Calculate Ohlcvs From Trades Warmup

'use strict';

import ccxt from '../../js/ccxt.js';

console.log ('CCXT Version:', ccxt.version);


let ohlcvs = {};

async function log (exchange, symbol, timeframe) {
    const market = exchange.market (symbol);
    const duration = exchange.parseTimeframe (timeframe) * 1000;
    console.log (exchange.iso8601 (exchange.milliseconds ()), 'Warming up, waiting for at least one trade...');
    while (!Object.keys (ohlcvs).length) {
        await exchange.throttle (1);
    }
    let now = exchange.milliseconds ();
    const start = (Math.floor (now / duration) + 1) * duration;
    console.log (exchange.iso8601 (exchange.milliseconds ()), 'Trades started arriving, waiting till', exchange.iso8601 (start));
    await exchange.sleep (start - now);
    console.log (exchange.iso8601 (exchange.milliseconds ()), 'Done warming up');
    for (let i = 0;; i++) {
        now = exchange.milliseconds ();
        let candle: any = Object.values (ohlcvs)[0];
        console.log ('');
        console.log (exchange.iso8601 (now), '------------------------------------------------------');
        console.log ('Datetime                ', 'Timestamp    ', ...[ 'Open', 'High', 'Low', 'Close', market['base'], market['quote'] ].map ((x: any) => x.toString ().padEnd (10, ' ')));
        for (let j = start; j < now; j += duration) {
            if (!(j in ohlcvs)) {
                ohlcvs[j] = [ j, candle[4], candle[4], candle[4], candle[4], 0, 0 ];
            }
            candle = exchange.safeValue (ohlcvs, j);
            console.log (exchange.iso8601 (j), ...candle.map (x => x.toString ().padEnd (10, ' ')));
        }
        ohlcvs = exchange.indexBy (Object.values (ohlcvs).slice (-1000), 0);
        await exchange.sleep (1000);
    }
}

async function watch (exchange, symbol, timeframe) {
    console.log ('Starting', exchange.id, symbol);
    const duration = exchange.parseTimeframe (timeframe) * 1000;
    while (true) {
        try {
            const trades = await exchange.watchTrades (symbol);
            for (const trade of trades) { // eslint-disable-line
                const timestamp = Math.floor (trade['timestamp'] / duration) * duration;
                let candle = exchange.safeValue (ohlcvs, timestamp);
                if (candle) {
                    candle[2] = Math.max (trade['price'], candle[2]);
                    candle[3] = Math.min (trade['price'], candle[3]);
                    candle[4] = trade['price'];
                    candle[5] = exchange.parseNumber (exchange.amountToPrecision (symbol, trade['amount'] + candle[5]));
                    candle[6] = exchange.parseNumber (exchange.costToPrecision (symbol, trade['cost'] + candle[6]));
                } else {
                    candle = [
                        timestamp,
                        trade['price'],
                        trade['price'],
                        trade['price'],
                        trade['price'],
                        exchange.parseNumber (exchange.amountToPrecision (symbol, trade['amount'])),
                        exchange.parseNumber (exchange.costToPrecision (symbol, trade['cost'])),
                    ];
                }
                ohlcvs[timestamp] = candle;
            }
        } catch (e: any) {
            console.log (e.constructor.name, e.message);
        }
    }
}

async function main () {
    const symbol = 'BTC/USDT';
    const exchange = new ccxt.pro.binance ({ 'newUpdates': true });
    await exchange.loadMarkets ();
    const timeframe = '1m';
    await Promise.all ([ watch (exchange, symbol, timeframe), log (exchange, symbol, timeframe) ]);
    await exchange.close ();
}

main ();