This package allows you to batch OHLCV candlesticks or create them from trade (tick) datasets.
Version 7.x introduces many breaking changes compared to version 6.x.x.
- OHLCV (CCXT format)
[[time,open,high,low,close,volume]] - OHLCV JSON
[{time: number,open: number, high: number, low: number close: number, volume: number}] - Tick JSON
[{price: number, quantity: number, time:number}] - Trade JSON
[{price: number, quantity: number, time:number, side: number}]
- Typescript
- CCXT support
- No Dependencies
- Performance single loop used
- Skip missing candles
- Intervals are only supported as integers in seconds (1 minute = 60, 2 minutes = 120...).
- Only positive integer multiples are allowed between the base interval and the new interval, e.g., 60->120, 60->180.
npm install candlestick-convert
import {batchCandles, batchCandlesWithCustomInterval, batchCandlesJSON, batchTicksToCandle, ticksToTickChart} from "candlestick-convert";
batchCandles(candledata: OHLCV[], baseInterval = 60, targetInterval = 300, includeOpenCandle = false)
//return OHLCV[]
batchCandlesWithCustomInterval(candleData: OHLCV[], intervalFunction: IntervalFunction, includeOpenCandle = false)
//return OHLCV[]
batchCandlesJSON(candledata: IOHLCV [], baseInterval = 60, argetInterval = 300)
// return IOHLCV[]
batchTicksToCandle(tradedata: TradeTick[], interval = 60, includeOpenCandle = false)
// return IOHLCV[]
ticksToTickChart(tradedata: TradeTick[], numberOfTicks = 5)
// return IOHLCV[]
batchTradeToExtCandle(tradedata: Trade[], interval = 60, includeOpenCandle = false)
// return ExtIOHLCV[]** includeOpenCandle allow non-complete candles in the result, useful for not normalized input data
export type IOHLCV = {
time: number,
open: number,
high: number,
low: number,
close: number,
volume: number,
};
export type ExtIOHLCV = {
time: number,
open: number,
high: number,
low: number,
close: number,
volume: number,
buyVolume: number,
tx: number,
buyTx: number,
};
export const TradeSide = {
BUY: 0,
SELL: 1,
};
export type TradeTick = {
price: number;
quantity: number;
time: number;
};
export type Trade = {
price: number;
quantity: number;
time: number;
side: number;
};
export enum OHLCVField {
TIME = 0,
OPEN = 1,
HIGH = 2,
LOW = 3,
CLOSE = 4,
VOLUME = 5,
}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);Extended Candles from Trades:
import { batchTradeToExtCandle, Trade } 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",
},
// ... more data
];
const filtered_adabnb_trades: Trade[] = adabnb_trades.map((trade: any) => ({
time: trade.time,
quantity: trade.quantity,
price: trade.price,
side: trade.side === "buy" ? 0 : 1,
}));
// 1 minute (60 second) Candles
const candles1m = batchTradeToExtCandle(filtered_adabnb_trades, 60);
/* Result:
[
{
time: 1564502580000, // 2019-07-30T16:03:00.000Z
open: 0.00224,
high: 0.00224,
low: 0.00224,
close: 0.00224,
volume: 4458,
buyVolume: 0,
tx: 1,
buyTx: 0,
},
{
time: 1564503120000,
open: 0.00224,
high: 0.002248,
low: 0.002242,
close: 0.002248,
volume: 4949,
buyVolume: 103,
tx: 3,
buyTx: 2,
}
]