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