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/*************************************************************************************/ | |
/* Import Dependencies */ | |
/*************************************************************************************/ | |
const { mapSeries } = require('async'); | |
const axios = require('axios'); | |
const fs = require('fs'); | |
const { chain, flatten, sortBy, sortedUniqBy } = require('lodash'); | |
const moment = require('moment'); | |
/*************************************************************************************/ | |
/* Define Constants */ | |
/*************************************************************************************/ | |
const START = moment.utc('2017-08-01 00:00:00'); | |
const END = moment.utc('2017-08-04 00:00:00'); | |
const GRANULARITY = 60; // every 60 seconds | |
/*************************************************************************************/ | |
/* Fetch Candles | |
/*************************************************************************************/ | |
const ranges = []; | |
let start = START, end; | |
while (!end || end.valueOf() < END.valueOf()) { | |
end = start.clone().add(200 * GRANULARITY, 'seconds'); | |
ranges.push({ start, end }); | |
start = end; | |
} | |
const fetch = ({ start, end }, callback) => { | |
console.log(`Fetching ${ GRANULARITY }-second candles from ${ start.toISOString() } (${ start.valueOf() }) to ${ end.toISOString() } (${ end.valueOf() })`); | |
axios({ | |
url: 'https://api.gdax.com/products/BTC-USD/candles', | |
params: { | |
start: start.toISOString(), | |
end: end.toISOString(), | |
granularity: GRANULARITY | |
}, | |
}).then((res) => { | |
setTimeout(() => callback(null, res.data), 1000); // Pause for a bit to avoid 3-requests-per-second rate limit | |
}).catch(callback); | |
}; | |
const finished = (err, fetchResults) => { | |
if (err) { | |
let errorMessage = `ERROR: ${ err.message }`; | |
if (err.response && err.response.data && err.response.data.message) { | |
errorMessage += ` - ${ err.response.data.message }`; | |
} | |
console.error(errorMessage); | |
} else { | |
const baseFilename = `${ START.toISOString() }_${ END.toISOString() }_${ GRANULARITY }s`; | |
const jsonPath = `${ __dirname }/${ baseFilename }.json`; | |
const csvPath = `${ __dirname }/${ baseFilename }.csv`; | |
const candles = chain(fetchResults) | |
.flatten() | |
.sortBy((candle) => candle[0]) | |
.sortedUniqBy((candle) => candle[0]); | |
const jsonContent = JSON.stringify(candles); | |
const csvHeader ='Time,Low,High,Open,Close,Volume,Time (UTC)\n'; | |
const csvContent = candles.reduce((content, candle) => { | |
return content + candle.concat(moment(candle[0] * 1000).utc()).join(',') + "\n"; } | |
, csvHeader); | |
fs.writeFileSync(jsonPath, jsonContent); | |
fs.writeFileSync(csvPath, csvContent); | |
} | |
}; | |
mapSeries(ranges, fetch, finished); |
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