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 ();