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Fix bug with preroll when 0 volume (DeviaVir#464)
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* Fix bug with preroll when 0 volume

Fix getCursor on Kraken exchange, getCursor must return milliseconds to be consisitent with API calls to getTrades in backfill and trade commands. It was returning seconds, this would cause entries to be returned outside of their respective time periods.

Also removed opts.to and replace with opts.from. opts.to is only used for 'backward' history scans, not forward. This was always effectively undefined in this case.

* Formatting kraken exchange.js
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@cmroche @DeviaVir
cmroche authored and DeviaVir committed Aug 11, 2017
1 parent 69ee4ee commit c2b9b3e
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Showing 2 changed files with 43 additions and 30 deletions.
6 changes: 5 additions & 1 deletion commands/trade.js
View file
Original file line number Diff line number Diff line change
Expand Up @@ -114,9 +114,11 @@ module.exports = function container (get, set, clear) {
limit: 1000
}
if (db_cursor) {
trade_cursor = db_cursor
opts.query.time = {$gt: db_cursor}
}
else {
trade_cursor = query_start
opts.query.time = {$gte: query_start}
}
get('db.trades').select(opts, function (err, trades) {
Expand Down Expand Up @@ -257,7 +259,9 @@ module.exports = function container (get, set, clear) {
console.error('\n' + moment().format('YYYY-MM-DD HH:mm:ss') + ' - error saving session')
console.error(err)
}
engine.writeReport(true)
if (s.period) {
engine.writeReport(true)
}
})
})
}
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67 changes: 38 additions & 29 deletions extensions/exchanges/kraken/exchange.js
View file
Original file line number Diff line number Diff line change
Expand Up @@ -7,7 +7,9 @@ var KrakenClient = require('kraken-api'),

module.exports = function container(get, set, clear) {
var c = get('conf')
var s = {options: minimist(process.argv)}
var s = {
options: minimist(process.argv)
}
var so = s.options

var public_client, authed_client
Expand Down Expand Up @@ -52,7 +54,7 @@ module.exports = function container(get, set, clear) {
}
console.warn(('\nKraken API warning - unable to call ' + method + ' (' + errorMsg + '), retrying in ' + timeout / 1000 + 's').yellow)
}
setTimeout(function () {
setTimeout(function() {
exchange[method].apply(exchange, args)
}, timeout)
}
Expand All @@ -65,23 +67,20 @@ module.exports = function container(get, set, clear) {
makerFee: 0.16,
takerFee: 0.26,
// The limit for the public API is not documented, 1750 ms between getTrades in backfilling seems to do the trick to omit warning messages.
backfillRateLimit: 2000,
backfillRateLimit: 3500,

getProducts: function () {
getProducts: function() {
return require('./products.json')
},

getTrades: function (opts, cb) {
getTrades: function(opts, cb) {
var func_args = [].slice.call(arguments)
var client = publicClient()
var args = {
pair: joinProduct(opts.product_id)
}
if (opts.from) {
args.since = parseFloat(opts.from) * 1000000000
}

client.api('Trades', args, function (error, data) {
client.api('Trades', args, function(error, data) {
if (error && error.message.match(recoverableErrors)) {
return retry('getTrades', func_args, error)
}
Expand All @@ -93,11 +92,14 @@ module.exports = function container(get, set, clear) {
if (data.error.length) {
return cb(data.error.join(','))
}
if (opts.from) {
args.since = Number(opts.from) * 1000000000
}

var trades = []
Object.keys(data.result[args.pair]).forEach(function (i) {
Object.keys(data.result[args.pair]).forEach(function(i) {
var trade = data.result[args.pair][i]
if (!opts.to || (parseFloat(opts.to) >= parseFloat(trade[2]))) {
if (!opts.from || (Number(opts.from) < moment.unix((trade[2]).valueOf()))) {
trades.push({
trade_id: trade[2] + trade[1] + trade[0],
time: moment.unix(trade[2]).valueOf(),
Expand All @@ -107,17 +109,20 @@ module.exports = function container(get, set, clear) {
})
}
})

cb(null, trades)
})
},

getBalance: function (opts, cb) {
getBalance: function(opts, cb) {
var args = [].slice.call(arguments)
var client = authedClient()
client.api('Balance', null, function (error, data) {
client.api('Balance', null, function(error, data) {
var balance = {
asset: 0,
currency: 0
asset: '0',
asset_hold: '0',
currency: '0',
currency_hold: '0'
}

if (error) {
Expand All @@ -128,28 +133,32 @@ module.exports = function container(get, set, clear) {
console.error(error)
return cb(error)
}

if (data.error.length) {
return cb(data.error.join(','))
}

if (data.result[opts.currency]) {
balance.currency = n(data.result[opts.currency]).format('0.00000000')
balance.currency_hold = 0
balance.currency_hold = '0'
}

if (data.result[opts.asset]) {
balance.asset = n(data.result[opts.asset]).format('0.00000000')
balance.asset_hold = 0
balance.asset_hold = '0'
}

cb(null, balance)
})
},

getQuote: function (opts, cb) {
getQuote: function(opts, cb) {
var args = [].slice.call(arguments)
var client = publicClient()
var pair = joinProduct(opts.product_id)
client.api('Ticker', {
pair: pair
}, function (error, data) {
}, function(error, data) {
if (error) {
if (error.message.match(recoverableErrors)) {
return retry('getQuote', args, error)
Expand All @@ -168,12 +177,12 @@ module.exports = function container(get, set, clear) {
})
},

cancelOrder: function (opts, cb) {
cancelOrder: function(opts, cb) {
var args = [].slice.call(arguments)
var client = authedClient()
client.api('CancelOrder', {
txid: opts.order_id
}, function (error, data) {
}, function(error, data) {
if (error) {
if (error.message.match(recoverableErrors)) {
return retry('cancelOrder', args, error)
Expand All @@ -193,7 +202,7 @@ module.exports = function container(get, set, clear) {
})
},

trade: function (type, opts, cb) {
trade: function(type, opts, cb) {
var args = [].slice.call(arguments)
var client = authedClient()
var params = {
Expand All @@ -213,7 +222,7 @@ module.exports = function container(get, set, clear) {
console.log("trade")
console.log(params)
}
client.api('AddOrder', params, function (error, data) {
client.api('AddOrder', params, function(error, data) {
if (error && error.message.match(recoverableErrors)) {
return retry('trade', args, error)
}
Expand Down Expand Up @@ -264,23 +273,23 @@ module.exports = function container(get, set, clear) {
})
},

buy: function (opts, cb) {
buy: function(opts, cb) {
exchange.trade('buy', opts, cb)
},

sell: function (opts, cb) {
sell: function(opts, cb) {
exchange.trade('sell', opts, cb)
},

getOrder: function (opts, cb) {
getOrder: function(opts, cb) {
var args = [].slice.call(arguments)
var order = orders['~' + opts.order_id]
if (!order) return cb(new Error('order not found in cache'))
var client = authedClient()
var params = {
txid: opts.order_id
}
client.api('QueryOrders', params, function (error, data) {
client.api('QueryOrders', params, function(error, data) {
if (error) {
if (error.message.match(recoverableErrors)) {
return retry('getOrder', args, error)
Expand Down Expand Up @@ -322,8 +331,8 @@ module.exports = function container(get, set, clear) {
},

// return the property used for range querying.
getCursor: function (trade) {
return Math.floor((trade.time || trade) / 1000)
getCursor: function(trade) {
return (trade.time || trade)
}
}
return exchange
Expand Down

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