchange.id} trades`, now - exchange.alive, trades)
+      //   }
+
+      // [exchange] heartbeat check failed bitmex 12.329999923706055 || exchange.id === 'bitstamp'
+      // [exchange] heartbeat check failed bitstamp 4.740999937057495 ||
+        //|| exchange.id === 'deribit' || exchange.id === 'bybit'
+      // [exchange] heartbeat check failed hitbtc 6.608999967575073
+      // [exchange] heartbeat check failed deribit 4.352999925613403
+      // [exchange] heartbeat check failed bybit 0.37399983406066895
+
+
+      exchange.alive = new Date().getTime() / 1000
       if (!trades || !trades.length) {
@@ -152,18 +188,13 @@ return
 
+    exchange.on('open-interest', value => {
+      this.ticker.broadcast('exchange:open-interest', {
+        exchange: exchange.id,
+        value
+      })
+    })
+
     exchange.on('open', () => {
       console.log(`[exchange-manager] ${exchange.id} opened`)
       this.ticker.broadcast('exchange:connected', exchange.id)
-
-      if (!this.ready) {
-        this.ready = true
-        Object.values(this.instances).forEach(x => {
-          if (x.connecting()) {
-            this.ready = false
-          }
-        })
-        if (this.ready) {
-          console.log(`[exchange-manager] ready`)
-          this.ticker.broadcast('exchange:ready')
-        }
-      }
+      this.tryEmitReady()
     })
@@ -178,7 +209,7 @@
 
-    // exchange.on('match', pair => {
-    //   console.log(`[socket.exchange.on.match] ${exchange.id} matched ${pair}`)
+    // exchange.on('match', this.ticker.pair => {
+    //   console.log(`[socket.exchange.on.match] ${exchange.id} matched ${this.ticker.pair}`)
     //   // store.commit('settings/SET_EXCHANGE_MATCH', {
     //   //   exchange: exchange.id,
-    //   //   match: pair
+    //   //   match: this.ticker.pair
     //   // })
@@ -190,5 +221,23 @@ // })
       this.ticker.broadcast('exchange:error', error)
+      this.tryEmitReady()
     })
+
+    return exchange.connect()
   }
 
+  tryEmitReady() {
+    if (!this.ready) {
+      this.ready = true
+      Object.values(this.instances).forEach(x => {
+        if (x.connecting() && !x.error) {
+          this.ready = false
+        }
+      })
+      if (this.ready) {
+        console.log(`[exchange-manager] ready`)
+        this.ticker.broadcast('exchange:ready')
+      }
+    }
+  }
+
   emitAggr() {
@@ -195,0 +244,0 @@ const now = Date.now()

src/exchange.js

@@ -51,3 +51,2 @@ const Connection = require('./connection')
     return this._pairs[0]
-    // return this._pair[0]
   }
@@ -57,9 +56,6 @@
     return this._pairs
-    // return this._pair[0]
   }
 
   set pairs(values) {
-    // console.log('PAIRS', values)
     this._pairs = values.map(x => this.formatPair(x))
-    // return this._pairs
   }
@@ -97,3 +93,3 @@
 
-  queueTrades(trades) {
+  emitTrades(trades) {
     if (!trades || !trades.length) {
@@ -100,0 +96,0 @@ return

src/exchanges/binance-futures.js

@@ -26,4 +26,4 @@ const Exchange = require('../exchange')
 
-  connect() {
-    const validation = super.connect()
+  connect(reconnection = false) {
+    const validation = super.connect(reconnection)
     if (!validation) return Promise.reject()
@@ -35,3 +35,3 @@ else if (validation instanceof Promise) return validation
 
-      this.socket.onmessage = event => this.queueTrades(this.formatLiveTrades(JSON.parse(event.data)))
+      this.socket.onmessage = event => this.emitTrades(this.formatLiveTrades(JSON.parse(event.data)))
       this.socket.onopen = e => {
@@ -43,6 +43,6 @@ this.emitOpen(e)
       this.socket.onclose = this.emitClose.bind(this)
-      this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+      this.socket.onerror = err => {
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
-        reject()
+        reject(err)
       }
@@ -49,0 +49,0 @@ })

src/exchanges/binance.js

@@ -28,4 +28,4 @@ const Exchange = require('../exchange')
 
-  connect() {
-    const validation = super.connect()
+  connect(reconnection = false) {
+    const validation = super.connect(reconnection)
     if (!validation) return Promise.reject()
@@ -37,3 +37,3 @@ else if (validation instanceof Promise) return validation
 
-      this.socket.onmessage = event => this.queueTrades(this.formatLiveTrades(JSON.parse(event.data)))
+      this.socket.onmessage = event => this.emitTrades(this.formatLiveTrades(JSON.parse(event.data)))
       this.socket.onopen = e => {
@@ -45,6 +45,6 @@ this.emitOpen(e)
       this.socket.onclose = this.emitClose.bind(this)
-      this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+      this.socket.onerror = err => {
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
-        reject()
+        reject(err)
       }
@@ -51,0 +51,0 @@ })

src/exchanges/bitfinex.js

@@ -25,4 +25,4 @@ const Exchange = require('../exchange')
 
-  connect() {
-    const validation = super.connect()
+  connect(reconnection = false) {
+    const validation = super.connect(reconnection)
     if (!validation) return Promise.reject()
@@ -34,4 +34,4 @@ else if (validation instanceof Promise) return validation
 
-      this.socket.onmessage = event => this.queueTrades(this.formatLiveTrades(JSON.parse(event.data)))
-      this.socket.onopen = e => {
+      this.socket.onmessage = event => this.emitTrades(this.formatLiveTrades(JSON.parse(event.data)))
+      this.socket.onopen = event => {
         this.socket.send(
@@ -45,12 +45,24 @@ JSON.stringify({
 
-        this.emitOpen(e)
+        // https://docs.bitfinex.com/reference#ws-public-status
+        // The WS API states that OPEN_INTEREST is available but always returns
+        // a null placeholder
+        // this.socket.send(
+        //   JSON.stringify({
+        //     event: 'subscribe',
+        //     channel: 'status',
+        //     key: 'deriv:tBTCF0:USTF0'
+        //   })
+        // )
 
+        this.emitOpen(event)
+
         resolve()
       }
       this.socket.onclose = this.emitClose.bind(this)
-      this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+      this.socket.onerror = err => {
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
-        reject()
+        reject(err)
       }
+      // this.socket.close()
     })
@@ -60,2 +72,9 @@ }
   formatLiveTrades(json) {
+    // console.log('BITFINES', json)
+    // if (json && Array.isArray(json[1])) {
+    //   // if (json[1][13])
+    //     console.log('BITFINES', json[1][13], json[1])
+    //   return
+    // }
+
     if (!json || json[1] !== 'te') {
@@ -62,0 +81,0 @@ return

src/exchanges/bitmex.js

@@ -27,4 +27,4 @@ const Exchange = require('../exchange')
 
-  connect() {
-    const validation = super.connect()
+  connect(reconnection = false) {
+    const validation = super.connect(reconnection)
     if (!validation) return Promise.reject()
@@ -38,3 +38,3 @@ else if (validation instanceof Promise) return validation
 
-      this.socket.onmessage = event => this.queueTrades(this.formatLiveTrades(JSON.parse(event.data)))
+      this.socket.onmessage = event => this.emitTrades(this.formatLiveTrades(JSON.parse(event.data)))
       this.socket.onopen = e => {
@@ -46,6 +46,6 @@ this.emitOpen(e)
       this.socket.onclose = this.emitClose.bind(this)
-      this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+      this.socket.onerror = err => {
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
-        reject()
+        reject(err)
       }
@@ -55,3 +55,3 @@ })
 
-  /*queueTrades(trades) {
+  /*emitTrades(trades) {
     if (!trades.length) {
@@ -58,0 +58,0 @@ return

src/exchanges/bitstamp.js

@@ -35,4 +35,4 @@ const Exchange = require('../exchange')
 
-  connect() {
-    const validation = super.connect()
+  connect(reconnection = false) {
+    const validation = super.connect(reconnection)
     if (!validation) return Promise.reject()
@@ -44,3 +44,3 @@ else if (validation instanceof Promise) return validation
 
-      this.socket.onmessage = event => this.queueTrades(this.formatLiveTrades(JSON.parse(event.data)))
+      this.socket.onmessage = event => this.emitTrades(this.formatLiveTrades(JSON.parse(event.data)))
 
@@ -70,6 +70,6 @@ this.socket.onopen = e => {
 
-      this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+      this.socket.onerror = err => {
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
-        reject()
+        reject(err)
       }
@@ -76,0 +76,0 @@ })

src/exchanges/bybit.js

@@ -28,4 +28,4 @@ const Exchange = require('../exchange')
 
-  connect() {
-    const validation = super.connect()
+  connect(reconnection = false) {
+    const validation = super.connect(reconnection)
     if (!validation) return Promise.reject()
@@ -37,4 +37,17 @@ else if (validation instanceof Promise) return validation
 
-      this.socket.onmessage = event => this.queueTrades(this.formatLiveTrades(JSON.parse(event.data)))
+      this.socket.onmessage = event => {
+        const json = JSON.parse(event.data)
+        if (json.topic === 'instrument_info.100ms.' + this.pair && json.data) {
+          const info = json.data.update ? json.data.update[json.data.update.length - 1] : json.data
+          if (info.open_interest) {
+            // console.log(info)
+            this.emit('open-interest', info.open_interest)
+          }
+        }
 
+        if (json.topic === 'trade.' + this.pair && json.data) {
+          this.emitTrades(this.formatLiveTrades(json))
+        }
+      }
+
       this.socket.onopen = event => {
@@ -46,3 +59,4 @@ this.skip = true
             op: 'subscribe',
-            args: ['trade']
+            args: ['trade.' + this.pair , 'instrument_info.100ms.' + this.pair]
+            // args: ['trade', 'instrument_info.100ms']
           })
@@ -66,6 +80,6 @@ )
 
-      this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+      this.socket.onerror = err => {
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
-        reject()
+        reject(err)
       }
@@ -76,6 +90,2 @@ })
   formatLiveTrades(json) {
-    if (!json.data || json.topic !== 'trade.' + this.pair || !json.data.length) {
-      return
-    }
-
     return json.data.map(trade => {
@@ -82,0 +92,0 @@ return {

src/exchanges/coinbase-pro.js

@@ -25,4 +25,4 @@ const Exchange = require('../exchange')
 
-  connect() {
-    const validation = super.connect()
+  connect(reconnection = false) {
+    const validation = super.connect(reconnection)
     if (!validation) return Promise.reject()
@@ -34,3 +34,3 @@ else if (validation instanceof Promise) return validation
 
-      this.socket.onmessage = event => this.queueTrades(this.formatLiveTrades(JSON.parse(event.data)))
+      this.socket.onmessage = event => this.emitTrades(this.formatLiveTrades(JSON.parse(event.data)))
 
@@ -51,6 +51,6 @@ this.socket.onopen = e => {
       this.socket.onclose = this.emitClose.bind(this)
-      this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+      this.socket.onerror = err => {
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
-        reject()
+        reject(err)
       }
@@ -62,3 +62,3 @@ })
     if (json && json.size > 0) {
-      this.queueTrades([
+      this.emitTrades([
         {
@@ -65,0 +65,0 @@ exchange: this.id,

src/exchanges/deribit.js

@@ -26,4 +26,4 @@ const Exchange = require('../exchange')
 
-  connect() {
-    const validation = super.connect()
+  connect(reconnection = false) {
+    const validation = super.connect(reconnection)
     if (!validation) return Promise.reject()
@@ -35,3 +35,3 @@ else if (validation instanceof Promise) return validation
 
-      this.socket.onmessage = event => this.queueTrades(this.formatLiveTrades(JSON.parse(event.data)))
+      this.socket.onmessage = event => this.emitTrades(this.formatLiveTrades(JSON.parse(event.data)))
 
@@ -54,7 +54,11 @@ this.socket.onopen = e => {
         this.keepalive = setInterval(() => {
-          this.socket.send(
-            JSON.stringify({
-              method: 'public/ping'
-            })
-          )
+          if (this.socket) {
+            this.socket.send(
+              JSON.stringify({
+                method: 'public/ping'
+              })
+            )
+          } else {
+            clearInterval(this.keepalive)
+          }
         }, 60000)
@@ -72,6 +76,6 @@
       }
-      this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+      this.socket.onerror = err => {
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
-        reject()
+        reject(err)
       }
@@ -78,0 +82,0 @@ })

src/exchanges/ftx.js

@@ -51,4 +51,4 @@ const Exchange = require('../exchange')
 
-  connect() {
-    const validation = super.connect()
+  connect(reconnection = false) {
+    const validation = super.connect(reconnection)
     if (!validation) return Promise.reject()
@@ -60,3 +60,3 @@ else if (validation instanceof Promise) return validation
 
-      this.socket.onmessage = event => this.queueTrades(this.formatLiveTrades(JSON.parse(event.data)))
+      this.socket.onmessage = event => this.emitTrades(this.formatLiveTrades(JSON.parse(event.data)))
 
@@ -71,7 +71,11 @@ this.socket.onopen = e => {
         this.keepalive = setInterval(() => {
-          this.socket.send(
-            JSON.stringify({
-              op: 'ping'
-            })
-          )
+          if (this.socket) {
+            this.socket.send(
+              JSON.stringify({
+                op: 'ping'
+              })
+            )
+          } else {
+            clearInterval(this.keepalive)
+          }
         }, 15000)
@@ -89,6 +93,6 @@
       }
-      this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+      this.socket.onerror = err => {
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
-        reject()
+        reject(err)
       }
@@ -95,0 +99,0 @@ })

src/exchanges/hitbtc.js

@@ -25,4 +25,4 @@ const Exchange = require('../exchange')
 
-  connect() {
-    const validation = super.connect()
+  connect(reconnection = false) {
+    const validation = super.connect(reconnection)
     if (!validation) return Promise.reject()
@@ -34,3 +34,3 @@ else if (validation instanceof Promise) return validation
 
-      this.socket.onmessage = event => this.queueTrades(this.formatLiveTrades(JSON.parse(event.data)))
+      this.socket.onmessage = event => this.emitTrades(this.formatLiveTrades(JSON.parse(event.data)))
 
@@ -53,6 +53,6 @@ this.socket.onopen = e => {
       this.socket.onclose = this.emitClose.bind(this)
-      this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+      this.socket.onerror = err => {
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
-        reject()
+        reject(err)
       }
@@ -59,0 +59,0 @@ })

src/exchanges/huobi.js

@@ -51,4 +51,4 @@ const Exchange = require('../exchange')
 
-  connect() {
-    const validation = super.connect()
+  connect(reconnection = false) {
+    const validation = super.connect(reconnection)
     if (!validation) return Promise.reject()
@@ -58,9 +58,6 @@ else if (validation instanceof Promise) return validation
     return new Promise((resolve, reject) => {
-      console.log('huobi', this.getUrl(this.pair), this.pair)
       this.socket = new WebSocket(this.getUrl(this.pair))
-
       this.socket.binaryType = 'arraybuffer'
+      this.socket.onmessage = event => this.emitTrades(this.formatLiveTrades(event.data))
 
-      this.socket.onmessage = event => this.queueTrades(this.formatLiveTrades(event.data))
-
       this.socket.onopen = e => {
@@ -82,6 +79,6 @@ for (let pair of this.pairs) {
       this.socket.onclose = this.emitClose.bind(this)
-      this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+      this.socket.onerror = err => {
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
-        reject()
+        reject(err)
       }
@@ -88,0 +85,0 @@ })

src/exchanges/kraken.js

@@ -27,4 +27,4 @@ const Exchange = require('../exchange')
 
-  connect() {
-    const validation = super.connect()
+  connect(reconnection = false) {
+    const validation = super.connect(reconnection)
     if (!validation) return Promise.reject()
@@ -36,3 +36,3 @@ else if (validation instanceof Promise) return validation
 
-      this.socket.onmessage = event => this.queueTrades(this.formatLiveTrades(JSON.parse(event.data)))
+      this.socket.onmessage = event => this.emitTrades(this.formatLiveTrades(JSON.parse(event.data)))
 
@@ -56,7 +56,6 @@ this.socket.onopen = e => {
       this.socket.onclose = this.emitClose.bind(this)
-      this.socket.onerror = (e) => {
-              console.log('KRAK!!! eee', e)
-        this.emitError({ message: `${this.id} disconnected` })
+      this.socket.onerror = err => {
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
-        reject()
+        reject(err)
       }
@@ -63,0 +62,0 @@ })

src/exchanges/noop.js

@@ -12,3 +12,3 @@ const Exchange = require('../exchange')
 
-  connect() {
+  connect(reconnection = false) {
     return false
@@ -15,0 +15,0 @@ }

src/exchanges/okex.js

@@ -41,4 +41,4 @@ const Exchange = require('../exchange')
 
-  connect() {
-    const validation = super.connect()
+  connect(reconnection = false) {
+    const validation = super.connect(reconnection)
     if (!validation) return Promise.reject()
@@ -52,3 +52,3 @@ else if (validation instanceof Promise) return validation
 
-      this.socket.onmessage = event => this.queueTrades(this.formatLiveTrades(event.data))
+      this.socket.onmessage = event => this.emitTrades(this.formatLiveTrades(event.data))
 
@@ -64,3 +64,7 @@ this.socket.onopen = e => {
         this.keepalive = setInterval(() => {
-          this.socket.send('ping')
+          if (this.socket) {
+            this.socket.send('ping')
+          } else {
+            clearInterval(this.keepalive)
+          }
         }, 30000)
@@ -79,6 +83,6 @@
 
-      this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+      this.socket.onerror = err => {
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
-        reject()
+        reject(err)
       }
@@ -85,0 +89,0 @@ })

src/exchanges/poloniex.js

@@ -27,4 +27,4 @@ const Exchange = require('../exchange')
 
-  connect() {
-    const validation = super.connect()
+  connect(reconnection = false) {
+    const validation = super.connect(reconnection)
     if (!validation) return Promise.reject()
@@ -36,3 +36,3 @@ else if (validation instanceof Promise) return validation
 
-      this.socket.onmessage = event => this.queueTrades(this.formatLiveTrades(JSON.parse(event.data)))
+      this.socket.onmessage = event => this.emitTrades(this.formatLiveTrades(JSON.parse(event.data)))
 
@@ -53,6 +53,6 @@ this.socket.onopen = e => {
       this.socket.onclose = this.emitClose.bind(this)
-      this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+      this.socket.onerror = err => {
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
-        reject()
+        reject(err)
       }
@@ -59,0 +59,0 @@ })

src/order-book-manager.js

@@ -1,29 +0,49 @@
-// const EventEmitter = require('eventemitter3')
 const OrderBooks = require('./order-books')
-const CombinedOrderBook = require('./combined-order-book')
-// const Config = require('../config') extends EventEmitter
+const OrderBookAnalyzer = require('./order-book-analyzer')
 
 class OrderBookManager {
-  constructor(ticker) {
-    // super()
+  constructor(ticker, pair, options) {
+    this.ticker = ticker
+    this.options = Object.assign({
+      // pair: 'BTC-USD'
+    }, options)
 
-    this.ticker = ticker
     this.instances = {}
-    this.combinedBook = new CombinedOrderBook()
+    this.bookAnalyzer = new OrderBookAnalyzer(ticker, options)
   }
 
-  async initialize(pair, options) {
-    this.pair = pair
-    this.options = options
-
+  async initialize() {
     for (const name in OrderBooks) {
-      await this.initOrderBook(name, pair, options)
+      await this.initOrderBook(name)
     }
+
+    this.bookAnalyzer.initialize()
+    this.initHeartbeat()
   }
 
-  async initOrderBook(name, pair, options) {
+  shutdown() {
+    clearInterval(this.heartbeatInterval)
+    this.bookAnalyzer.shutdown()
+    Object.keys(this.instances).map(x => x.stopOrderBook(x))
+  }
+
+  initHeartbeat() {
+    const timeout = 60
+    this.heartbeatInterval = setInterval(() => {
+      const now = new Date().getTime() / 1000
+      Object.values(this.instances).map(book => {
+        if (book.alive && now > book.alive + timeout) {
+          console.log('[book] heartbeat check failed', book.id, now - book.alive)
+          book.alive = null
+          book.reconnect()
+        }
+      })
+    }, 5 * 1000)
+  }
+
+  async initOrderBook(name) {
     if (this.instances[name])
       throw new Error(`${name} order book already initialized`)
 
-    const book = new OrderBooks[name](pair)
+    const book = new OrderBooks[name](this.ticker.pair)
     book.connect()
@@ -40,4 +60,6 @@ this.instances[name] = book
 
+      book.alive = new Date().getTime() / 1000
+
       // this.emit('orders', orders)
-      this.combinedBook.update(orders)
+      this.bookAnalyzer.update(orders)
       this.ticker.broadcast('book:update', orders)
@@ -76,3 +98,3 @@ })
   snapshot() {
-    return Object.values(this.instances).map(x => x.snapshot())
+    return Object.values(this.instances).map(x => book.alive ? x.snapshot() : null).filter(_ => _)
   }
@@ -79,0 +101,0 @@ }

src/order-books/binance-futures-order-book.js

@@ -25,3 +25,3 @@ const OrderBook = require('../order-book')
 
-  connect() {
+  connect(reconnection = false) {
     return new Promise((resolve, reject) => {
@@ -43,3 +43,3 @@ this.socket = new WebSocket(`wss://fstream.binance.com/stream?streams=${this.formatPair(this.pair).toLowerCase()}@depth`)
       this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
@@ -108,2 +108,3 @@ reject()
     const orders = { exchange: this.id, bids, asks, partial: true }
+    // console.log('[order book] bimance', orders)
     this.emit('orders', orders)
@@ -110,0 +111,0 @@ }

src/order-books/binance-order-book.js

@@ -25,3 +25,3 @@ const OrderBook = require('../order-book')
 
-  connect() {
+  connect(reconnection = false) {
     return new Promise((resolve, reject) => {
@@ -43,3 +43,3 @@ this.socket = new WebSocket(`wss://stream.binance.com:9443/ws/${this.formatPair(this.pair).toLowerCase()}@depth`)
       this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
@@ -46,0 +46,0 @@ reject()

src/order-books/coinbase-pro-order-book.js

@@ -15,3 +15,3 @@ const OrderBook = require('../order-book')
 
-  connect() {
+  connect(reconnection = false) {
     return new Promise((resolve, reject) => {
@@ -25,12 +25,11 @@ this.socket = new WebSocket('wss://ws-feed.pro.coinbase.com')
       this.socket.onopen = e => {
-        // this.socket.send(
-        //   JSON.stringify({
-        //     type: 'subscribe',
-        //     product_ids: [this.pair],
-        //     channels: ['level2']
-        //   })
-        // )
+        this.socket.send(
+          JSON.stringify({
+            type: 'subscribe',
+            product_ids: [this.pair],
+            channels: ['level2']
+          })
+        )
         this.emitOpen(e)
-
-
+        
         resolve()
@@ -40,3 +39,3 @@ }
       this.socket.onerror = () => {
-        this.emitError({ message: `${this.id} disconnected` })
+        this.emitError(err) //{ message: `${this.id} disconnected` })
 
@@ -43,0 +42,0 @@ reject()

src/order-books/index.js

 const BinanceOrderBook = require('./binance-order-book')
 const BinanceFuturesOrderBook = require('./binance-futures-order-book')
+const BybitOrderBook = require('./bybit-order-book')
 const CoinbaseProOrderBook = require('./coinbase-pro-order-book')
@@ -8,3 +9,4 @@
   BinanceFuturesOrderBook,
+  BybitOrderBook,
   CoinbaseProOrderBook
 }

src/ticker.js

@@ -8,18 +8,24 @@ const EventEmitter = require('eventemitter3')
 class Ticker extends EventEmitter {
-  constructor() {
+  constructor(pair) {
     super()
 
+    this.pair = pair
     this.signals = {}
   }
 
-  async initExchanges(pair, options) {
-    this.exchanges = new ExchangeManager(this)
-    await this.exchanges.initialize(pair, options)
+  async initExchanges(options) {
+    this.exchanges = new ExchangeManager(this, this.pair, options)
+    await this.exchanges.initialize()
   }
 
-  async initOrderBooks(pair, options) {
-    this.orderBooks = new OrderBookManager(this)
-    await this.orderBooks.initialize(pair, options)
+  async initOrderBooks(options) {
+    this.orderBooks = new OrderBookManager(this, this.pair, options)
+    await this.orderBooks.initialize()
   }
 
+  // async initOrderBooks(pair, options) {
+  //   this.orderBooks = new OrderBookManager(this)
+  //   await this.orderBooks.initialize(pair, options)
+  // }
+
   async initWsServer(server) {
@@ -26,0 +32,0 @@ this.wss = new WsServer(server)

src/utils/candle-stream.js

@@ -6,252 +6,172 @@ class Bar {
     this.open = this.close = this.high = this.low = Number.NaN
-    // this.volume = Number.NaN
+  }
+}
 
-    // if (Array.isArray(data)) {, data
-    //   this.add(data)
-    // }
-    // else if (data) {
-    //   this.openTime = data.openTime
-    //   this.closeTime = data.openTime + interval
-    //   this.open = data.open
-    //   this.close = data.close
-    //   this.high = data.high
-    //   this.low = data.low
-    //   this.volume = data.volume
-    //   this.updateMeta(data.meta)
-    //   // if (data.meta) {
-    //   //   Object.keys(data.meta).forEach(key => this[key] = data.meta[key])
-    //   // }
-    // }
+class CandleStream {
+  constructor(interval, enableGaps) {
+    this.interval = interval
+    this.data = []
+    this.enableGaps = enableGaps !== false
   }
 
-  tick(time, price, meta) {
-    // if (!tick) return false
-
-    // const t = tick[0], p = tick[1], v = tick[2], m = tick[3]
-    if (time < this.openTime && time > this.closeTime) {
-      console.log('[candlestick] mismatch:', time, 'open:', this.openTime, 'open:', this.closeTime)
-      return false
+  // Concentrate OHLC data into the current bars
+  add(time, open, high, low, close, meta) {
+    let bar = this.lastBar
+    if (!bar || (time > bar.closeTime)) {
+      bar = new Bar(this.interval)
+      // this.push(bar)
+      this.mergeBar(bar, time, open, high, low, close, meta)
+      this.push(bar)
+    } else {
+      this.mergeBar(bar, time, open, high, low, close, meta)
     }
+  }
 
+  addData(data, meta) {
+    this.add(data.time, data.open, data.high, data.low, data.close, meta)
+  }
 
-    if (isNaN(this.openTime)) {
-      this.openTime = time
-      this.closeTime = time + this.interval
-      this.open = this.close = this.high = this.low = price
-      // this.volume = volume
-      this.updateMeta(meta)
-      this.lastTickTime = time
-      return true
-    }
+  addTick(time, price, meta) {
+    let bar = this.lastBar
 
-    if (time > this.openTime && time <= this.closeTime) {
-      this.high = Math.max(this.high, price)
-      this.low = Math.min(this.low, price)
-      // this.volume += volume
-
-      // if (this.high < price) {
-      //   this.high = price
-      // }
-      // else if (this.low > p) {
-      //   this.low = p
-      // }
-      this.close = price
-      this.updateMeta(meta)
-      this.lastTickTime = time
-      return true
+    if (!bar || (time > bar.closeTime)) {
+      // console.log('NEW TICK BAR', interval, time, bar.closeTime, bar)
+      bar = new Bar(this.interval)
+      this.updateBar(bar, time, price, meta)
+      this.push(bar)
+    } else {
+      this.updateBar(bar, time, price, meta)
     }
   }
 
-  // add(openTime, open, high, low, close, meta) {
-  ohlc(time, open, high, low, close, meta) {
-    if (isNaN(this.openTime)) {
-      this.openTime = time
-      this.closeTime = time + this.interval
-      this.open = open
-      this.high = high
-      this.low = low
-      // this.volume = 0
+  updateBar(bar, time, price, meta) {
+    if (time < bar.openTime && time > bar.closeTime) {
+      console.log('[candlestick] mismatch:', time, 'open:', bar.openTime, 'close:', bar.closeTime)
+      return false
     }
 
-    // if (this.lastTickTime && time < this.lastTickTime) {
-    //   throw Error(`Cannot merge early bar`)
-    // }
+    const latest = !bar.lastBarTime || time > bar.lastBarTime
+    bar.lastBarTime = time
 
-    if (time < this.openTime && time > this.closeTime) {
-      throw Error(`Cannot merge unsynchronized bar`)
+    if (isNaN(bar.openTime)) {
+      time = Math.round(time / this.interval) * this.interval
+      bar.openTime = time
+      bar.closeTime = time + this.interval
+      bar.open = bar.close = bar.high = bar.low = price
+    } else {
+      bar.high = Math.max(bar.high, price)
+      bar.low = Math.min(bar.low, price)
+      bar.close = latest ? price : bar.close
     }
-
-    const latest = !this.lastTickTime || time > this.lastTickTime
-
-    this.close = latest ? close : this.close
-    this.high = Math.max(this.high, high)
-    this.low = Math.min(this.low, low)
-    // this.volume += volume
-    this.updateMeta(meta)
-
-    this.lastTickTime = time
-
-
-// this.high = high
-// // this.low = low
-//     if (isNaN(this.openTime)) {
-//       this.openTime = time
-//       this.closeTime = time + this.interval
-//       this.open = open
-//       this.close = close
-//       this.high = high
-//       this.low = low
-//       this.volume = volume
-//       this.updateMeta(meta)
-//
-//         this.closeTime = Math.max(this.closeTime, bar.closeTime)
-//         this.close = bar.close
-//         this.volumeLow = Math.min(this.volumeLow, bar.volume)
-//         this.volumeHigh = Math.max(this.volumeHigh, bar.volume)
-//
-//       return true
-//     }
-//
-//     if (t > this.openTime && t <= this.closeTime) {
-//       this.volume += v
-//
-//       if (this.high < p) {
-//         this.high = p
-//       }
-//       else if (this.low > p) {
-//         this.low = p
-//       }
-//       this.close = p
-//
-//       this.updateMeta(m)
-//       return true
-//     }
-
-    return false
+    this.updateMeta(bar, meta)
+    return true
   }
 
-  updateMeta(meta) {
-    if (meta) {
-      Object.keys(meta).forEach(key => {
-        if (isNaN(this[key])) this[key] = 0
-        this[key] += meta[key] || 0
-      })
+  mergeBar(bar, time, open, high, low, close, meta) {
+    if (time < bar.openTime && time > bar.closeTime) {
+      console.log('[candlestick] mismatch:', time, 'open:', bar.openTime, 'close:', bar.closeTime)
+      return false
     }
-  }
-}
 
-class CandleStream {
-  constructor(interval, enableGaps) {
-    this.interval = interval
-    this.data = []
-    this.openTime = this.closeTime = Number.NaN
-    this.open = this.close = this.high = this.low = Number.NaN
-    // this.volumeLow = this.volumeHigh = Number.NaN
-    this.enableGaps = enableGaps !== false
-  }
+    const latest = !bar.lastBarTime || time > bar.lastBarTime
+    bar.lastBarTime = time
 
-  add(openTime, open, high, low, close, meta) {
-    const bar = new Bar(this.interval)
-    bar.ohlc(openTime, open, high, low, close, meta)
-    this.push(bar)
-    return bar
-  }
-
-  addTick(time, price, meta) {
-    let bar = this.data[this.data.length - 1]
-
-    if (this.data.length === 0 || time > bar.closeTime) {
-      bar = new Bar(this.interval)
-      bar.tick(time, price, meta)
-      this.push(bar)
+    if (isNaN(bar.openTime)) {
+      time = Math.round(time / this.interval) * this.interval
+      bar.openTime = time
+      bar.closeTime = time + this.interval
+      bar.open = open
+      bar.high = high
+      bar.low = low
+      // bar.close = close
     }
-    // else if (time > bar.closeTime) {
-    //   bar = new Bar(this.interval)
-    //   bar.tick(time, price, meta)
-    //   this.push(bar)
-    // }
-    else {
 
-      if (bar.tick(time, price, meta)) {
-        this.openTime = Math.min(this.openTime, bar.openTime)
-        this.closeTime = Math.max(this.closeTime, bar.closeTime)
-        this.high = Math.max(this.high, bar.high)
-        this.low = Math.min(this.low, bar.low)
-        this.close = bar.close
-        // this.volumeLow = Math.min(this.volumeLow, bar.volume)
-        // this.volumeHigh = Math.max(this.volumeHigh, bar.volume)
-      // }
-      // else {
-      //   bar = new Bar(this.interval)
-      //   bar.tick(time, price, meta)
-      //   this.push(bar)
-      // }
-      }
-    }
+    bar.high = Math.max(bar.high, high)
+    bar.low = Math.min(bar.low, low)
+    // bar.close = close
+    bar.close = latest ? close : bar.close
+    // bar.count += count
+    // bar.closeTime = time // FIXME
+    this.updateMeta(bar, meta)
+    return true
   }
 
-  // addTickStream(ticks) {
-  //   if (!ticks) {
-  //     return
+  // ohlc(time, open, high, low, close, meta) {
+  //   if (isNaN(candle.openTime)) {
+  //     candle.openTime = time
+  //     candle.closeTime = time + candle.interval
+  //     candle.open = open
+  //     candle.high = high
+  //     candle.low = low
   //   }
   //
-  //   if (ticks.data.length > 0) {
-  //     for (let i = 1; i < ticks.data.length; i++) {
-  //       this.addTick(ticks.data[i])
-  //     }
+  //   // if (candle.lastBarTime && time < candle.lastBarTime) {
+  //   //   throw Error(`Cannot merge early bar`)
+  //   // }
+  //
+  //   if (time < candle.openTime && time > candle.closeTime) {
+  //     throw Error(`Cannot merge unsynchronized bar`)
   //   }
+  //
+  //   const latest = !candle.lastBarTime || time > candle.lastBarTime
+  //
+  //   candle.close = latest ? close : candle.close
+  //   candle.high = Math.max(candle.high, high)
+  //   candle.low = Math.min(candle.low, low)
+  //   // candle.volume += volume
+  //   candle.updateMeta(meta)
+  //
+  //   candle.lastBarTime = time
+  //   return false
   // }
 
-  // Concentrate OHLC data into the current bars
-  merge(time, open, high, low, close, meta) {
-    let bar
-    if (this.data.length === 0 || (!this.closeTime || time > this.closeTime)) {
-      const openTime = Math.round(time / this.interval) * this.interval
-      this.add(openTime, open, high, low, close, meta)
+  updateMeta(bar, meta) {
+    if (meta) {
+      Object.keys(meta).forEach(key => {
+        if (meta[key] === undefined)
+          return
+        if (!isNaN(meta[key])) {
+          if (isNaN(bar[key])) bar[key] = 0
+          bar[key] += meta[key] || 0
+        } else {
+          bar[key] = meta[key]
+        }
+      })
     }
-    else {
-      const bar = this.data[this.data.length - 1]
-      bar.ohlc(time, open, high, low, close, meta)
-
-      this.openTime = Math.min(this.openTime, bar.openTime)
-      this.closeTime = Math.max(this.closeTime, bar.closeTime)
-      this.high = Math.max(this.high, bar.high)
-      this.low = Math.min(this.low, bar.low)
-      this.close = bar.close
-      // this.volumeLow = Math.min(this.volumeLow, bar.volume)
-      // this.volumeHigh = Math.max(this.volumeHigh, bar.volume)
-    }
   }
 
   push(bar) {
-    if (!this.enableGaps && this.data.length) {
-      const lastBar = this.data[this.data.length - 1]
-      bar.open = lastBar.close
+    if (this.data.length) {
+      this.lastBar.complete = true
+      if (!this.enableGaps) {
+        bar.open = this.lastBar.close
+      }
     }
+    // bar.complete = true
 
-    if (isNaN(this.openTime)) {
-      this.openTime = bar.openTime
-      this.closeTime = bar.openTime + this.interval
-      this.open = bar.open
-      this.close = bar.close
-      this.high = bar.high
-      this.low = bar.low
-      // this.volumeLow = bar.volume
-      // this.volumeHigh = bar.volume
-    }
-    else {
-      this.closeTime = Math.max(this.closeTime, bar.closeTime)
-      this.high = Math.max(this.high, bar.high)
-      this.low = Math.min(this.low, bar.low)
-      this.close = bar.close
-      // this.volumeLow = Math.min(this.volumeLow, bar.volume)
-      // this.volumeHigh = Math.max(this.volumeHigh, bar.volume)
-    }
+    // if (isNaN(this.openTime)) {
+    //   this.openTime = bar.openTime
+    //   this.closeTime = bar.closeTime
+    //   this.open = bar.open
+    //   this.close = bar.close
+    //   this.high = bar.high
+    //   this.low = bar.low
+    //   // this.volumeLow = bar.volume
+    //   // this.volumeHigh = bar.volume
+    // }
+    // else {
+    //   this.closeTime = Math.max(this.closeTime, bar.closeTime)
+    //   this.high = Math.max(this.high, bar.high)
+    //   this.low = Math.min(this.low, bar.low)
+    //   this.close = bar.close
+    //   // this.volumeLow = Math.min(this.volumeLow, bar.volume)
+    //   // this.volumeHigh = Math.max(this.volumeHigh, bar.volume)
+    // }
     this.data.push(bar)
   }
 
-  clear() {
+  reset() {
     this.data = []
-    this.openTime = this.closeTime = Number.NaN
-    this.open = this.close = this.high = this.low = Number.NaN
+    // this.openTime = this.closeTime = Number.NaN
+    // this.open = this.close = this.high = this.low = Number.NaN
     // this.volumeLow = this.volumeHigh = Number.NaN
@@ -279,4 +199,8 @@ }
   }
+
+  get lastBar() {
+    return this.data[this.data.length - 1]
+  }
 }
 
 module.exports = CandleStream

src/utils/helpers.js

@@ -1,31 +0,2 @@
-// import store from '../store'
-//
-// export function parseQueryString() {
-//   let QUERY_STRING
-//
-//   try {
-//     QUERY_STRING = JSON.parse(
-//       '{"' +
-//         decodeURI(location.search.substring(1))
-//           .replace(/"/g, '\\"')
-//           .replace(/&/g, '","')
-//           .replace(/=/g, '":"') +
-//         '"}'
-//     )
-//   } catch (error) {
-//     QUERY_STRING = {}
-//   }
-//
-//   for (let name in QUERY_STRING) {
-//     try {
-//       QUERY_STRING[name] = JSON.parse(QUERY_STRING[name])
-//     } catch (error) {
-//       // empty
-//     }
-//   }
-//
-//   return QUERY_STRING
-// }
-
-export function formatAmount(amount, decimals, precision) {
+function formatAmount(amount, decimals, precision) {
   const negative = amount < 0
@@ -44,3 +15,3 @@
   } else {
-    amount = +amount.toFixed(4)
+    amount = +amount.toFixed(2)
   }
@@ -55,34 +26,8 @@
 
-export function countDecimals(value) {
-  if (Math.floor(value) === value) return 0
-  return value.toString().split('.')[1].length || 0
-}
-
-export function formatPrice(price, precision) {
+function formatPrice(price, precision) {
   price = +price || 0
-  // precision = precision || 2
-  return price.toFixed(precision || 2)
-
-  // if (precision) {
-  //   return price.toFixed(store.state.settings.decimalPrecision)
-  // // } else if (store.state.app.optimalDecimal) {
-  // //   return price.toFixed(store.state.app.optimalDecimal)
-  // } else {
-  // }
+  return price.toFixed(typeof(precision) !== 'undefined' ? precision : 2)
 }
 
-export function padNumber(num, size) {
-  var s = '000000000' + num
-  return s.substr(s.length - size)
-}
-
-export function roundNearest(num, acc) {
-  if (acc < 0) {
-    return Math.round(num*acc) / acc
-  } else {
-    return Math.round(num/acc) * acc
-  }
-}
-
-export function ago(timestamp) {
+function ago(timestamp) {
   const seconds = Math.floor((new Date() - timestamp) / 1000)
@@ -101,3 +46,3 @@ let interval, output
 
-export function timeframeToMs(timeframe) {
+function timeframeToMs(timeframe) {
   const type = timeframe[timeframe.length - 1]
@@ -114,3 +59,3 @@ const integer = parseInt(timeframe)
 
-export function getHms(timestamp, round) {
+function getHms(timestamp, round) {
   if (isNaN(timestamp) || timestamp === null) {
@@ -139,3 +84,3 @@ return null
 
-export function uniqueName(name, names) {
+function uniqueName(name, names) {
   let base = name.substr()
@@ -151,7 +96,7 @@ let variante = 1
 
-export function movingAverage(accumulator, newValue, alpha) {
-  return alpha * newValue + (1.0 - alpha) * accumulator
-}
+// function movingAverage(accumulator, newValue, alpha) {
+//   return alpha * newValue + (1.0 - alpha) * accumulator
+// }
 
-export function formatTime(time) {
+function formatTime(time) {
   const date = new Date(time * 1000)
@@ -162,3 +107,8 @@
 
-export function camelToSentence(str) {
+function randomString(len) {
+  const p = "ABCDEFGHIJKLMNOPQRSTUVWXYZabcdefghijklmnopqrstuvwxyz0123456789";
+  return [...Array(len)].reduce(a=>a+p[~~(Math.random()*p.length)],'')
+}
+
+function camelToSentence(str) {
   str = str.replace(/([A-Z])/g, ' $1')
@@ -168,3 +118,3 @@ return str.charAt(0).toUpperCase() + str.slice(1)
 
-export function snakeToSentence(str) {
+function snakeToSentence(str) {
   str = str.replace(/_/g, ' ')
@@ -174,2 +124,28 @@ return str.charAt(0).toUpperCase() + str.slice(1)
 
+function toTitleCase(str) {
+  return str.replace (/^[-_]*(.)/, (_, c) => c.toUpperCase())       // Initial char (after -/_)
+            .replace (/[-_]+(.)/g, (_, c) => ' ' + c.toUpperCase()) // First char after each -/_
+}
+
+function trimArray(arr, maxLength) {
+  const max = maxLength - (maxLength * 0.1)
+  return arr.length > max ? arr.slice(Math.max(arr.length - max, 0)) : arr
+}
+
+
+module.exports = {
+  formatAmount,
+  formatPrice,
+  ago,
+  timeframeToMs,
+  getHms,
+  uniqueName,
+  formatTime,
+  randomString,
+  camelToSentence,
+  snakeToSentence,
+  toTitleCase,
+  trimArray,
+}
+
 // export const setValueByDotNotation = (object, path, value) => {
@@ -176,0 +152,0 @@ //   if (path.length === 1) object[path[0]] = value

src/utils/tick-stream.js

@@ -9,95 +9,5 @@ class Tick {
 
-  addTick(time, price, meta) {
-    if (this.count >= this.resolution) {
-      console.log('[tick] exceeded update count')
-      return false
-    }
-
-    if (isNaN(this.openTime)) {
-      this.openTime = time
-      this.open = this.close = this.high = this.low = price
-    }
-
-    this.high = Math.max(this.high, price)
-    this.low = Math.min(this.low, price)
-    this.close = price
-    this.updateMeta(meta)
-    this.count++
-    this.closeTime = time
-    return true
-  }
-
-  add(count, time, open, high, low, close, meta) {
-    // if (tick.resolution > this.resolution) {
-    //   console.log('[tick] cannot add greater resolution')
-    //   return false
-    // }
-
-    if (this.count + count > this.resolution) {
-      console.log('[tick] exceeded add count')
-      return false
-    }
-
-    if (isNaN(this.openTime)) {
-      this.openTime = time
-      // this.open = open
-      // this.high = tick.high
-      // this.low = tick.low
-      this.open = this.close = this.high = this.low = close
-      // this.close = tick.close
-      // this.close = this.high = this.low = price
-    }
-
-    this.high = Math.max(this.high, high)
-    this.low = Math.min(this.low, low)
-    this.close = close
-    this.updateMeta(meta)
-    this.count += count
-    this.closeTime = time // FIXME
-    return true
-  }
-
-  // ohlc(time, open, high, low, close, meta) {
-  //   if (isNaN(this.openTime)) {
-  //     this.openTime = time
-  //     this.closeTime = time + this.resolution
-  //     this.open = open
-  //     this.high = high
-  //     this.low = low
-  //     // this.volume = 0
-  //   }
-  //
-  //   // if (this.closeTime && time < this.closeTime) {
-  //   //   throw Error(`Cannot add early tick`)
-  //   // }
-  //
-  //   if (time < this.openTime && time > this.closeTime) {
-  //     throw Error(`Cannot add unsynchronized tick`)
-  //   }
-  //
-  //   const latest = !this.closeTime || time > this.closeTime
-  //
-  //   this.close = latest ? close : this.close
-  //   this.high = Math.max(this.high, high)
-  //   this.low = Math.min(this.low, low)
-  //   // this.volume += volume
-  //   this.updateMeta(meta)
-  //
-  //   this.closeTime = time
-  //
-  //   return false
+  // get complete() {
+  //   return this.count >= this.resolution
   // }
-
-  get finished() {
-    return this.count >= this.resolution
-  }
-
-  updateMeta(meta) {
-    if (meta) {
-      Object.keys(meta).forEach(key => {
-        if (isNaN(this[key])) this[key] = 0
-        this[key] += meta[key] || 0
-      })
-    }
-  }
 }
@@ -109,4 +19,4 @@
     this.data = []
-    this.openTime = this.closeTime = Number.NaN
-    this.open = this.close = this.high = this.low = Number.NaN
+    // this.openTime = this.closeTime = Number.NaN
+    // this.open = this.close = this.high = this.low = Number.NaN
     this.enableGaps = enableGaps !== false
@@ -117,13 +27,11 @@ }
   add(count, time, open, high, low, close, meta) {
-    let tick = this.data[this.data.length - 1]
+    let bar = this.lastBar
 
-    if (!tick || tick.finished) {
-      tick = new Tick(this.resolution)
-      tick.add(count, time, open, high, low, close, meta)
-      this.push(tick)
+    if (!bar || bar.complete) {
+      bar = new Tick(this.resolution)
+      this.mergeBar(bar, count, time, open, high, low, close, meta)
+      this.push(bar)
+    } else {
+      this.mergeBar(bar, count, time, open, high, low, close, meta)
     }
-    else {
-      tick.add(count, time, open, high, low, close, meta)
-    }
-
     // if (this.data.length === 0 || (!this.closeTime || time > this.closeTime)) {
@@ -141,3 +49,3 @@ //   const openTime = Math.round(time / this.interval) * this.interval
     // else {
-    //   const bar = this.data[this.data.length - 1]
+    //   const bar = this.lastBar
     //   bar.ohlc(time, open, high, low, close, meta)
@@ -155,38 +63,121 @@ //
 
+  addData(count, data, meta) {
+    this.add(count, data.time, data.open, data.high, data.low, data.close, meta)
+
+    // let bar = this.lastBar
+    //
+    // if (!bar|| bar.complete) {
+    //   bar = new Tick(this.resolution)
+    //   bar.addTick(time, price, meta)
+    //   this.push(bar)
+    // }
+    // else {
+    //   bar.addTick(time, price, meta)
+    // }
+  }
+
   addTick(time, price, meta) {
-    let tick = this.data[this.data.length - 1]
+    let bar = this.lastBar
 
-    if (!tick|| tick.finished) {
-      tick = new Tick(this.resolution)
-      tick.addTick(time, price, meta)
-      this.push(tick)
+    if (!bar|| bar.complete) {
+      bar = new Tick(this.resolution)
+      this.updateBar(bar, time, price, meta)
+      this.push(bar)
+    } else {
+      this.updateBar(bar, time, price, meta)
     }
-    else {
-      tick.addTick(time, price, meta)
+  }
+
+  updateBar(bar, time, price, meta) {
+    if (bar.count >= bar.resolution) {
+      console.log('[bar] exceeded update count')
+      return false
     }
+
+    if (isNaN(bar.openTime)) {
+      bar.openTime = time
+      bar.open = bar.close = bar.high = bar.low = price
+    }
+
+    bar.high = Math.max(bar.high, price)
+    bar.low = Math.min(bar.low, price)
+    bar.close = price
+    bar.count++
+    bar.closeTime = time
+    bar.complete = bar.count >= this.resolution
+    this.updateMeta(bar, meta)
+    return true
   }
 
-  push(tick) {
-    if (!this.enableGaps && this.data.length) {
-      const lastTick = this.data[this.data.length - 1]
-      tick.open = lastTick.close
+  mergeBar(bar, count, time, open, high, low, close, meta) {
+    // if (bar.resolution > this.resolution) {
+    //   console.log('[bar] cannot add greater resolution')
+    //   return false
+    // }
+
+    if (bar.count + count > this.resolution) {
+      console.log('[bar] exceeded add count')
+      return false
     }
 
-    if (isNaN(this.openTime)) {
-      this.openTime = tick.openTime
-      this.open = this.close = this.high = this.low = tick.close
+    if (isNaN(bar.openTime)) {
+      bar.openTime = time
+      bar.open = open
+      bar.high = high
+      bar.low = low
+      bar.close = close
     }
 
-    this.closeTime = Math.max(this.closeTime, tick.closeTime)
-    this.high = Math.max(this.high, tick.high)
-    this.low = Math.min(this.low, tick.low)
-    this.close = tick.close
+    bar.high = Math.max(bar.high, high)
+    bar.low = Math.min(bar.low, low)
+    bar.close = close
+    bar.count += count
+    bar.closeTime = time // FIXME
+    bar.complete = bar.count >= this.resolution
+    this.updateMeta(bar, meta)
+    return true
+  }
 
-    this.data.push(tick)
+  updateMeta(bar, meta) {
+    if (meta) {
+      Object.keys(meta).forEach(key => {
+        if (meta[key] === undefined)
+          return
+        // console.log('updateMeta', key, meta[key], this[key], isNaN(meta[key]))
+
+        if (!isNaN(meta[key])) {
+          if (isNaN(bar[key])) bar[key] = 0
+          bar[key] += meta[key] || 0
+        } else {
+          bar[key] = meta[key]
+        }
+      })
+    }
   }
 
-  clear() {
+  push(bar) {
+    if (this.data.length) {
+      this.lastBar.complete = true
+      if (!this.enableGaps) {
+        bar.open = this.lastBar.close
+      }
+    }
+
+    // if (isNaN(this.openTime)) {
+    //   this.openTime = bar.openTime
+    //   this.open = this.close = this.high = this.low = bar.close
+    // }
+    //
+    // this.closeTime = Math.max(this.closeTime, bar.closeTime)
+    // this.high = Math.max(this.high, bar.high)
+    // this.low = Math.min(this.low, bar.low)
+    // this.close = bar.close
+
+    this.data.push(bar)
+  }
+
+  reset() {
     this.data = []
-    this.openTime = this.closeTime = Number.NaN
-    this.open = this.close = this.high = this.low = Number.NaN
+    // this.openTime = this.closeTime = Number.NaN
+    // this.open = this.close = this.high = this.low = Number.NaN
   }
@@ -213,2 +204,6 @@
   }
+
+  get lastBar() {
+    return this.data[this.data.length - 1]
+  }
 }
@@ -215,0 +210,0 @@

No alert changes

Improved metrics

Total package byte prevSize

118354

increased by16.42%

Number of package files

43

increased by10.26%

Lines of code

3805

increased by14.54%

No dependency changes