ClientExchange

Implements IExchange

Client implementation for exchange data access.

Features:

• Historical candle fetching (backwards from execution context)
• Future candle fetching (forwards for backtest)
• VWAP calculation from last 5 1m candles
• Price/quantity formatting for exchange

All methods use prototype functions for memory efficiency.

Constructor

constructor(params: IExchangeParams);
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Properties

params

params: IExchangeParams
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Methods

getCandles

getCandles(symbol: string, interval: CandleInterval, limit: number): Promise<ICandleData[]>;
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Fetches historical candles backwards from execution context time.

getNextCandles

getNextCandles(symbol: string, interval: CandleInterval, limit: number): Promise<ICandleData[]>;
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Fetches future candles forwards from execution context time. Used in backtest mode to get candles for signal duration.

getAveragePrice

getAveragePrice(symbol: string): Promise<number>;
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Calculates VWAP (Volume Weighted Average Price) from last N 1m candles. The number of candles is configurable via GLOBAL_CONFIG.CC_AVG_PRICE_CANDLES_COUNT.

Formula:

• Typical Price = (high + low + close) / 3
• VWAP = sum(typical_price * volume) / sum(volume)

If volume is zero, returns simple average of close prices.

formatQuantity

formatQuantity(symbol: string, quantity: number): Promise<string>;
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Format quantity for exchange precision.

formatPrice

formatPrice(symbol: string, price: number): Promise<string>;
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Format price for exchange precision.