candlestick-convert
Version:
OHLCV Candlestick converter and batcher with Typescript support
112 lines • 3.28 kB
JavaScript
;
Object.defineProperty(exports, "__esModule", { value: true });
exports.batchTradeToExtCandle = void 0;
const interfaces_1 = require("../interfaces");
const batchTradeToExtCandle = (tradeData, interval = 60, includeOpenCandle = false, filterFn) => {
interval *= Math.floor(1000);
let result = [];
// Tradedata Array check
if (Array.isArray(tradeData)) {
if (tradeData.length == 0) {
return result;
}
}
else {
throw new Error("Tradedata is not an array!");
}
// Sort Data to ascending
tradeData.sort((a, b) => a.time - b.time);
if (filterFn) {
tradeData = tradeData.filter((e) => filterFn(e));
}
// Buffer values
let open = 0;
let high = 0;
let close = 0;
let low = 0;
let volume = 0;
let timeOpen = 0;
let buyVolume = 0;
let tx = 0;
let buyTx = 0;
let previousClose = null;
// 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) - (Number(trade.time) % interval);
// First Trade
if (i == 0) {
timeOpen = trade.time;
open = trade.price;
low = trade.price;
high = trade.price;
close = trade.price;
volume = trade.quantity;
tx = 1;
buyVolume = 0;
buyTx = 0;
if (trade.side === interfaces_1.TradeSide.BUY) {
buyVolume = trade.quantity;
buyTx = 1;
}
}
// We are still in the CandleTime
if (timeOpen == trade.time) {
low = Math.min(trade.price, low);
high = Math.max(trade.price, high);
if (i > 0) {
volume += trade.quantity;
tx += 1;
if (trade.side === interfaces_1.TradeSide.BUY) {
buyVolume += trade.quantity;
buyTx += 1;
}
close = trade.price;
}
}
else {
result.push({
time: timeOpen,
open,
high,
low,
close,
volume,
tx,
buyVolume,
buyTx,
});
// Create new candle
timeOpen = trade.time;
open = previousClose || trade.price;
low = trade.price;
high = trade.price;
close = trade.price;
volume = trade.quantity;
tx = 0;
buyVolume = 0;
buyTx = 0;
}
previousClose = close;
}
if (previousClose && includeOpenCandle) {
result.push({
time: timeOpen,
open,
high,
low,
close,
volume,
tx,
buyVolume,
buyTx,
});
}
return result;
};
exports.batchTradeToExtCandle = batchTradeToExtCandle;
//# sourceMappingURL=tradeToExtCandle.js.map