A library to simulate market depth, trade data, and OHLC candlestick generation for trading applications.
npm install trade-data-generator
Market Depth Generator is a lightweight library for simulating market depth, trade data, and OHLC candlesticks. Designed for trading platforms and financial applications, it generates realistic trading data with customizable configurations.
---
- Simulate Market Depth with dynamic buy and sell orders.
- Generate OHLC Candlesticks (Open, High, Low, Close) with customizable intervals.
- Track Executed Trades in real-time with configurable precision and step sizes.
- Precision handling for prices and trade volumes per symbol.
- Timezone-specific Market Hours for Forex and Equity.
- Multi-symbol support for crypto.
- WebSocket integration for real-time updates.
- Fully customizable and developer-friendly.
---
Install via npm:
``bash`
npm install market-depth-generator
Create a simple WebSocket server that generates and serves market depth and trade data:
`javascript
const MarketDepthGenerator = require("trade-data-generator");
const express = require("express");
const WebSocket = require("ws");
const PORT = 8080;
const app = express();
// Initialize the MarketDepthGenerator
const generator = new MarketDepthGenerator({
symbols: ["BTCUSD", "ETHUSD"], // Add multiple symbols
middlePrice: 305.12, // Base price for simulation
precision: { BTCUSD: 2, ETHUSD: 4 }, // Set precision per symbol
stepSize: { BTCUSD: 0.01, ETHUSD: 0.0001 }, // Set step size per symbol
marketType: "forex", // Set market type (crypto, forex, equity)
marketRegion: "NYSE", // Region-specific market hours (e.g., NYSE, LSE)
timezoneOffset: 330, // Timezone offset (e.g., IST = 330 minutes)
});
(async () => {
setInterval(() => {
try {
generator.simulateTrade("BTCUSD");
} catch (err) {
console.error("Error simulating trade:", err.message);
}
}, 1000);
})();
// HTTP API for fetching market depth for a specific symbol
app.get("/api/market-depth/:symbol", (req, res) => {
const symbol = req.params.symbol;
try {
const depth = generator.getMarketDepth(symbol);
res.json(depth);
} catch (err) {
res.status(400).json({ error: err.message });
}
});
// HTTP API for fetching market stats for a specific symbol
app.get("/api/market-stats/:symbol", (req, res) => {
const symbol = req.params.symbol;
try {
const stats = generator.getMarketStats(symbol);
res.json(stats);
} catch (err) {
res.status(400).json({ error: err.message });
}
});
const server = app.listen(PORT, () => {
console.log(Server running on http://localhost:${PORT});
});
// WebSocket server for real-time updates
const wss = new WebSocket.Server({ server });
wss.on("connection", (ws) => {
console.log("Client connected");
const sendMarketUpdates = setInterval(() => {
const updates = {};
Object.keys(generator.symbols).forEach((symbol) => {
updates[symbol] = {
depth: generator.getMarketDepth(symbol),
stats: generator.getMarketStats(symbol),
};
});
ws.send(JSON.stringify(updates));
}, 2500);
ws.on("close", () => {
clearInterval(sendMarketUpdates);
console.log("Client disconnected");
});
});
`
Run the script and connect a WebSocket client to view the live simulation data.
---
The WebSocket server broadcasts the following JSON structure:
`json`
{
"BTCUSD": {
"marketDepth": {
"buyOrders": [
{ "price": "1.23456", "quantity": "10.1234" },
{ "price": "1.23450", "quantity": "5.4321" }
],
"sellOrders": [
{ "price": "1.23470", "quantity": "8.5678" },
{ "price": "1.23480", "quantity": "3.2100" }
]
},
"lastPrice": "1.23456",
"priceChange": "0.00010",
"percentageChange": "0.81",
"highPrice": "1.23480",
"lowPrice": "1.23450",
"volume": "123.45",
"candlestickData": [
{
"open": "1.23000",
"high": "1.24000",
"low": "1.23000",
"close": "1.23456",
"volume": "100.50",
"timestamp": "2025-01-10T12:00:00Z"
}
]
}
}
---
| Option | Type | Default | Description |
| -------------------- | ------ | ------------- | ------------------------------------------------- |
| symbols | Array | ['BTCUSDT'] | List of symbols for simulation. |middlePrice
| | Number | 305.12 | Base price for market simulation. |precision
| | Object | {} | Set precision per symbol (e.g., { BTCUSD: 2 }). |stepSize
| | Object | {} | Set price step size per symbol. |marketType
| | String | crypto | Type of market (crypto, forex, or equity). |marketRegion
| | String | null | Region for equity market hours (e.g., NYSE). |timezoneOffset
| | Number | 0 | Timezone offset in minutes (e.g., IST = 330). |simulationInterval
| | Number | 1000 | Interval (ms) for simulating trades. |updateInterval
| | Number | 2500 | Interval (ms) for broadcasting updates. |
---
Run tests using Jest:
`
npm test
---
- Precision Handling:
Customize precision for prices and volumes using the precision configuration per symbol. This ensures prices and volumes match realistic exchange behavior.
- Step Size:
Define stepSize per symbol to simulate realistic price jumps for each trade.
- Redis Connectivity:
The library no longer handles Redis connectivity internally. Users are responsible for initializing and managing their own Redis connections.
- Candlestick Data:
Candlestick (OHLC) data is now directly accessible via getCandlestickData(symbol). You can save this data to Redis or any other database based on your preferences.
---
- [x] Add support for multiple symbols.
- [x] Add precision and step size configurations.
- [ ] Extend candlestick intervals beyond 1 minute.
- [ ] Add more realistic trade simulations.
- [ ] Implement better test coverage for edge cases.
- [ ] Add support for WebSocket authentication.
---
- Market Hours Support:
- Integrated time-zone-specific market hours for Forex and Equity markets.
- Automatic market status checks based on region and timezone.
- Precision and Step Sizes:
- Added per-symbol precision and step size configurations.
- Real-time WebSocket Updates:
- Improved candlestick data and market stats streaming.
---
- Love Pareek
- GitHub: monupareeklg
---
This project is licensed under the MIT License - see the LICENSE file for details.
---
Contributions are welcome! Please follow these steps:
1. Fork the repository.
2. Create a new branch for your feature or bug fix: git checkout -b feature-name.git commit -m 'Add a new feature'
3. Commit your changes: .git push origin feature-name`.
4. Push to the branch:
5. Submit a pull request.
Make sure your code is clean and well-documented before submitting. We appreciate your contributions!
---
If you like this project, please give it a ⭐️ on GitHub!
For issues, feel free to open a ticket on the GitHub issues page.
Need help or have questions? Contact me at monupareeklg@gmail.com.