diff options
Diffstat (limited to 'packages/pipeline/src/data_sources')
8 files changed, 566 insertions, 0 deletions
diff --git a/packages/pipeline/src/data_sources/bloxy/index.ts b/packages/pipeline/src/data_sources/bloxy/index.ts new file mode 100644 index 000000000..31cd5bfd6 --- /dev/null +++ b/packages/pipeline/src/data_sources/bloxy/index.ts @@ -0,0 +1,133 @@ +import axios from 'axios'; +import * as R from 'ramda'; + +// URL to use for getting dex trades from Bloxy. +export const BLOXY_DEX_TRADES_URL = 'https://bloxy.info/api/dex/trades'; +// Number of trades to get at once. Must be less than or equal to MAX_OFFSET. +const TRADES_PER_QUERY = 10000; +// Maximum offset supported by the Bloxy API. +const MAX_OFFSET = 100000; +// Buffer to subtract from offset. This means we will request some trades twice +// but we have less chance on missing out on any data. +const OFFSET_BUFFER = 1000; +// Maximum number of days supported by the Bloxy API. +const MAX_DAYS = 30; +// Buffer used for comparing the last seen timestamp to the last returned +// timestamp. Increasing this reduces chances of data loss but also creates more +// redundancy and can impact performance. +// tslint:disable-next-line:custom-no-magic-numbers +const LAST_SEEN_TIMESTAMP_BUFFER_MS = 1000 * 60 * 30; // 30 minutes + +// tslint:disable-next-line:custom-no-magic-numbers +const millisecondsPerDay = 1000 * 60 * 60 * 24; // ms/d = ms/s * s/m * m/h * h/d + +export interface BloxyTrade { + tx_hash: string; + tx_time: string; + tx_date: string; + tx_sender: string; + smart_contract_id: number; + smart_contract_address: string; + contract_type: string; + maker: string; + taker: string; + amountBuy: number; + makerFee: number; + buyCurrencyId: number; + buySymbol: string; + amountSell: number; + takerFee: number; + sellCurrencyId: number; + sellSymbol: string; + maker_annotation: string; + taker_annotation: string; + protocol: string; + buyAddress: string | null; + sellAddress: string | null; +} + +interface BloxyError { + error: string; +} + +type BloxyResponse<T> = T | BloxyError; +type BloxyTradeResponse = BloxyResponse<BloxyTrade[]>; + +function isError<T>(response: BloxyResponse<T>): response is BloxyError { + return (response as BloxyError).error !== undefined; +} + +export class BloxySource { + private readonly _apiKey: string; + + constructor(apiKey: string) { + this._apiKey = apiKey; + } + + /** + * Gets all latest trades between the lastSeenTimestamp (minus some buffer) + * and the current time. Note that because the Bloxy API has some hard + * limits it might not always be possible to get *all* the trades in the + * desired time range. + * @param lastSeenTimestamp The latest timestamp for trades that have + * already been seen. + */ + public async getDexTradesAsync(lastSeenTimestamp: number): Promise<BloxyTrade[]> { + let allTrades: BloxyTrade[] = []; + + // Clamp numberOfDays so that it is always between 1 and MAX_DAYS (inclusive) + const numberOfDays = R.clamp(1, MAX_DAYS, getDaysSinceTimestamp(lastSeenTimestamp)); + + // Keep getting trades until we hit one of the following conditions: + // + // 1. Offset hits MAX_OFFSET (we can't go back any further). + // 2. There are no more trades in the response. + // 3. We see a tx_time equal to or earlier than lastSeenTimestamp (plus + // some buffer). + // + for (let offset = 0; offset <= MAX_OFFSET; offset += TRADES_PER_QUERY - OFFSET_BUFFER) { + const trades = await this._getTradesWithOffsetAsync(numberOfDays, offset); + if (trades.length === 0) { + // There are no more trades left for the days we are querying. + // This means we are done. + return filterDuplicateTrades(allTrades); + } + const sortedTrades = R.reverse(R.sortBy(trade => trade.tx_time, trades)); + allTrades = allTrades.concat(sortedTrades); + + // Check if lastReturnedTimestamp < lastSeenTimestamp + const lastReturnedTimestamp = new Date(sortedTrades[0].tx_time).getTime(); + if (lastReturnedTimestamp < lastSeenTimestamp - LAST_SEEN_TIMESTAMP_BUFFER_MS) { + // We are at the point where we have already seen trades for the + // timestamp range that is being returned. We're done. + return filterDuplicateTrades(allTrades); + } + } + return filterDuplicateTrades(allTrades); + } + + private async _getTradesWithOffsetAsync(numberOfDays: number, offset: number): Promise<BloxyTrade[]> { + const resp = await axios.get<BloxyTradeResponse>(BLOXY_DEX_TRADES_URL, { + params: { + key: this._apiKey, + days: numberOfDays, + limit: TRADES_PER_QUERY, + offset, + }, + }); + if (isError(resp.data)) { + throw new Error('Error in Bloxy API response: ' + resp.data.error); + } + return resp.data; + } +} + +// Computes the number of days between the given timestamp and the current +// timestamp (rounded up). +function getDaysSinceTimestamp(timestamp: number): number { + const msSinceTimestamp = Date.now() - timestamp; + const daysSinceTimestamp = msSinceTimestamp / millisecondsPerDay; + return Math.ceil(daysSinceTimestamp); +} + +const filterDuplicateTrades = R.uniqBy((trade: BloxyTrade) => trade.tx_hash); diff --git a/packages/pipeline/src/data_sources/contract-wrappers/exchange_events.ts b/packages/pipeline/src/data_sources/contract-wrappers/exchange_events.ts new file mode 100644 index 000000000..1717eb8b3 --- /dev/null +++ b/packages/pipeline/src/data_sources/contract-wrappers/exchange_events.ts @@ -0,0 +1,85 @@ +import { + ContractWrappers, + ExchangeCancelEventArgs, + ExchangeCancelUpToEventArgs, + ExchangeEventArgs, + ExchangeEvents, + ExchangeFillEventArgs, + ExchangeWrapper, +} from '@0x/contract-wrappers'; +import { Web3ProviderEngine } from '@0x/subproviders'; +import { Web3Wrapper } from '@0x/web3-wrapper'; +import { LogWithDecodedArgs } from 'ethereum-types'; + +import { EXCHANGE_START_BLOCK } from '../../utils'; + +const BLOCK_FINALITY_THRESHOLD = 10; // When to consider blocks as final. Used to compute default toBlock. +const NUM_BLOCKS_PER_QUERY = 20000; // Number of blocks to query for events at a time. + +export class ExchangeEventsSource { + private readonly _exchangeWrapper: ExchangeWrapper; + private readonly _web3Wrapper: Web3Wrapper; + constructor(provider: Web3ProviderEngine, networkId: number) { + this._web3Wrapper = new Web3Wrapper(provider); + const contractWrappers = new ContractWrappers(provider, { networkId }); + this._exchangeWrapper = contractWrappers.exchange; + } + + public async getFillEventsAsync( + fromBlock?: number, + toBlock?: number, + ): Promise<Array<LogWithDecodedArgs<ExchangeFillEventArgs>>> { + return this._getEventsAsync<ExchangeFillEventArgs>(ExchangeEvents.Fill, fromBlock, toBlock); + } + + public async getCancelEventsAsync( + fromBlock?: number, + toBlock?: number, + ): Promise<Array<LogWithDecodedArgs<ExchangeCancelEventArgs>>> { + return this._getEventsAsync<ExchangeCancelEventArgs>(ExchangeEvents.Cancel, fromBlock, toBlock); + } + + public async getCancelUpToEventsAsync( + fromBlock?: number, + toBlock?: number, + ): Promise<Array<LogWithDecodedArgs<ExchangeCancelUpToEventArgs>>> { + return this._getEventsAsync<ExchangeCancelUpToEventArgs>(ExchangeEvents.CancelUpTo, fromBlock, toBlock); + } + + private async _getEventsAsync<ArgsType extends ExchangeEventArgs>( + eventName: ExchangeEvents, + fromBlock: number = EXCHANGE_START_BLOCK, + toBlock?: number, + ): Promise<Array<LogWithDecodedArgs<ArgsType>>> { + const calculatedToBlock = + toBlock === undefined + ? (await this._web3Wrapper.getBlockNumberAsync()) - BLOCK_FINALITY_THRESHOLD + : toBlock; + let events: Array<LogWithDecodedArgs<ArgsType>> = []; + for (let currFromBlock = fromBlock; currFromBlock <= calculatedToBlock; currFromBlock += NUM_BLOCKS_PER_QUERY) { + events = events.concat( + await this._getEventsForRangeAsync<ArgsType>( + eventName, + currFromBlock, + Math.min(currFromBlock + NUM_BLOCKS_PER_QUERY - 1, calculatedToBlock), + ), + ); + } + return events; + } + + private async _getEventsForRangeAsync<ArgsType extends ExchangeEventArgs>( + eventName: ExchangeEvents, + fromBlock: number, + toBlock: number, + ): Promise<Array<LogWithDecodedArgs<ArgsType>>> { + return this._exchangeWrapper.getLogsAsync<ArgsType>( + eventName, + { + fromBlock, + toBlock, + }, + {}, + ); + } +} diff --git a/packages/pipeline/src/data_sources/ddex/index.ts b/packages/pipeline/src/data_sources/ddex/index.ts new file mode 100644 index 000000000..2bbd8c29b --- /dev/null +++ b/packages/pipeline/src/data_sources/ddex/index.ts @@ -0,0 +1,78 @@ +import { fetchAsync, logUtils } from '@0x/utils'; + +const DDEX_BASE_URL = 'https://api.ddex.io/v2'; +const ACTIVE_MARKETS_URL = `${DDEX_BASE_URL}/markets`; +const NO_AGGREGATION_LEVEL = 3; // See https://docs.ddex.io/#get-orderbook +const ORDERBOOK_ENDPOINT = `/orderbook?level=${NO_AGGREGATION_LEVEL}`; +export const DDEX_SOURCE = 'ddex'; + +export interface DdexActiveMarketsResponse { + status: number; + desc: string; + data: { + markets: DdexMarket[]; + }; +} + +export interface DdexMarket { + id: string; + quoteToken: string; + quoteTokenDecimals: number; + quoteTokenAddress: string; + baseToken: string; + baseTokenDecimals: number; + baseTokenAddress: string; + minOrderSize: string; + maxOrderSize: string; + pricePrecision: number; + priceDecimals: number; + amountDecimals: number; +} + +export interface DdexOrderbookResponse { + status: number; + desc: string; + data: { + orderBook: DdexOrderbook; + }; +} + +export interface DdexOrderbook { + marketId: string; + bids: DdexOrder[]; + asks: DdexOrder[]; +} + +export interface DdexOrder { + price: string; + amount: string; + orderId: string; +} + +// tslint:disable:prefer-function-over-method +// ^ Keep consistency with other sources and help logical organization +export class DdexSource { + /** + * Call Ddex API to find out which markets they are maintaining orderbooks for. + */ + public async getActiveMarketsAsync(): Promise<DdexMarket[]> { + logUtils.log('Getting all active DDEX markets'); + const resp = await fetchAsync(ACTIVE_MARKETS_URL); + const respJson: DdexActiveMarketsResponse = await resp.json(); + const markets = respJson.data.markets; + logUtils.log(`Got ${markets.length} markets.`); + return markets; + } + + /** + * Retrieve orderbook from Ddex API for a given market. + * @param marketId String identifying the market we want data for. Eg. 'REP/AUG' + */ + public async getMarketOrderbookAsync(marketId: string): Promise<DdexOrderbook> { + logUtils.log(`${marketId}: Retrieving orderbook.`); + const marketOrderbookUrl = `${ACTIVE_MARKETS_URL}/${marketId}${ORDERBOOK_ENDPOINT}`; + const resp = await fetchAsync(marketOrderbookUrl); + const respJson: DdexOrderbookResponse = await resp.json(); + return respJson.data.orderBook; + } +} diff --git a/packages/pipeline/src/data_sources/ohlcv_external/crypto_compare.ts b/packages/pipeline/src/data_sources/ohlcv_external/crypto_compare.ts new file mode 100644 index 000000000..6b10c29c5 --- /dev/null +++ b/packages/pipeline/src/data_sources/ohlcv_external/crypto_compare.ts @@ -0,0 +1,94 @@ +// tslint:disable:no-duplicate-imports +import { fetchAsync } from '@0x/utils'; +import promiseLimit = require('p-limit'); +import { stringify } from 'querystring'; +import * as R from 'ramda'; + +import { TradingPair } from '../../utils/get_ohlcv_trading_pairs'; + +export interface CryptoCompareOHLCVResponse { + Data: Map<string, CryptoCompareOHLCVRecord[]>; + Response: string; + Message: string; +} + +export interface CryptoCompareOHLCVRecord { + time: number; // in seconds, not milliseconds + close: number; + high: number; + low: number; + open: number; + volumefrom: number; + volumeto: number; +} + +export interface CryptoCompareOHLCVParams { + fsym: string; + tsym: string; + e?: string; + aggregate?: string; + aggregatePredictableTimePeriods?: boolean; + limit?: number; + 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 HTTP_OK_STATUS = 200; + +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; + 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); + } + + // gets OHLCV records starting from pair.latest + public async getHourlyOHLCVAsync(pair: TradingPair): Promise<CryptoCompareOHLCVRecord[]> { + const params = { + e: this.default_exchange, + fsym: pair.fromSymbol, + tsym: pair.toSymbol, + 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); + if (response.status !== HTTP_OK_STATUS) { + // tslint:disable-next-line:no-console + console.log(`Error scraping ${url}`); + return []; + } + 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 []; + } + return Object.values(json.Data).filter(rec => rec.time * ONE_SECOND >= pair.latestSavedTime); + } + public generateBackfillIntervals(pair: TradingPair): TradingPair[] { + const now = new Date().getTime(); + const f = (p: TradingPair): false | [TradingPair, TradingPair] => { + if (p.latestSavedTime > now) { + return false; + } else { + return [p, R.merge(p, { latestSavedTime: p.latestSavedTime + this.interval })]; + } + }; + return R.unfold(f, pair); + } +} diff --git a/packages/pipeline/src/data_sources/paradex/index.ts b/packages/pipeline/src/data_sources/paradex/index.ts new file mode 100644 index 000000000..69a03d553 --- /dev/null +++ b/packages/pipeline/src/data_sources/paradex/index.ts @@ -0,0 +1,92 @@ +import { fetchAsync, logUtils } from '@0x/utils'; + +const PARADEX_BASE_URL = 'https://api.paradex.io/consumer/v0'; +const ACTIVE_MARKETS_URL = PARADEX_BASE_URL + '/markets'; +const ORDERBOOK_ENDPOINT = PARADEX_BASE_URL + '/orderbook'; +const TOKEN_INFO_ENDPOINT = PARADEX_BASE_URL + '/tokens'; +export const PARADEX_SOURCE = 'paradex'; + +export type ParadexActiveMarketsResponse = ParadexMarket[]; + +export interface ParadexMarket { + id: string; + symbol: string; + baseToken: string; + quoteToken: string; + minOrderSize: string; + maxOrderSize: string; + priceMaxDecimals: number; + amountMaxDecimals: number; + // These are not native to the Paradex API response. We tag them on later + // by calling the token endpoint and joining on symbol. + baseTokenAddress?: string; + quoteTokenAddress?: string; +} + +export interface ParadexOrderbookResponse { + marketId: number; + marketSymbol: string; + bids: ParadexOrder[]; + asks: ParadexOrder[]; +} + +export interface ParadexOrder { + amount: string; + price: string; +} + +export type ParadexTokenInfoResponse = ParadexTokenInfo[]; + +export interface ParadexTokenInfo { + name: string; + symbol: string; + address: string; +} + +export class ParadexSource { + private readonly _apiKey: string; + + constructor(apiKey: string) { + this._apiKey = apiKey; + } + + /** + * Call Paradex API to find out which markets they are maintaining orderbooks for. + */ + public async getActiveMarketsAsync(): Promise<ParadexActiveMarketsResponse> { + logUtils.log('Getting all active Paradex markets.'); + const resp = await fetchAsync(ACTIVE_MARKETS_URL, { + headers: { 'API-KEY': this._apiKey }, + }); + const markets: ParadexActiveMarketsResponse = await resp.json(); + logUtils.log(`Got ${markets.length} markets.`); + return markets; + } + + /** + * Call Paradex API to find out their token information. + */ + public async getTokenInfoAsync(): Promise<ParadexTokenInfoResponse> { + logUtils.log('Getting token information from Paradex.'); + const resp = await fetchAsync(TOKEN_INFO_ENDPOINT, { + headers: { 'API-KEY': this._apiKey }, + }); + const tokens: ParadexTokenInfoResponse = await resp.json(); + logUtils.log(`Got information for ${tokens.length} tokens.`); + return tokens; + } + + /** + * Retrieve orderbook from Paradex API for a given market. + * @param marketSymbol String representing the market we want data for. + */ + public async getMarketOrderbookAsync(marketSymbol: string): Promise<ParadexOrderbookResponse> { + logUtils.log(`${marketSymbol}: Retrieving orderbook.`); + const marketOrderbookUrl = `${ORDERBOOK_ENDPOINT}?market=${marketSymbol}`; + const resp = await fetchAsync(marketOrderbookUrl, { + headers: { 'API-KEY': this._apiKey }, + }); + const orderbookResponse: ParadexOrderbookResponse = await resp.json(); + return orderbookResponse; + } +} diff --git a/packages/pipeline/src/data_sources/relayer-registry/index.ts b/packages/pipeline/src/data_sources/relayer-registry/index.ts new file mode 100644 index 000000000..8133f5eae --- /dev/null +++ b/packages/pipeline/src/data_sources/relayer-registry/index.ts @@ -0,0 +1,33 @@ +import axios from 'axios'; + +export interface RelayerResponse { + name: string; + homepage_url: string; + app_url: string; + header_img: string; + logo_img: string; + networks: RelayerResponseNetwork[]; +} + +export interface RelayerResponseNetwork { + networkId: number; + sra_http_endpoint?: string; + sra_ws_endpoint?: string; + static_order_fields?: { + fee_recipient_addresses?: string[]; + taker_addresses?: string[]; + }; +} + +export class RelayerRegistrySource { + private readonly _url: string; + + constructor(url: string) { + this._url = url; + } + + public async getRelayerInfoAsync(): Promise<Map<string, RelayerResponse>> { + const resp = await axios.get<Map<string, RelayerResponse>>(this._url); + return resp.data; + } +} diff --git a/packages/pipeline/src/data_sources/trusted_tokens/index.ts b/packages/pipeline/src/data_sources/trusted_tokens/index.ts new file mode 100644 index 000000000..552739fb9 --- /dev/null +++ b/packages/pipeline/src/data_sources/trusted_tokens/index.ts @@ -0,0 +1,29 @@ +import axios from 'axios'; + +export interface ZeroExTrustedTokenMeta { + address: string; + name: string; + symbol: string; + decimals: number; +} + +export interface MetamaskTrustedTokenMeta { + address: string; + name: string; + erc20: boolean; + symbol: string; + decimals: number; +} + +export class TrustedTokenSource<T> { + private readonly _url: string; + + constructor(url: string) { + this._url = url; + } + + public async getTrustedTokenMetaAsync(): Promise<T> { + const resp = await axios.get<T>(this._url); + return resp.data; + } +} diff --git a/packages/pipeline/src/data_sources/web3/index.ts b/packages/pipeline/src/data_sources/web3/index.ts new file mode 100644 index 000000000..45a9ea161 --- /dev/null +++ b/packages/pipeline/src/data_sources/web3/index.ts @@ -0,0 +1,22 @@ +import { Web3ProviderEngine } from '@0x/subproviders'; +import { Web3Wrapper } from '@0x/web3-wrapper'; +import { BlockWithoutTransactionData, Transaction } from 'ethereum-types'; + +export class Web3Source { + private readonly _web3Wrapper: Web3Wrapper; + constructor(provider: Web3ProviderEngine) { + this._web3Wrapper = new Web3Wrapper(provider); + } + + public async getBlockInfoAsync(blockNumber: number): Promise<BlockWithoutTransactionData> { + const block = await this._web3Wrapper.getBlockIfExistsAsync(blockNumber); + if (block == null) { + return Promise.reject(new Error(`Could not find block for given block number: ${blockNumber}`)); + } + return block; + } + + public async getTransactionInfoAsync(txHash: string): Promise<Transaction> { + return this._web3Wrapper.getTransactionByHashAsync(txHash); + } +} |