constant-memory rolling data structure for OHLCV candles
constant-memory rolling data structure for OHLCV candles
experimental use at your own risk
``sh`
npm i ohlc-candles-rolling
`javascript
var MAX_PERIODS = 20000; //maximum number of candles to track. 20000 by default.
//note -- requests for candles older than MAX_PERIODS periods will "roll over" to the beginning!
//create a new tracker
var CandlesTracker = require('ohlc-candles-rolling');
var myCandlesTracker = new CandlesTracker(MAX_PERIODS);
//candle data
var c = {
o: 1.0,
h: 2.0,
l: 0.5,
c: 2.0,
v: 2000
}
//or
// var c2 = { //can also use this format
// open: 1.0,
// high: 2.0,
// low: 0.5,
// close: 2.0,
// volume: 2000
// }
//submitCandle(o,h,l,c,v,bid,ask,timeDeltaInt,timeStampInt64) -- everything defaults to zero
// myCandlesTracker.submitCandle(c.o, c.h, c.l, c.c, c.v);
//or
myCandlesTracker.submitCandle(c); //c2 format also works
//get old candle -- up to MAX_PERIODS ago [rolls over to beginning afterwards]
//note that this is indexed starting at 1, not zero -- the latest candle is at index 1
var nPeriodsAgo = 1;
console.log(myCandlesTracker.getCandle(nPeriodsAgo));
// { o: 1, h: 2, l: 0.5, c: 2, v: 2000, b: 0, a: 0, td: 0, ts: 0n }
console.log(myCandlesTracker.getCandleObj(nPeriodsAgo));
// {
// open: 1,
// high: 2,
// low: 0.5,
// close: 2,
// volume: 2000,
// bid: 0,
// ask: 0,
// bidSize: 0,
// askSize: 0,
// timeDelta: 0,
// timestamp: 0n
// }
//get a merged candle [higher timeframe candle]
//first submit some period==1 candles
myCandlesTracker.submitCandle(c.o, c.h, c.l, c.c, c.v);
myCandlesTracker.submitCandle(c.o, c.h*2, c.l, c.c, c.v);
myCandlesTracker.submitCandle(c.o, c.h*3, c.l, c.c, c.v);
myCandlesTracker.submitCandle(c.o, c.h*4, c.l, c.c, c.v);
myCandlesTracker.submitCandle(c.o, c.h*5, c.l, c.c, c.v);
//now we get merged candle from index [nPeriodsAgo ... nPeriodsAgo+5]
console.log(myCandlesTracker.getMergedCandle(nPeriodsAgo, nPeriodsAgo+5));
console.log(myCandlesTracker.getMergedCandleObj(nPeriodsAgo, nPeriodsAgo+5));
//note that nPeriodsAgo=1 gives us the latest candle
//{ o: 1, h: 10, l: 0, c: 0, v: 12000 }
//{ open: 1, high: 10, low: 0, close: 0, volume: 12000 }
``
