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candlestick-convert

Coverage Status DeepScan grade npm

This package allows you to batch OHLCV candlesticks or create them from trade (tick) datasets.

Breaking Changes

Version 7.x introduces many breaking changes compared to version 6.x.x.

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}]
  • Tick JSON [{price: number, quantity: number, time:number}]
  • Trade JSON [{price: number, quantity: number, time:number, side: number}]

Features:

  • Typescript
  • CCXT support
  • No Dependencies
  • Performance single loop used
  • Skip missing candles

Important!:

  • 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.

Install:

npm install candlestick-convert

Available functions:

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

Types

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,
}

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);

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,
  }
]