bitstamp_market_data_collector.php

<?php

declare(strict_types=1);

if (
    1 === \version_compare('7.1.0', PHP_VERSION) ||
    false === \extension_loaded('curl')
) {
    \fwrite(STDERR, "bye bye\n");
    exit(1);
}

// Usage: $ nohup php collector.php 1>> prices.csv 2>> problems.txt &

// Column description:
// 1. Unix timestamp of the reading (returned by Bitstamp's API), integer
// 2. highest bid from the order book (in USD), float
// 3. lowest ask from the order book (in USD), float
// 4. demand (in USD), summation of { bid(i).price times bid(i).amount}, float
// 5. supply (in USD), summation of { ask(i).price times ask(i).amount}, float
// 6. demand (in satoshis), summation of { bid(i).amount times 10^8 }, integer
// 6. supply (in satoshis), summation of { ask(i).amount times 10^8 }, integer

// Seconds in-between API calls.
// At the time of writing (2018-02-01) Bitstamp's HTTP API has a rate limiting
// policy set at 600 calls every 10 minutes (roughly 1 req/s).
// Bitstamp updates the book every 5-10 seconds.
\define('CALL_FREQUENCY', 10);

function parse(array $halfBook) {
    $satSum = 0;
    $usdSum = 0.0;

    foreach ($halfBook as $record) {
        $satSum += (int)\str_replace('.', '', $record[1]);
        $usdSum += $record[0] * $record[1];
    }

    return [(string) $satSum, \number_format($usdSum, 2, '.', '')];
}

// Wait until approximately CALL_FREQUENCY seconds have passed
// since $from was initialised, or else don't wait at all.
function wait(int $from) {
    if (CALL_FREQUENCY > $to = \time() - $from) {
        \sleep(CALL_FREQUENCY - $to);
    }
}

do {
    try {
        $from = \time();

        $curl = \curl_init();
        \curl_setopt($curl, CURLOPT_URL, 'https://www.bitstamp.net/api/order_book/');
        \curl_setopt($curl, CURLOPT_RETURNTRANSFER, true);
        \curl_setopt($curl, CURLOPT_TIMEOUT, CALL_FREQUENCY);
        \curl_setopt($curl, CURLOPT_CONNECTTIMEOUT, CALL_FREQUENCY);

        if (false === $response = \curl_exec($curl)) {
            throw new \RuntimeException(sprintf(
                "cURL error %s: %s\n",
                \curl_errno($curl), \curl_error($curl)
            ));
        }

        $book = \json_decode($response);

        $when = $book->timestamp;

        $bid = $book->bids[0][0];
        $ask = $book->asks[0][0];

        [$btcDemand, $usdDemand] = \parse($book->bids);
        [$btcSupply, $usdSupply] = \parse($book->asks);

        \fwrite(STDOUT, "$when,$bid,$ask,$usdDemand,$usdSupply,$btcDemand,$btcSupply\n");
    } catch (\Throwable $t) {
        \fwrite(STDERR, \sprintf(
            "[%s] '%s' thrown: %s\n",
            \date('Y-m-d H:i:s'), get_class($t), $t->getMessage()
        ));
    } finally {
        \wait($from);
    }
} while(true);