candlestick-convert
This package allow you to batch OHLCV candlesticks or creating them from trade(tick) data sets.
Supported formats:
- OHLCV (CCXT format)
[[time,open,high,low,close,volume]] - OHLCV JSON
[{time: number,open: number, high: number, low: number close: number, volume: number}] - Trade JSON
[{price: number, quantity: number, time:number}]
Features:
- Typescript support!
- CCXT support
- No Dependencies
- Performance single loop used
- Skip missing candles
Important!:
- Intervals only supported as second integers (1 minute = 60 , 2 minute = 120...)
- Only positive integer multiplication allowed between base interval and the new interval. e.g. 60->120, 60->180
Install:
npm install candlestick-convert
Available functions:
import {batchCandleArray, batchCandleJSON, batchTicksToCandle, ticksToTickChart} from "candlestick-convert";
batchCandleArray(candledata: OHLCV[], baseInterval = 60, targetInterval = 300, includeOpenCandle = false)
//return OHLCV[]
batchCandleJSON(candledata: IOHLCV [], 60, 300)
// return IOHLCV[]
batchTicksToCandle(tradedata: TradeTick[], 60, includeOpenCandle = false)
// return IOHLCV[]
ticksToTickChart(tradedata: TradeTick[], 5)
// return IOHLCV[]** includeOpenCandle allow to add a lastCandle not full candle based on the available information
Types
export type IOHLCV = {
time: number;
open: number;
high: number;
low: number;
close: number;
volume: number;
}
export type OHLCV = [
number,
number,
number,
number,
number,
number,
]
export type TradeTick = {
price: number;
quantity: number;
time: number;
}Examples
CCXT OHLCV:
import {batchCandleJSON} from "candlestick-convert";
const link_btc_1m = [
{
time: 1563625680000,
open: 0.00024824,
high: 0.00024851,
low: 0.00024798,
close: 0.00024831,
volume: 2264
},
{
time: 1563625740000,
open: 0.00024817,
high: 0.00024832,
low: 0.00024795,
close: 0.00024828,
volume: 3145
}];
const baseFrame = 60; // 60 seconds
const newFrame = 120; // 120 seconds
// Convert to 2m Candles
const link_btc_2m = batchCandleJSON(link_btc_1m, baseFrame, newFrame);Tick Chart:
import {ticksToTickChart, TradeTick} from "candlestick-convert";
const adabnb_trades = [
{
time: "1564502620356",
side: "sell",
quantity: "4458",
price: "0.00224",
tradeId: "1221272"
},
{
time: "1564503133949",
side: "sell",
quantity: "3480",
price: "0.002242",
tradeId: "1221273"
},
{
time: "1564503134553",
side: "buy",
quantity: "51",
price: "0.002248",
tradeId: "1221274"
}];
const filtered_adabnb_trades: TradeTick[] = adabnb_trades.map((trade: any) => ({
time: trade.time,
quantity: trade.quantity,
price: trade.price
}));
const batchSize = 2; // Every TickCandle consist 2 trade
const tickChart = ticksToTickChart(filtered_adabnb_trades, batchSize);