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Added remaining tests + fixed linting issues

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This commit is contained in:
askeluv
2019-02-12 19:34:05 +08:00
parent d7825dd7db
commit 82dffe9d0e
6 changed files with 127 additions and 64 deletions
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33
packages/pipeline/src/scripts/pull_slippage.ts
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@@ -1,19 +1,20 @@
import * as R from 'ramda';
import { Connection, ConnectionOptions, createConnection, Repository, PromiseUtils, AdvancedConsoleLogger } from 'typeorm';
import { Connection, ConnectionOptions, createConnection } from 'typeorm';
import { logUtils } from '@0x/utils';
import { EdpsExchange, EdpsSource, PriceResponse, PriceSource } from '../data_sources/slippage';
import { handleError } from '../utils';
import { string, number } from 'prop-types';
import { calculateSlippage } from '../parsers/slippage';
import { EdpsSource} from '../data_sources/slippage';
import { Slippage } from '../entities';
import * as ormConfig from '../ormconfig';
import { calculateSlippage } from '../parsers/slippage';
import { handleError } from '../utils';
// Number of orders to save at once.
const BATCH_SAVE_SIZE = 1000;
// USD amounts for slippage depths
// tslint:disable-next-line:custom-no-magic-numbers
const USD_AMOUNTS = [10, 100, 1000, 10000];
// TODO: fetch from database
const TOKENS = ['BAT', 'DAI', 'FUN', 'MANA', 'OMG', 'REP', 'TUSD', 'ZRX', 'MKR', 'BNB', 'USDC'];
@@ -21,30 +22,28 @@ let connection: Connection;
(async () => {
connection = await createConnection(ormConfig as ConnectionOptions);
const priceSource = new PriceSource();
const edpsSource = new EdpsSource();
logUtils.log('Fetching slippage records');
let nestedSlippages: Slippage[][][] = await Promise.all(await TOKENS.map(async (symbol) => {
const usdPrice = await priceSource.getUsdPriceAsync(symbol);
return Promise.all(USD_AMOUNTS.map(async (usdAmount) => {
const nestedSlippages: Slippage[][][] = await Promise.all(TOKENS.map(async symbol => {
const usdPrice = await edpsSource.getUsdPriceAsync(symbol);
return Promise.all(USD_AMOUNTS.map(async usdAmount => {
const amount = usdAmount / usdPrice;
const buyEdps = await edpsSource.getEdpsAsync('buy', symbol, amount);
const sellEdps = await edpsSource.getEdpsAsync('sell', symbol, amount);
const slippages = Array.from(buyEdps.keys()).map((exchange) => {
return Array.from(buyEdps.keys()).map(exchange => {
const slippage: Slippage = calculateSlippage(usdAmount, exchange, buyEdps, sellEdps);
return slippage;
});
return slippages;
}));
}));
let slippagesWithEmptyRecords = await nestedSlippages
const slippagesWithEmptyRecords = nestedSlippages
.reduce((acc, val) => acc.concat(val))
.reduce((acc, val) => acc.concat(val));
let slippages = slippagesWithEmptyRecords.filter((slippage) => slippage.observedTimestamp)
const slippages = slippagesWithEmptyRecords.filter(slippage => slippage.observedTimestamp);
const SlippageRepository = connection.getRepository(Slippage);
logUtils.log(`Saving ${slippages.length} records to database`);
await SlippageRepository.save(slippages, { chunk: Math.ceil(slippages.length / BATCH_SAVE_SIZE) });
logUtils.log("Done");
logUtils.log('Done');
process.exit(0);
})().catch(handleError);
})().catch(handleError);