tardis-dev 13.29.10 → 13.29.11
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
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@@ -79,6 +79,8 @@ class TradeBarComputable {
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79
79
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_update(trade) {
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80
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const inProgressBar = this._inProgressBar;
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81
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const isNotOpenedYet = inProgressBar.trades === 0;
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82
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+
// some exchanges (like dydx) sometimes publish trade data out of order (older trades published after newer ones)
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83
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+
const tradeIsInCorrectTimeOrder = trade.timestamp.valueOf() >= inProgressBar.timestamp.valueOf();
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if (isNotOpenedYet) {
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inProgressBar.open = trade.price;
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inProgressBar.openTimestamp = trade.timestamp;
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@@ -89,17 +91,17 @@ class TradeBarComputable {
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if (inProgressBar.low > trade.price) {
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inProgressBar.low = trade.price;
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}
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-
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-
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+
if (tradeIsInCorrectTimeOrder) {
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inProgressBar.close = trade.price;
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inProgressBar.closeTimestamp = trade.timestamp;
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inProgressBar.timestamp = trade.timestamp;
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}
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inProgressBar.buyVolume += trade.side === 'buy' ? trade.amount : 0;
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inProgressBar.sellVolume += trade.side === 'sell' ? trade.amount : 0;
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inProgressBar.trades += 1;
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inProgressBar.vwap = (inProgressBar.vwap * inProgressBar.volume + trade.price * trade.amount) / (inProgressBar.volume + trade.amount);
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// volume needs to be updated after vwap otherwise vwap calc will go wrong
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inProgressBar.volume += trade.amount;
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-
if (trade.timestamp.valueOf() > inProgressBar.timestamp.valueOf()) {
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101
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-
inProgressBar.timestamp = trade.timestamp;
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102
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-
}
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}
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_reset() {
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const barToReset = this._inProgressBar;
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@@ -1 +1 @@
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1
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-
{"version":3,"file":"tradebar.js","sourceRoot":"","sources":["../../src/computable/tradebar.ts"],"names":[],"mappings":";;;AAGA,MAAM,QAAQ,GAAG,IAAI,IAAI,CAAC,CAAC,CAAC,CAAC,CAAA;AAMtB,MAAM,gBAAgB,GAC3B,CAAC,OAAkC,EAAgC,EAAE,CACrE,GAAG,EAAE,CACH,IAAI,kBAAkB,CAAC,OAAO,CAAC,CAAA;AAHtB,QAAA,gBAAgB,oBAGM;AAEnC,MAAM,UAAU,GAAiC;IAC/C,IAAI,EAAE,OAAO;IACb,IAAI,EAAE,IAAI;IACV,MAAM,EAAE,KAAK;CACd,CAAA;AAED,MAAM,kBAAkB;IAatB,YAAY,EAAE,IAAI,EAAE,QAAQ,EAAE,IAAI,EAA6B;QAZ/D,sHAAsH;QACtH,uCAAuC;QACvC,gGAAgG;QAChG,mHAAmH;QACnG,oBAAe,GAAG,CAAC,OAAO,CAAC,CAAA;QAM1B,UAAK,GAAG,WAAW,CAAA;QAGlC,IAAI,CAAC,KAAK,GAAG,IAAI,CAAA;QACjB,IAAI,CAAC,SAAS,GAAG,QAAQ,CAAA;QAEzB,IAAI,IAAI,KAAK,SAAS,EAAE;YACtB,IAAI,CAAC,KAAK,GAAG,GAAG,IAAI,CAAC,KAAK,IAAI,QAAQ,GAAG,UAAU,CAAC,IAAI,CAAC,EAAE,CAAA;SAC5D;aAAM;YACL,IAAI,CAAC,KAAK,GAAG,IAAI,CAAA;SAClB;QAED,IAAI,CAAC,cAAc,GAAG,EAAS,CAAA;QAC/B,IAAI,CAAC,MAAM,EAAE,CAAA;IACf,CAAC;IAEM,CAAC,OAAO,CAAC,OAA2B;QACzC,sFAAsF;QACtF,IAAI,IAAI,CAAC,UAAU,CAAC,OAAO,CAAC,SAAS,CAAC,EAAE;YACtC,MAAM,IAAI,CAAC,WAAW,CAAC,OAAO,CAAC,CAAA;SAChC;QAED,IAAI,OAAO,CAAC,IAAI,KAAK,OAAO,EAAE;YAC5B,OAAM;SACP;QAED,6CAA6C;QAC7C,IAAI,CAAC,OAAO,CAAC,OAAO,CAAC,CAAA;QAErB,8FAA8F;QAC9F,IAAI,IAAI,CAAC,UAAU,CAAC,OAAO,CAAC,SAAS,CAAC,EAAE;YACtC,MAAM,IAAI,CAAC,WAAW,CAAC,OAAO,CAAC,CAAA;SAChC;IACH,CAAC;IAEO,WAAW,CAAC,OAAuB;QACzC,IAAI,CAAC,cAAc,CAAC,cAAc,GAAG,OAAO,CAAC,cAAc,CAAA;QAC3D,IAAI,CAAC,cAAc,CAAC,MAAM,GAAG,OAAO,CAAC,MAAM,CAAA;QAC3C,IAAI,CAAC,cAAc,CAAC,QAAQ,GAAG,OAAO,CAAC,QAAQ,CAAA;QAE/C,MAAM,QAAQ,GAAa,EAAE,GAAG,IAAI,CAAC,cAAc,EAAE,CAAA;QAErD,IAAI,CAAC,MAAM,EAAE,CAAA;QAEb,OAAO,QAAQ,CAAA;IACjB,CAAC;IAEO,UAAU,CAAC,SAAe;QAChC,iEAAiE;QACjE,sFAAsF;QACtF,IAAI,IAAI,CAAC,cAAc,CAAC,MAAM,KAAK,CAAC,EAAE;YACpC,OAAO,KAAK,CAAA;SACb;QAED,IAAI,IAAI,CAAC,KAAK,KAAK,MAAM,EAAE;YACzB,qCAAqC;YACrC,MAAM,0BAA0B,GAAG,IAAI,CAAC,cAAc,CAAC,SAAS,CAAC,CAAA;YACjE,MAAM,uBAAuB,GAAG,IAAI,CAAC,cAAc,CAAC,IAAI,CAAC,cAAc,CAAC,aAAa,CAAC,CAAA;YACtF,IAAI,0BAA0B,GAAG,uBAAuB,EAAE;gBACxD,6DAA6D;gBAC7D,IAAI,CAAC,cAAc,CAAC,SAAS,GAAG,IAAI,IAAI,CAAC,CAAC,uBAAuB,GAAG,CAAC,CAAC,GAAG,IAAI,CAAC,SAAS,CAAC,CAAA;gBAExF,OAAO,IAAI,CAAA;aACZ;YAED,OAAO,KAAK,CAAA;SACb;QAED,IAAI,IAAI,CAAC,KAAK,KAAK,QAAQ,EAAE;YAC3B,OAAO,IAAI,CAAC,cAAc,CAAC,MAAM,IAAI,IAAI,CAAC,SAAS,CAAA;SACpD;QAED,IAAI,IAAI,CAAC,KAAK,KAAK,MAAM,EAAE;YACzB,OAAO,IAAI,CAAC,cAAc,CAAC,MAAM,IAAI,IAAI,CAAC,SAAS,CAAA;SACpD;QAED,OAAO,KAAK,CAAA;IACd,CAAC;IAEO,OAAO,CAAC,KAAY;QAC1B,MAAM,aAAa,GAAG,IAAI,CAAC,cAAc,CAAA;QACzC,MAAM,cAAc,GAAG,aAAa,CAAC,MAAM,KAAK,CAAC,CAAA;
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+
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package/package.json
CHANGED
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@@ -111,6 +111,9 @@ class TradeBarComputable implements Computable<TradeBar> {
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private _update(trade: Trade) {
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const inProgressBar = this._inProgressBar
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const isNotOpenedYet = inProgressBar.trades === 0
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// some exchanges (like dydx) sometimes publish trade data out of order (older trades published after newer ones)
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const tradeIsInCorrectTimeOrder = trade.timestamp.valueOf() >= inProgressBar.timestamp.valueOf()
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if (isNotOpenedYet) {
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inProgressBar.open = trade.price
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@@ -124,8 +127,11 @@ class TradeBarComputable implements Computable<TradeBar> {
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inProgressBar.low = trade.price
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}
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-
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-
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if (tradeIsInCorrectTimeOrder) {
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inProgressBar.close = trade.price
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inProgressBar.closeTimestamp = trade.timestamp
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inProgressBar.timestamp = trade.timestamp
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}
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inProgressBar.buyVolume += trade.side === 'buy' ? trade.amount : 0
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inProgressBar.sellVolume += trade.side === 'sell' ? trade.amount : 0
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@@ -133,10 +139,6 @@ class TradeBarComputable implements Computable<TradeBar> {
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inProgressBar.vwap = (inProgressBar.vwap * inProgressBar.volume + trade.price * trade.amount) / (inProgressBar.volume + trade.amount)
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// volume needs to be updated after vwap otherwise vwap calc will go wrong
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inProgressBar.volume += trade.amount
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-
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if (trade.timestamp.valueOf() > inProgressBar.timestamp.valueOf()) {
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inProgressBar.timestamp = trade.timestamp
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-
}
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}
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private _reset() {
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