CCXT Historical Data Retrieval Methods + Tests

package.json

@@ -1,6 +1,6 @@
 {
   "name": "gdax-trading-toolkit",
-  "version": "0.1.18",
+  "version": "0.1.19",
   "description": "A trading toolkit for building advanced trading bots on the GDAX platform",
   "main": "build/src/index.js",
   "types": "build/src/index.d.ts",
@@ -50,7 +50,7 @@
     "@types/ws": "0.0.37",
     "bignumber.js": "4.0.2",
     "bintrees": "1.0.1",
-    "ccxt": "^1.6.72",
+    "ccxt": "^1.9.186",
     "commander": "2.9.0",
     "crypto": "0.0.3",
     "gdax": "0.3.1",

src/exchanges/ccxt/index.ts

@@ -13,14 +13,14 @@
  **********************************************************************************************************************/
 
 import * as ccxt from 'ccxt';
-import { CCXTMarket, CCXTOrderbook } from 'ccxt';
+import { CCXTHistTrade, CCXTMarket, CCXTOHLCV, CCXTOrderbook } from 'ccxt';
 import { Product, PublicExchangeAPI, Ticker } from '../PublicExchangeAPI';
 import { AuthenticatedExchangeAPI, Balances } from '../AuthenticatedExchangeAPI';
 import { CryptoAddress, ExchangeTransferAPI, TransferRequest, TransferResult, WithdrawalRequest } from '../ExchangeTransferAPI';
 import { ExchangeAuthConfig } from '../AuthConfig';
 import { Big, BigJS } from '../../lib/types';
 import { BookBuilder } from '../../lib/BookBuilder';
-import { PlaceOrderMessage } from '../../core/Messages';
+import { PlaceOrderMessage, TradeMessage } from '../../core/Messages';
 import { Level3Order, LiveOrder } from '../../lib/Orderbook';
 import { Logger } from '../../utils/Logger';
 
@@ -337,4 +337,30 @@ export default class CCXTExchangeWrapper implements PublicExchangeAPI, Authentic
     transfer(cur: string, amount: BigJS, from: string, to: string, options: any): Promise<TransferResult> {
         throw new Error('Not implemented yet');
     }
+
+    /**
+     * Attempts to fetch historical trade data from the exchange and return it in
+     */
+    async fetchHistTrades(symbol: string, params?: {}): Promise<TradeMessage[]> {
+        const sourceSymbol = await this.getSourceSymbol(symbol);
+        const rawTrades: CCXTHistTrade[] = await this.instance.fetchTrades(sourceSymbol, params);
+        return rawTrades.map(({ info, id, timestamp, datetime, symbol: _symbol, order, type, side, price, amount }) => ({
+            type: 'trade' as 'trade',
+            time: new Date(timestamp),
+            productId: _symbol,
+            side,
+            tradeId: id,
+            price: price.toString(),
+            size: amount.toString(),
+        }));
+    }
+
+    async fetchOHLCV(symbol: string, params?: {}): Promise<CCXTOHLCV[] | null> {
+        if (!this.instance.hasFetchOHLCV) {
+            return null;
+        } else {
+            const sourceSymbol = await this.getSourceSymbol(symbol);
+            return await this.instance.fetchOHLCV(sourceSymbol, params);
+        }
+    }
 }

test/exchanges/CCXTExchangeTest.ts

@@ -0,0 +1,51 @@
+/**********************************************************************************************************************
+ * @license                                                                                                           *
+ * Copyright 2017 Coinbase, Inc.                                                                                      *
+ *                                                                                                                    *
+ * Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance     *
+ * with the License. You may obtain a copy of the License at                                                          *
+ *                                                                                                                    *
+ * http://www.apache.org/licenses/LICENSE-2.0                                                                         *
+ *                                                                                                                    *
+ * Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on*
+ * an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the                 *
+ * License for the specific language governing permissions and limitations under the License.                         *
+ **********************************************************************************************************************/
+
+const assert = require('assert');
+
+import { ExchangeAuthConfig } from '../../src/exchanges/AuthConfig';
+import CCXTExchangeWrapper from '../../src/exchanges/ccxt';
+import { NullLogger } from '../../src/utils/Logger';
+
+describe('CCXT Exchange Wrapper', () => {
+    const exchangeId = 'bitmex';
+    const productId = 'BTC-USD';
+    let wrapper: CCXTExchangeWrapper;
+
+    before(async () => {
+        const auth: ExchangeAuthConfig = { key: null, secret: null };
+        wrapper = CCXTExchangeWrapper.createExchange(exchangeId, auth, NullLogger);
+    });
+
+    it('is able to fetch historical trade data from an exchange', async () => {
+        const data = await wrapper.fetchHistTrades(productId);
+        assert(data.length && data.length > 0);
+    });
+
+    it('is able to fetch historical OHLCV candlestick data from an exchange', async () => {
+        const data = await wrapper.fetchOHLCV(productId);
+        assert.notEqual(data, null);
+        assert(data.length && data.length > 0);
+    });
+
+    it('is able to fetch a ticker', async () => {
+        const data = await wrapper.loadTicker(productId);
+        assert(data.bid > data.ask);
+    });
+
+    it('is able to load an orderbook image', async () => {
+        const data = await wrapper.loadOrderbook(productId);
+        assert(data.numAsks > 0 && data.numBids > 0);
+    });
+});

types/ccxt.d.ts

@@ -20,8 +20,25 @@ declare module 'ccxt' {
         datetime: string;
     }
 
+    export interface CCXTHistTrade {
+        info: {};                  // the original decoded JSON as is
+        id: string;                // string trade id
+        timestamp: number;         // Unix timestamp in milliseconds
+        datetime: string;          // ISO8601 datetime with milliseconds;
+        symbol: string;            // symbol in CCXT format
+        order?: string;             // string order id or undefined/None/null
+        type?: 'market' | 'limit'; // order type, 'market', 'limit' or undefined/None/null
+        side: 'buy' | 'sell';
+        price: number;             // float price in quote currency
+        amount: number;            // amount of base currency
+    }
+
+    // timestamp, open, high, low, close, volume
+    export type CCXTOHLCV = [number, number, number, number, number, number];
+
     export class Exchange {
         readonly rateLimit: number;
+        readonly hasFetchOHLCV: boolean;
         public verbose: boolean;
         public substituteCommonCurrencyCodes: boolean;
         public hasFetchTickers: boolean;
@@ -54,7 +71,9 @@ declare module 'ccxt' {
 
         fetchTicker(market: string): Promise<any>;
 
-        fetchTrades(symbol: string, params?: any): Promise<any>;
+        fetchTrades(symbol: string, params?: {}): Promise<CCXTHistTrade[]>;
+
+        fetchOHLCV?(symbol: string, params?: {}): Promise<CCXTOHLCV[]>;
 
         cancelOrder(id: string): Promise<any>;