tardis-dev computing order book snapshots and custom trade bars

node v12.22.6
version: 1.0.0
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const { streamNormalized, normalizeTrades, normalizeBookChanges, compute, computeTradeBars, computeBookSnapshots } = require('tardis-dev') const bitmexMessages = streamNormalized( { exchange: 'bitmex', symbols: ['XBTUSD'] }, normalizeTrades, normalizeBookChanges ) const messagesWithComputedTypes = compute( bitmexMessages, // 10 seconds time bars computeTradeBars({ kind: 'time', interval: 10 * 1000 }), // top 20 levels 50 millisecond order book snapshots computeBookSnapshots({ depth: 20, interval: 50 }), // volume based trade bar - 1 million vol buckets computeTradeBars({ kind: 'volume', interval: 1000 * 1000 }) ) async function run() { for await (const message of messagesWithComputedTypes) { if (message.type === 'book_snapshot' || message.type === 'trade_bar') { console.log(message) } } } await run()
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