bfx-hf-util/lib/candles/preprocess_remote_candles.js

HF utilities

'use strict'

const _isFinite = require('lodash/isFinite')
const candleWidth = require('./candle_width')

/**
 * Fills in gaps in candle data as returned by bfx; candles with no
 * trades are not returned by the API.
 *
 * Generated dummy candles have OHLC set to previous col, vol 0
 *
 * NOTE: Result size may exceed the fetch limit
 *
 * @param {string} tf - candle timeframe
 * @param {Array[]|Candle[]} candles - array of ws2/rest2 format candle data
 * @param {boolean} transformed - indicates if the dataset is transformed
 * @return {Array[]} consistentCandles
 */
const preprocessRemoteCandles = (tf, candles = [], transformed) => {
  const candleSize = candleWidth(tf)

  if (!_isFinite(candleSize)) {
    throw new Error(`invalid time frame: ${tf}`)
  }

  const consistentCandles = []
  let c

  for (let i = 0; i < candles.length; i += 1) {
    c = candles[i]
    consistentCandles.push(c)

    if (i === candles.length - 1) break

    if (transformed) {
      if ((candles[i + 1].mts - c.mts) === candleSize) continue
    } else {
      if ((candles[i + 1][0] - c[0]) === candleSize) continue
    }

    // Fill in candles with 0 vol
    let next = transformed
      ? c.mts + candleSize
      : c[0] + candleSize

    if (transformed) {
      while (next < candles[i + 1].mts) {
        consistentCandles.push({
          mts: next,
          open: c.close,
          high: c.close,
          low: c.close,
          close: c.close,
          volume: 0
        })

        next += candleSize
      }
    } else {
      while (next < candles[i + 1][0]) {
        consistentCandles.push([next, c[2], c[2], c[2], c[2], 0])
        next += candleSize
      }
    }
  }

  return consistentCandles
}

module.exports = preprocessRemoteCandles