kline/exchanges: automatic creation of unsupported candle intervals (#1091)

* kline: Add builder and testing * Ideas * kline: deploy builder functionality across GCT * exchanges: implement across gct * exchanges: Add tests and fix implementations before kline package testing and veri. * kline: Add tests and start to fix ConvertToNewInterval * kline: fix ConvertToNewInterval add tests * kline: complete overarching tests now on to exchanges * kline: finish exchange tests and implement limits * exchanges: more fixes * linter: fix * engine: fix tests * kraken: fix recent trades and other fixes * zb: fix tests * bithumb: fix empty insertion * kline: refactor/optimize CreateKline function * kline: remove the mooos! * kline: prealloc CalculateCandleDateRanges * linter: fix * exchanges: prealloc extended * fix whoopsie * reverse fix because this is a whoopsie * okx: fix risidual issues * linter: fix * kline: initial nits from @gloriouscode * kline: rename builder -> request and cascade change * linter: fix + test * kline: update forced alignment on start and end times when CreateKlineRequest is called. * nits: more more more * NITS: Addressed * tests: fix race issue * Update exchanges/kline/request.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * kline: add method AddPadding() to automatically fill in holes in kline.Request functionality and reject if missing data when converting * kline: Add params start and end to addPadding() to insert blanks in between block * kline: remove test comment code as it's not needed anymore * kline: fix lint and test * kline: sort slice without extra bool check every iteration * okx: fix issues with timeing and candles and such from niterinos & address typo * Update exchanges/kline/kline.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * glorious: niterinos * Update exchanges/poloniex/poloniex_wrapper.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * glorious: nits now onto conflicts YAYA!!! * Update exchanges/exchange_test.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * glorious: nits again * thrasher: nitters * thrasher: niterinos - adds partial flag for incomplete recent candles and fetching. * kline: rm fmtizzle packageizzle * glorious: nitters * glorious: more niterinos * fix last niterinos Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io> Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
2026-06-02 07:26:53 +00:00 · 2023-01-17 16:22:33 +11:00
parent 72f36d70d1
commit 83cfefa45c
110 changed files with 11312 additions and 5768 deletions
--- a/exchanges/binance/binance_test.go
+++ b/exchanges/binance/binance_test.go
@@ -2416,44 +2416,39 @@ func TestExecutionTypeToOrderStatus(t *testing.T) {
 }

 func TestGetHistoricCandles(t *testing.T) {
-	currencyPair, err := currency.NewPairFromString("BTC-USDT")
+	t.Parallel()
+	pair, err := currency.NewPairFromString("BTC-USDT")
 	if err != nil {
 		t.Fatal(err)
 	}
 	startTime := time.Unix(1546300800, 0)
 	end := time.Unix(1577836799, 0)
-	_, err = b.GetHistoricCandles(context.Background(),
-		currencyPair, asset.Spot, startTime, end, kline.OneDay)
+
+	_, err = b.GetHistoricCandles(context.Background(), pair, asset.Spot, kline.OneDay, startTime, end)
 	if err != nil {
 		t.Error(err)
 	}

-	_, err = b.GetHistoricCandles(context.Background(),
-		currencyPair, asset.Spot, startTime, end, kline.Interval(time.Hour*7))
-	if err == nil {
-		t.Fatal("unexpected result")
+	_, err = b.GetHistoricCandles(context.Background(), pair, asset.Spot, kline.Interval(time.Hour*7), startTime, end)
+	if !errors.Is(err, kline.ErrRequestExceedsExchangeLimits) {
+		t.Fatalf("received: '%v', but expected: '%v'", err, kline.ErrRequestExceedsExchangeLimits)
 	}
 }

 func TestGetHistoricCandlesExtended(t *testing.T) {
-	currencyPair, err := currency.NewPairFromString("BTC-USDT")
+	t.Parallel()
+	pair, err := currency.NewPairFromString("BTC-USDT")
 	if err != nil {
 		t.Fatal(err)
 	}

 	startTime := time.Date(2020, 9, 1, 0, 0, 0, 0, time.UTC)
 	end := time.Date(2021, 2, 15, 0, 0, 0, 0, time.UTC)
-	_, err = b.GetHistoricCandlesExtended(context.Background(),
-		currencyPair, asset.Spot, startTime, end, kline.OneDay)
+
+	_, err = b.GetHistoricCandlesExtended(context.Background(), pair, asset.Spot, kline.OneDay, startTime, end)
 	if err != nil {
 		t.Error(err)
 	}
-
-	_, err = b.GetHistoricCandlesExtended(context.Background(),
-		currencyPair, asset.Spot, startTime, end, kline.Interval(time.Hour*7))
-	if err == nil {
-		t.Error("unexpected result")
-	}
 }

 func TestBinance_FormatExchangeKlineInterval(t *testing.T) {
--- a/exchanges/binance/binance_wrapper.go
+++ b/exchanges/binance/binance_wrapper.go
@@ -166,23 +166,23 @@ func (b *Binance) SetDefaults() {
 		Enabled: exchange.FeaturesEnabled{
 			AutoPairUpdates: true,
 			Kline: kline.ExchangeCapabilitiesEnabled{
-				Intervals: map[string]bool{
-					kline.OneMin.Word():     true,
-					kline.ThreeMin.Word():   true,
-					kline.FiveMin.Word():    true,
-					kline.FifteenMin.Word(): true,
-					kline.ThirtyMin.Word():  true,
-					kline.OneHour.Word():    true,
-					kline.TwoHour.Word():    true,
-					kline.FourHour.Word():   true,
-					kline.SixHour.Word():    true,
-					kline.EightHour.Word():  true,
-					kline.TwelveHour.Word(): true,
-					kline.OneDay.Word():     true,
-					kline.ThreeDay.Word():   true,
-					kline.OneWeek.Word():    true,
-					kline.OneMonth.Word():   true,
-				},
+				Intervals: kline.DeployExchangeIntervals(
+					kline.OneMin,
+					kline.ThreeMin,
+					kline.FiveMin,
+					kline.FifteenMin,
+					kline.ThirtyMin,
+					kline.OneHour,
+					kline.TwoHour,
+					kline.FourHour,
+					kline.SixHour,
+					kline.EightHour,
+					kline.TwelveHour,
+					kline.OneDay,
+					kline.ThreeDay,
+					kline.OneWeek,
+					kline.OneMonth,
+				),
 				ResultLimit: 1000,
 			},
 		},
@@ -1680,83 +1680,70 @@ func (b *Binance) FormatExchangeKlineInterval(interval kline.Interval) string {
 }

 // GetHistoricCandles returns candles between a time period for a set time interval
-func (b *Binance) GetHistoricCandles(ctx context.Context, pair currency.Pair, a asset.Item, start, end time.Time, interval kline.Interval) (kline.Item, error) {
-	if err := b.ValidateKline(pair, a, interval); err != nil {
-		return kline.Item{}, err
-	}
-	if kline.TotalCandlesPerInterval(start, end, interval) > float64(b.Features.Enabled.Kline.ResultLimit) {
-		return kline.Item{}, errors.New(kline.ErrRequestExceedsExchangeLimits)
-	}
-	req := KlinesRequestParams{
-		Interval:  b.FormatExchangeKlineInterval(interval),
-		Symbol:    pair,
-		StartTime: start,
-		EndTime:   end,
-		Limit:     int(b.Features.Enabled.Kline.ResultLimit),
-	}
-	ret := kline.Item{
-		Exchange: b.Name,
-		Pair:     pair,
-		Asset:    a,
-		Interval: interval,
+func (b *Binance) GetHistoricCandles(ctx context.Context, pair currency.Pair, a asset.Item, interval kline.Interval, start, end time.Time) (*kline.Item, error) {
+	req, err := b.GetKlineRequest(pair, a, interval, start, end)
+	if err != nil {
+		return nil, err
 	}

-	candles, err := b.GetSpotKline(ctx, &req)
-	if err != nil {
-		return kline.Item{}, err
+	if a != asset.Spot {
+		// TODO: Add support for other asset types.
+		return nil, common.ErrNotYetImplemented
 	}
+
+	candles, err := b.GetSpotKline(ctx, &KlinesRequestParams{
+		Interval:  b.FormatExchangeKlineInterval(req.ExchangeInterval),
+		Symbol:    req.Pair,
+		StartTime: req.Start,
+		EndTime:   req.End,
+		Limit:     int(b.Features.Enabled.Kline.ResultLimit),
+	})
+	if err != nil {
+		return nil, err
+	}
+	timeSeries := make([]kline.Candle, len(candles))
 	for x := range candles {
-		ret.Candles = append(ret.Candles, kline.Candle{
+		timeSeries[x] = kline.Candle{
 			Time:   candles[x].OpenTime,
 			Open:   candles[x].Open,
 			High:   candles[x].High,
 			Low:    candles[x].Low,
 			Close:  candles[x].Close,
 			Volume: candles[x].Volume,
-		})
+		}
 	}
-	ret.SortCandlesByTimestamp(false)
-	return ret, nil
+	return req.ProcessResponse(timeSeries)
 }

-// GetHistoricCandlesExtended returns candles between a time period for a set time interval
-func (b *Binance) GetHistoricCandlesExtended(ctx context.Context, pair currency.Pair, a asset.Item, start, end time.Time, interval kline.Interval) (kline.Item, error) {
-	if err := b.ValidateKline(pair, a, interval); err != nil {
-		return kline.Item{}, err
-	}
-
-	ret := kline.Item{
-		Exchange: b.Name,
-		Pair:     pair,
-		Asset:    a,
-		Interval: interval,
-	}
-	dates, err := kline.CalculateCandleDateRanges(start, end, interval, b.Features.Enabled.Kline.ResultLimit)
+// GetHistoricCandlesExtended returns candles between a time period for a set
+// time interval
+func (b *Binance) GetHistoricCandlesExtended(ctx context.Context, pair currency.Pair, a asset.Item, interval kline.Interval, start, end time.Time) (*kline.Item, error) {
+	req, err := b.GetKlineExtendedRequest(pair, a, interval, start, end)
 	if err != nil {
-		return kline.Item{}, err
+		return nil, err
 	}
-	var candles []CandleStick
-	for x := range dates.Ranges {
-		req := KlinesRequestParams{
-			Interval:  b.FormatExchangeKlineInterval(interval),
-			Symbol:    pair,
-			StartTime: dates.Ranges[x].Start.Time,
-			EndTime:   dates.Ranges[x].End.Time,
-			Limit:     int(b.Features.Enabled.Kline.ResultLimit),
-		}

-		candles, err = b.GetSpotKline(ctx, &req)
+	if a != asset.Spot {
+		// TODO: Add support for other asset types.
+		return nil, common.ErrNotYetImplemented
+	}
+
+	timeSeries := make([]kline.Candle, 0, req.Size())
+	for x := range req.Ranges {
+		var candles []CandleStick
+		candles, err = b.GetSpotKline(ctx, &KlinesRequestParams{
+			Interval:  b.FormatExchangeKlineInterval(req.ExchangeInterval),
+			Symbol:    req.Pair,
+			StartTime: req.Ranges[x].Start.Time,
+			EndTime:   req.Ranges[x].End.Time,
+			Limit:     int(b.Features.Enabled.Kline.ResultLimit),
+		})
 		if err != nil {
-			return kline.Item{}, err
+			return nil, err
 		}

 		for i := range candles {
-			for j := range ret.Candles {
-				if ret.Candles[j].Time.Equal(candles[i].OpenTime) {
-					continue
-				}
-			}
-			ret.Candles = append(ret.Candles, kline.Candle{
+			timeSeries = append(timeSeries, kline.Candle{
 				Time:   candles[i].OpenTime,
 				Open:   candles[i].Open,
 				High:   candles[i].High,
@@ -1766,16 +1753,7 @@ func (b *Binance) GetHistoricCandlesExtended(ctx context.Context, pair currency.
 			})
 		}
 	}
-
-	dates.SetHasDataFromCandles(ret.Candles)
-	summary := dates.DataSummary(false)
-	if len(summary) > 0 {
-		log.Warnf(log.ExchangeSys, "%v - %v", b.Name, summary)
-	}
-	ret.RemoveDuplicateCandlesByTime()
-	ret.RemoveOutsideRange(start, end)
-	ret.SortCandlesByTimestamp(false)
-	return ret, nil
+	return req.ProcessResponse(timeSeries)
 }

 func compatibleOrderVars(side, status, orderType string) OrderVars {