crypto-aggregator

Continuously scans exchanges and calculates the volume-weighted average market pair price (VWAMPP) of each cryptocurrency.

• Based on ccxt
• Supports more than 120 bitcoin/altcoin exchanges
• Evaluates all pairs in the given exchanges and averages the price of each coin
• Filters out outliers
• Accepts API key from https://openexchangerates.org/ to convert between foreign exchanges
• Accepts callbacks for each time the price is updated

What is volume-weighted average market pair price (VWAMPP)?

Volume-Weighted Average Market Market Pair Price (VWAMPP) is the average of the market pair prices from all exchanges where each market pair price is weighted by its volume.

For more details on how VWAMPP is calculated and why it is used, see this article.

Installation

npm install crypto-aggregator --save

Screenshot

examples/demo.js

Usage

Simple

In its simplest form, it can run as:

let options = {
  // Forex conversions
  getForexData_oxr: true, // Mocked values will be uses if set to false
  osx_app_id: "YOUR_OSX_APP_ID" // openexchangerates.org app id
};

var ca = require("../index.js")(options);
ca.start(options);

Other options and default values

Below are other options and their default values:

options: {
    loopForEver: true,
    maxNumberOfIterations: 10, // ignored if loopForEver == true

    printBanner: true,

    getCoinGeckoPrices: true, // Get CoinGecko prices as a reference to compare our prices (optional)

    // Forex conversions
    getForexData_oxr: false,  // Mocked values will be uses if set to false
    osx_app_id: "YOUR_OSX_APP_ID", // openexchangerates.org app id

    // control
    enable: true, // Used for start/stop

    // Outlier detection
    bypassOutliers: true, // Ignores outliers
    outlierStandardDeviationDistanceFromMean: 3, // distance from mean for an outlier in sigma

    aggregatePriceInterval_ms: 5000,  // Aggregate price rate
    coingGeckoUpdateInterval_ms: 100 * 1000,  // CoinGecko Refresh rate
    statusBarTextInterval_ms: 1000, // Status bar update refersh rate

    aggregatePricesCallBack: null, // Called whenever the partial WVAP is calculated
    iterationCallBack: null, // Calculated whenever all exchanges and pairs were queired at the end of one iteration
    discoveredOneTickerCallBack:null,  // Called whenever found a new pair on an exchange


    bPrintStatus: true, //Print the status bar
    printAllPrices: true, // Print a summary table in the log file
    coinsInStatusBar: ["BTC", "ETH"], // Coins to be shown in the summary status bar

    ccxtExchangeRateLimitDivider:1,  // Divides CCXT's recommended rateLimit time if filling adventerous!

    // Exchanges to query from
    trustedExchanges: [
      "huobipro",
      "kraken",
      "binance",
      "bittrex",
      "bitmex",
      "bitstamp",
      "coinbasepro",
      "gemini",
      "itbit",
      "bitflyer",
      "poloniex",
      "independentreserve",

      "liquid",
      "upbit"
    ],

    // Exchanges to exclude even if they are in trustedExchanges
    excludeExchanges: [
      "_1btcxe",
      "allcoin",
      "theocean",
      "xbtce",
      "cointiger",
      "bibox",
      "coolcoin",
      "uex",
      "dsx",
      "flowbtc",
      "bcex"
    ]
  }

Data Structure and Callbacks

For simplicity, all discovered data and VWAMPP price for all cryptocurrencies is kept in memory. Callback functions are provided which can be used to write data in your own database.

The in-memory values are as follows:

VWAMPP Prices

The VWAMPP price for all cryptos are in pricesInUSD. Example:

let options = {
  // Forex conversions
  getForexData_oxr: false, // Mocked values will be uses if set to false
  osx_app_id: "YOUR_OSX_APP_ID" // openexchangerates.org app id
};

var ca = require("../index.js")(options);
ca.start(options);

// Print the calculated VWAMPP price of BTC after 5 minutes:
setTimeout(() => {
  let pricesInUSD = ca.pricesInUSD;
  let log = ca.log;

  log.info(`BTC price is: `, pricesInUSD["BTC"]);
}, 5 * 60 * 1000);

Market Pairs

Makrket pairs are kept inside an object called tickers. They are organized under a tree of:

let cryptoName = "BTC"; // String
let exchangeName = "binance"; // String
let index = 0; // String
tickers[cryptoName][exchangeName]["pairs"][index].ticker;
tickers[cryptoName][exchangeName]["pairs"][index].market;

where market and ticker are taken directly from ccxt output of fetchTicker and fetchMarkets functions.

Example:

let options = {
  // Forex conversions
  getForexData_oxr: true, // Mocked values will be uses if set to false
  osx_app_id: "YOUR_OSX_APP_ID" // openexchangerates.org app id
};

var ca = require("../index.js")(options);
ca.start(options);

// Print discovered tickers after 5 minutes:
setTimeout(() => {
  let tickers = ca.tickers;
  let log = ca.log;

  log.info(`tickers=`, JSON.stringify(tickers));
}, 5 * 60 * 1000);

// Output:
// INFO: tickers = {
//     'BTC' : {
//       'binance': {
//         pairs: [{ticker: {...}, market: {symbol: 'BTC/USDT', ...}},
//                 {ticker: {...}, market: {symbol: 'BTC/BNB', ...}}
//                 ]
//       },
//       'kraken': {
//         pairs: [{ticker: {...}, market: {symbol: 'ETH/BTC', ...}},
//                 {ticker: {...}, market: {symbol: 'BTC/USDT', ...}},
//               ]
//       }
//     }
//  ...
//   }

Logger

The logger used in this package is available separately in log-with-statusbar npm package

License

Free to use under ICS. Backlinks and credit are greatly appreciated!

Issue and Pull Requests

Issues, contributions, and pull requests are welcome!