@steerprotocol/strategy-utils 2.2.0 → 2.2.1

package/assembly/utils/CandleGenerator.ts

@@ -0,0 +1,60 @@
+import { Candle } from "./types/Candle";
+import { RawTradeData } from "./types/RawTradeData";
+
+// CandlestickConverter class provides a static method to convert raw trade data into OHLCV format
+export class CandlestickConverter {
+    // convertToOHLCV method accepts raw trade data and a period (default is 3600 seconds or 1 hour)
+    // and returns the data in OHLCV format
+    static convertToOHLCV(rawData: RawTradeData[], period: i32 = 3600): Candle[] {
+        // If the raw data is empty, an error is thrown
+        if (rawData.length === 0) {
+            throw new Error("Input data is empty");
+        }
+
+        // Array to hold the converted data
+        let ohlcvData: Candle[] = [];
+
+        // Initialize variables
+        let i: i32 = 0;
+        let currentTimestamp: i32 = Math.floor(rawData[0].timestamp / period) * period;
+        let open: f64 = rawData[0].price;
+        let high: f64 = rawData[0].price;
+        let low: f64 = rawData[0].price;
+        let close: f64 = rawData[0].price;
+        let volume: f64 = 0.0;
+
+        // Loop through all raw data
+        while (i < rawData.length) {
+            // For each period, set the initial values of open, high, low to the closing price of the last period
+            // and reset the volume to 0
+            open = close;
+            high = close;
+            low = close;
+            volume = 0.0;
+
+            // Process all raw data within the current period
+            while (i < rawData.length && rawData[i].timestamp < currentTimestamp + period) {
+                // Set the open price to the price of the first trade in the period
+                open = i == 0 ? rawData[i].price : open;
+                // Update high and low prices
+                high = Math.max(high, rawData[i].price);
+                low = Math.min(low, rawData[i].price);
+                // Update close price to the price of the last trade in the period
+                close = rawData[i].price;
+                // Update the total volume
+                volume += rawData[i].volume;
+                i++;
+            }
+
+            // Create a new Candle object with the calculated OHLCV values and add it to the array
+            let ohlcv: Candle = new Candle(currentTimestamp, open, high, low, close, volume);
+            ohlcvData.push(ohlcv);
+
+            // Move to the next period
+            currentTimestamp += period;
+        }
+
+        // Return the converted data
+        return ohlcvData;
+    }
+}

package/assembly/utils/env.ts

@@ -1 +1,2 @@
-export declare function generateCandles(data: string, candleSize: string): string
+export declare function generateCandles(data: string, candleSize: string): string
+export declare function ccxt_fetchOHLCV(exchangeId: string, symbol: string, timeframe: string, limit: number, since: number): string

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@steerprotocol/strategy-utils",
-  "version": "2.2.0",
+  "version": "2.2.1",
   "description": "Strategy utilities library for Steer Protocol strategies",
   "main": "assembly/index.ts",
   "types": "assembly/index.ts",