Exchange interface implemented by ClientExchange. Provides candle data access and VWAP calculation.
getCandles: (symbol: string, interval: CandleInterval, limit: number) => Promise<ICandleData[]>
Fetch historical candles backwards from execution context time.
getNextCandles: (symbol: string, interval: CandleInterval, limit: number) => Promise<ICandleData[]>
Fetch future candles forward from execution context time (for backtest).
formatQuantity: (symbol: string, quantity: number) => Promise<string>
Format quantity for exchange precision.
formatPrice: (symbol: string, price: number) => Promise<string>
Format price for exchange precision.
getAveragePrice: (symbol: string) => Promise<number>
Calculate VWAP from last 5 1-minute candles.
Formula: VWAP = Σ(Typical Price × Volume) / Σ(Volume) where Typical Price = (High + Low + Close) / 3