Calculate Ohlcvs From Trades Warmup

'use strict';

import ccxt from '../../js/ccxt.js';

console.log ('CCXT Version:', ccxt.version);


let ohlcvs = {};

async function log (exchange, symbol, timeframe) {
   const market = exchange.market (symbol);
   const duration = exchange.parseTimeframe (timeframe) * 1000;
   console.log (exchange.iso8601 (exchange.milliseconds ()), 'Warming up, waiting for at least one trade...');
   while (!Object.keys (ohlcvs).length) {
       await exchange.throttle (1);
   }
   let now = exchange.milliseconds ();
   const start = (Math.floor (now / duration) + 1) * duration;
   console.log (exchange.iso8601 (exchange.milliseconds ()), 'Trades started arriving, waiting till', exchange.iso8601 (start));
   await exchange.sleep (start - now);
   console.log (exchange.iso8601 (exchange.milliseconds ()), 'Done warming up');
   for (let i = 0;; i++) {
       now = exchange.milliseconds ();
       let candle: any = Object.values (ohlcvs)[0];
       console.log ('');
       console.log (exchange.iso8601 (now), '------------------------------------------------------');
       console.log ('Datetime                ', 'Timestamp    ', ...[ 'Open', 'High', 'Low', 'Close', market['base'], market['quote'] ].map ((x: any) => x.toString ().padEnd (10, ' ')));
       for (let j = start; j < now; j += duration) {
           if (!(j in ohlcvs)) {
               ohlcvs[j] = [ j, candle[4], candle[4], candle[4], candle[4], 0, 0 ];
           }
           candle = exchange.safeValue (ohlcvs, j);
           console.log (exchange.iso8601 (j), ...candle.map (x => x.toString ().padEnd (10, ' ')));
       }
       ohlcvs = exchange.indexBy (Object.values (ohlcvs).slice (-1000), 0);
       await exchange.sleep (1000);
   }
}

async function watch (exchange, symbol, timeframe) {
   console.log ('Starting', exchange.id, symbol);
   const duration = exchange.parseTimeframe (timeframe) * 1000;
   while (true) {
       try {
           const trades = await exchange.watchTrades (symbol);
           for (const trade of trades) { // eslint-disable-line
               const timestamp = Math.floor (trade['timestamp'] / duration) * duration;
               let candle = exchange.safeValue (ohlcvs, timestamp);
               if (candle) {
                   candle[2] = Math.max (trade['price'], candle[2]);
                   candle[3] = Math.min (trade['price'], candle[3]);
                   candle[4] = trade['price'];
                   candle[5] = exchange.parseNumber (exchange.amountToPrecision (symbol, trade['amount'] + candle[5]));
                   candle[6] = exchange.parseNumber (exchange.costToPrecision (symbol, trade['cost'] + candle[6]));
               } else {
                   candle = [
                       timestamp,
                       trade['price'],
                       trade['price'],
                       trade['price'],
                       trade['price'],
                       exchange.parseNumber (exchange.amountToPrecision (symbol, trade['amount'])),
                       exchange.parseNumber (exchange.costToPrecision (symbol, trade['cost'])),
                   ];
               }
               ohlcvs[timestamp] = candle;
           }
       } catch (e: any) {
           console.log (e.constructor.name, e.message);
       }
   }
}

async function main () {
   const symbol = 'BTC/USDT';
   const exchange = new ccxt.pro.binance ({ 'newUpdates': true });
   await exchange.loadMarkets ();
   const timeframe = '1m';
   await Promise.all ([ watch (exchange, symbol, timeframe), log (exchange, symbol, timeframe) ]);
   await exchange.close ();
}

main ();