candlestick-convert
Version:
OHLCV Candlestick converter and batcher with Typescript support
65 lines • 2 kB
JavaScript
;
Object.defineProperty(exports, "__esModule", { value: true });
exports.ticksToTickChart = void 0;
const ticksToTickChart = (tradeData, tickSize = 5) => {
let result = [];
tickSize = Math.floor(tickSize);
if (tickSize < 1) {
throw new Error("Convert cannot be smaller than 1");
}
// candleData Array check
if (Array.isArray(tradeData)) {
if (tradeData.length == 0 || tradeData.length < tickSize) {
return result;
}
}
else {
throw new Error("TradeData is not an array!");
}
// Sort Data to ascending
tradeData.sort((a, b) => a.time - b.time);
// Buffer values
let open = 0;
let high = 0;
let close = 0;
let low = 0;
let volume = 0;
let j = 0;
// TradeData [time,side,quantity,price,tradeId]
// 0 1 2 3 4 5
for (let i = 0; i < tradeData.length; i++) {
const trade = tradeData[i];
// Type convert
trade.price = Number(trade.price);
trade.quantity = Number(trade.quantity);
trade.time = Number(trade.time);
//Get open values
if (j == 0) {
open = trade.price;
low = trade.price;
high = trade.price;
volume = trade.quantity;
}
else {
// Add volume non open step
volume += trade.quantity;
}
// Count timeFrame size
j++;
// Calculate low
low = Math.min(trade.price, low);
// Calculate high
high = Math.max(trade.price, high);
// Tick interval reached
if (j >= tickSize) {
// Close is always close
close = trade.price;
result.push({ time: trade.time, open, high, low, close, volume });
// Reset buffers
open = high = close = low = volume = j = 0;
}
}
return result;
};
exports.ticksToTickChart = ticksToTickChart;
//# sourceMappingURL=tickChart.js.map