diff options
| -rw-r--r-- | packages/pipeline/package.json | 2 | ||||
| -rw-r--r-- | packages/pipeline/src/data_sources/ohlcv_external/crypto_compare.ts | 32 | ||||
| -rw-r--r-- | packages/pipeline/src/scripts/pull_ohlcv_cryptocompare.ts | 6 | ||||
| -rw-r--r-- | packages/pipeline/test/data_sources/ohlcv_external/crypto_compare_test.ts | 4 | ||||
| -rw-r--r-- | yarn.lock | 5 |
5 files changed, 26 insertions, 23 deletions
diff --git a/packages/pipeline/package.json b/packages/pipeline/package.json index 0539618d4..4fde906b8 100644 --- a/packages/pipeline/package.json +++ b/packages/pipeline/package.json @@ -52,9 +52,9 @@ "@types/p-limit": "^2.0.0", "async-parallel": "^1.2.3", "axios": "^0.18.0", + "bottleneck": "^2.13.2", "dockerode": "^2.5.7", "ethereum-types": "^1.0.6", - "p-limit": "^2.0.0", "pg": "^7.5.0", "prettier": "^1.15.3", "ramda": "^0.25.0", 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 8804c34d0..85042501b 100644 --- a/packages/pipeline/src/data_sources/ohlcv_external/crypto_compare.ts +++ b/packages/pipeline/src/data_sources/ohlcv_external/crypto_compare.ts @@ -1,6 +1,6 @@ // tslint:disable:no-duplicate-imports import { fetchAsync } from '@0x/utils'; -import promiseLimit = require('p-limit'); +import Bottleneck from 'bottleneck'; import { stringify } from 'querystring'; import * as R from 'ramda'; @@ -33,43 +33,41 @@ export interface CryptoCompareOHLCVParams { toTs?: number; } -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; +const MAX_PAGE_SIZE = 2000; export class CryptoCompareOHLCVSource { - public readonly interval = ONE_WEEK; // the hourly API returns data for one week at a time - public readonly default_exchange = 'CCCAGG'; public readonly intervalBetweenRecords = ONE_HOUR; + public readonly defaultExchange = 'CCCAGG'; + public readonly interval = this.intervalBetweenRecords * MAX_PAGE_SIZE; // the hourly API returns data for one interval at a time private readonly _url: string = 'https://min-api.cryptocompare.com/data/histohour?'; // rate-limit for all API calls through this class instance - private readonly _promiseLimit: (fetchFn: () => Promise<Response>) => Promise<Response>; - constructor(maxConcurrentRequests: number = 50) { - this._promiseLimit = promiseLimit(maxConcurrentRequests); + private readonly _limiter: Bottleneck; + constructor(maxReqsPerSecond: number) { + this._limiter = new Bottleneck({ + minTime: ONE_SECOND / maxReqsPerSecond, + reservoir: 30, + reservoirRefreshAmount: 30, + reservoirRefreshInterval: ONE_SECOND, + }); } // gets OHLCV records starting from pair.latest public async getHourlyOHLCVAsync(pair: TradingPair): Promise<CryptoCompareOHLCVRecord[]> { const params = { - e: this.default_exchange, + e: this.defaultExchange, fsym: pair.fromSymbol, tsym: pair.toSymbol, + limit: MAX_PAGE_SIZE, toTs: Math.floor((pair.latestSavedTime + this.interval) / ONE_SECOND), // CryptoCompare uses timestamp in seconds. not ms }; const url = this._url + stringify(params); - - // go through the instance-wide rate-limit - const fetchPromise: Promise<Response> = this._promiseLimit(() => { - // tslint:disable-next-line:no-console - console.log(`Scraping Crypto Compare at ${url}`); - return fetchAsync(url); - }); - - const response = await Promise.resolve(fetchPromise); + const response = await this._limiter.schedule(() => fetchAsync(url)); if (response.status !== HTTP_OK_STATUS) { throw new Error(`HTTP error while scraping Crypto Compare: [${response}]`); } diff --git a/packages/pipeline/src/scripts/pull_ohlcv_cryptocompare.ts b/packages/pipeline/src/scripts/pull_ohlcv_cryptocompare.ts index 7377a64d8..d44eb5cc6 100644 --- a/packages/pipeline/src/scripts/pull_ohlcv_cryptocompare.ts +++ b/packages/pipeline/src/scripts/pull_ohlcv_cryptocompare.ts @@ -11,7 +11,7 @@ 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 MAX_CONCURRENT_REQUESTS = parseInt(process.env.CRYPTOCOMPARE_MAX_CONCURRENT_REQUESTS || '14', 10); // tslint:disable-line:custom-no-magic-numbers +const MAX_REQS_PER_SECOND = parseInt(process.env.CRYPTOCOMPARE_MAX_REQS_PER_SECOND || '15', 10); // tslint:disable-line:custom-no-magic-numbers const EARLIEST_BACKFILL_DATE = process.env.OHLCV_EARLIEST_BACKFILL_DATE || '2014-06-01'; const EARLIEST_BACKFILL_TIME = new Date(EARLIEST_BACKFILL_DATE).getTime(); @@ -20,7 +20,7 @@ let connection: Connection; (async () => { connection = await createConnection(ormConfig as ConnectionOptions); const repository = connection.getRepository(OHLCVExternal); - const source = new CryptoCompareOHLCVSource(MAX_CONCURRENT_REQUESTS); + const source = new CryptoCompareOHLCVSource(MAX_REQS_PER_SECOND); const jobTime = new Date().getTime(); const tradingPairs = await fetchOHLCVTradingPairsAsync(connection, SOURCE_NAME, EARLIEST_BACKFILL_TIME); @@ -63,7 +63,7 @@ async function fetchAndSaveAsync( console.log(`Retrieved ${records.length} records for ${JSON.stringify(pair)}`); if (records.length > 0) { const metadata: OHLCVMetadata = { - exchange: source.default_exchange, + exchange: source.defaultExchange, fromSymbol: pair.fromSymbol, toSymbol: pair.toSymbol, source: SOURCE_NAME, diff --git a/packages/pipeline/test/data_sources/ohlcv_external/crypto_compare_test.ts b/packages/pipeline/test/data_sources/ohlcv_external/crypto_compare_test.ts index cb374bbb1..2efe3f5ec 100644 --- a/packages/pipeline/test/data_sources/ohlcv_external/crypto_compare_test.ts +++ b/packages/pipeline/test/data_sources/ohlcv_external/crypto_compare_test.ts @@ -13,7 +13,7 @@ const expect = chai.expect; describe('ohlcv_external data source (Crypto Compare)', () => { describe('generateBackfillIntervals', () => { it('generates pairs with intervals to query', () => { - const source = new CryptoCompareOHLCVSource(); + const source = new CryptoCompareOHLCVSource(20); const pair: TradingPair = { fromSymbol: 'ETH', toSymbol: 'ZRX', @@ -31,7 +31,7 @@ describe('ohlcv_external data source (Crypto Compare)', () => { }); it('returns single pair if no backfill is needed', () => { - const source = new CryptoCompareOHLCVSource(); + const source = new CryptoCompareOHLCVSource(20); const pair: TradingPair = { fromSymbol: 'ETH', toSymbol: 'ZRX', @@ -3312,6 +3312,11 @@ boom@5.x.x: dependencies: hoek "4.x.x" +bottleneck@^2.13.2: + version "2.13.2" + resolved "https://registry.yarnpkg.com/bottleneck/-/bottleneck-2.13.2.tgz#f3f28f0ddf82cdd3e44072aee3104a42adcca352" + integrity sha512-DVS4Uv7xr4Ql0w9valPBaueLRnEtBepeoevDhWO0LBhyihICJ7RySyzPfyvPswanrXAAbWaF8Zx4QpxmIxHa/g== + bowser@^1.7.3, bowser@^1.9.3: version "1.9.3" resolved "https://registry.yarnpkg.com/bowser/-/bowser-1.9.3.tgz#6643ae4d783f31683f6d23156976b74183862162" |