672 lines
20 KiB
JavaScript
672 lines
20 KiB
JavaScript
import {convertTvResolution, loadOHLC} from './ohlc.js';
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import {metadata} from "@/version.js";
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import FlexSearch from "flexsearch";
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import {useChartOrderStore} from "@/orderbuild.js";
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import {useStore} from "@/store/store.js";
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import {subOHLC, unsubOHLC} from "@/blockchain/ohlcs.js";
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import {ohlcStart} from "@/charts/chart-misc.js";
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import {timestamp} from "@/misc.js";
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const DEBUG_LOGGING = false
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const log = DEBUG_LOGGING ? console.log : ()=>{}
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// this file manages connecting data to TradingView using their DataFeed API.
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// https://www.tradingview.com/charting-library-docs/latest/connecting_data/Datafeed-API/#integrate-datafeed-api
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// see ohlc.js for fetching dexorder ohlc files
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// in order of priority
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const quoteSymbols = [
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'USDT',
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'USDC',
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'TUSD',
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'GUSD',
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'BUSD',
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'MUSD',
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'DAI',
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'CRVUSD',
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'EURC',
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'EURS',
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'EURI',
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'WBTC',
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'WETH',
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]
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let feeDropdown = null
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let widget = null
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// Python code to generate VARIABLE_TICK_SIZE:
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// from decimal import Decimal
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// K=12 # powers above and below to include
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// D=5 # number of significant digits to display
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// ' '.join(f'{Decimal(10)**(k-D):f} {Decimal(10)**k:f}' for k in range(-K,K+1))+f' {Decimal(10)**(K+1-D)}'
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const VARIABLE_TICK_SIZE = '0.00000000000000001 0.000000000001 0.0000000000000001 0.00000000001 0.000000000000001 0.0000000001 0.00000000000001 0.000000001 0.0000000000001 0.00000001 0.000000000001 0.0000001 0.00000000001 0.000001 0.0000000001 0.00001 0.000000001 0.0001 0.00000001 0.001 0.0000001 0.01 0.000001 0.1 0.00001 1 0.0001 10 0.001 100 0.01 1000 0.1 10000 1 100000 10 1000000 100 10000000 1000 100000000 10000 1000000000 100000 10000000000 1000000 100000000000 10000000 1000000000000 100000000'
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export function initFeeDropdown(w) {
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widget = w
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widget.createDropdown(
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{
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title: 'Fees',
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tooltip: 'Choose Fee Tier',
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items: [/*{title: 'Automatic Fee Selection', onSelect: () => {log('autofees')}}*/],
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icon: `<svg xmlns="http://www.w3.org/2000/svg" width="28" height="28"><g fill="none" stroke="currentColor"><circle cx="10" cy="10" r="2.5"/><circle cx="18" cy="18" r="2.5"/><path stroke-linecap="square" d="M17.5 7.5l-7 13"/></g></svg>`,
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}
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).then(dropdown => {feeDropdown = dropdown; updateFeeDropdown()})
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}
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function updateFeeDropdown() {
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if (feeDropdown===null) return
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const symbolItem = useChartOrderStore().selectedSymbol
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let items
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if (symbolItem===null)
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items = [{title: '0.00%'}]
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else {
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items = symbolItem.pools.map((p)=> {
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return {
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title: (p[1]/10000).toFixed(2)+'%',
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onSelect: ()=>selectPool(p),
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}
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})
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}
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feeDropdown.applyOptions({items})
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}
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function selectPool(p) {
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const co = useChartOrderStore();
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if ( co.selectedPool === null || co.selectedPool[0] !== p[0] || co.selectedPool[1] !== p[1]) {
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co.selectedPool = p
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}
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}
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const lastBarsCache = new Map();
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// DatafeedConfiguration implementation
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const configurationData = {
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// Represents the resolutions for bars supported by your datafeed
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supported_resolutions:
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['1', '3', '5', '10', '15', '30', '60', '120', '240', '480', '720', '1D', '2D', '3D', '1W'],
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// The `exchanges` arguments are used for the `searchSymbols` method if a user selects the exchange
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exchanges: [
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// {
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// value: 'UNIv2',
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// name: 'Uniswap v2',
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// desc: 'Uniswap v2',
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// },
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{
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value: 'UNIv3',
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name: 'Uniswap v3',
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desc: 'Uniswap v3',
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logo: 'https://upload.wikimedia.org/wikipedia/commons/e/e7/Uniswap_Logo.svg',
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},
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],
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// The `symbols_types` arguments are used for the `searchSymbols` method if a user selects this symbol type
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symbols_types: [
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{name: 'swap', value: 'swap',},
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],
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};
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const tokenMap = {}
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const poolMap = {}
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let _symbols = null // keyed by the concatenated hex addrs of the token pair e.g. '0xf3Ed85D882b5d9A67fC10dBf8f9AA991212983aA' + '0x6cdC5106DC100115E6C310539Fe44a61b3EEa6C4'
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const indexer = new FlexSearch.Document({
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document: {id: 'id', index: ['fn', 'as[]', 'b', 'q', 'bs', 'qs', 'e', 'd']}, // this must match what is generated for the index object in addSymbol()
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charset: {split: /\W+/},
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tokenize: 'forward',
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})
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const indexes = {}
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const symbolsSeen = {} // keyed by (base,quote) so we only list one pool per pair even if there are many fee tiers
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// todo add chainIds to all these keys
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function addSymbol(p, base, quote, inverted) {
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const symbol = base.s + quote.s
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const exchange = ['UNIv2', 'UNIv3'][p.e]
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const full_name = exchange + ':' + symbol // + '%' + formatFee(fee)
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const key = `${base.a}/${quote.a}`
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log('addSymbol', p, base, quote, inverted, key)
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if (symbolsSeen[key]) {
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// add this pool's address to the existing symbol as an additional fee tier
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const symbolInfo = _symbols[key];
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symbolInfo.pools.push([p.a, p.f])
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symbolInfo.pools.sort((a,b)=>a[1]-b[1])
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log('integrated symbol', symbolInfo)
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indexes[key].as.push(p.a)
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return
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}
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symbolsSeen[key] = true
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const longExchange = ['Uniswap v2', 'Uniswap v3',][p.e]
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const description = `${base.n} / ${quote.n}`
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const type = 'swap'
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const pools = [[p.a, p.f]]
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const decimals = p.d
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_symbols[key] = {
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ticker: key, full_name, symbol, description,
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exchange, type, inverted, base, quote, pools, decimals, x:p.x
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}
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if (defaultSymbol===null)
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defaultSymbol = _symbols[key]
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log('new symbol', key, _symbols[key])
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indexes[key] = {
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// key
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id: key,
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// addresses
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as: [p.a], // multiple pool addrs for each fee tier
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b: p.b,
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q: p.q,
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// symbols
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fn: full_name,
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bs: base.s,
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qs: quote.s,
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e: exchange + ' ' + longExchange,
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d: description,
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}
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}
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// function formatFee(fee) {
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// let str = (fee / 10000).toFixed(2);
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// if (str.startsWith('0')) // start with the decimal point not a zero
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// str = str.slice(1)
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// return str
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// }
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function getAllSymbols() {
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if (_symbols===null) {
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const chainId = useStore().chainId;
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const md = metadata[chainId]
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if(!md) {
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log('could not get metadata for chain', chainId)
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return []
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}
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_symbols = {}
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for (const t of md.t)
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tokenMap[t.a] = t
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md.p.forEach((p)=>{
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poolMap[p.a] = p
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const base = tokenMap[p.b];
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const quote = tokenMap[p.q];
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if (!base) {
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log(`No token ${p.b} found`)
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return
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}
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if (!quote) {
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log(`No token ${p.q} found`)
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return
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}
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// todo check quotes symbol list for inversion hint
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let basePriority = quoteSymbols.indexOf(base.s)
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let quotePriority = quoteSymbols.indexOf(quote.s)
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if (basePriority === -1)
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basePriority = Number.MAX_SAFE_INTEGER
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if (quotePriority === -1)
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quotePriority = Number.MAX_SAFE_INTEGER
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const showInverted = basePriority < quotePriority
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if (showInverted)
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addSymbol(p, quote, base, true);
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else
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addSymbol(p, base, quote, false);
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})
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log('indexes', indexes)
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Object.values(indexes).forEach(indexer.add.bind(indexer))
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}
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log('symbols', _symbols)
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return _symbols
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}
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export function lookupSymbol(key) { // lookup by fullname
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return getAllSymbols()[key]
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}
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function checkBar(bar, msg) {
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// Everything should be positive
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let o_l = bar.open - bar.low
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let c_l = bar.close - bar.low
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let h_o = bar.high - bar.open
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let h_c = bar.high - bar.close
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let h_l = bar.high - bar.low
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if (o_l<0||c_l<0||h_o<0||h_c<0||h_l<0) {
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log(msg, "bar.high/low inconsistent:", bar)
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if (o_l<0) log("bar inconsistent: open-low: ", o_l)
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if (c_l<0) log("bar inconsistent: close-low: ", c_l)
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if (h_o<0) log("bar inconsistent: high-open: ", h_o)
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if (h_c<0) log("bar inconsistent: high-close:", h_c)
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if (h_l<0) log("bar inconsistent: high-low: ", h_l)
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} else {
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log(msg, "bar diffs:", bar)
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log("bar diff: open-low: ", o_l)
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log("bar diff: close-low: ", c_l)
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log("bar diff: high-open: ", h_o)
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log("bar diff: high-close:", h_c)
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log("bar diff: high-low: ", h_l)
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}
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}
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function invertOhlcs(bars) {
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const result = []
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for (const bar of bars) {
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const h = bar.high
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result.push({
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time: bar.time,
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open: 1/bar.open,
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high: 1/bar.low,
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low: 1/h,
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close: 1/bar.close,
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})
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}
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return result
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}
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const subByTvSubId = {}
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const subByKey = {}
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class RealtimeSubscription {
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constructor(chainId, poolAddr, res, symbol, tvSubId, onRealtimeCb, onResetCacheCb ) {
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this.chainId = chainId
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this.poolAddr = poolAddr
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this.res = res
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this.symbol = symbol
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this.tvSubId = tvSubId
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this.onRealtimeCb = onRealtimeCb
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this.onResetCacheCb = onResetCacheCb
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this.key = `${chainId}|${poolAddr}|${res.name}`
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subByTvSubId[this.tvSubId] = this
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subByKey[this.key] = this
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}
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close() {
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delete subByTvSubId[this.tvSubId]
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delete subByKey[this.key]
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}
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}
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export const DataFeed = {
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onReady(callback) {
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log('[onReady]: Method call');
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setTimeout(() => callback(configurationData));
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},
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async searchSymbols(
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userInput,
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exchange,
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symbolType,
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onResultReadyCallback,
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) {
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log('[searchSymbols]: Method call');
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// todo limit results by exchange. use a separate indexer per exchange?
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const found = indexer.search(userInput, 10)
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log('found', found)
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const result = []
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for (const f of found)
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for (const key of f.result)
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result.push(_symbols[key])
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onResultReadyCallback(result);
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},
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async resolveSymbol(
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symbolName,
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onSymbolResolvedCallback,
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onResolveErrorCallback,
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extension
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) {
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setTimeout(async ()=>
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await this.doResolveSymbol(symbolName,onSymbolResolvedCallback,onResolveErrorCallback,extension),
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0)
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},
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async doResolveSymbol(
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symbolName,
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onSymbolResolvedCallback,
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onResolveErrorCallback,
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extension
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) {
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log('[resolveSymbol]: Method call', symbolName);
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const symbols = getAllSymbols();
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const symbolItem = symbolName === 'default' ? defaultSymbol : symbols[symbolName]
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log('symbol resolved?', symbolItem)
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if (!symbolItem) {
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log('[resolveSymbol]: Cannot resolve symbol', symbolName);
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onResolveErrorCallback('cannot resolve symbol');
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return;
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}
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const co = useChartOrderStore();
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co.selectedSymbol = symbolItem
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const pool = symbolItem.pools[0]; // choose the first-listed pool. server will adjust metadata accordingly.
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// noinspection JSValidateTypes
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co.selectedPool = pool
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updateFeeDropdown()
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const priceScale = '100'
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// LibrarySymbolInfo
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// https://www.tradingview.com/charting-library-docs/latest/api/interfaces/Charting_Library.LibrarySymbolInfo
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const symbolInfo = {
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ticker: symbolItem.ticker,
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name: symbolItem.symbol,
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pro_name: symbolItem.full_name,
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// we add the fee to the description after the specific pool has been resolved
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description: symbolItem.description + ` ${(pool[1] / 10000).toFixed(2)}%`,
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type: symbolItem.type,
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session: '24x7',
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timezone: 'Etc/UTC',
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exchange: symbolItem.exchange,
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minmov: .00000000000000001,
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pricescale: 1,
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variable_tick_size: VARIABLE_TICK_SIZE,
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has_intraday: true, // Added to allow less than one day to work
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visible_plots_set: 'ohlc',
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has_weekly_and_monthly: true, // Added to allow greater than one day to work
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supported_resolutions: configurationData.supported_resolutions,
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// volume_precision: 2,
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data_status: 'streaming',
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};
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log('[resolveSymbol]: Symbol resolved', symbolName);
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onSymbolResolvedCallback(symbolInfo)
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},
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async getBars(symbolInfo, resolution, periodParams, onHistoryCallback, onErrorCallback) {
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const { from, to, firstDataRequest } = periodParams;
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log('[getBars]: Method call', symbolInfo, resolution, from, to);
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try {
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// todo need to consider the selected fee tier
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const [poolAddr, poolFee] = useChartOrderStore().selectedPool;
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await getAllSymbols()
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const symbol = lookupSymbol(symbolInfo.ticker);
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const res = convertTvResolution(resolution)
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const key = `${useStore().chainId}|${poolAddr}|${res.name}`
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let bars = await loadOHLC(symbol, poolAddr, from, to, resolution); // This is the one that does all the work
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this.updatePushedCache(key, bars)
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if (symbol.inverted)
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bars = invertOhlcs(bars)
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log(`[getBars]: returned ${bars.length} bar(s), and metadata ${metadata}`);
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log('[getBars]: bars=', bars);
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// noData should be set only if no bars are in the requested period and earlier.
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// In our case, we are guaranteed to have contiguous samples.
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// So we only return no bars (bars.length==0) if:
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// 1. period is entirely before first data available.
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// 2. period is entirely after last data available.
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// Returning noData based on bars.length works perfectly assuming that TV never asks for case 2.
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// This is probably not a safe assumption. The alternative would be to search
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// backward to find beginning of history. How far to search?
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const noData = bars.length === 0;
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onHistoryCallback(bars, {noData});
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} catch (error) {
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log('[getBars]: Get error', error);
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onErrorCallback(error);
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}
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},
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subscribeBarsOnRealtimeCallback: null,
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subscribeBars(
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symbolInfo,
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resolution,
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onRealtimeCallback2,
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subscriberUID,
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onResetCacheNeededCallback,
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) {
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const oldCb = onRealtimeCallback2
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function onRealtimeCallback() {
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log('push bar', ...arguments)
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oldCb(...arguments)
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}
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log('[subscribeBars]', symbolInfo, resolution, subscriberUID);
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const symbol = getAllSymbols()[symbolInfo.full_name]
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const co = useChartOrderStore()
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// todo redo symbolInfo: the full_name passed to TV should just be the pool addr. when searching a symbol, go ahead and select the first/most liquid automatically
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let poolAddr = null
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const selectedFee = co.selectedPool[1];
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for (const [addr, fee] of symbol.pools) {
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if (fee === selectedFee) {
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poolAddr = addr
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break
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}
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}
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if (poolAddr===null) {
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console.error(`Could not find pool for fee ${selectedFee}: ${symbol.pools}`)
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return
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}
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const chainId = useStore().chainId;
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const res = convertTvResolution(resolution)
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const period = res.name
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console.log('subscription symbol', symbol, getAllSymbols())
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const sub = new RealtimeSubscription(chainId, poolAddr, res, symbol, subscriberUID, onRealtimeCallback, onResetCacheNeededCallback)
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log('sub', sub.key)
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subOHLC(chainId, poolAddr, period)
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this.startOHLCBumper()
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},
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unsubscribeBars(subscriberUID) {
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log('[unsubscribeBars]', subscriberUID);
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const sub = subByTvSubId[subscriberUID]
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if (sub===undefined) {
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console.log(`warning: no subscription found for tvSubId ${subscriberUID}`)
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return
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}
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unsubOHLC(sub.chainId, sub.poolAddr, sub.res.name)
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log('unsub',sub.key)
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sub.close()
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delete this.pushedBars[sub.key]
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delete this.recentBars[sub.key]
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},
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// key-value format:
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// 'chain|pool|period': [[javatime, open, high, low, close], ...]
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pushedBars: {}, // bars actually sent to TradingView
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recentBars:{}, // bars received from server notifications
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pushRecentBars(key, recent) {
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this.recentBars[key] = recent
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const historical = this.pushedBars[key]
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if (historical!==undefined)
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this.overlapAndPush(key, recent)
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},
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overlapAndPush(key, ohlcs) {
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log('overlapAndPush',key,ohlcs)
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if (!ohlcs || ohlcs.length === 0) return
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const sub = subByKey[key]
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// do not check reorgs on mock symbols because the dev environment price will be different from the main chain
|
|
// price and reorgs would happen every time.
|
|
const checkReorg = sub.symbol.x?.data === undefined
|
|
const res = sub.res
|
|
const period = res.seconds * 1000
|
|
const bars = [] // to push
|
|
const pushed = this.pushedBars[key]
|
|
log('got pushed bars', pushed)
|
|
let pi = 0 // pushed index
|
|
let time
|
|
let price
|
|
if (pushed === undefined) {
|
|
time = ohlcs[0].time
|
|
price = ohlcs[0].close
|
|
}
|
|
else {
|
|
const last = pushed.length - 1
|
|
time = pushed[last].time
|
|
price = pushed[last].close
|
|
}
|
|
log('last time/price', time, price)
|
|
for( const ohlc of ohlcs ) {
|
|
log('handle ohlc', ohlc)
|
|
// forward the pi index to at least the current ohlc time
|
|
while( pi < pushed.length && pushed[pi].time < ohlc.time ) pi++
|
|
|
|
if (pi < pushed.length-1) {
|
|
// finalized bars must match the previous push exactly or else there was a reorg and we need to reset
|
|
const p = pushed[pi]
|
|
log('check reorg', checkReorg, pi, p, ohlc)
|
|
if (checkReorg &&
|
|
(p.time !== ohlc.time || p.open !== ohlc.open || p.high !== ohlc.high ||
|
|
p.low !== ohlc.low || p.close !== ohlc.close) )
|
|
{
|
|
console.log('RESET TV CACHE')
|
|
return this.resetCache(key)
|
|
}
|
|
}
|
|
else {
|
|
// the last pushed bar and anything after it can be sent to TV
|
|
while (time + period < ohlc.time) {
|
|
// fill gap
|
|
time += period
|
|
const bar = {time, open: price, high: price, low: price, close: price};
|
|
log('fill', bar)
|
|
bars.push(bar)
|
|
}
|
|
bars.push(ohlc)
|
|
time = ohlc.time
|
|
price = ohlc.close
|
|
}
|
|
}
|
|
return this.pushToTV(key, bars)
|
|
},
|
|
|
|
|
|
resetCache(key) {
|
|
log('resetting TV data cache')
|
|
const sub = subByKey[key]
|
|
if (sub===undefined) {
|
|
console.log(`warning: no subscription found for dexorder key ${key}`)
|
|
return
|
|
}
|
|
sub.onResetCacheCb()
|
|
},
|
|
|
|
|
|
updatePushedCache(key, ohlcs) {
|
|
log('updatePushedCache', key, ohlcs)
|
|
if (!(key in this.pushedBars))
|
|
this.pushedBars[key] = ohlcs
|
|
else {
|
|
const prev = this.pushedBars[key]
|
|
log('prev pushed', prev)
|
|
const endTime = prev[prev.length - 1].time;
|
|
if (endTime === ohlcs[0].time)
|
|
// the new ohlc's overlap the old time, so exclude the most recent historical item, which gets replaced
|
|
this.pushedBars[key] = [...prev.slice(0, -1), ...ohlcs]
|
|
else if (endTime <= ohlcs[ohlcs.length-1].time) {
|
|
// no overlap of any bars. full append.
|
|
this.pushedBars[key] = [...prev, ...ohlcs]
|
|
}
|
|
// otherwise the ohlc's being pushed are =>older<= than the ones in the pushedBars cache. This happens
|
|
// because TV can request data pages (using getBars()) out of chronological order.
|
|
}
|
|
},
|
|
|
|
|
|
pushToTV(key, ohlcs) {
|
|
if (ohlcs.length===0) return
|
|
log('pushing bars to tv', ohlcs)
|
|
this.updatePushedCache(key, ohlcs); // we cache the raw bars before inversion so they match dexorder data sources
|
|
const sub = subByKey[key]
|
|
if (sub===undefined) {
|
|
console.log(`warning: could not find subscription for dexorder sub key ${key}`)
|
|
return
|
|
}
|
|
if (sub.symbol.inverted)
|
|
ohlcs = invertOhlcs(ohlcs)
|
|
for (const ohlc of ohlcs)
|
|
sub.onRealtimeCb(ohlc)
|
|
},
|
|
|
|
|
|
poolCallback(chainId, poolPeriod, ohlcs) {
|
|
if (!ohlcs || ohlcs.length===0) return
|
|
const key = `${chainId}|${poolPeriod}`;
|
|
const bars = []
|
|
for (const ohlc of ohlcs) {
|
|
let close = parseFloat(ohlc[4]) // close
|
|
const bar = {
|
|
time: ohlc[0] * 1000,
|
|
open: ohlc[1] ? parseFloat(ohlc[1]) : close, // open
|
|
high: ohlc[2] ? parseFloat(ohlc[2]) : close, // high
|
|
low: ohlc[3] ? parseFloat(ohlc[3]) : close, // low
|
|
close: close,
|
|
}
|
|
bars.push(bar)
|
|
}
|
|
return this.pushRecentBars(key, bars)
|
|
},
|
|
|
|
intervalChanged(seconds) {
|
|
// rollover bumper
|
|
// this timer function creates a new bar when the period rolls over
|
|
this.startOHLCBumper()
|
|
},
|
|
|
|
// The OHLC bumper advances bars at the end of the period. If the price doesn't change, no new data will arrive, so the
|
|
// new bar is implicit and must be generated dynamically.
|
|
|
|
startOHLCBumper() {
|
|
const co = useChartOrderStore()
|
|
if (_rolloverBumper !== null)
|
|
clearTimeout(_rolloverBumper)
|
|
const period = co.intervalSecs;
|
|
if (period === 0)
|
|
return
|
|
const now = Date.now()
|
|
const nextRollover = ohlcStart(now/1000 + period)*1000 + 2000 // two second delay to wait for server data
|
|
const delay = nextRollover - now
|
|
_rolloverBumper = setTimeout(this.bumpOHLC.bind(this), delay)
|
|
},
|
|
|
|
bumpOHLC() {
|
|
log('bumpOHLC')
|
|
_rolloverBumper = null
|
|
const secs = useChartOrderStore().intervalSecs;
|
|
for (const sub of Object.values(subByKey)) {
|
|
log('check bump', sub.res.seconds, secs)
|
|
if (sub.res.seconds === secs) {
|
|
const pushed = this.pushedBars[sub.key]
|
|
log('check pushed', pushed)
|
|
if (pushed !== undefined && pushed.length > 0) {
|
|
const lastBar = pushed[pushed.length - 1]
|
|
const price = lastBar.close
|
|
const now = timestamp() * 1000
|
|
const period = sub.res.seconds * 1000
|
|
const fills = []
|
|
for( let time=lastBar.time + period; time < now; time += period ) {
|
|
log('pushing bump', time, price)
|
|
const bar = {time, open: price, high: price, low: price, close: price}
|
|
fills.push(bar)
|
|
}
|
|
this.pushToTV(sub.key, fills)
|
|
}
|
|
else {
|
|
log('warning: bumpOHLC() found no previous bars')
|
|
}
|
|
}
|
|
}
|
|
this.startOHLCBumper()
|
|
},
|
|
|
|
}
|
|
|
|
|
|
let _rolloverBumper = null
|
|
let defaultSymbol = null
|