I am trying to implement the
CandleStackExchange driver for Kraken exchange.
Unfortunately, unlike binance, kraken provides only the past 720 candles at a given time interval.
On the other hand kraken provides the entire history of all the trades sent to their market.
Sample of a trade data is like :
"9157.00000", # price
"0.00000047", # amount
1590242415.6565, # tstamp
"s", # s for sell / b for buy
"m", # m for market / l for limit
"" # ignored
Now, does anybody have any suggestion on how to convert these data into candles?
I am not asking for code samples or detailed algorithm, just a rough sketch of procedure.
Do I need to rebuild the entire book at each time instant and then from there build list of transactions, ecc...?
P.S. for any reference