@hackape/tardis-dev/src/computable/tradebar.ts

Convenient access to tick-level historical and real-time cryptocurrency market data via Node.js

import { BookChange, NormalizedData, Trade, TradeBar, Writeable } from '../types'
import { Computable } from './computable'

const DATE_MIN = new Date(-1)

type BarKind = 'time' | 'volume' | 'tick'

type TradeBarComputableOptions = { kind: BarKind; interval: number; name?: string }

export const computeTradeBars = (options: TradeBarComputableOptions): (() => Computable<TradeBar>) => () => new TradeBarComputable(options)

const kindSuffix: { [key in BarKind]: string } = {
  tick: 'ticks',
  time: 'ms',
  volume: 'vol'
}

class TradeBarComputable implements Computable<TradeBar> {
  // use book_change messages as workaround for issue when time passes for new bar to be produced but there's no trades,
  // so logic `compute` would not execute
  // assumption is that if one subscribes to book changes too then there's pretty good chance that
  // even if there are no trades, there's plenty of book changes that trigger computing new trade bar if time passess
  public readonly sourceDataTypes = ['trade', 'book_change']

  private _inProgressBar: Writeable<TradeBar>
  private readonly _kind: BarKind
  private readonly _interval: number
  private readonly _name: string
  private readonly _type = 'trade_bar'

  constructor({ kind, interval, name }: TradeBarComputableOptions) {
    this._kind = kind
    this._interval = interval

    if (name === undefined) {
      this._name = `${this._type}_${interval}${kindSuffix[kind]}`
    } else {
      this._name = name
    }

    this._inProgressBar = {} as any
    this._reset()
  }

  public *compute(message: Trade | BookChange) {
    // first check if there is a new trade bar for new timestamp for time based trade bars
    if (this._hasNewBar(message.timestamp)) {
      yield this._computeBar(message)
    }

    if (message.type !== 'trade') {
      return
    }

    // update in progress trade bar with new data
    this._update(message)

    // and check again if there is a new trade bar after the update (volume/tick based trade bars)
    if (this._hasNewBar(message.timestamp)) {
      yield this._computeBar(message)
    }
  }

  private _computeBar(message: NormalizedData) {
    this._inProgressBar.localTimestamp = message.localTimestamp
    this._inProgressBar.symbol = message.symbol
    this._inProgressBar.exchange = message.exchange

    const tradeBar: TradeBar = { ...this._inProgressBar }

    this._reset()

    return tradeBar
  }

  private _hasNewBar(timestamp: Date): boolean {
    // privided timestamp is an exchange trade timestamp in that case
    // we bucket based on exchange timestamps when bucketing by time not by localTimestamp
    if (this._inProgressBar.trades === 0) {
      return false
    }

    if (this._kind === 'time') {
      const currentTimestampTimeBucket = this._getTimeBucket(timestamp)
      const openTimestampTimeBucket = this._getTimeBucket(this._inProgressBar.openTimestamp)
      if (currentTimestampTimeBucket > openTimestampTimeBucket) {
        // set the timestamp to the end of the period of given bucket
        this._inProgressBar.timestamp = new Date((openTimestampTimeBucket + 1) * this._interval)

        return true
      }

      return false
    }

    if (this._kind === 'volume') {
      return this._inProgressBar.volume >= this._interval
    }

    if (this._kind === 'tick') {
      return this._inProgressBar.trades >= this._interval
    }

    return false
  }

  private _update(trade: Trade) {
    const inProgressBar = this._inProgressBar
    const isNotOpenedYet = inProgressBar.trades === 0

    if (isNotOpenedYet) {
      inProgressBar.open = trade.price
      inProgressBar.openTimestamp = trade.timestamp
    }

    if (inProgressBar.high < trade.price) {
      inProgressBar.high = trade.price
    }
    if (inProgressBar.low > trade.price) {
      inProgressBar.low = trade.price
    }

    inProgressBar.close = trade.price
    inProgressBar.closeTimestamp = trade.timestamp

    inProgressBar.buyVolume += trade.side === 'buy' ? trade.amount : 0
    inProgressBar.sellVolume += trade.side === 'sell' ? trade.amount : 0
    inProgressBar.trades += 1
    inProgressBar.vwap = (inProgressBar.vwap * inProgressBar.volume + trade.price * trade.amount) / (inProgressBar.volume + trade.amount)
    // volume needs to be updated after vwap otherwise vwap calc will go wrong
    inProgressBar.volume += trade.amount
    inProgressBar.timestamp = trade.timestamp
  }

  private _reset() {
    const barToReset = this._inProgressBar
    barToReset.type = this._type
    barToReset.symbol = ''
    barToReset.exchange = '' as any
    barToReset.name = this._name
    barToReset.interval = this._interval
    barToReset.kind = this._kind

    barToReset.open = 0
    barToReset.high = Number.MIN_SAFE_INTEGER
    barToReset.low = Number.MAX_SAFE_INTEGER
    barToReset.close = 0

    barToReset.volume = 0
    barToReset.buyVolume = 0
    barToReset.sellVolume = 0

    barToReset.trades = 0
    barToReset.vwap = 0
    barToReset.openTimestamp = DATE_MIN
    barToReset.closeTimestamp = DATE_MIN
    barToReset.localTimestamp = DATE_MIN
    barToReset.timestamp = DATE_MIN
  }

  private _getTimeBucket(timestamp: Date) {
    return Math.floor(timestamp.valueOf() / this._interval)
  }
}