mexaggonal

Realtime ws price aggregation

Simple service that emits an object containing candlesticks/bar data ( OHLCV ) in a timeframe of your choosing. Typically 1min, 5min, 15min etc. Using the BitMEX Websocket service's trade subscription, auto-reconnecting. Has built-in latency control and smoothing to ensure timely and accurate data.

git clone https://github.com/azidyn/mexaggonal.git
cd mexaggonal
npm install
node main

Why?

There is considerable latency (19 seconds!) on BitMEX's tradeBin1m etc. endpoints, this eliminates it.

Example output

BitMEX connected. Streaming data...
Partial bar completed, waiting for next full bar...
{
  timestamp: '2020-06-15T20:18:00.000Z',
  epoch: 1592252280000,
  open: 9447.5,
  high: 9461.5,
  low: 9447.5,
  close: 9447.5,
  volume: 12061
}
{
  timestamp: '2020-06-15T20:19:00.000Z',
  epoch: 1592252340000,
  open: 9447.5,
  high: 9461.5,
  low: 9444,
  close: 9460,
  volume: 14123
}
{
  timestamp: '2020-06-15T20:20:00.000Z',
  epoch: 1592252400000,
  open: 9460,
  high: 9461,
  low: 9444,
  close: 9445,
  volume: 24359
}

To Do

This is only a first hacked together revision, needs considerable work and testing to use in production environment.
Currently has to wait for a full bar to emit something. Could use REST interface to quickly patch the initial a partial bar.
Does not handle a disconnect situation well, data-wise. Should attempt to verify the OHLCV via the REST interface before emitting new data.