Calculate Ohlcvs From Trades

'use strict';

import ccxt from '../../js/ccxt.js';

console.log ('CCXT Version:', ccxt.version); // eslint-disable-line import/no-named-as-default-member


async function main () {
    let ohlcvs: any = {};
    const symbol = 'BTC/USDT';
    const exchange = new ccxt.pro.binance ({ 'newUpdates': true });
    await exchange.loadMarkets ();
    const market = exchange.market (symbol);
    const timeframe = '1m';
    const duration = exchange.parseTimeframe (timeframe) * 1000;
    console.log ('Starting', exchange.id, symbol);
    while (true) {
        try {
            const trades = await exchange.watchTrades (symbol);
            for (const trade of trades) { // eslint-disable-line
                const timestampInt = Math.floor (trade['timestamp'] / duration) * duration;
                const timestampString = timestampInt.toString ();
                let candle = exchange.safeValue (ohlcvs, timestampString);
                if (candle) {
                    candle[2] = Math.max (trade['price'], candle[2]);
                    candle[3] = Math.min (trade['price'], candle[3]);
                    candle[4] = trade['price'];
                    candle[5] = exchange.parseNumber (exchange.amountToPrecision (symbol, trade['amount'] + candle[5]));
                    candle[6] = exchange.parseNumber (exchange.costToPrecision (symbol, trade['cost'] + candle[6]));
                } else {
                    candle = [
                        timestampInt,
                        trade['price'],
                        trade['price'],
                        trade['price'],
                        trade['price'],
                        exchange.parseNumber(exchange.amountToPrecision (symbol, trade['amount'])),
                        exchange.parseNumber (exchange.costToPrecision (symbol, trade['cost'])),
                    ];
                }
                ohlcvs[timestampString] = candle;
            }
            console.log ('');
            console.log (exchange.iso8601 (exchange.milliseconds ()), '------------------------------------------------------');
            const values: any = Object.values (ohlcvs).slice (-1000);
            ohlcvs = exchange.indexBy (values, 0);
            console.log ('Datetime                ', 'Timestamp    ', ...[ 'Open', 'High', 'Low', 'Close', market['base'], market['quote'] ].map ((x: any) => x.toString ().padEnd (10, ' ')));
            for (let i = 0; i < values.length; i++) {
                const candle = values[i];
                console.log (exchange.iso8601 (candle[0]), ...candle.map ((x: any) => x.toString ().padEnd (10, ' ')));
            }
        } catch (e: any) {
            console.log (e.constructor.name, e.message);
            await exchange.close (); // you can close connection if needed
        }
    }
}

main ();