Bar aggregation¶
All functions take (timestamps, prices, quantities, isBuy, param) where timestamps, prices, quantities are Float64Array and isBuy is Uint8Array. Return an array of bar objects.
| Function | Param | Description |
|---|---|---|
aggregateTimeBars(ts, px, qty, ib, intervalSeconds) |
seconds | Time bars |
aggregateTickBars(ts, px, qty, ib, tickCount) |
ticks | Tick bars |
aggregateVolumeBars(ts, px, qty, ib, threshold) |
volume | Volume bars |
aggregateRangeBars(ts, px, qty, ib, rangeSize) |
price range | Range bars |
aggregateRenkoBars(ts, px, qty, ib, brickSize) |
brick size | Renko bars |
aggregateHeikinAshiBars(ts, px, qty, ib, intervalSeconds) |
seconds | Heikin-Ashi |
Each returned bar object:
| Key | Type | Description |
|---|---|---|
startTimeNs |
number |
Open time (ns) |
endTimeNs |
number |
Close time (ns) |
open |
number |
Open price |
high |
number |
High price |
low |
number |
Low price |
close |
number |
Close price |
volume |
number |
Total volume |
buyVolume |
number |
Buy-side volume |
tradeCount |
number |
Number of trades |