@klinecharts/data-aggregator

Aggregate real-time transaction data into candlestick data.

Install

npm install @klinecharts/data-aggregator

Usage

import { DataAggregator } from "@klinecharts/data-aggregator";

const aggregator = new DataAggregator({ utcOffsetMinutes: 8 * 60 });
aggregator.setPeriod({ type: "minute", span: 5 });

const result = aggregator.add({
  timestamp: Date.now(),
  price: 12.5,
  volume: 100,
});

// Update the current candle in KLineCharts.
chart.updateData(result.current);

// Present when the trade starts a new period.
if (result.closed) {
  await saveKLine(result.closed);
}

turnover is optional on a trade. When omitted, it is calculated as price * volume.

Periods

The supported period types are second, minute, hour, day, week, month, and year. span must be a positive integer.

const aggregator = new DataAggregator();
aggregator.setPeriod({ type: "second", span: 15 });
aggregator.setPeriod({ type: "hour", span: 4 });
aggregator.setPeriod({ type: "month", span: 1 });

Call setPeriod before adding trades. Setting it again clears the current K-line and timestamp-order state.

To resume aggregation from the last unclosed K-line, set it as base data after setting the period:

aggregator.setBaseData(lastUnclosedKLine);

Trades in the same period update this K-line. The base K-line is returned as closed when a trade starts a new period.

Period timestamps represent the start of each window. The default time zone is UTC. Use utcOffsetMinutes for markets with a fixed offset. Weeks start on Monday.

Trades must be added in timestamp order. Missing periods are not filled with synthetic K-lines.

24/7 trading

Omit sessions for a market that trades continuously. The local trading-day boundary is defined by utcOffsetMinutes. The second, minute, and hour merge options also apply to 24/7 trading:

const aggregator = new DataAggregator({
  utcOffsetMinutes: 0,
  mergeSecondAcrossTradingDay: true,
  mergeMinuteAcrossTradingDay: true,
  mergeHourAcrossTradingDay: true,
});

When an option is false, that period is truncated at local midnight. When it is true, the period can continue across midnight without interruption.

Trading sessions

Use sessions for markets with a midday break or other discontinuous trading hours. Session times use the local clock defined by utcOffsetMinutes.

const aggregator = new DataAggregator({
  utcOffsetMinutes: 8 * 60,
  mergeSecondAcrossTradingDay: false,
  mergeMinuteAcrossTradingDay: false,
  mergeHourAcrossTradingDay: false,
  sessions: [
    { start: "09:30", end: "11:30" },
    { start: "13:00", end: "15:00" },
  ],
});
aggregator.setPeriod({ type: "hour", span: 1 });

By default, second, minute, and hour K-lines do not cross a trading-day boundary. If the remaining trading time is shorter than the configured period, that shorter K-line is treated as complete. Enable mergeSecondAcrossTradingDay, mergeMinuteAcrossTradingDay, or mergeHourAcrossTradingDay to continue it with effective trading time from later trading days. Breaks, weekends, and holidays do not count toward the period duration. The three settings are independent and default to false.

No synthetic K-lines are created during a break, and trades outside the configured sessions are rejected. Use an end time earlier than the start time for a session that crosses midnight, such as 21:00 to 02:00. An overnight session belongs to the natural date on which it ends, so Monday 21:00 through Tuesday 02:00 is aggregated with Tuesday's day session for day, week, month, and year periods.

Saturday and Sunday are non-trading days by default. Supply exchange holidays as local calendar dates; an overnight session is assigned to the next available trading day after weekends and holidays.

const aggregator = new DataAggregator({
  sessions: [
    { start: "21:00", end: "02:00" },
    { start: "09:00", end: "15:00" },
  ],
  tradingCalendar: {
    holidays: ["2026-01-01", "2026-02-16", "2026-02-17"],
    extraTradingDays: [],
    weekendDays: [0, 6],
  },
});
aggregator.setPeriod({ type: "day", span: 1 });

extraTradingDays overrides both holidays and weekendDays. Dates use the same local time zone as the configured sessions.

Development

bun install
bun run dev

Open the URL printed in the terminal to use the real-time aggregation example. It continuously generates trades, displays the current and closed K-lines, and provides pause, single-step, next-period, and reset controls, plus an editable period amount, selectable time unit, configurable simulation start time, and trade interval in milliseconds. The example also exposes every DataAggregator option: utcOffsetMinutes, the three cross-trading-day merge flags, sessions, and tradingCalendar. Structured options are entered as JSON. The example imports directly from src, so source and example changes are hot reloaded by Bun. The period, start time, and aggregator options are cached in browser storage and restored on the next visit.

The example source is under examples. Run tests continuously while developing with:

bun run test:watch

Other development checks remain available separately:

bun run check
bun run format
bun run build