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authorfragosti <francesco.agosti93@gmail.com>2018-12-06 08:18:45 +0800
committerfragosti <francesco.agosti93@gmail.com>2018-12-06 08:18:45 +0800
commitcae0e02bc655ba8ea3a8788328c4da471db1eac0 (patch)
treeecc1e410815831977f28e0d109589086b5826104 /packages
parent83c1b7aec509ecf1abc415408210990c91ef8c4a (diff)
parent78d0ab1aa2393b7a0b21108b9811e0b0a4406faf (diff)
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Merge branch 'development' of https://github.com/0xProject/0x-monorepo into development
Diffstat (limited to 'packages')
-rw-r--r--packages/pipeline/src/data_sources/ohlcv_external/crypto_compare.ts36
-rw-r--r--packages/pipeline/src/scripts/pull_ohlcv_cryptocompare.ts38
2 files changed, 43 insertions, 31 deletions
diff --git a/packages/pipeline/src/data_sources/ohlcv_external/crypto_compare.ts b/packages/pipeline/src/data_sources/ohlcv_external/crypto_compare.ts
index 6b10c29c5..8804c34d0 100644
--- a/packages/pipeline/src/data_sources/ohlcv_external/crypto_compare.ts
+++ b/packages/pipeline/src/data_sources/ohlcv_external/crypto_compare.ts
@@ -7,9 +7,10 @@ import * as R from 'ramda';
import { TradingPair } from '../../utils/get_ohlcv_trading_pairs';
export interface CryptoCompareOHLCVResponse {
- Data: Map<string, CryptoCompareOHLCVRecord[]>;
+ Data: CryptoCompareOHLCVRecord[];
Response: string;
Message: string;
+ Type: number;
}
export interface CryptoCompareOHLCVRecord {
@@ -35,7 +36,9 @@ export interface CryptoCompareOHLCVParams {
const ONE_WEEK = 7 * 24 * 60 * 60 * 1000; // tslint:disable-line:custom-no-magic-numbers
const ONE_HOUR = 60 * 60 * 1000; // tslint:disable-line:custom-no-magic-numbers
const ONE_SECOND = 1000;
+const ONE_HOUR_AGO = new Date().getTime() - ONE_HOUR;
const HTTP_OK_STATUS = 200;
+const CRYPTO_COMPARE_VALID_EMPTY_RESPONSE_TYPE = 96;
export class CryptoCompareOHLCVSource {
public readonly interval = ONE_WEEK; // the hourly API returns data for one week at a time
@@ -68,17 +71,21 @@ export class CryptoCompareOHLCVSource {
const response = await Promise.resolve(fetchPromise);
if (response.status !== HTTP_OK_STATUS) {
- // tslint:disable-next-line:no-console
- console.log(`Error scraping ${url}`);
- return [];
+ throw new Error(`HTTP error while scraping Crypto Compare: [${response}]`);
}
const json: CryptoCompareOHLCVResponse = await response.json();
- if (json.Response === 'Error' || Object.keys(json.Data).length === 0) {
- // tslint:disable-next-line:no-console
- console.log(`Error scraping ${url}: ${json.Message}`);
- return [];
+ if (
+ (json.Response === 'Error' || json.Data.length === 0) &&
+ json.Type !== CRYPTO_COMPARE_VALID_EMPTY_RESPONSE_TYPE
+ ) {
+ throw new Error(JSON.stringify(json));
}
- return Object.values(json.Data).filter(rec => rec.time * ONE_SECOND >= pair.latestSavedTime);
+ return json.Data.filter(rec => {
+ return (
+ // Crypto Compare takes ~30 mins to finalise records
+ rec.time * ONE_SECOND < ONE_HOUR_AGO && rec.time * ONE_SECOND > pair.latestSavedTime && hasData(rec)
+ );
+ });
}
public generateBackfillIntervals(pair: TradingPair): TradingPair[] {
const now = new Date().getTime();
@@ -92,3 +99,14 @@ export class CryptoCompareOHLCVSource {
return R.unfold(f, pair);
}
}
+
+function hasData(record: CryptoCompareOHLCVRecord): boolean {
+ return (
+ record.close !== 0 ||
+ record.open !== 0 ||
+ record.high !== 0 ||
+ record.low !== 0 ||
+ record.volumefrom !== 0 ||
+ record.volumeto !== 0
+ );
+}
diff --git a/packages/pipeline/src/scripts/pull_ohlcv_cryptocompare.ts b/packages/pipeline/src/scripts/pull_ohlcv_cryptocompare.ts
index 6979cd10e..7377a64d8 100644
--- a/packages/pipeline/src/scripts/pull_ohlcv_cryptocompare.ts
+++ b/packages/pipeline/src/scripts/pull_ohlcv_cryptocompare.ts
@@ -10,11 +10,9 @@ import { fetchOHLCVTradingPairsAsync, TradingPair } from '../utils/get_ohlcv_tra
const SOURCE_NAME = 'CryptoCompare';
const TWO_HOURS_AGO = new Date().getTime() - 2 * 60 * 60 * 1000; // tslint:disable-line:custom-no-magic-numbers
-const ONE_HOUR_AGO = new Date().getTime() - 60 * 60 * 1000; // tslint:disable-line:custom-no-magic-numbers
-const ONE_SECOND = 1000;
const MAX_CONCURRENT_REQUESTS = parseInt(process.env.CRYPTOCOMPARE_MAX_CONCURRENT_REQUESTS || '14', 10); // tslint:disable-line:custom-no-magic-numbers
-const EARLIEST_BACKFILL_DATE = process.env.OHLCV_EARLIEST_BACKFILL_DATE || '2010-09-01'; // the time when BTC/USD info starts appearing on Crypto Compare
+const EARLIEST_BACKFILL_DATE = process.env.OHLCV_EARLIEST_BACKFILL_DATE || '2014-06-01';
const EARLIEST_BACKFILL_TIME = new Date(EARLIEST_BACKFILL_DATE).getTime();
let connection: Connection;
@@ -60,28 +58,24 @@ async function fetchAndSaveAsync(
if (pair.latestSavedTime > TWO_HOURS_AGO) {
break;
}
- const rawRecords = await source.getHourlyOHLCVAsync(pair);
- const records = rawRecords.filter(rec => {
- return rec.time * ONE_SECOND < ONE_HOUR_AGO && rec.time * ONE_SECOND > pair.latestSavedTime;
- }); // Crypto Compare can take ~30mins to finalise records
- if (records.length === 0) {
- console.log(`No more records, stopping task for ${JSON.stringify(pair)}`);
- break;
- }
- const metadata: OHLCVMetadata = {
- exchange: source.default_exchange,
- fromSymbol: pair.fromSymbol,
- toSymbol: pair.toSymbol,
- source: SOURCE_NAME,
- observedTimestamp: jobTime,
- interval: source.intervalBetweenRecords,
- };
- const parsedRecords = parseRecords(records, metadata);
try {
- await saveRecordsAsync(repository, parsedRecords);
+ const records = await source.getHourlyOHLCVAsync(pair);
+ console.log(`Retrieved ${records.length} records for ${JSON.stringify(pair)}`);
+ if (records.length > 0) {
+ const metadata: OHLCVMetadata = {
+ exchange: source.default_exchange,
+ fromSymbol: pair.fromSymbol,
+ toSymbol: pair.toSymbol,
+ source: SOURCE_NAME,
+ observedTimestamp: jobTime,
+ interval: source.intervalBetweenRecords,
+ };
+ const parsedRecords = parseRecords(records, metadata);
+ await saveRecordsAsync(repository, parsedRecords);
+ }
i++;
} catch (err) {
- console.log(`Error saving OHLCVRecords, stopping task for ${JSON.stringify(pair)} [${err}]`);
+ console.log(`Error scraping OHLCVRecords, stopping task for ${JSON.stringify(pair)} [${err}]`);
break;
}
}