feat: Extend candle info with base, counter and size (#166)

bennycode · May 4, 2020 · ea0f8cc · ea0f8cc
1 parent a41d0bb
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diff --git a/README.md b/README.md
@@ -6,7 +6,7 @@
 
 ## Motivation
 
-This project was created to continue an active **Coinbase Pro API** after Coinbase deprecated the official Node.js library on [January, 16 2020](https://github.com/coinbase/coinbase-node/issues/140#issuecomment-574990136). The official predecessor was also deprecated on [July, 19th 2016](https://github.com/coinbase/coinbase-exchange-node/commit/b8347efdb4e2589367c1395b646d283c9c391681).
+The purpose of "coinbase-pro-node" is to continue an active **Coinbase Pro API** after Coinbase deprecated the official Node.js library on [January, 16 2020](https://github.com/coinbase/coinbase-node/issues/140#issuecomment-574990136). The official predecessor got deprecated on [July, 19th 2016](https://github.com/coinbase/coinbase-exchange-node/commit/b8347efdb4e2589367c1395b646d283c9c391681).
 
 ## Features
 

diff --git a/src/demo/rest-watch-candles.ts b/src/demo/rest-watch-candles.ts
@@ -10,15 +10,15 @@ async function main(): Promise<void> {
   const client = initClient();
 
   client.rest.on(ProductEvent.NEW_CANDLE, (productId: string, granularity: CandleGranularity, candle: Candle) => {
-    console.info('Recent candle', productId, granularity, candle.openTimeString);
+    console.info('Recent candle', productId, granularity, candle.openTimeInISO);
   });
 
   // 3. Get latest candle
   const candles = await client.rest.product.getCandles(productId, {
     granularity,
   });
   const latestCandle = candles[candles.length - 1];
-  const latestOpen = latestCandle.openTimeString;
+  const latestOpen = latestCandle.openTimeInISO;
   console.info('Initial candle', productId, granularity, latestOpen);
 
   // 4. Subscribe to upcoming candles

diff --git a/src/product/ProductAPI.test.ts b/src/product/ProductAPI.test.ts
@@ -190,17 +190,19 @@ describe('ProductAPI', () => {
       });
 
       expect(candles.length).toEqual(3);
-      expect(candles[0].openTime).toEqual(1558261140000);
-      expect(candles[1].openTime).toEqual(1558261200000);
-      expect(candles[2].openTime).toEqual(1558261260000);
+      expect(candles[0].openTimeInMillis).toEqual(1558261140000);
+      expect(candles[1].openTimeInMillis).toEqual(1558261200000);
+      expect(candles[2].openTimeInMillis).toEqual(1558261260000);
+      expect(candles[2].sizeInMillis).toEqual(60000);
     });
 
     it('sorts candles ascending by timestamp', async () => {
       const from = '2020-03-09T00:00:00.000Z';
       const to = '2020-03-15T23:59:59.999Z';
+      const productId = 'BTC-USD';
 
       nock(global.REST_URL)
-        .get(`${ProductAPI.URL.PRODUCTS}/BTC-USD/candles`)
+        .get(`${ProductAPI.URL.PRODUCTS}/${productId}/candles`)
         .query(true)
         .reply(() => {
           const min = new Date(from).getTime();
@@ -214,15 +216,21 @@ describe('ProductAPI', () => {
           return [200, JSON.stringify(data)];
         });
 
-      const candles = await global.client.rest.product.getCandles('BTC-USD', {
+      const candles = await global.client.rest.product.getCandles(productId, {
         end: to,
         granularity: CandleGranularity.ONE_HOUR,
         start: from,
       });
 
+      const firstCandle = candles[0];
+
       expect(candles.length).withContext('7 days * 24 hours = 168 hours / candles').toBe(168);
-      expect(candles[0].openTimeString).withContext('Starting time of first time slice').toBe(from);
-      expect(candles[candles.length - 1].openTimeString)
+      expect(firstCandle.sizeInMillis).withContext('Candle size').toBe(3600000);
+      expect(firstCandle.base).withContext('Base asset').toBe('BTC');
+      expect(firstCandle.counter).withContext('Quote asset').toBe('USD');
+      expect(firstCandle.productId).withContext('Product ID').toBe(productId);
+      expect(firstCandle.openTimeInISO).withContext('Starting time of first time slice').toBe(from);
+      expect(candles[candles.length - 1].openTimeInISO)
         .withContext('Starting time of last time slice')
         .toBe('2020-03-15T23:00:00.000Z');
     });
@@ -317,11 +325,11 @@ describe('ProductAPI', () => {
         .and.callFake((emittedProductId: string, emittedGranularity: CandleGranularity, candle: Candle) => {
           expect(emittedProductId).toBe(productId);
           expect(emittedGranularity).toBe(granularity);
-          const {openTimeString} = candle;
-          if (openTimeString === expectedISO) {
+          const {openTimeInISO} = candle;
+          if (openTimeInISO === expectedISO) {
             done();
           } else {
-            done.fail(`Received "${openTimeString}" but expected "${expectedISO}".`);
+            done.fail(`Received "${openTimeInISO}" but expected "${expectedISO}".`);
           }
         });
 

diff --git a/src/product/ProductAPI.ts b/src/product/ProductAPI.ts
@@ -143,18 +143,26 @@ type Timestamp = number;
 type Volume = number;
 
 export interface Candle {
+  /** ID of base asset */
+  base: string;
   /** Closing price (last trade) in the bucket interval */
   close: Close;
+  /** ID of quote asset */
+  counter: string;
   /** Highest price during the bucket interval */
   high: High;
   /** Lowest price during the bucket interval */
   low: Low;
   /** Opening price (first trade) in the bucket interval */
   open: Open;
-  /** Bucket start time converted to milliseconds (note: Coinbase Pro actually uses seconds) */
-  openTime: Timestamp;
   /** Bucket start time in simplified extended ISO 8601 format */
-  openTimeString: ISO_8601_MS_UTC;
+  openTimeInISO: ISO_8601_MS_UTC;
+  /** Bucket start time converted to milliseconds (note: Coinbase Pro actually uses seconds) */
+  openTimeInMillis: number;
+  /** Product ID / Symbol */
+  productId: string;
+  /** Candle size in milliseconds */
+  sizeInMillis: number;
   /** Volume of trading activity during the bucket interval */
   volume: Volume;
 }
@@ -195,13 +203,15 @@ export class ProductAPI {
    */
   async getCandles(productId: string, params: HistoricRateRequest): Promise<Candle[]> {
     const resource = `${ProductAPI.URL.PRODUCTS}/${productId}/candles`;
-    let rawCandles: RawCandle[] = [];
 
+    const candleSizeInMillis = params.granularity * 1000;
     const potentialParams = params as HistoricRateRequestWithTimeSpan;
+
+    let rawCandles: RawCandle[] = [];
+
     if (potentialParams.start && potentialParams.end) {
       const fromInMillis = new Date(potentialParams.start).getTime();
       const toInMillis = new Date(potentialParams.end).getTime();
-      const candleSizeInMillis = params.granularity * 1000;
 
       const bucketsInMillis = CandleBucketUtil.getBucketsInMillis(fromInMillis, toInMillis, candleSizeInMillis);
       const bucketsInISO = CandleBucketUtil.getBucketsInISO(bucketsInMillis);
@@ -222,7 +232,9 @@ export class ProductAPI {
       rawCandles = response.data;
     }
 
-    return rawCandles.map(this.mapCandle).sort((a, b) => a.openTime - b.openTime);
+    return rawCandles
+      .map(candle => this.mapCandle(candle, candleSizeInMillis, productId))
+      .sort((a, b) => a.openTimeInMillis - b.openTimeInMillis);
   }
 
   /**
@@ -363,16 +375,21 @@ export class ProductAPI {
     return response.data;
   }
 
-  private mapCandle(payload: number[]): Candle {
+  private mapCandle(payload: number[], sizeInMillis: number, productId: string): Candle {
     const [time, low, high, open, close, volume] = payload;
-    const openTime = time * 1000; // Map seconds to milliseconds
+    const [base, counter] = productId.split('-');
+    const openTimeInMillis = time * 1000; // Map seconds to milliseconds
     return {
+      base,
       close,
+      counter,
       high,
       low,
       open,
-      openTime,
-      openTimeString: new Date(openTime).toISOString(),
+      openTimeInISO: new Date(openTimeInMillis).toISOString(),
+      openTimeInMillis,
+      productId: productId,
+      sizeInMillis,
       volume,
     };
   }
@@ -381,8 +398,7 @@ export class ProductAPI {
     // Emit matched candle
     this.restClient.emit(ProductEvent.NEW_CANDLE, productId, granularity, candle);
     // Cache timestamp of upcoming candle
-    const {openTime} = candle;
-    const nextOpenTime = CandleBucketUtil.addUnitISO(openTime, granularity, 1);
+    const nextOpenTime = CandleBucketUtil.addUnitISO(candle.openTimeInMillis, granularity, 1);
     this.watchCandlesConfig[productId][granularity].expectedISO = nextOpenTime;
   }
 
@@ -394,7 +410,7 @@ export class ProductAPI {
       start: expectedTimestampISO,
     });
 
-    const matches = candles.filter(candle => candle.openTimeString === expectedTimestampISO);
+    const matches = candles.filter(candle => candle.openTimeInISO === expectedTimestampISO);
     if (matches.length > 0) {
       const matchedCandle = matches[0];
       this.emitCandle(productId, granularity, matchedCandle);