@insiderfinance/totalfinance 0.1.0

package/modules/technical-analysis/dist/candle-talib.js

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+/**
+ * TA-Lib-compatible **adaptive** candlestick engine (spec §13.4).
+ *
+ * TotalFinance's default candlestick detectors (`candlesticks.ts`) use *fixed* body/shadow ratios and a
+ * 0/1 presence flag — fast, deterministic, and stable across instruments. TA-Lib instead uses
+ * *adaptive* thresholds: each "is this body long / this shadow short / …" test compares against a
+ * **trailing average** of the relevant range over the preceding N bars (its `TA_SetCandleSettings`),
+ * and emits a signed ±100 (occasionally ±200). This module reproduces that engine exactly, so callers
+ * who need bit-for-bit TA-Lib candlestick output can opt into it.
+ *
+ * The default settings below mirror TA-Lib's `TA_RestoreCandleDefaultSettings` (range type, average
+ * period, factor). `candleAverage` is the adaptive threshold; the pattern functions apply TA-Lib's
+ * exact comparison logic. Verified against the TA-Lib 0.6.x golden for the implemented patterns.
+ */
+import { requireArgumentArray, requireArgumentObject, ensureFiniteWhenPresent, ensureKnownKeys, requireFiniteFields, ErrorCode, InputError, } from '../../core/dist/index.js';
+import { requireNonNegative, requireOneOf, requirePeriod } from './validate.js';
+const CANDLE_SETTING_KEYS = ['range', 'averagePeriod', 'factor'];
+const CANDLE_RANGE_TYPES = [
+    'realBody',
+    'highLow',
+    'shadows',
+];
+/** TA-Lib default candle settings (`TA_RestoreCandleDefaultSettings`). */
+export const CANDLE_SETTINGS = {
+    bodyLong: { range: 'realBody', averagePeriod: 10, factor: 1.0 },
+    bodyVeryLong: { range: 'realBody', averagePeriod: 10, factor: 3.0 },
+    bodyShort: { range: 'realBody', averagePeriod: 10, factor: 1.0 },
+    bodyDoji: { range: 'highLow', averagePeriod: 10, factor: 0.1 },
+    shadowLong: { range: 'realBody', averagePeriod: 0, factor: 1.0 },
+    shadowVeryLong: { range: 'realBody', averagePeriod: 0, factor: 3.0 },
+    shadowShort: { range: 'shadows', averagePeriod: 10, factor: 1.0 },
+    shadowVeryShort: { range: 'highLow', averagePeriod: 10, factor: 0.1 },
+    near: { range: 'highLow', averagePeriod: 5, factor: 0.2 },
+    far: { range: 'highLow', averagePeriod: 5, factor: 0.6 },
+    equal: { range: 'highLow', averagePeriod: 5, factor: 0.05 },
+};
+/** Open, falling back to the close for openless bars (so realBody = 0 ⇒ treated as a doji). */
+const openOf = (bar) => bar.open ?? bar.close;
+const realBody = (bar) => Math.abs(bar.close - openOf(bar));
+const highLow = (bar) => bar.high - bar.low;
+const upperShadow = (bar) => bar.high - Math.max(openOf(bar), bar.close);
+const lowerShadow = (bar) => Math.min(openOf(bar), bar.close) - bar.low;
+const shadows = (bar) => upperShadow(bar) + lowerShadow(bar);
+/** Candle color: +1 white (close ≥ open), −1 black. */
+export const candleColor = (bar) => {
+    requireArgumentObject('candleColor', 'bar', bar);
+    // Color reads close and (when present) open — a bar missing close must teach, never report -1.
+    requireFiniteFields('candleColor', bar, ['close'], {
+        exampleCall: 'candleColor({ open: 10, high: 11, low: 9, close: 10.5 })',
+    });
+    ensureFiniteWhenPresent(bar.open, 'open', 'candleColor');
+    return bar.close >= openOf(bar) ? 1 : -1;
+};
+function rangeOf(b, type) {
+    return type === 'realBody' ? realBody(b) : type === 'highLow' ? highLow(b) : shadows(b);
+}
+/**
+ * TA-Lib's `TA_CANDLEAVERAGE` at every bar: `factor · (avg of `range` over the preceding `averagePeriod`
+ * bars) / denom`, where `denom = 2` for the Shadows range type (it sums two shadows) else `1`. With
+ * `averagePeriod = 0` the current bar's own range is used. Bars before the trailing window is full get
+ * `NaN` (the pattern is in its lookback there).
+ */
+export function candleAverage(bars, setting) {
+    requireArgumentObject('candleAverage', 'setting', setting);
+    // Law 12: an unknown field (an `avgperiod` typo) teaches instead of being silently ignored.
+    ensureKnownKeys('candleAverage', 'setting', setting, CANDLE_SETTING_KEYS);
+    requireArgumentArray('candleAverage', 'bars', bars);
+    const { range, averagePeriod, factor } = setting;
+    // Every consumed field runs its ladder: an omitted or null averagePeriod used to yield an
+    // all-NaN column instead of teaching (first-touch law).
+    requireOneOf(range, CANDLE_RANGE_TYPES, 'candleAverage', 'setting.range');
+    // Zero selects TA-Lib's current-bar rule; positive values are lookbacks and share the package's
+    // one-million-bar safety ceiling instead of accepting a nonsensical multi-billion-bar window.
+    requirePeriod(averagePeriod, 'candleAverage', 'setting.averagePeriod', 0, 'bars');
+    requireNonNegative(factor, 'candleAverage', 'setting.factor');
+    const denom = range === 'shadows' ? 2 : 1;
+    const out = new Array(bars.length).fill(NaN);
+    if (averagePeriod === 0) {
+        for (let i = 0; i < bars.length; i++)
+            out[i] = (factor * rangeOf(bars[i], range)) / denom;
+        return out;
+    }
+    let sum = 0;
+    for (let i = 0; i < bars.length; i++) {
+        if (i >= averagePeriod) {
+            // trailing window covers [i-averagePeriod, i-1]
+            out[i] = (factor * (sum / averagePeriod)) / denom;
+            sum -= rangeOf(bars[i - averagePeriod], range);
+        }
+        sum += rangeOf(bars[i], range);
+    }
+    return out;
+}
+const setting = (name) => CANDLE_SETTINGS[name];
+/**
+ * CDLDOJI (TA-Lib): +100 when the real body is no larger than `BodyDoji`'s adaptive threshold (a
+ * fraction of the trailing high-low average), else 0. Doji is non-directional, so it is never −100.
+ */
+export function cdlDojiTalib(bars) {
+    requireArgumentArray('cdlDojiTalib', 'bars', bars);
+    const avg = candleAverage(bars, setting('bodyDoji'));
+    const out = new Array(bars.length).fill(0);
+    for (let i = 0; i < bars.length; i++) {
+        if (Number.isNaN(avg[i]))
+            continue;
+        if (realBody(bars[i]) <= avg[i])
+            out[i] = 100;
+    }
+    return out;
+}
+/**
+ * CDLMARUBOZU (TA-Lib): a long real body (`BodyLong`) with both shadows shorter than the
+ * `ShadowVeryShort` threshold → ±100 by candle color (white +100, black −100), else 0.
+ */
+export function cdlMarubozuTalib(bars) {
+    requireArgumentArray('cdlMarubozuTalib', 'bars', bars);
+    const bodyLong = candleAverage(bars, setting('bodyLong'));
+    const svs = candleAverage(bars, setting('shadowVeryShort'));
+    const out = new Array(bars.length).fill(0);
+    for (let i = 0; i < bars.length; i++) {
+        if (Number.isNaN(bodyLong[i]) || Number.isNaN(svs[i]))
+            continue;
+        const b = bars[i];
+        if (realBody(b) > bodyLong[i] && upperShadow(b) < svs[i] && lowerShadow(b) < svs[i]) {
+            out[i] = candleColor(b) * 100;
+        }
+    }
+    return out;
+}
+/**
+ * CDLCLOSINGMARUBOZU (TA-Lib): a long real body where the shadow on the *close* side is shorter than
+ * `ShadowVeryShort` (the open-side shadow is unconstrained) → ±100 by color, else 0.
+ */
+export function cdlClosingMarubozuTalib(bars) {
+    requireArgumentArray('cdlClosingMarubozuTalib', 'bars', bars);
+    const bodyLong = candleAverage(bars, setting('bodyLong'));
+    const svs = candleAverage(bars, setting('shadowVeryShort'));
+    const out = new Array(bars.length).fill(0);
+    for (let i = 0; i < bars.length; i++) {
+        if (Number.isNaN(bodyLong[i]) || Number.isNaN(svs[i]))
+            continue;
+        const b = bars[i];
+        if (realBody(b) > bodyLong[i]) {
+            const closeSideShadow = candleColor(b) === 1 ? upperShadow(b) : lowerShadow(b);
+            if (closeSideShadow < svs[i])
+                out[i] = candleColor(b) * 100;
+        }
+    }
+    return out;
+}
+const PATTERNS = {
+    doji: cdlDojiTalib,
+    marubozu: cdlMarubozuTalib,
+    closingMarubozu: cdlClosingMarubozuTalib,
+};
+/** Pattern names implemented with exact TA-Lib adaptive parity in this module. */
+export const TALIB_CANDLE_NAMES = Object.keys(PATTERNS);
+/** Case-insensitive lookup (so `CDLDOJI`, `cdl_doji`, `doji`, `closingMarubozu` all resolve). */
+const BY_LOWER = {};
+for (const [k, v] of Object.entries(PATTERNS))
+    BY_LOWER[k.toLowerCase()] = v;
+/**
+ * Run an adaptive TA-Lib candlestick pattern by name (camelCase or `CDL*`), returning the ±100/0
+ * series. Throws for patterns not yet ported to the adaptive engine (use the fixed-ratio detectors in
+ * `candlesticks.ts` for those — see `TALIB_CANDLE_NAMES` for what's available here).
+ */
+export function talibCandle(name, bars) {
+    if (typeof name !== 'string') {
+        throw new InputError(`talibCandle: name must be an indicator name string, got ${name === null ? 'null' : typeof name}.`, {
+            code: ErrorCode.InputWrongType,
+            context: {},
+        });
+    }
+    const key = name.toLowerCase().replace(/^cdl_?/, '');
+    const fn = BY_LOWER[key];
+    if (!fn) {
+        throw new InputError(`talibCandle: pattern "${name}" is not implemented in the adaptive engine. ` +
+            `Available: ${TALIB_CANDLE_NAMES.join(', ')} (the fixed-ratio detectors in candlesticks cover the rest).`, {
+            code: ErrorCode.InputInvalidEnum,
+            context: { name, valid: [...TALIB_CANDLE_NAMES] },
+        });
+    }
+    return fn(bars);
+}
+//# sourceMappingURL=candle-talib.js.map

package/modules/technical-analysis/dist/candle-talib.js.map

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package/modules/technical-analysis/dist/candlesticks.d.ts

@@ -0,0 +1,103 @@
+/**
+ * Candlestick pattern catalog (spec §13.3) — the full TA-Lib `CDL*` set.
+ *
+ * Each pattern is a serializable streaming indicator over `BarInput[]` that emits TA-Lib's signal
+ * scale: `+100` bullish, `−100` bearish, `0` no pattern (and the NaN sentinel during warmup). The
+ * shared `CandleView` provides TA-Lib's candle-average thresholds (body / range / shadow averages over
+ * the trailing 10- or 5-bar window *before* the pattern), so "long body", "doji", "short shadow",
+ * "near"/"equal" all scale to recent volatility exactly as TA-Lib's default candle settings do.
+ *
+ * Where TA-Lib's reference assigns a fixed bullish/bearish sign to a shape (hammer vs hanging-man,
+ * inverted-hammer vs shooting-star), this catalog follows the same convention — the caller applies
+ * trend context. Thresholds use TA-Lib's default factors (BodyLong 1×, BodyDoji 0.1×, Near 0.2×, …).
+ */
+import { type BarInput, type IndicatorStream, type TechnicalAnalysisSnapshot } from './framework.js';
+type Empty = Record<never, never>;
+/**
+ * A read-only view of the last `len + 10` bars positioned at the current bar, exposing geometry and
+ * TA-Lib candle-average thresholds. `i` is an offset back from the current bar (0 = current,
+ * 1 = previous, …); the pattern spans offsets `0 … len − 1`.
+ */
+export declare class CandleView {
+    readonly bodyAverage: number;
+    readonly rangeAverage10: number;
+    readonly rangeAverage5: number;
+    readonly shadowAverage: number;
+    private readonly history;
+    private readonly length;
+    constructor(parameters: {
+        history: BarInput[];
+        length: number;
+    });
+    private at;
+    open(index: number): number;
+    high(index: number): number;
+    low(index: number): number;
+    close(index: number): number;
+    body(index: number): number;
+    signedBody(index: number): number;
+    upper(index: number): number;
+    lower(index: number): number;
+    range(index: number): number;
+    white(index: number): boolean;
+    black(index: number): boolean;
+    bodyHigh(index: number): number;
+    bodyLow(index: number): number;
+    longBody(index: number): boolean;
+    veryLongBody(index: number): boolean;
+    shortBody(index: number): boolean;
+    dojiBody(index: number): boolean;
+    longUpper(index: number): boolean;
+    longLower(index: number): boolean;
+    veryLongLower(index: number): boolean;
+    shortUpper(index: number): boolean;
+    shortLower(index: number): boolean;
+    veryShortUpper(index: number): boolean;
+    veryShortLower(index: number): boolean;
+    near(first: number, second: number): boolean;
+    far(first: number, second: number): boolean;
+    equalish(first: number, second: number): boolean;
+    /** Real bodies of the two bars do not overlap, `barIndex` gapping up over `priorBarIndex`. */
+    bodyGapUp(barIndex: number, priorBarIndex: number): boolean;
+    bodyGapDown(barIndex: number, priorBarIndex: number): boolean;
+    gapUp(barIndex: number, priorBarIndex: number): boolean;
+    gapDown(barIndex: number, priorBarIndex: number): boolean;
+}
+export type CandleDetector = (view: CandleView) => number;
+interface PatternDef {
+    /** Number of bars the pattern spans. */
+    length: number;
+    detect: CandleDetector;
+}
+declare class CandleStream implements IndicatorStream<BarInput, number> {
+    private hist;
+    value: number | null;
+    private readonly name;
+    private readonly length;
+    private readonly detect;
+    constructor(parameters: {
+        name: string;
+        length: number;
+        detect: CandleDetector;
+    });
+    private get need();
+    next(bar: BarInput): number | null;
+    toJSON(): TechnicalAnalysisSnapshot;
+    static restore(name: string, length: number, detect: CandleDetector): (s: TechnicalAnalysisSnapshot) => CandleStream;
+}
+declare function candlePattern(name: string, def: PatternDef): import("./framework.js").Indicator<Empty, BarInput, number>;
+/** All candlestick patterns, keyed by name → an aligned batch+stream indicator emitting ±100 / 0. */
+export declare const candlesticks: Record<string, ReturnType<typeof candlePattern>>;
+/** Names of every catalogued candlestick pattern. */
+export declare const candlestickNames: string[];
+export interface CandleMatch {
+    pattern: string;
+    signal: number;
+}
+/**
+ * Scan bars with the whole catalog, returning the matched patterns (non-zero signal) at each bar.
+ * Index `i` of the result lists patterns that complete on bar `i`.
+ */
+export declare function detectCandles(bars: ArrayLike<BarInput>): CandleMatch[][];
+export { CandleStream };
+//# sourceMappingURL=candlesticks.d.ts.map

package/modules/technical-analysis/dist/candlesticks.d.ts.map

@@ -0,0 +1 @@
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