1 files changed, 116 insertions, 0 deletions
diff --git a/packages/pipeline/src/utils/get_ohlcv_trading_pairs.ts b/packages/pipeline/src/utils/get_ohlcv_trading_pairs.ts
new file mode 100644
index 000000000..19f81344e
--- /dev/null
+++ b/packages/pipeline/src/utils/get_ohlcv_trading_pairs.ts
@@ -0,0 +1,116 @@
+import { fetchAsync } from '@0x/utils';
+import * as R from 'ramda';
+import { Connection } from 'typeorm';
+
+export interface TradingPair {
+    fromSymbol: string;
+    toSymbol: string;
+    latestSavedTime: number;
+}
+
+const COINLIST_API = 'https://min-api.cryptocompare.com/data/all/coinlist?BuiltOn=7605';
+
+interface CryptoCompareCoinListResp {
+    Data: Map<string, CryptoCompareCoin>;
+}
+
+interface CryptoCompareCoin {
+    Symbol: string;
+    BuiltOn: string;
+    SmartContractAddress: string;
+}
+
+const TO_CURRENCIES = ['USD', 'EUR', 'ETH', 'USDT'];
+const ETHEREUM_IDENTIFIER = '7605';
+const HTTP_OK_STATUS = 200;
+
+interface StaticPair {
+    fromSymbol: string;
+    toSymbol: string;
+}
+const SPECIAL_CASES: StaticPair[] = [
+    {
+        fromSymbol: 'ETH',
+        toSymbol: 'USD',
+    },
+];
+
+/**
+ * Get trading pairs with latest scraped time for OHLCV records
+ * @param conn a typeorm Connection to postgres
+ */
+export async function fetchOHLCVTradingPairsAsync(
+    conn: Connection,
+    source: string,
+    earliestBackfillTime: number,
+): Promise<TradingPair[]> {
+    // fetch existing ohlcv records
+    const latestTradingPairs: Array<{
+        from_symbol: string;
+        to_symbol: string;
+        latest: string;
+    }> = await conn.query(`SELECT
+    MAX(end_time) as latest,
+    from_symbol,
+    to_symbol
+    FROM raw.ohlcv_external
+    GROUP BY from_symbol, to_symbol;`);
+
+    // build addressable index: { fromsym: { tosym: time }}
+    const latestTradingPairsIndex: { [fromSym: string]: { [toSym: string]: number } } = {};
+    latestTradingPairs.forEach(pair => {
+        const latestIndex: { [toSym: string]: number } = latestTradingPairsIndex[pair.from_symbol] || {};
+        latestIndex[pair.to_symbol] = parseInt(pair.latest, 10); // tslint:disable-line:custom-no-magic-numbers
+        latestTradingPairsIndex[pair.from_symbol] = latestIndex;
+    });
+
+    // match time to special cases
+    const specialCases: TradingPair[] = SPECIAL_CASES.map(pair => {
+        const latestSavedTime =
+            R.path<number>([pair.fromSymbol, pair.toSymbol], latestTradingPairsIndex) || earliestBackfillTime;
+        return R.assoc('latestSavedTime', latestSavedTime, pair);
+    });
+
+    // get token symbols used by Crypto Compare
+    const allCoinsResp = await fetchAsync(COINLIST_API);
+    if (allCoinsResp.status !== HTTP_OK_STATUS) {
+        return [];
+    }
+    const allCoins: CryptoCompareCoinListResp = await allCoinsResp.json();
+    const erc20CoinsIndex: Map<string, string> = new Map();
+    Object.entries(allCoins.Data).forEach(pair => {
+        const [symbol, coinData] = pair;
+        if (coinData.BuiltOn === ETHEREUM_IDENTIFIER && coinData.SmartContractAddress !== 'N/A') {
+            erc20CoinsIndex.set(coinData.SmartContractAddress.toLowerCase(), symbol);
+        }
+    });
+
+    // fetch all tokens that are traded on 0x
+    const rawEventTokenAddresses: Array<{ tokenaddress: string }> = await conn.query(
+        `SELECT DISTINCT(maker_token_address) as tokenaddress FROM raw.exchange_fill_events UNION
+      SELECT DISTINCT(taker_token_address) as tokenaddress FROM raw.exchange_fill_events`,
+    );
+
+    // tslint:disable-next-line:no-unbound-method
+    const eventTokenAddresses = R.pluck('tokenaddress', rawEventTokenAddresses).map(R.toLower);
+
+    // join token addresses with CC symbols
+    const eventTokenSymbols: string[] = eventTokenAddresses
+        .filter(tokenAddress => erc20CoinsIndex.has(tokenAddress))
+        .map(tokenAddress => erc20CoinsIndex.get(tokenAddress) as string);
+
+    // join traded tokens with fiat and latest backfill time
+    const eventTradingPairs: TradingPair[] = R.chain(sym => {
+        return TO_CURRENCIES.map(fiat => {
+            const pair = {
+                fromSymbol: sym,
+                toSymbol: fiat,
+                latestSavedTime: R.path<number>([sym, fiat], latestTradingPairsIndex) || earliestBackfillTime,
+            };
+            return pair;
+        });
+    }, eventTokenSymbols);
+
+    // join with special cases
+    return R.concat(eventTradingPairs, specialCases);
+}