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with all npm
packages installed. Try it out:
const { replayNormalized, streamNormalized, normalizeTrades, compute, computeTradeBars } = require('tardis-dev')
const historicalMessages = replayNormalized(
{
exchange: 'bitmex',
symbols: ['XBTUSD'],
from: '2019-08-01',
to: '2019-08-02'
},
normalizeTrades
)
const realTimeMessages = streamNormalized(
{
exchange: 'bitmex',
symbols: ['XBTUSD']
},
normalizeTrades
)
async function produceVolumeBasedTradeBars(messages) {
// aggregate by 50k contracts volume
const withVolumeTradeBars = compute(messages, computeTradeBars({ kind: 'volume', interval: 50 * 1000 }))
for await (const message of withVolumeTradeBars) {
if (message.type === 'trade_bar') {
console.log(message.name, message)
}
}
}
await produceVolumeBasedTradeBars(historicalMessages)
// or for real time data
// await produceVolumeBasedTradeBars(realTimeMessages)
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