example_volbars.js

/*

    example_volbars.js

        Outputs candlestick bars of a given fixed volume resolution
        
        Instead of splitting the data by time e.g. hourly bars, split by a given volume quantity
        instead e.g. 10 million contract bars 

*/

const CY = "\x1b[36m";
const WH = "\x1b[37m";

const Volbars = require('./Volbars');


let volb = new Volbars({ files: './trade', resolution: 1000000000 }); // `resolution` is a volume quantity (1 billion) instead of time

// A new volume bar was closed
volb.on('bar', b => {

    console.log(`${CY}[${b.timestamp.toISOString()}] BAR  | open=${b.open} high=${b.high} low=${b.low} close=${b.close} vol=${b.volume}`);

})

// Price ticked up or down
volb.on('tick', t => {

    // Skip ZeroMinusTick and ZeroPlusTick trades
    if ( !t.tick.includes('Zero') )
        console.log(`${WH}[${t.timestamp.toISOString()}] TICK | price=${t.price} side=${t.side} tick=${t.tick}`);
    
})

// Send us XBTUSD data
volb.start('XBTUSD');