Example websocket reader for gdax api

historical_data.js

const Gdax = require('gdax');
let fs = require('fs');

const publicClient = new Gdax.PublicClient();

// currency pairs we are interested in
const currencyPairs = ['BTC-USD', 'ETH-BTC', 'ETH-USD', 'LTC-BTC', 'LTC-USD', 'BCH-USD'];

// time range we are interested in
const startDate = "2015-01-01T00:00:00.000Z";
const endDate   = "2017-12-30T00:00:00.000Z";

// sleep between each requests to not exceed gdax rate limits (3/s)
// note all products share this interval
const sleepInterval = 750;
const rateExceedSleepInterval = 1500;

// requesting data at hourly granularity
const requestGranularity = 3600;

// date enumeration
function addDays(date, days) {
  var result = new Date(date);
  result.setDate(result.getDate() + days);
  return result;
}

function enumerateDates(startStr, endStr, daysInterval = 7)
{
  let dates = [];
  let start = new Date(startStr);
  let end = new Date(endStr);

  while (start <= end) {
    let next = addDays(start, daysInterval);
    dates.push([start, next]);
    start = next;
  }

  return dates;
}

function getPricesForDates(product, idx) 
{
  publicClient.getProductHistoricRates(product,
    { granularity: requestGranularity,
      start:       dateRanges[idx][0],
      end:         dateRanges[idx][1] })
    .then(data => {
      if (data['message'] === 'Rate limit exceeded') {
        console.log('Rate limit exceeded, holding off for a bit');
        setTimeout(() => {
          getPricesForDates(product, idx);
        }, rateExceedSleepInterval);
      } else {
        console.log(product + " : got prices");
        dump(product, data);
        if (idx < dateRanges.length - 1) {
          setTimeout(() => {
            getPricesForDates(product, idx + 1);
          }, sleepInterval);
        } else {
        }
      }
    })
    .catch(err => {
      console.log("Get prices error: " + err);
    });
}

function dump(product, data)
{
  let dataString = "";
  data.forEach(entry => {
    dataString += (new Date(entry[0] * 1000)).toISOString() + 
                  "\t" + entry[1] + 
                  "\t" + entry[2] +
                  "\t" + entry[3] +
                  "\t" + entry[4] +
                  "\t" + entry[5] +
                  "\n";
  });
  fs.appendFile(product + '.log', dataString, err => {
    if (err) {
      console.log("Dump file error: " + err);
    }
  });
}

let dateRanges = enumerateDates(startDate, endDate);

// main logic
publicClient.getProducts()
  .then(data => {
    let uninterestedProducts = [];
    let products = {};

    data.forEach(entry => {
      if (entry['id'] && currencyPairs.indexOf(entry['id']) >= 0) {
        products[entry['id']] = {'description': entry};
      } else {
        uninterestedProducts.push(entry);
      }
    });
    console.log("got products, asking for historic prices");

    return products;
  })
  .then(products => {
    for (product in products) {
      // could consider getting the next product after we are done with one product so that we don't run into rate limit exceeded too often
      getPricesForDates(product, 0);
    }
  })
  .catch(err => {
    console.log("Get products error: " + err);
  });

websocket_reader.js

// npm install coinbase/gdax-node

const Gdax = require('gdax');

const websocket = new Gdax.WebsocketClient(['ETH-USD']);

let trades = {};
let startTime = new Date();

websocket.on('message', data => {
    let order_id = data['order_id'];
    if (data['order_id']) {
        if (trades[order_id]) {
            trades[order_id].push(data);
        } else {
            trades[order_id] = [data];
        }
    }
    if (data['type'] == 'done' && data['reason'] != 'canceled') {
        console.log(trades[order_id]);
    }
});

websocket.on('error', err => { console.log(err) });
websocket.on('close', () => { console.log('close') });

process.on('SIGINT', function() {
    console.log("Caught exit signal");
    //console.log(trades);
    let runTime = (new Date() - startTime);
    let totalCompletes = 0;
    let totalCancels = 0;
    let totalOrderIds = 0;

    let totalCompleteVolume = 0;
    let completes = [];

    for (orderId in trades) {
        hasOpen = false;
        size = 0;
        totalOrderIds += 1;
        trades[orderId].forEach(orderEvent => {
            if (orderEvent['type'] == 'open' || orderEvent['type'] == 'received') {
                hasOpen = true;
            } else if (orderEvent['type'] == 'done') {
                if (hasOpen) {
                    if (orderEvent['reason'] && orderEvent['reason'] == 'canceled') {
                        totalCancels += 1;
                    } else {
                        completes.push(trades[orderId]);
                        totalCompletes += 1;
                        //totalCompleteVolume += 
                    }
                }
            }
        });
    }

    console.log("Runtime: " + runTime + "ms; Saw: " + totalOrderIds + " orders; " +
                "Completes: " + totalCompletes + "; Cancels: " + totalCancels);
    console.log(completes);
    process.exit();
});