Add volume support

Author: adg-flare

.env.example

@@ -1,7 +1,11 @@
 # Log level - enable debug logging
-# LOG_LEVEL=debug 
+# LOG_LEVEL=debug
 
 # Optional
-VALUE_PROVIDER_CLIENT_PORT=3101
+# VALUE_PROVIDER_CLIENT_PORT=3101
 # Set to "fixed" to use a fixed provider, leave empty for ccxt provider
 # VALUE_PROVIDER_IMPL="fixed"
+# Weighted median decay factor
+# MEDIAN_DECAY=0.00005
+# Number of trades to fetch per batch
+# TRADES_HISTORY_SIZE=1000

package.json

@@ -28,7 +28,7 @@
     "@nestjs/core": "^10.0.0",
     "@nestjs/platform-express": "^10.0.0",
     "@nestjs/swagger": "^7.3.1",
-    "ccxt": "^4.0.64",
+    "ccxt": "^4",
     "class-transformer": "^0.5.1",
     "dotenv": "^16.4.5",
     "helmet": "^7.1.0",

src/app.controller.ts

@@ -1,12 +1,18 @@
-import { Body, Controller, Param, ParseIntPipe, Post, Inject, Logger } from "@nestjs/common";
+import { Body, Controller, Param, ParseIntPipe, Post, Inject, Logger, Query } from "@nestjs/common";
 import { ApiTags } from "@nestjs/swagger";
 import { ExampleProviderService } from "./app.service";
-import { FeedValuesRequest, FeedValuesResponse, RoundFeedValuesResponse } from "./dto/provider-requests.dto";
+import {
+  FeedValuesRequest,
+  FeedValuesResponse,
+  FeedVolumesResponse,
+  RoundFeedValuesResponse,
+} from "./dto/provider-requests.dto";
 
 @ApiTags("Feed Value Provider API")
 @Controller()
 export class ExampleProviderController {
   private logger = new Logger(ExampleProviderController.name);
+
   constructor(@Inject("EXAMPLE_PROVIDER_SERVICE") private readonly providerService: ExampleProviderService) {}
 
   @Post("feed-values/:votingRoundId")
@@ -30,4 +36,16 @@ export class ExampleProviderController {
       data: values,
     };
   }
+
+  @Post("volumes/")
+  async getFeedVolumes(
+    @Body() body: FeedValuesRequest,
+    @Query("window") windowSec: number = 60
+  ): Promise<FeedVolumesResponse> {
+    const values = await this.providerService.getVolumes(body.feeds, windowSec);
+    this.logger.log(`Feed volumes for last ${windowSec} seconds: ${JSON.stringify(values)}`);
+    return {
+      data: values,
+    };
+  }
 }

src/app.service.ts

@@ -1,5 +1,5 @@
 import { Injectable } from "@nestjs/common";
-import { FeedId, FeedValueData } from "./dto/provider-requests.dto";
+import { FeedId, FeedValueData, FeedVolumeData } from "./dto/provider-requests.dto";
 import { BaseDataFeed } from "./data-feeds/base-feed";
 
 @Injectable()
@@ -13,4 +13,8 @@ export class ExampleProviderService {
   async getValues(feeds: FeedId[]): Promise<FeedValueData[]> {
     return this.dataFeed.getValues(feeds);
   }
+
+  async getVolumes(feeds: FeedId[], volumeWindow: number): Promise<FeedVolumeData[]> {
+    return this.dataFeed.getVolumes(feeds, volumeWindow);
+  }
 }

src/config/feeds.json

@@ -2,6 +2,14 @@
   {
     "feed": { "category": 1, "name": "FLR/USD" },
     "sources": [
+      {
+        "exchange": "bybit",
+        "symbol": "FLR/USDT"
+      },
+      {
+        "exchange": "coinbase",
+        "symbol": "FLR/USDT"
+      },
       {
         "exchange": "cryptocom",
         "symbol": "FLR/USD"
@@ -10,6 +18,10 @@
         "exchange": "gate",
         "symbol": "FLR/USDT"
       },
+      {
+        "exchange": "htx",
+        "symbol": "FLR/USDT"
+      },
       {
         "exchange": "kucoin",
         "symbol": "FLR/USDT"
@@ -932,10 +944,6 @@
         "exchange": "binance",
         "symbol": "TRX/USDT"
       },
-      {
-        "exchange": "binance",
-        "symbol": "TRX/USD:TRX"
-      },
       {
         "exchange": "bitget",
         "symbol": "TRX/USDT"
@@ -990,10 +998,6 @@
         "exchange": "binance",
         "symbol": "DAI/USDT"
       },
-      {
-        "exchange": "bybit",
-        "symbol": "DAI/USDT"
-      },
       {
         "exchange": "bitget",
         "symbol": "DAI/USDT"
@@ -1374,6 +1378,10 @@
         "exchange": "ascendex",
         "symbol": "PEPE/USDT"
       },
+      {
+        "exchange": "binance",
+        "symbol": "PEPE/USDT"
+      },
       {
         "exchange": "bingx",
         "symbol": "PEPE/USDT"
@@ -1539,10 +1547,6 @@
         "exchange": "kucoin",
         "symbol": "TAO/USDT"
       },
-      {
-        "exchange": "lbank",
-        "symbol": "TAO/USDT"
-      },
       {
         "exchange": "mexc",
         "symbol": "TAO/USDT"
@@ -1688,10 +1692,6 @@
         "exchange": "probit",
         "symbol": "JOULE/USDT"
       },
-      {
-        "exchange": "bitrue",
-        "symbol": "JOULE/USDT"
-      },
       {
         "exchange": "mexc",
         "symbol": "JOULE/USDT"

src/data-feeds/base-feed.ts

@@ -1,6 +1,9 @@
-import { FeedId, FeedValueData } from "../dto/provider-requests.dto";
+import { FeedId, FeedValueData, FeedVolumeData } from "../dto/provider-requests.dto";
 
 export abstract class BaseDataFeed {
   abstract getValue(feed: FeedId): Promise<FeedValueData>;
+
   abstract getValues(feeds: FeedId[]): Promise<FeedValueData[]>;
+
+  abstract getVolumes(feeds: FeedId[], volumeWindow: number): Promise<FeedVolumeData[]>;
 }