From c59ed542c4884938e04583c45216e830fd4f548a Mon Sep 17 00:00:00 2001
From: BlndMrn <lion142830@gmail.com>
Date: Sun, 29 Sep 2024 19:42:52 +0500
Subject: [PATCH] Extend price data by klines OHLC

OHLC is already presented in klines so why not to use this information?
---
 CryptoPrice/common/prices.py             | 16 +++++++++++-----
 CryptoPrice/retrievers/KlineRetriever.py |  2 +-
 2 files changed, 12 insertions(+), 6 deletions(-)

diff --git a/CryptoPrice/common/prices.py b/CryptoPrice/common/prices.py
index af0b5b4..adc326b 100644
--- a/CryptoPrice/common/prices.py
+++ b/CryptoPrice/common/prices.py
@@ -7,7 +7,10 @@
 
 @dataclass(frozen=True)
 class Price:
-    value: float
+    high: float
+    low: float
+    open: float
+    close: float
     asset: str
     ref_asset: str
     timestamp: int
@@ -16,7 +19,10 @@ class Price:
 
 @dataclass(frozen=True)
 class MetaPrice:
-    value: float
+    high: float
+    low: float
+    open: float
+    close: float
     asset: str
     ref_asset: str
     prices: List[Union[Price, MetaPrice]]
@@ -41,7 +47,7 @@ def mean_from_meta_price(meta_prices: List[MetaPrice]) -> MetaPrice:
         for meta_price in meta_prices:
             if (asset, ref_asset) != (meta_price.asset, meta_price.ref_asset):
                 raise ValueError("asset and ref asset are inconsistent")
-            cum_value += meta_price.value
+            cum_value += meta_price.close
             source.update(meta_price.source)
         return MetaPrice(cum_value / len(meta_prices), asset, ref_asset, meta_prices, source=source)
 
@@ -66,9 +72,9 @@ def from_price_path(assets: List[str], price_path: List[Price]) -> MetaPrice:
         for i, price in enumerate(price_path):
             current_asset, next_asset = assets[i:i + 2]
             if price.asset == next_asset:
-                cumulated_price /= price.value
+                cumulated_price /= price.close
             else:
-                cumulated_price *= price.value
+                cumulated_price *= price.close
             source.add(price.source)
         return MetaPrice(cumulated_price, assets[0], assets[-1], price_path, source=source)
 
diff --git a/CryptoPrice/retrievers/KlineRetriever.py b/CryptoPrice/retrievers/KlineRetriever.py
index 1f78193..e6f1f50 100644
--- a/CryptoPrice/retrievers/KlineRetriever.py
+++ b/CryptoPrice/retrievers/KlineRetriever.py
@@ -85,7 +85,7 @@ def _get_closest_price(self, asset: str, ref_asset: str, timestamp: int) -> Opti
                                       closest_open_timestamp, self.closest_window)
 
         if closest_kline is not None:
-            return Price(closest_kline.open, asset, ref_asset, closest_kline.open_timestamp, closest_kline.source)
+            return Price(closest_kline.high, closest_kline.low, closest_kline.open, closest_kline.close, asset, ref_asset, closest_kline.open_timestamp, closest_kline.source)
 
         msg = f"no Kline found for {asset}, {ref_asset}, {self.kline_timeframe.name}, {timestamp}," \
               f" w={self.closest_window}"