Actually preroll the period store

magic8bot · Nov 27, 2020 · 3169b20 · 3169b20
1 parent e046e56
commit 3169b20
Show file tree

Hide file tree

Showing 3 changed files with 37 additions and 24 deletions.
diff --git a/src/store/period.store.ts b/src/store/period.store.ts
@@ -13,6 +13,7 @@ interface PeriodConf {
 }
 
 enum PERIOD_STATE {
+  PREROLL,
   STOPPED,
   RUNNING,
 }
@@ -40,10 +41,14 @@ export class PeriodStore {
     /* istanbul ignore next */
     if (this.periods.has(idStr)) return
 
+    logger.debug(`Adding ${idStr} to period store.`)
+
     this.periods.set(idStr, [])
     this.periodConfigs.set(idStr, conf)
     this.tradeEventTimeouts.set(idStr, null)
 
+    this.periodStates.set(idStr, PERIOD_STATE.PREROLL)
+
     const tradeListener: EventBusListener<Trade> = eventBus.get(EVENT.XCH_TRADE)(exchange)(symbol).listen
     /* istanbul ignore next */
     tradeListener((trade: Trade) => this.addTrade(idStr, trade))
@@ -57,7 +62,10 @@ export class PeriodStore {
     const idStr = this.makeIdStr(storeOpts)
     this.periodStates.set(idStr, PERIOD_STATE.RUNNING)
 
-    this.periodTimer.set(idStr, setTimeout(() => this.publishPeriod(idStr), this.getPeriodTimeout(idStr)))
+    this.periodTimer.set(
+      idStr,
+      setTimeout(() => this.publishPeriod(idStr), this.getPeriodTimeout(idStr))
+    )
   }
 
   public stop(storeOpts: StoreOpts) {
@@ -66,21 +74,19 @@ export class PeriodStore {
   }
 
   public addTrade(idStr: string, trade: Trade) {
-    if (this.periodStates.get(idStr) !== PERIOD_STATE.RUNNING) return
+    const periodState = this.periodStates.get(idStr)
+
+    if (periodState === PERIOD_STATE.STOPPED) return
 
     const { period } = this.periodConfigs.get(idStr)
     const periods = this.periods.get(idStr)
     const { amount, price, timestamp } = trade
-    const bucket = timebucket(timestamp)
-      .resize(period)
-      .toMilliseconds()
+    const bucket = timebucket(timestamp).resize(period).toMilliseconds()
 
     // aka prerolled data
     const tradeBasedPeriodChange = !periods.length || periods[0].time < bucket
 
-    if (tradeBasedPeriodChange) {
-      this.newPeriod(idStr, bucket)
-    }
+    if (tradeBasedPeriodChange) this.newPeriod(idStr, bucket)
 
     // special handling if the trade is the first within the period
     if (!periods[0].open) periods[0].open = price
@@ -125,7 +131,7 @@ export class PeriodStore {
    * @param idStr period identifier
    */
   private emitTrades(idStr: string) {
-    if (this.periodStates.get(idStr) !== PERIOD_STATE.RUNNING) return
+    if (this.periodStates.get(idStr) === PERIOD_STATE.STOPPED) return
 
     if (this.tradeEventTimeouts.has(idStr)) return
     const fn = () => this.emitTradeImmediate(idStr)
@@ -138,7 +144,7 @@ export class PeriodStore {
    * @param idStr period identifier
    */
   private emitTradeImmediate(idStr: string) {
-    if (this.periodStates.get(idStr) !== PERIOD_STATE.RUNNING) return
+    if (this.periodStates.get(idStr) === PERIOD_STATE.STOPPED) return
 
     const periods = this.periods.get(idStr)
     this.updateEmitters.get(idStr)([...periods])
@@ -168,7 +174,7 @@ export class PeriodStore {
 
   /* istanbul ignore next */
   private checkPeriodWithoutTrades(idStr: string) {
-    if (this.periodStates.get(idStr) !== PERIOD_STATE.RUNNING) return
+    if (this.periodStates.get(idStr) === PERIOD_STATE.STOPPED) return
 
     const periods = this.periods.get(idStr)
     if (periods.length < 2) return
@@ -191,7 +197,7 @@ export class PeriodStore {
   /* istanbul ignore next */
   private publishPeriod(idStr: string) {
     clearTimeout(this.periodTimer.get(idStr))
-    if (this.periodStates.get(idStr) !== PERIOD_STATE.RUNNING) return
+    if (this.periodStates.get(idStr) === PERIOD_STATE.STOPPED) return
 
     this.checkPeriodWithoutTrades(idStr)
     // Publish period to event bus

diff --git a/src/store/trade.store.ts b/src/store/trade.store.ts
@@ -2,6 +2,7 @@ import { Trade } from 'ccxt'
 import { EventBusEmitter } from '@magic8bot/event-bus'
 import { dbDriver, eventBus, EVENT } from '@lib'
 import { StoreOpts } from '@m8bTypes'
+import { logger } from '../util'
 
 const singleton = Symbol()
 
@@ -22,6 +23,8 @@ export class TradeStore {
     /* istanbul ignore next */
     if (this.tradesMap.has(idStr)) return
 
+    logger.debug(`Adding ${idStr} to trade store.`)
+
     this.tradesMap.set(idStr, 0)
     this.emitters.set(idStr, eventBus.get(EVENT.XCH_TRADE)(exchange)(symbol).emit)
   }
@@ -43,7 +46,10 @@ export class TradeStore {
 
   public async insertTrades({ exchange, symbol }: StoreOpts, newTrades: Trade[]) {
     try {
-      await dbDriver.trade.insertMany(newTrades.map((trade) => ({ ...trade, exchange, symbol })), { ordered: false })
+      await dbDriver.trade.insertMany(
+        newTrades.map((trade) => ({ ...trade, exchange, symbol })),
+        { ordered: false }
+      )
     } catch {
       // ヽ(。_°)ノ
     }

diff --git a/src/strategy/strategies/macd/macd.ts b/src/strategy/strategies/macd/macd.ts
@@ -132,8 +132,10 @@ export class Macd extends BaseStrategy<MacdOptions, { rsi: number; signal: numbe
     // prettier-ignore
     const { periods: [{ signal, rsi }] } = this
 
-    /* istanbul ignore next */
-    logger.debug(`calculated: ${JSON.stringify({ rsi: rsi !== null ? rsi.toPrecision(4) : null, signal: signal !== null ? signal.toPrecision(6) : null })}`)
+    if (!this.isPreroll) {
+      /* istanbul ignore next */
+      logger.debug(`calculated: ${JSON.stringify({ rsi: rsi !== null ? rsi.toPrecision(4) : null, signal: signal !== null ? signal.toPrecision(6) : null })}`)
+    }
 
     return { rsi, signal }
   }
@@ -172,8 +174,6 @@ export class Macd extends BaseStrategy<MacdOptions, { rsi: number; signal: numbe
 
     const { rsi, avgGain, avgLoss } = RSI.calculate(preAvgGain, preAvgLoss, periods, this.options.overboughtRsiPeriods)
 
-    logger.debug(JSON.stringify({ rsi, avgGain, avgLoss, preAvgGain, preAvgLoss }))
-
     this.periods[0].rsi = rsi
     this.periods[0].avgGain = avgGain
 
@@ -182,21 +182,22 @@ export class Macd extends BaseStrategy<MacdOptions, { rsi: number; signal: numbe
   }
 
   public onPeriod() {
-    logger.debug(`Periods: ${this.periods.length}`)
-
     /* istanbul ignore next */
     const signal = this.overboughtSell() ? 'sell' : this.getSignal()
     /* istanbul ignore next */
-    if (this.periods.length) {
-      logger.debug(
-        `
+    if (!this.isPreroll) {
+      if (this.periods.length) {
+        logger.debug(
+          `
         MACD: ${this.periods[0].macd ? this.periods[0].macd.toPrecision(5) : null}
         EMA: ${this.periods[0].emaMacd ? this.periods[0].emaMacd.toPrecision(5) : null}
         Signal: ${this.periods[0].signal ? this.periods[0].signal.toPrecision(6) : null}
         RSI ${this.periods[0].rsi ? this.periods[0].rsi.toPrecision(4) : null}`
-      )
+        )
+      }
+
+      logger.verbose(`Period finished => Signal: ${signal === null ? 'no signal' : signal}`)
     }
-    logger.verbose(`Period finished => Signal: ${signal === null ? 'no signal' : signal}`)
     this.newPeriod()
     return signal
   }