IExchange

Exchange interface implemented by ClientExchange. Provides candle data access and VWAP calculation.

Properties

getCandles

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

getNextCandles

getNextCandles: (symbol: string, interval: CandleInterval, limit: number) => Promise<ICandleData[]>
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Fetch future candles forward from execution context time (for backtest).

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.

getAveragePrice

getAveragePrice: (symbol: string) => Promise<number>
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Calculate VWAP from last 5 1-minute candles.

Formula: VWAP = Σ(Typical Price × Volume) / Σ(Volume) where Typical Price = (High + Low + Close) / 3

getOrderBook

getOrderBook: (symbol: string, depth?: number) => Promise<IOrderBookData>
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Fetch order book for a trading pair.

getAggregatedTrades

getAggregatedTrades: (symbol: string, limit?: number) => Promise<IAggregatedTradeData[]>
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Fetch aggregated trades for a trading pair.

getRawCandles

getRawCandles: (symbol: string, interval: CandleInterval, limit?: number, sDate?: number, eDate?: number) => Promise<ICandleData[]>
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Fetch raw candles with flexible date/limit parameters.

All modes respect execution context and prevent look-ahead bias.

Parameter combinations:

1. sDate + eDate + limit: fetches with explicit parameters, validates eDate <= when
2. sDate + eDate: calculates limit from date range, validates eDate <= when
3. eDate + limit: calculates sDate backward, validates eDate <= when
4. sDate + limit: fetches forward, validates calculated endTimestamp <= when
5. Only limit: uses execution.context.when as reference (backward)