feat: secondly timeframe (#98)

Leo4815162342 · Oct 23, 2022 · 8d83118 · 8d83118
1 parent 73d64e2
commit 8d83118
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Showing 7 changed files with 91 additions and 52 deletions.
diff --git a/README.md b/README.md
@@ -59,7 +59,7 @@ Options:
   -i, --instrument <value>       Trading instrument
   -from, --date-from <value>     From date (yyyy-mm-dd)
   -to, --date-to <value>         To date (yyyy-mm-dd or 'now') (default: "now")
-  -t, --timeframe <value>        Timeframe aggregation (tick, m1, m5, m15, m30, h1, h4, d1, mn1) (default: "d1")
+  -t, --timeframe <value>        Timeframe aggregation (tick, s1, m1, m5, m15, m30, h1, h4, d1, mn1) (default: "d1")
   -p, --price-type <value>       Price type: (bid, ask) (default: "bid")
   -utc, --utc-offset <value>     UTC offset in minutes (default: 0)
   -v, --volumes                  Include volumes (default: false)
@@ -118,7 +118,7 @@ const { getHistoricalRates } = require('dukascopy-node');
 |`dates`|`Object`|true||An object with a date range|
 |`dates.from`|<p>`Date`</p><p>`String`</p><p>`Number`</p>|true||Date representing the start of the time range. Can be of Date type, string (e.g. `2021-03-04` or `2021-03-04T00:00:00.000Z`), or timestamp integer (e.g. `1614816000000`)|
 |`dates.to`|<p>`Date`</p><p>`String`</p><p>`Number`</p>|true||Date representing the end of the time range Can be of Date type, string (e.g. `2021-03-04` or `2021-03-04T00:00:00.000Z`), or timestamp integer (e.g.   `1614816000000`)|
-|`timeframe`|`String`|false|`d1`|Granularity of aggregation of OHLC (open, high, low, close) data. Supported values:<ul><li>`tick` (every single tick/price change)</li><li>`m1` (1 minute)</li><li>`m5` (5 minutes)</li><li>`m15` (15 minutes)</li><li>`m30` (30 minutes)</li><li>`h1` (1 hour)</li><li>`h4` (4 hours)</li><li>`d1` (1 day)</li><li>`mn1` (1 month)</li></ul>|
+|`timeframe`|`String`|false|`d1`|Granularity of aggregation of OHLC (open, high, low, close) data. Supported values:<ul><li>`tick` (every single tick/price change)</li><li>`s1` (1 second)</li><li>`m1` (1 minute)</li><li>`m5` (5 minutes)</li><li>`m15` (15 minutes)</li><li>`m30` (30 minutes)</li><li>`h1` (1 hour)</li><li>`h4` (4 hours)</li><li>`d1` (1 day)</li><li>`mn1` (1 month)</li></ul>|
 |`priceType`|`String`|false|`bid`|Type of price (offer side). Supported values:<ul><li>`bid`</li><li>`ask`</li></ul>|
 |`format`|`String`|false|`array`|Format of the generated output. Supported values:<ul><li>`array`</li><li>`json`</li><li>`csv`</li></ul>|
 |`utcOffset`|`Number`|false|`0`|UTC offset in minutes.|

diff --git a/src/aggregator/index.ts b/src/aggregator/index.ts
@@ -1,4 +1,9 @@
-import { getOHLC, getMinuteOHLCfromTicks, getMonthlyOHLCfromDays } from './ohlc';
+import {
+  getOHLC,
+  getMinuteOHLCfromTicks,
+  getMonthlyOHLCfromDays,
+  getSecondOHLCfromTicks
+} from './ohlc';
 import { splitArrayInChunks } from '../utils/general';
 import { AggregateInput } from './types';
 import { Timeframe } from '../config/timeframes';
@@ -30,54 +35,59 @@ export function aggregate({
     );
   } else {
     if (fromTimeframe === Timeframe.tick) {
-      const minuteOHLC = getMinuteOHLCfromTicks(data, priceType, startTs, volumes);
-
-      if (toTimeframe === Timeframe.m1) {
-        return minuteOHLC;
-      }
-
-      if (toTimeframe === Timeframe.m5) {
-        return splitArrayInChunks(minuteOHLC, 5).map((d, i) =>
-          getOHLC({
-            input: d,
-            filterFlats: ignoreFlats,
-            startTs: startTs + i * 5 * 1000 * 60,
-            volumes
-          })
-        );
-      }
-
-      if (toTimeframe === Timeframe.m15) {
-        return splitArrayInChunks(minuteOHLC, 15).map((d, i) =>
-          getOHLC({
-            input: d,
-            filterFlats: ignoreFlats,
-            startTs: startTs + i * 15 * 1000 * 60,
-            volumes
-          })
-        );
-      }
-
-      if (toTimeframe === Timeframe.m30) {
-        return splitArrayInChunks(minuteOHLC, 30).map((d, i) =>
-          getOHLC({
-            input: d,
-            filterFlats: ignoreFlats,
-            startTs: startTs + i * 30 * 1000 * 60,
-            volumes
-          })
-        );
-      }
-
-      if (toTimeframe === Timeframe.h1) {
-        return [minuteOHLC].map((d, i) =>
-          getOHLC({
-            input: d,
-            filterFlats: ignoreFlats,
-            startTs: startTs + i * 60 * 1000 * 60,
-            volumes
-          })
-        );
+      if (toTimeframe === Timeframe.s1) {
+        const secondOHLC = getSecondOHLCfromTicks(data, priceType, startTs, volumes);
+        return secondOHLC;
+      } else {
+        const minuteOHLC = getMinuteOHLCfromTicks(data, priceType, startTs, volumes);
+
+        if (toTimeframe === Timeframe.m1) {
+          return minuteOHLC;
+        }
+
+        if (toTimeframe === Timeframe.m5) {
+          return splitArrayInChunks(minuteOHLC, 5).map((d, i) =>
+            getOHLC({
+              input: d,
+              filterFlats: ignoreFlats,
+              startTs: startTs + i * 5 * 1000 * 60,
+              volumes
+            })
+          );
+        }
+
+        if (toTimeframe === Timeframe.m15) {
+          return splitArrayInChunks(minuteOHLC, 15).map((d, i) =>
+            getOHLC({
+              input: d,
+              filterFlats: ignoreFlats,
+              startTs: startTs + i * 15 * 1000 * 60,
+              volumes
+            })
+          );
+        }
+
+        if (toTimeframe === Timeframe.m30) {
+          return splitArrayInChunks(minuteOHLC, 30).map((d, i) =>
+            getOHLC({
+              input: d,
+              filterFlats: ignoreFlats,
+              startTs: startTs + i * 30 * 1000 * 60,
+              volumes
+            })
+          );
+        }
+
+        if (toTimeframe === Timeframe.h1) {
+          return [minuteOHLC].map((d, i) =>
+            getOHLC({
+              input: d,
+              filterFlats: ignoreFlats,
+              startTs: startTs + i * 60 * 1000 * 60,
+              volumes
+            })
+          );
+        }
       }
     }
 

diff --git a/src/aggregator/ohlc.ts b/src/aggregator/ohlc.ts
@@ -168,6 +168,26 @@ function getMinuteOHLCfromTicks(
   return ohlc;
 }
 
+function getSecondOHLCfromTicks(
+  ticks: number[][],
+  priceType: PriceType,
+  startTs: number,
+  volumes: boolean
+): number[][] {
+  const ticksBySecond = breakdownByInterval(
+    ticks,
+    3600,
+    d => d.getUTCMinutes() * 60 + d.getUTCSeconds()
+  );
+  const ohlc = ticksBySecond.map((data, i) =>
+    data.length > 0
+      ? ticksToOHLC({ ticks: data, priceType, startTs: startTs + i * 1000, volumes })
+      : []
+  );
+
+  return ohlc;
+}
+
 function getMonthlyOHLCfromDays(dailyCandles: number[][], volumes: boolean): number[][] {
   const breakdown = breakdownByInterval(dailyCandles, 12, d => d.getUTCMonth());
   const ohlc = breakdown.map(data => (data.length > 0 ? getOHLC({ input: data, volumes }) : []));
@@ -179,6 +199,7 @@ export {
   getOHLC,
   ticksToOHLC,
   breakdownByInterval,
+  getSecondOHLCfromTicks,
   getMinuteOHLCfromTicks,
   getMonthlyOHLCfromDays
 };
diff --git a/src/config/timeframes.ts b/src/config/timeframes.ts
@@ -3,6 +3,10 @@ export enum Timeframe {
    * Every single price change. No aggregation of OHLC price data
    */
   tick = 'tick',
+  /**
+   *  secondly `(1 second)` aggregation of OHLC price data
+   */
+  s1 = 's1',
   /**
    *  minutely `(1 minute)` aggregation of OHLC price data
    */

diff --git a/src/dates-normaliser/index.ts b/src/dates-normaliser/index.ts
@@ -28,6 +28,7 @@ export function normaliseDates({
     startYearForDailyCandles
   } = instrumentMetaData[instrument];
 
+  // start for tick and second timeframes
   let minFromIsoDate = startHourForTicks;
 
   if (

diff --git a/src/url-generator/index.ts b/src/url-generator/index.ts
@@ -75,7 +75,9 @@ function getDateLimit(startDate: Date, endDate: Date, timeframe: TimeframeType):
 
   if (
     timeframe === Timeframe.tick ||
+    timeframe === Timeframe.s1 ||
     timeframe === Timeframe.m1 ||
+    timeframe === Timeframe.m5 ||
     timeframe === Timeframe.m15 ||
     timeframe === Timeframe.m30
   ) {

diff --git a/src/utils/range.ts b/src/utils/range.ts
@@ -16,7 +16,8 @@ const rangeInferMap: RangeInferMap = {
   m15: ['day', 'hour'],
   m5: ['day', 'hour'],
   m1: ['day', 'hour'],
-  tick: ['hour']
+  tick: ['hour'],
+  s1: ['hour']
 };
 
 function getLowerRange(range: TimeRange): TimeRange {