GDAX api，创建烛图

Question

我想创建一个使用GDAX api的烛图。我目前正在使用HTTP请求历史数据的https://docs.gdax.com/#get-historic-rates错误，这是标记为我应该使用websocket API。不幸的是，我不知道如何通过Gdax websocket api https://github.com/coinbase/gdax-node来处理历史数据。有人能帮帮我吗？

Answer 1

下面是使用GDAX websocket从match频道构建的1m个烛台

"use strict";
const
  WebSocket = require('ws'),
  PRECISION = 8

function _getPair(pair) {
  return pair.split('-')
}

let ws = new WebSocket('wss://ws-feed.pro.coinbase.com')

ws.on('open', () => {

  ws.send(JSON.stringify({
    "type": "subscribe",
    "product_ids": [
      "ETH-USD",
      "BTC-USD"
    ],
    "channels": [
      "matches"
    ]
  }))
})

let candles = {}
let lastCandleMap = {}

ws.on('message', msg => {
  msg = JSON.parse(msg);
  if (!msg.price)
    return;

  if (!msg.size)
    return;

  // Price and volume are sent as strings by the API
  msg.price = parseFloat(msg.price)
  msg.size = parseFloat(msg.size)

  let productId = msg.product_id;
  let [base, quote] = _getPair(productId);

  // Round the time to the nearest minute, Change as per your resolution
  let roundedTime = Math.floor(new Date(msg.time) / 60000.0) * 60

  // If the candles hashmap doesnt have this product id create an empty object for that id
  if (!candles[productId]) {
    candles[productId] = {}
  }


  // If the current product's candle at the latest rounded timestamp doesnt exist, create it
  if (!candles[productId][roundedTime]) {

    //Before creating a new candle, lets mark the old one as closed
    let lastCandle = lastCandleMap[productId]

    if (lastCandle) {
      lastCandle.closed = true;
      delete candles[productId][lastCandle.timestamp]
    }

    // Set Quote Volume to -1 as GDAX doesnt supply it
    candles[productId][roundedTime] = {
      timestamp: roundedTime,
      open: msg.price,
      high: msg.price,
      low: msg.price,
      close: msg.price,
      baseVolume: msg.size,
      quoteVolume: -1,
      closed: false
    }
  }

  // If this timestamp exists in our map for the product id, we need to update an existing candle
  else {
    let candle = candles[productId][roundedTime]
    candle.high = msg.price > candle.high ? msg.price : candle.high
    candle.low = msg.price < candle.low ? msg.price : candle.low
    candle.close = msg.price
    candle.baseVolume = parseFloat((candle.baseVolume + msg.size).toFixed(PRECISION))

    // Set the last candle as the one we just updated
    lastCandleMap[productId] = candle
  }

})

Answer 2

他们的建议是从这个端点获取历史利率https://docs.gdax.com/#get-historic-rates，然后使用Websocket feed消息使您的蜡烛保持最新-每当收到'match'/ticker消息时，您就会相应地更新最后一根蜡烛。

文档中写道：“单次请求的最大数据点数为300支。如果您选择的开始/结束时间和粒度将导致超过300个数据点，则您的请求将被拒绝。”这可能就是为什么你不能获得超过2天的数据。

ps。我在这里实现了一个实时的订单和一个基本的烛台图-许多东西还没有完全连接在一起，但它至少可以预览，直到它完成https://github.com/robevansuk/gdax-java/