ohlc-resample 🕯️

Resample (inter-convert) trade, ticks or OHLCV data to different time frames

- Typescript support
- CCXT support
- Single dependency
- Low time complexity grouping based aggregations
- Optional gap filling

Install

``sh
npm install --save ohlc-resample
`

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}]
- Trade JSON [{time: number, price: number, quantity: number}]

Reference

`typescript
import {
resampleOhlcv,
resampleTicksByTime,
resampleTicksByCount,
} from "ohlc-resample";

// OHLCV resampled from 1 minute to 5 minute

resampleOhlcv(objectOhlcv as IOHLCV[], {
baseTimeframe: 60,
newTimeframe: 5 * 60,
}); // return IOHLCV[]
resampleOhlcv(arrayOhlcv as OHLCV[], {
baseTimeframe: 60,
newTimeframe: 5 * 60,
}); // return OHLCV[]

// Ticks grouped and resampled to 1m OHCLV
// option.includeLatestCandle is by default true
// options.fillGaps is by default false

resampleTicksByTime(tickData as TradeTick[], {
timeframe: 60,
includeLatestCandle: false,
fillGaps: true,
}); // return IOHLCV[]

// Ticks grouped and resampled by every 5 ticks

resampleTicksByCount(tickData as TradeTick[], { tickCount: 5 }); // return IOHLCV[]
`

Types

`typescript
export type IOHLCV = {
time: number;
open: number;
high: number;
low: number;
close: number;
volume: number;
};

export type OHLCV = [number, number, number, number, number, number];

export type TradeTick = {
price: number;
quantity: number;
time: number;
};
`

Note: Input time for all above types must be in milliseconds

Examples

Resample CCXT (Object) OHLCV based on timeframe

`typescript
import { resampleOhlcv } from "ohlc-resample";

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 baseTimeframe = 60; // 60 seconds
const newTimeframe = 120; // 120 seconds

// Candles made up of ticks within 2 minute timeframes

const link_btc_2m = resampleOhlcv(link_btc_1m, {
baseTimeframe,
newTimeframe,
});
`

Resample ticks to OHLCV based on tick count

`typescript
import { resampleTicksByCount, TradeTick } from "ohlc-resample";

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",
},
];

const airbnb_ticks: TradeTick[] = adabnb_trades.map((trade: any) => ({
time: Number(trade.time),
quantity: Number(trade.quantity),
price: Number(trade.price),
}));

// Candles made up of two ticks

const tickChart = resampleTicksByCount(airbnb_ticks, {
tickCount: 2,
});
`

Contributors

👤 Adil Shaikh (https://adils.me)

- Website: https://adils.me
- Github: @adiled

👤 Past authors of candlestick-convert

🤝 Contributing

Contributions, issues and feature requests are welcome!
Feel free to check issues page. You can also take a look at the contributing guide.

$3

`sh
yarn test
``

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Give a ⭐️ if this project helped you!

📝 License

Copyright © 2022 Adil Shaikh (https://adils.me).

This project is LGPL--3.0 licensed.