first commit

core/candleBatcher.js

@@ -0,0 +1,93 @@
+// internally we only use 1m
+// candles, this can easily
+// convert them to any desired
+// size.
+
+// Acts as ~fake~ stream: takes
+// 1m candles as input and emits
+// bigger candles.
+// 
+// input are transported candles.
+
+var _ = require('lodash');
+var util = require(__dirname + '/util');
+
+var CandleBatcher = function(candleSize) {
+  if(!_.isNumber(candleSize))
+    throw new Error('candleSize is not a number');
+
+  this.candleSize = candleSize;
+  this.smallCandles = [];
+  this.calculatedCandles = [];
+
+  _.bindAll(this);
+}
+
+util.makeEventEmitter(CandleBatcher);
+
+CandleBatcher.prototype.write = function(candles) {
+  if(!_.isArray(candles)) {
+    throw new Error('candles is not an array');
+  }
+
+  this.emitted = 0;
+
+  _.each(candles, function(candle) {
+    this.smallCandles.push(candle);
+    this.check();
+  }, this);
+
+  return this.emitted;
+}
+
+CandleBatcher.prototype.check = function() {
+  if(_.size(this.smallCandles) % this.candleSize !== 0)
+    return;
+
+  this.emitted++;
+  this.calculatedCandles.push(this.calculate());
+  this.smallCandles = [];
+}
+
+CandleBatcher.prototype.flush = function() {
+  _.each(
+    this.calculatedCandles,
+    candle => this.emit('candle', candle)
+  );
+
+  this.calculatedCandles = [];
+}
+
+CandleBatcher.prototype.calculate = function() {
+  // remove the id property of the small candle
+  var { id, ...first } = this.smallCandles.shift();
+
+  first.vwp = first.vwp * first.volume;
+
+  var candle = _.reduce(
+    this.smallCandles,
+    function(candle, m) {
+      candle.high = _.max([candle.high, m.high]);
+      candle.low = _.min([candle.low, m.low]);
+      candle.close = m.close;
+      candle.volume += m.volume;
+      candle.vwp += m.vwp * m.volume;
+      candle.trades += m.trades;
+      return candle;
+    },
+    first
+  );
+
+  if(candle.volume)
+    // we have added up all prices (relative to volume)
+    // now divide by volume to get the Volume Weighted Price
+    candle.vwp /= candle.volume;
+  else
+    // empty candle
+    candle.vwp = candle.open;
+
+  candle.start = first.start;
+  return candle;
+}
+
+module.exports = CandleBatcher;