lib-js-util-math
The lib includes the utilities depicted below:
-
BN
- BigNumber utilities -
Array utilites
- Array utilites like min, max, median and avg with big number manipulation -
VWAP
- Volume Weighted Average Price (VWAP) index utilities -
Standard Deviation
- Standard deviation utilities -
SMA
- Simple Moving Average -
EMA
- Exponential Moving Average -
TWAP
- Time Weighted Average Price utilities -
Impact mid price
- Mid price from bids and asks until specific book depth
Installing
npm install --save https://github.com/bitfinexcom/lib-js-util-math.git
Testing
npm run test
Usage
const data = [
{ price: nBN(10500), y: 'jan', volume: '1' },
{ price: nBN(10700), y: 'feb', volume: '0.33' },
{ price: nBN(11500), y: 'mar', volume: '2.13' },
{ price: nBN('12300'), y: 'apr', volume: '5.26' },
{ price: nBN(5000), y: 'may', volume: '0.77' },
{ price: nBN(5100), y: 'jun', volume: '1.52' }
]
const vwap = VWAP(data)
console.log(vwap) // 10429.24613987284287011807
const dev = stdDeviation(data, a => a.price)
console.log(dev.toFixed()) // 2980.16591633568094682823
Authors
- prdn
- robertkowalski
- vigan-abd