feat: add indicators

.env.example

@@ -10,5 +10,6 @@ NEXT_PUBLIC_PROCESSOR_ENABLE_TRPC=
 NEXT_PUBLIC_STATIC=
 DATABASE_URL="postgresql://postgres:[email protected]:5432/postgres"
 ADMIN_PASSWORD=opentrader
-
+NEXT_PUBLIC_CANDLES_SERVICE_API_URL="http://localhost:5001"
+NEXT_PUBLIC_CANDLES_SERVICE_API_KEY="opentrader"
 ########## SHARED END ######

apps/frontend/src/ui/selects/SymbolSelect/LisboxComponent.tsx

@@ -56,7 +56,7 @@ const OuterElementType = forwardRef<HTMLDivElement>((props, ref) => {
 });
 OuterElementType.displayName = "OuterElementType";
 
-/* eslint-disable @typescript-eslint/no-unsafe-assignment, @typescript-eslint/no-explicit-any -- will be typed later */
+/* eslint-disable @typescript-eslint/no-explicit-any -- will be typed later */
 export const ListboxComponent = React.forwardRef<
   HTMLDivElement,
   {
@@ -105,4 +105,4 @@ export const ListboxComponent = React.forwardRef<
     </Popper>
   );
 });
-/* eslint-enable @typescript-eslint/no-unsafe-assignment, @typescript-eslint/no-explicit-any -- will be typed later */
+/* eslint-enable @typescript-eslint/no-explicit-any -- will be typed later */

apps/frontend/src/utils/mui/createClasses.ts

@@ -63,7 +63,6 @@ export function createClasses<C extends string, E extends ElementsParam<E>>(
   const elementsKeys = Object.keys(elements) as (keyof E)[];
 
   for (const elementKey of elementsKeys) {
-    // eslint-disable-next-line @typescript-eslint/no-unsafe-assignment -- it may be typed better, but it will require much more TS code that will affect the readability
     result[elementKey] = buildElement(
       componentName,
       elementKey as string,

docker-compose.yml

@@ -19,6 +19,8 @@ services:
       NEXT_PUBLIC_PROCESSOR_ENABLE_TRPC: "true"
       NEXT_PUBLIC_STATIC: "true"
       ADMIN_PASSWORD: opentrader
+      NEXT_PUBLIC_CANDLES_SERVICE_API_URL: http://localhost:5001
+      NEXT_PUBLIC_CANDLES_SERVICE_API_KEY: opentrader
       PORT: 5000
     depends_on:
       - database
@@ -34,6 +36,8 @@ services:
       NEXT_PUBLIC_PROCESSOR_URL: http://localhost:4000
       NEXT_PUBLIC_PROCESSOR_ENABLE_TRPC: "true"
       ADMIN_PASSWORD: opentrader
+      NEXT_PUBLIC_CANDLES_SERVICE_API_URL: http://localhost:5001
+      NEXT_PUBLIC_CANDLES_SERVICE_API_KEY: opentrader
     depends_on:
       - database
   frontend:
@@ -53,6 +57,8 @@ services:
       NEXT_PUBLIC_PROCESSOR_URL: http://localhost:4000
       NEXT_PUBLIC_PROCESSOR_ENABLE_TRPC: "true"
       ADMIN_PASSWORD: opentrader
+      NEXT_PUBLIC_CANDLES_SERVICE_API_URL: http://localhost:5001
+      NEXT_PUBLIC_CANDLES_SERVICE_API_KEY: opentrader
     depends_on:
       - database
   database:

packages/backtesting-playground/src/grid-bot.ts

@@ -35,7 +35,6 @@ async function run() {
   });
 
   const {
-    // eslint-disable-next-line @typescript-eslint/no-unsafe-assignment -- no types
     data: { candlesticks },
   } = await axios.get("http://localhost:5000/mapi/candlesticks", {
     params: {

packages/backtesting/src/exchange/memory-exchange.ts

@@ -23,7 +23,7 @@ import { ExchangeCode } from "@opentrader/types";
 import type { MarketSimulator } from "../market-simulator";
 
 export class MemoryExchange implements IExchange {
-  // eslint-disable-next-line @typescript-eslint/no-explicit-any, , @typescript-eslint/no-unsafe-assignment -- for simplicity
+  // eslint-disable-next-line @typescript-eslint/no-explicit-any, -- for simplicity
   ccxt = {} as any;
   /**
    * @internal

packages/bot-processor/package.json

@@ -22,6 +22,8 @@
     "typescript": "^5.2.2"
   },
   "dependencies": {
-    "@opentrader/exchanges": "workspace:*"
+    "@opentrader/exchanges": "workspace:*",
+    "@opentrader/indicators": "workspace:*",
+    "@opentrader/tools": "workspace:*"
   }
 }

packages/bot-processor/src/bot-manager.ts

@@ -1,4 +1,7 @@
 import type { IExchange } from "@opentrader/exchanges";
+import { computeIndicators } from "@opentrader/indicators";
+import type { IndicatorBarSize } from "@opentrader/types";
+import { lastClosedCandleDate } from "@opentrader/tools";
 import type { TBotContext } from "#bot-processor/types/bot/bot-context.type";
 import { createContext } from "./utils/createContext";
 import { SmartTradeService } from "./smart-trade.service";
@@ -7,6 +10,7 @@ import { isReplaceSmartTradeEffect } from "./effects/utils/isReplaceSmartTradeEf
 import { isUseExchangeEffect } from "./effects/utils/isUseExchangeEffect";
 import { isUseSmartTradeEffect } from "./effects/utils/isUseSmartTradeEffect";
 import { isCancelSmartTradeEffect } from "./effects/utils/isCancelSmartTradeEffect";
+import { isUseIndicatorsEffect } from "./effects/utils/isUseIndicatorsEffect";
 
 export class BotManager<T extends IBotConfiguration> {
   constructor(
@@ -35,13 +39,13 @@ export class BotManager<T extends IBotConfiguration> {
   }
 
   private async _process(context: TBotContext<T>): Promise<void> {
+    const processingDate = Date.now(); // @todo better to pass it through context
     const generator = this.botTemplate(context);
 
     let item = generator.next();
 
     for (; !item.done; ) {
       if (item.value instanceof Promise) {
-        // eslint-disable-next-line @typescript-eslint/no-unsafe-assignment -- will be typed later
         const result = await item.value;
 
         item = generator.next(result);
@@ -73,6 +77,22 @@ export class BotManager<T extends IBotConfiguration> {
         item = generator.next();
       } else if (isUseExchangeEffect(item.value)) {
         item = generator.next(this.exchange);
+      } else if (isUseIndicatorsEffect(item.value)) {
+        const effect = item.value;
+        const barSize = effect.payload.barSize as IndicatorBarSize; // @todo fix eslint error
+        const { exchangeCode, baseCurrency, quoteCurrency } = this.botConfig;
+
+        console.log(`Compute indicators`, effect.payload);
+        const indicators = await computeIndicators({
+          exchangeCode,
+          symbol: `${baseCurrency}/${quoteCurrency}`,
+          barSize,
+          untilDate: lastClosedCandleDate(processingDate, barSize),
+          indicators: effect.payload.indicators,
+        });
+        console.log("Indicators computed", indicators);
+
+        item = generator.next(indicators);
       } else {
         console.log(item.value);
         throw new Error("Unsupported effect");

packages/bot-processor/src/effects/common/types/effect-types.ts

@@ -2,9 +2,11 @@ export const USE_SMART_TRADE = "USE_SMART_TRADE";
 export const REPLACE_SMART_TRADE = "REPLACE_SMART_TRADE";
 export const CANCEL_SMART_TRADE = "CANCEL_SMART_TRADE";
 export const USE_EXCHANGE = "USE_EXCHANGE";
+export const USE_INDICATORS = "USE_INDICATORS";
 
 export type EffectType =
   | typeof USE_SMART_TRADE
   | typeof REPLACE_SMART_TRADE
   | typeof CANCEL_SMART_TRADE
-  | typeof USE_EXCHANGE;
+  | typeof USE_EXCHANGE
+  | typeof USE_INDICATORS;

packages/bot-processor/src/effects/common/types/use-indicators-effect.ts

@@ -0,0 +1,11 @@
+import type { IndicatorBarSize, IndicatorName } from "@opentrader/types";
+import type { BaseEffect } from "./base-effect";
+import type { USE_INDICATORS } from "./effect-types";
+
+export type UseIndicatorsEffect = BaseEffect<
+  typeof USE_INDICATORS,
+  {
+    indicators: IndicatorName[];
+    barSize: IndicatorBarSize;
+  }
+>;

packages/bot-processor/src/effects/index.ts

@@ -3,3 +3,4 @@ export * from "./useSmartTrade";
 export * from "./replaceSmartTrade";
 export * from "./cancelSmartTrade";
 export * from "./useExchange";
+export * from "./useIndicators";

packages/bot-processor/src/effects/useIndicators.ts

@@ -0,0 +1,14 @@
+import type { IndicatorBarSize, IndicatorName } from "@opentrader/types";
+import type { UseIndicatorsEffect } from "./common/types/use-indicators-effect";
+import { USE_INDICATORS } from "./common/types/effect-types";
+import { makeEffect } from "./utils/make-effect";
+
+export function useIndicators<I extends IndicatorName>(
+  indicators: IndicatorName[],
+  barSize: IndicatorBarSize,
+): UseIndicatorsEffect {
+  return makeEffect(USE_INDICATORS, {
+    indicators,
+    barSize,
+  });
+}

packages/bot-processor/src/effects/utils/isUseIndicatorsEffect.ts

@@ -0,0 +1,9 @@
+import type { UseIndicatorsEffect } from "../common/types/use-indicators-effect";
+import { USE_INDICATORS } from "../common/types/effect-types";
+
+export function isUseIndicatorsEffect(
+  effect: unknown,
+): effect is UseIndicatorsEffect {
+  // eslint-disable-next-line @typescript-eslint/no-unsafe-member-access, @typescript-eslint/no-explicit-any -- this is required
+  return (effect && (effect as any).type) === USE_INDICATORS;
+}

packages/bot-processor/src/types/bot/bot-configuration.interface.ts

@@ -1,4 +1,4 @@
-import { ExchangeCode } from "@opentrader/types";
+import type { ExchangeCode } from "@opentrader/types";
 
 export type IBotConfiguration = {
   id: number;

packages/bot-templates/package.json

@@ -21,6 +21,7 @@
   "dependencies": {
     "@opentrader/bot-processor": "workspace:*",
     "@opentrader/exchanges": "workspace:*",
+    "@opentrader/indicators": "workspace:*",
     "@opentrader/tools": "workspace:*"
   }
 }

packages/bot-templates/src/templates/grid-bot/arithmetic-grid-bot.ts

@@ -7,20 +7,27 @@ import type {
 import {
   cancelSmartTrade,
   useExchange,
+  useIndicators,
   useSmartTrade,
 } from "@opentrader/bot-processor";
 import { computeGridLevelsFromCurrentAssetPrice } from "@opentrader/tools";
 import type {
   IGetMarketPriceResponse,
   IGridBotLevel,
   IGridLine,
+  XCandle,
 } from "@opentrader/types";
 
 export interface GridBotConfig extends IBotConfiguration {
   gridLines: IGridLine[];
 }
 
 export function* arithmeticGridBot(ctx: TBotContext<GridBotConfig>) {
+  const candle1m: XCandle<"SMA10" | "SMA15"> = yield useIndicators(
+    ["SMA10", "SMA15", "SMA30"],
+    "1m",
+  );
+  const candle5m: XCandle<"SMA10"> = yield useIndicators(["SMA10"], "5m");
   const { config: bot, onStart, onStop } = ctx;
 
   const exchange: IExchange = yield useExchange();

packages/exchanges/src/exchanges/okx/normalize.ts

@@ -118,7 +118,7 @@ const getSymbol: Normalize["getSymbol"] = {
 
     filters: {
       price: {
-        /* eslint-disable @typescript-eslint/no-unsafe-assignment, @typescript-eslint/no-unsafe-member-access -- @todo need to assert */
+        /* eslint-disable @typescript-eslint/no-unsafe-member-access -- @todo need to assert */
         tickSize: market.info.tickSz,
         minPrice: null, // OKx doesn't provide this info
         maxPrice: null, // OKx doesn't provide this info
@@ -127,7 +127,7 @@ const getSymbol: Normalize["getSymbol"] = {
         stepSize: market.info.lotSz,
         minQuantity: market.info.minSz,
         maxQuantity: market.info.maxLmtSz,
-        /* eslint-enable @typescript-eslint/no-unsafe-assignment, @typescript-eslint/no-unsafe-member-access -- @todo need to assert */
+        /* eslint-enable @typescript-eslint/no-unsafe-member-access -- @todo need to assert */
       },
     },
   }),

packages/indicators/.eslintrc.js

@@ -0,0 +1,6 @@
+/** @type {import("eslint").Linter.Config} */
+module.exports = {
+  root: true,
+  extends: ["@opentrader/eslint-config/module.js"],
+  rules: {},
+};

packages/indicators/.gitignore

@@ -0,0 +1,2 @@
+node_modules
+dist

packages/indicators/package.json

@@ -0,0 +1,25 @@
+{
+  "name": "@opentrader/indicators",
+  "version": "0.0.1",
+  "description": "",
+  "main": "src/index.ts",
+  "types": "src/index.ts",
+  "scripts": {
+    "build": "tsc",
+    "lint": "eslint . --quiet",
+    "lint:fix": "eslint . --fix"
+  },
+  "author": "bludnic",
+  "devDependencies": {
+    "@opentrader/eslint-config": "workspace:*",
+    "@opentrader/tsconfig": "workspace:*",
+    "@opentrader/types": "workspace:*",
+    "@types/node": "^20.10.0",
+    "eslint": "8.54.0",
+    "ts-node": "^10.9.1",
+    "typescript": "^5.2.2"
+  },
+  "dependencies": {
+    "axios": "^1.6.1"
+  }
+}

packages/indicators/src/compute-indicators.ts

@@ -0,0 +1,56 @@
+import type {
+  ExchangeCode,
+  IndicatorBarSize,
+  IndicatorName,
+  IndicatorsResult,
+  XCandle,
+} from "@opentrader/types";
+import { fetchCandles } from "./fetch-candles";
+import { indicatorsMap } from "./indicators";
+
+type ComputeIndicatorsParams<I> = {
+  exchangeCode: ExchangeCode;
+  symbol: string;
+  barSize: IndicatorBarSize;
+  untilDate: string;
+  indicators: I[];
+};
+
+export async function computeIndicators<I extends IndicatorName>({
+  exchangeCode,
+  symbol,
+  barSize,
+  untilDate,
+  indicators,
+}: ComputeIndicatorsParams<I>): Promise<XCandle<I>> {
+  // Find the maximum number of periods across all indicators.
+  // This allows to fetch all needed candles in one request.
+  const maxPeriods = Math.max(
+    ...indicators.map((i) => indicatorsMap[i].periods),
+  );
+
+  const candles = await fetchCandles({
+    exchangeCode,
+    symbol,
+    untilDate,
+    barSize,
+    limit: maxPeriods,
+  });
+
+  const result: IndicatorsResult<I> = {} as IndicatorsResult<I>;
+  for (const indicator of indicators) {
+    result[indicator] = indicatorsMap[indicator].compute(candles);
+  }
+
+  const lastCandle = candles[candles.length - 1];
+
+  return {
+    timestamp: new Date(lastCandle.timestamp).getTime(),
+    open: lastCandle.open,
+    high: lastCandle.high,
+    low: lastCandle.low,
+    close: lastCandle.close,
+    volume: lastCandle.volume,
+    indicators: result,
+  };
+}

packages/indicators/src/fetch-candles.ts

@@ -0,0 +1,20 @@
+import axios from "axios";
+import type { OHLCVData, OHLCVRequest, OHLCVResponse } from "./types";
+
+export async function fetchCandles(params: OHLCVRequest): Promise<OHLCVData[]> {
+  console.log("Fetch candles", params);
+
+  const { data } = await axios.get<OHLCVResponse>(
+    `${process.env.NEXT_PUBLIC_CANDLES_SERVICE_API_URL}/api/trpc/candles.list`,
+    {
+      headers: {
+        Authorization: process.env.NEXT_PUBLIC_CANDLES_SERVICE_API_KEY,
+      },
+      params: {
+        input: JSON.stringify(params),
+      },
+    },
+  );
+
+  return data.result.data;
+}

packages/indicators/src/index.ts

@@ -0,0 +1,2 @@
+export * from "./types";
+export * from "./compute-indicators";

packages/indicators/src/indicators/compute.ts

@@ -0,0 +1,19 @@
+import type { OHLCVData } from "../types";
+import { SMA } from "./sma";
+
+export function computeSMA(candles: OHLCVData[], periods: 5 | 10 | 15 | 30) {
+  if (candles.length < periods) {
+    throw new Error(
+      `Not enough data points for the given period: ${periods}. Candles provided: ${candles.length}`,
+    );
+  }
+
+  const lastCandles = candles.slice(-periods);
+
+  const result = SMA(
+    lastCandles.map((x) => x.close),
+    periods,
+  );
+
+  return result[0];
+}