Init

LICENSE

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+MIT License
+
+Copyright (c) 2017, Kevin Cotugno
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

README.md

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+# Tacitus

cmd/interval/main.go

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+package main
+
+import (
+	"github.com/shopspring/decimal"
+	"encoding/csv"
+	"log"
+	"fmt"
+	"os"
+	"time"
+	"strconv"
+
+	"tacitus/postgres"
+)
+
+
+func main() {
+	client := postgres.NewClient()
+	client.Name = "gdax"
+	client.User = "gdax"
+
+	err := client.Open()
+	if err != nil {
+		log.Fatal(err)
+	}
+
+	var start time.Time
+	var end time.Time
+	var done bool
+	file, err := os.Create("btcusd_30_sec.csv")
+	if err != nil {
+		log.Fatal(err)
+	}
+
+	csv := csv.NewWriter(file)
+
+	first, _ := client.TradeService().Trade(1)
+
+	start = first.Timestamp.Truncate(30 * time.Second)
+	end = start.Add(30 * time.Second)
+
+	err = csv.Write([]string{"timestamp", "price", "volume", "transactions"})
+	if err != nil {
+		log.Fatal(err)
+	}
+
+	var lastPrice string
+	for !done {
+		trades, _ := client.TradeService().TradesInDateRange("BTCUSD", start, end)
+		if len(trades) > 0 {
+			var volume decimal.Decimal
+			var transactions int
+
+			for _, t := range trades {
+				volume = volume.Add(t.Size)
+				transactions += 1
+				lastPrice = t.Price.String()
+			}
+
+			data := []string{end.String(), lastPrice, volume.String(), strconv.Itoa(transactions)}
+			if err = csv.Write(data); err != nil {
+				log.Fatal(err)
+			}
+
+			fmt.Println(end)
+		} else {
+			data := []string{end.String(), lastPrice, "0", "0"}
+			if err = csv.Write(data); err != nil {
+				log.Fatal(err)
+			}
+		}
+
+		start = end
+		end = end.Add(30 * time.Second)
+
+		if start.After(time.Date(2017, 8, 30, 16, 13, 50, 0, time.UTC)) {
+			done = true
+		}
+
+	}
+
+	csv.Flush()
+	file.Close()
+}

config/postgres.sql

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+CREATE TABLE trades (
+	id SERIAL PRIMARY KEY,
+	trade_id integer NOT NULL,
+	product CHAR(6) NOT NULL,
+	price NUMERIC(1000, 8) NOT NULL,
+	size NUMERIC(1000, 8) NOT NULL,
+	buy BOOLEAN NOT NULL DEFAULT FALSE,
+	sell BOOLEAN NOT NULL DEFAULT FALSE,
+	timestamp TIMESTAMPTZ NOT NULL);
+
+CREATE UNIQUE INDEX trade_id_product_INDEX ON trades (
+	trade_id,
+	product);
+
+CREATE INDEX timestamp_index ON trades (timestamp);

postgres/client.go

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+package postgres
+
+import (
+	_ "github.com/lib/pq"
+
+	"bytes"
+	"database/sql"
+	"text/template"
+
+	"tacitus"
+)
+
+const connStr = `user={{.User}} dbname={{.Name}} sslmode={{.SslMode}}`
+
+type Client struct {
+	Name    string
+	User    string
+	SslMode string
+
+	tradeService TradeService
+
+	db *sql.DB
+}
+
+func NewClient() *Client {
+	c := Client{}
+	c.tradeService.client = &c
+	c.SslMode = "disable"
+
+	return &c
+}
+
+func (c *Client) Open() error {
+	buf := bytes.Buffer{}
+	tmpl, _ := template.New("conn").Parse(connStr)
+	tmpl.Execute(&buf, c)
+
+	db, err := sql.Open("postgres", buf.String())
+	if err != nil {
+		return err
+	}
+
+	if err = db.Ping(); err != nil {
+		return err
+	}
+
+	c.db = db
+	return nil
+}
+
+func (c *Client) TradeService() tacitus.TradeService {
+	return &c.tradeService
+}

postgres/trade_service.go

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+package postgres
+
+import (
+	"time"
+
+	"tacitus"
+)
+
+const (
+	trade_insert = `INSERT INTO trades (trade_id, product, price, size, buy, ` +
+		`sell, timestamp) VALUES ($1, $2, $3, $4, $5, $6, $7) RETURNING id;`
+	trade_find = `SELECT id, trade_id, product, price, size, buy, sell, ` +
+		`timestamp FROM trades WHERE id = $1;`
+	trade_find_trade_id = `SELECT id, trade_id, product, price, size, buy, ` +
+		`sell, timestamp FROM trades WHERE trade_id = $1 AND product = $2;`
+	trade_delete         = `DELETE FROM trades WHERE id = $1;`
+	trades_in_date_range = `SELECT id, trade_id, product, price, size, buy, ` +
+		`sell, timestamp FROM trades WHERE product = $1 AND timestamp >= $2 ` +
+		`AND timestamp < $3;`
+)
+
+type TradeService struct {
+	client *Client
+}
+
+func (t *TradeService) Trade(id int) (*tacitus.Trade, error) {
+	var tr tacitus.Trade
+
+	row := t.client.db.QueryRow(trade_find, id)
+	if err := row.Scan(&tr.Id, &tr.TradeId, &tr.Product, &tr.Price, &tr.Size, &tr.Buy,
+		&tr.Sell, &tr.Timestamp); err != nil {
+
+		return nil, err
+	}
+
+	return &tr, nil
+}
+
+func (t *TradeService) TradeByTradeId(id int, prod string) (*tacitus.Trade, error) {
+	var tr tacitus.Trade
+
+	row := t.client.db.QueryRow(trade_find_trade_id, id, prod)
+	if err := row.Scan(&tr.Id, &tr.TradeId, &tr.Product, &tr.Price, &tr.Size, &tr.Buy,
+		&tr.Sell, &tr.Timestamp); err != nil {
+
+		return nil, err
+	}
+
+	return &tr, nil
+}
+
+func (t *TradeService) CreateTrade(trade *tacitus.Trade) error {
+	var id int
+	res := t.client.db.QueryRow(trade_insert, trade.TradeId, trade.Product,
+		trade.Price, trade.Size, trade.Buy, trade.Sell, trade.Timestamp)
+	if err := res.Scan(&id); err != nil {
+		return err
+	}
+
+	trade.Id = id
+
+	return nil
+}
+
+func (t *TradeService) DeleteTrade(id int) {
+	t.client.db.Exec(trade_delete, id)
+}
+
+func (t *TradeService) TradesInDateRange(product string, start,
+	end time.Time) ([]tacitus.Trade, error) {
+
+	trades := make([]tacitus.Trade, 0)
+
+	rows, err := t.client.db.Query(trades_in_date_range, product, start, end)
+	if err != nil {
+		return nil, err
+	}
+	defer rows.Close()
+
+	for rows.Next() {
+		var trade tacitus.Trade
+		if err = rows.Scan(&trade.Id, &trade.TradeId, &trade.Product, &trade.Price,
+			&trade.Size, &trade.Buy, &trade.Sell, &trade.Timestamp); err != nil {
+
+			return nil, err
+		}
+
+		trades = append(trades, trade)
+	}
+
+	if rows.Err() != nil {
+		return nil, rows.Err()
+	}
+
+	return trades, nil
+}

trade.go

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+package tacitus
+
+import (
+	"github.com/shopspring/decimal"
+
+	"time"
+)
+
+type Trade struct {
+	Id        int
+	TradeId   int
+	Product   string
+	Price     decimal.Decimal
+	Size      decimal.Decimal
+	Buy       bool
+	Sell      bool
+	Timestamp time.Time
+}
+
+type TradeService interface {
+	Trade(id int) (*Trade, error)
+	TradeByTradeId(id int, prod string) (*Trade, error)
+	CreateTrade(t *Trade) error
+	DeleteTrade(id int)
+	TradesInDateRange(product string, start, end time.Time) ([]Trade, error)
+}