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>
2026-06-08 15:11:07 +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/okx/okx.go
+++ b/exchanges/okx/okx.go
@@ -3093,28 +3093,28 @@ func (ok *Okx) GetIntervalEnum(interval kline.Interval) string {
 		return "2H"
 	case kline.FourHour:
 		return "4H"
-	case kline.SixHour:
-		return "6H"
+	case kline.SixHour: // NOTE: Cases here and below force UTC return instead of hong Kong time.
+		return "6Hutc"
 	case kline.EightHour:
-		return "8H"
+		return "8Hutc"
 	case kline.TwelveHour:
-		return "12H"
+		return "12Hutc"
 	case kline.OneDay:
-		return "1D"
+		return "1Dutc"
 	case kline.TwoDay:
-		return "2D"
+		return "2Dutc"
 	case kline.ThreeDay:
-		return "3D"
+		return "3Dutc"
 	case kline.OneWeek:
-		return "1W"
+		return "1Wutc"
 	case kline.OneMonth:
-		return "1M"
+		return "1Mutc"
 	case kline.ThreeMonth:
-		return "3M"
+		return "3Mutc"
 	case kline.SixMonth:
-		return "6M"
+		return "6Mutc"
 	case kline.OneYear:
-		return "1Y"
+		return "1Yutc"
 	default:
 		return ""
 	}
@@ -3149,10 +3149,10 @@ func (ok *Okx) GetCandlestickData(ctx context.Context, instrumentID string, inte
 	}
 	params.Set("instId", instrumentID)
 	var resp [][7]string
-	if limit <= 100 {
+	if limit <= 300 {
 		params.Set("limit", strconv.FormatInt(limit, 10))
-	} else if limit > 100 {
-		return nil, fmt.Errorf("%w limit can not exceed 100", errLimitExceedsMaximumResultPerRequest)
+	} else if limit > 300 {
+		return nil, fmt.Errorf("%w can not exceed 300", errLimitExceedsMaximumResultPerRequest)
 	}
 	if !before.IsZero() {
 		params.Set("before", strconv.FormatInt(before.UnixMilli(), 10))
@@ -3164,7 +3164,7 @@ func (ok *Okx) GetCandlestickData(ctx context.Context, instrumentID string, inte
 	if bar != "" {
 		params.Set("bar", bar)
 	}
-	err := ok.SendHTTPRequest(ctx, exchange.RestSpot, getCandlesticksEPL, http.MethodGet, common.EncodeURLValues(marketCandles, params), nil, &resp, false)
+	err := ok.SendHTTPRequest(ctx, exchange.RestSpot, getCandlesticksEPL, http.MethodGet, common.EncodeURLValues(route, params), nil, &resp, false)
 	if err != nil {
 		return nil, err
 	}
--- a/exchanges/okx/okx_test.go
+++ b/exchanges/okx/okx_test.go
@@ -127,13 +127,6 @@ func TestGetCandlesticks(t *testing.T) {
 		t.Error("Okx GetCandlesticks() error", err)
 	}
 }
-func TestGetHistoricCandlesExtended(t *testing.T) {
-	t.Parallel()
-	currencyPair := currency.NewPair(currency.BTC, currency.USDT)
-	if _, err := ok.GetHistoricCandlesExtended(context.Background(), currencyPair, asset.Spot, time.Now().Add(-time.Hour), time.Now(), kline.OneMin); err != nil {
-		t.Errorf("%s GetHistoricCandlesExtended() error: %v", ok.Name, err)
-	}
-}

 func TestGetCandlesticksHistory(t *testing.T) {
 	t.Parallel()
@@ -2309,15 +2302,25 @@ func TestValidateCredentials(t *testing.T) {
 func TestGetHistoricCandles(t *testing.T) {
 	t.Parallel()
 	pair := currency.NewPair(currency.BTC, currency.USDT)
-	startTime := time.Date(2020, 9, 1, 0, 0, 0, 0, time.UTC)
-	endTime := time.Date(2021, 2, 15, 0, 0, 0, 0, time.UTC)
-	_, err := ok.GetHistoricCandles(context.Background(), pair, asset.Spot, startTime, endTime, kline.Interval(time.Hour*5))
-	if err != nil && !strings.Contains(err.Error(), "interval not supported") {
-		t.Errorf("Okx GetHistoricCandles() expected %s, but found %v", "interval not supported", err)
-	}
-	_, err = ok.GetHistoricCandles(context.Background(), pair, asset.Spot, time.Time{}, time.Time{}, kline.Interval(time.Hour*4))
+	startTime := time.Date(2021, 2, 1, 0, 0, 0, 0, time.UTC)
+	endTime := time.Date(2021, 9, 15, 0, 0, 0, 0, time.UTC)
+	_, err := ok.GetHistoricCandles(context.Background(), pair, asset.Spot, kline.OneDay, startTime, endTime)
 	if err != nil {
-		t.Error("Okx GetHistoricCandles() error", err)
+		t.Fatal(err)
+	}
+
+	_, err = ok.GetHistoricCandles(context.Background(), pair, asset.Spot, kline.Interval(time.Hour*4), startTime, endTime)
+	if !errors.Is(err, kline.ErrRequestExceedsExchangeLimits) {
+		t.Errorf("received: '%v' but expected: '%v'", err, kline.ErrRequestExceedsExchangeLimits)
+	}
+}
+
+func TestGetHistoricCandlesExtended(t *testing.T) {
+	t.Parallel()
+	currencyPair := currency.NewPair(currency.BTC, currency.USDT)
+	_, err := ok.GetHistoricCandlesExtended(context.Background(), currencyPair, asset.Spot, kline.OneMin, time.Now().Add(-time.Hour), time.Now())
+	if err != nil {
+		t.Errorf("%s GetHistoricCandlesExtended() error: %v", ok.Name, err)
 	}
 }

--- a/exchanges/okx/okx_wrapper.go
+++ b/exchanges/okx/okx_wrapper.go
@@ -130,25 +130,25 @@ func (ok *Okx) 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.TwelveHour.Word(): true,
-					kline.OneDay.Word():     true,
-					kline.ThreeDay.Word():   true,
-					kline.OneWeek.Word():    true,
-					kline.OneMonth.Word():   true,
-					kline.ThreeMonth.Word(): true,
-					kline.SixMonth.Word():   true,
-					kline.OneYear.Word():    true,
-				},
+				Intervals: kline.DeployExchangeIntervals(
+					kline.OneMin,
+					kline.ThreeMin,
+					kline.FiveMin,
+					kline.FifteenMin,
+					kline.ThirtyMin,
+					kline.OneHour,
+					kline.TwoHour,
+					kline.FourHour,
+					kline.SixHour,
+					kline.TwelveHour,
+					kline.OneDay,
+					kline.ThreeDay,
+					kline.OneWeek,
+					kline.OneMonth,
+					kline.ThreeMonth,
+					kline.SixMonth,
+					kline.OneYear,
+				),
 				ResultLimit: 300,
 			},
 		},
@@ -1361,75 +1361,67 @@ func (ok *Okx) ValidateCredentials(ctx context.Context, assetType asset.Item) er
 }

 // GetHistoricCandles returns candles between a time period for a set time interval
-func (ok *Okx) GetHistoricCandles(ctx context.Context, pair currency.Pair, a asset.Item, start, end time.Time, interval kline.Interval) (kline.Item, error) {
-	if err := ok.ValidateKline(pair, a, interval); err != nil {
-		return kline.Item{}, err
-	}
-	if kline.TotalCandlesPerInterval(start, end, interval) > 100 {
-		return kline.Item{}, errors.New(kline.ErrRequestExceedsExchangeLimits)
-	}
-	format, err := ok.GetPairFormat(a, false)
+func (ok *Okx) GetHistoricCandles(ctx context.Context, pair currency.Pair, a asset.Item, interval kline.Interval, start, end time.Time) (*kline.Item, error) {
+	req, err := ok.GetKlineRequest(pair, a, interval, start, end)
 	if err != nil {
-		return kline.Item{}, err
+		return nil, err
 	}
-	if !pair.IsPopulated() {
-		return kline.Item{}, errIncompleteCurrencyPair
-	}
-	instrumentID := format.Format(pair)
-	candles, err := ok.GetCandlesticksHistory(ctx, instrumentID, interval, start, end, 100)
+
+	candles, err := ok.GetCandlesticksHistory(ctx,
+		req.RequestFormatted.Base.String()+
+			currency.DashDelimiter+
+			req.RequestFormatted.Quote.String(),
+		req.ExchangeInterval,
+		start.Add(-time.Nanosecond), // Start time not inclusive of candle.
+		end,
+		300)
 	if err != nil {
-		return kline.Item{}, err
-	}
-	response := kline.Item{
-		Exchange: ok.Name,
-		Pair:     pair,
-		Asset:    a,
-		Interval: interval,
+		return nil, err
 	}
+
+	timeSeries := make([]kline.Candle, len(candles))
 	for x := range candles {
-		response.Candles = append(response.Candles, kline.Candle{
+		timeSeries[x] = kline.Candle{
 			Time:   candles[x].OpenTime,
 			Open:   candles[x].OpenPrice,
 			High:   candles[x].HighestPrice,
 			Low:    candles[x].LowestPrice,
 			Close:  candles[x].ClosePrice,
 			Volume: candles[x].Volume,
-		})
+		}
 	}
-	response.SortCandlesByTimestamp(false)
-	return response, nil
+	return req.ProcessResponse(timeSeries)
 }

 // GetHistoricCandlesExtended returns candles between a time period for a set time interval
-func (ok *Okx) GetHistoricCandlesExtended(ctx context.Context, pair currency.Pair, a asset.Item, start, end time.Time, interval kline.Interval) (kline.Item, error) {
-	format, err := ok.GetPairFormat(a, false)
+func (ok *Okx) GetHistoricCandlesExtended(ctx context.Context, pair currency.Pair, a asset.Item, interval kline.Interval, start, end time.Time) (*kline.Item, error) {
+	req, err := ok.GetKlineExtendedRequest(pair, a, interval, start, end)
 	if err != nil {
-		return kline.Item{}, err
+		return nil, err
 	}
-	err = ok.ValidateKline(pair, a, interval)
-	if err != nil {
-		return kline.Item{}, err
+
+	if count := kline.TotalCandlesPerInterval(start, end, req.ExchangeInterval); count > 1440 {
+		return nil,
+			fmt.Errorf("candles count: %d max lookback: %d, %w",
+				count, 1440, kline.ErrRequestExceedsMaxLookback)
 	}
-	instrumentID := format.Format(pair)
-	if err != nil {
-		return kline.Item{}, err
-	}
-	ret := kline.Item{
-		Exchange: ok.Name,
-		Pair:     pair,
-		Interval: interval,
-	}
-	dates, err := kline.CalculateCandleDateRanges(start, end, interval, 100)
-	if err != nil {
-		return kline.Item{}, err
-	}
-	for y := range dates.Ranges {
-		candles, err := ok.GetCandlesticksHistory(ctx, instrumentID, interval, dates.Ranges[y].Start.Time, dates.Ranges[y].End.Time, 100)
+
+	timeSeries := make([]kline.Candle, 0, req.Size())
+	for y := range req.Ranges {
+		var candles []CandleStick
+		candles, err = ok.GetCandlesticksHistory(ctx,
+			req.RequestFormatted.Base.String()+
+				currency.DashDelimiter+
+				req.RequestFormatted.Quote.String(),
+			req.ExchangeInterval,
+			req.Ranges[y].Start.Time.Add(-time.Nanosecond), // Start time not inclusive of candle.
+			req.Ranges[y].End.Time,
+			300)
 		if err != nil {
-			return kline.Item{}, err
+			return nil, err
 		}
 		for x := range candles {
-			ret.Candles = append(ret.Candles, kline.Candle{
+			timeSeries = append(timeSeries, kline.Candle{
 				Time:   candles[x].OpenTime,
 				Open:   candles[x].OpenPrice,
 				High:   candles[x].HighestPrice,
@@ -1439,10 +1431,7 @@ func (ok *Okx) GetHistoricCandlesExtended(ctx context.Context, pair currency.Pai
 			})
 		}
 	}
-	ret.RemoveDuplicateCandlesByTime()
-	ret.RemoveOutsideRange(start, end)
-	ret.SortCandlesByTimestamp(false)
-	return ret, nil
+	return req.ProcessResponse(timeSeries)
 }

 // GetAvailableTransferChains returns the available transfer blockchains for the specific