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June 12, 2022 11:45
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import { | |
combineLatest, | |
distinctUntilChanged, | |
filter, | |
map, | |
Observable, | |
scan, | |
shareReplay, | |
switchMap, | |
withLatestFrom | |
} from 'rxjs'; | |
import {AggregatedTrade, Candle} from 'binance-api-node'; | |
import {BookTickerData} from '../types'; | |
import Big from 'big.js'; | |
interface UpdateData<T> { | |
timestamp: number; | |
value: T; | |
} | |
function getRealtimePrice(bookStream: Observable<BookTickerData>): Observable<UpdateData<Big>> { | |
return bookStream.pipe( | |
map((book) => { | |
return {timestamp: Date.now(), value: Big(book.bestAsk)}; | |
}), | |
distinctUntilChanged((a, b) => { | |
return a.value.eq(b.value); | |
}), | |
shareReplay(1) | |
); | |
} | |
function getRealtimeVolume(klineStream: Observable<Candle>, tradesStream: Observable<AggregatedTrade>): Observable<UpdateData<Big>> { | |
return klineStream.pipe( | |
withLatestFrom(tradesStream), | |
filter(([candle, trade]) => candle.eventTime > trade.timestamp), | |
switchMap(([candle]) => { | |
return tradesStream.pipe( | |
filter((tradeData) => tradeData.timestamp > candle.eventTime), | |
scan((acc: { timestamp, value }, data: AggregatedTrade) => { | |
acc.timestamp = data.timestamp; | |
acc.value = acc.value.add(data.quantity); | |
return acc; | |
}, {timestamp: candle.eventTime, value: Big(candle.volume)}), | |
); | |
}), | |
distinctUntilChanged((a, b) => { | |
return a.value.eq(b.value); | |
}), | |
shareReplay(1), | |
); | |
} | |
export function getRealtimeKline(klineStream: Observable<Candle>, | |
tradesStream: Observable<AggregatedTrade>, | |
bookStream: Observable<BookTickerData>): Observable<Candle> { | |
const realtimeVolume = getRealtimeVolume(klineStream, tradesStream); | |
const realtimePrice = getRealtimePrice(bookStream); | |
return klineStream.pipe( | |
switchMap((btc) => { | |
return combineLatest([ | |
realtimePrice, | |
realtimeVolume, | |
]).pipe( | |
map(([price, volume]) => { | |
const timestamp = Math.max(btc.eventTime, price.timestamp, volume.timestamp) | |
return { | |
...btc, | |
close: price.value.toString(), | |
volume: volume.value.toString(), | |
eventTime: timestamp, | |
} | |
}), | |
shareReplay(1) | |
) | |
}) | |
); | |
} | |
// USAGE example | |
readonly realtimeBtc$: Observable<Candle> = getRealtimeKline( | |
this.btc$, | |
this.btcTrade$, | |
this.btcBidAsk$, | |
); |
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