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This is a playground to test code. It runs a full Node.js environment and already has all of npm’s 1,000,000+ packages pre-installed, including tardis-node. Try it out:
const { tardis, normalizeTrades, compute, computeTradeBars } = require('tardis-node')
async function produceVolumeBasedTradeBars(messages) {
const withVolumeTradeBars = compute(
messages,
computeTradeBars({
kind: 'volume',
interval: 100 * 1000 // aggregate by 100k contracts volume
})
)
for await (const message of withVolumeTradeBars) {
if (message.type === 'trade_bar') {
console.log(message.name, message)
}
}
}
const historicalMessages = tardis.replayNormalized(
{ exchange: 'bitmex', symbols: ['XBTUSD'], from: '2019-08-01', to: '2019-08-02' },
normalizeTrades
)
const realTimeMessages = tardis.streamNormalized(
{ exchange: 'bitmex', symbols: ['XBTUSD'] },
normalizeTrades
)
await produceVolumeBasedTradeBars(historicalMessages)
// or for real time data
// await produceVolumeBasedTradeBars(realTimeMessages)
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