npm package discovery and stats viewer.

Discover Tips

  • General search

    [free text search, go nuts!]

  • Package details

    pkg:[package-name]

  • User packages

    @[username]

Sponsor

Optimize Toolset

I’ve always been into building performant and accessible sites, but lately I’ve been taking it extremely seriously. So much so that I’ve been building a tool to help me optimize and monitor the sites that I build to make sure that I’m making an attempt to offer the best experience to those who visit them. If you’re into performant, accessible and SEO friendly sites, you might like it too! You can check it out at Optimize Toolset.

About

Hi, 👋, I’m Ryan Hefner  and I built this site for me, and you! The goal of this site was to provide an easy way for me to check the stats on my npm packages, both for prioritizing issues and updates, and to give me a little kick in the pants to keep up on stuff.

As I was building it, I realized that I was actually using the tool to build the tool, and figured I might as well put this out there and hopefully others will find it to be a fast and useful way to search and browse npm packages as I have.

If you’re interested in other things I’m working on, follow me on Twitter or check out the open source projects I’ve been publishing on GitHub.

I am also working on a Twitter bot for this site to tweet the most popular, newest, random packages from npm. Please follow that account now and it will start sending out packages soon–ish.

Open Software & Tools

This site wouldn’t be possible without the immense generosity and tireless efforts from the people who make contributions to the world and share their work via open source initiatives. Thank you 🙏

© 2024 – Pkg Stats / Ryan Hefner

ohlc-resample

v1.2.1

Published

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

Downloads

221

Readme

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

Install

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

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

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

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

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 [email protected] (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.

Run tests

yarn test

Show your support

Give a ⭐️ if this project helped you!

📝 License

Copyright © 2022 Adil Shaikh [email protected] (https://adils.me). This project is LGPL--3.0 licensed.