twap-bot

OpenTool app
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glucryptoAdopt opentool 0.19.8
typescript
import type { BacktestResolution } from "opentool/backtest";

import type { TwapBotConfig } from "../config";

const DEFAULT_TWAP_SCHEDULE_MINUTES = 60;

function resolveCronFields(cron: string | undefined) {
  if (!cron) return null;
  const fields = cron.trim().split(/\s+/).filter(Boolean);
  if (fields.length === 5) return fields;
  if (fields.length === 6) return fields.slice(1);
  return null;
}

export function resolveTwapScheduleMinutes(config: TwapBotConfig): number {
  const cronFields = resolveCronFields(config.schedule?.cron);
  if (!cronFields) {
    return DEFAULT_TWAP_SCHEDULE_MINUTES;
  }

  const [minute, hour, dayOfMonth, month, dayOfWeek] = cronFields;

  if (
    minute &&
    hour &&
    dayOfMonth &&
    month &&
    dayOfWeek &&
    /^\*\/(\d+)$/.test(minute) &&
    hour === "*" &&
    dayOfMonth === "*" &&
    month === "*" &&
    dayOfWeek === "*"
  ) {
    const intervalMinutes = Number.parseInt(minute.slice(2), 10);
    if (Number.isFinite(intervalMinutes) && intervalMinutes > 0) {
      return intervalMinutes;
    }
  }

  if (
    minute &&
    hour &&
    dayOfMonth &&
    month &&
    dayOfWeek &&
    /^\d+$/.test(minute) &&
    hour === "*" &&
    dayOfMonth === "*" &&
    month === "*" &&
    dayOfWeek === "*"
  ) {
    return 60;
  }

  if (
    minute &&
    hour &&
    dayOfMonth &&
    month &&
    dayOfWeek &&
    /^\d+$/.test(minute) &&
    /^\*\/(\d+)$/.test(hour) &&
    dayOfMonth === "*" &&
    month === "*" &&
    dayOfWeek === "*"
  ) {
    const intervalHours = Number.parseInt(hour.slice(2), 10);
    if (Number.isFinite(intervalHours) && intervalHours > 0) {
      return intervalHours * 60;
    }
  }

  if (
    minute &&
    hour &&
    dayOfMonth &&
    month &&
    dayOfWeek &&
    /^\d+$/.test(minute) &&
    /^\d+$/.test(hour) &&
    dayOfMonth === "*" &&
    month === "*" &&
    dayOfWeek === "*"
  ) {
    return 24 * 60;
  }

  if (
    minute &&
    hour &&
    dayOfMonth &&
    month &&
    dayOfWeek &&
    /^\d+$/.test(minute) &&
    /^\d+$/.test(hour) &&
    dayOfMonth === "*" &&
    month === "*" &&
    dayOfWeek !== "*"
  ) {
    const weeklyRuns = dayOfWeek
      .split(",")
      .map((value) => value.trim())
      .filter((value) => value.length > 0).length;
    return weeklyRuns > 1 ? Math.round((7 * 24 * 60) / weeklyRuns) : 7 * 24 * 60;
  }

  if (
    minute &&
    hour &&
    dayOfMonth &&
    month &&
    dayOfWeek &&
    /^\d+$/.test(minute) &&
    /^\d+$/.test(hour) &&
    dayOfMonth !== "*" &&
    month === "*" &&
    dayOfWeek === "*"
  ) {
    return 30 * 24 * 60;
  }

  return DEFAULT_TWAP_SCHEDULE_MINUTES;
}

export function resolveTwapBacktestResolution(params: {
  scheduleMinutes: number;
  twapMinutes: number;
}): BacktestResolution {
  const granularityMinutes = Math.max(
    1,
    Math.min(params.scheduleMinutes, params.twapMinutes, 24 * 60),
  );

  if (granularityMinutes <= 5) return "1";
  if (granularityMinutes <= 15) return "5";
  if (granularityMinutes <= 30) return "15";
  if (granularityMinutes <= 60) return "30";
  if (granularityMinutes <= 240) return "60";
  if (granularityMinutes <= 24 * 60) return "240";
  return "1D";
}

export function resolutionToMinutes(
  resolution: BacktestResolution,
): number {
  if (resolution === "1") return 1;
  if (resolution === "5") return 5;
  if (resolution === "15") return 15;
  if (resolution === "30") return 30;
  if (resolution === "60") return 60;
  if (resolution === "240") return 240;
  return 24 * 60;
}