@insiderfinance/totalfinance 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/LICENSE +201 -0
- package/README.md +339 -0
- package/STABILITY.md +23 -0
- package/modules/backtest/dist/artifacts.d.ts +23 -0
- package/modules/backtest/dist/artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/artifacts.js +22 -0
- package/modules/backtest/dist/artifacts.js.map +1 -0
- package/modules/backtest/dist/broker.d.ts +265 -0
- package/modules/backtest/dist/broker.d.ts.map +1 -0
- package/modules/backtest/dist/broker.js +1228 -0
- package/modules/backtest/dist/broker.js.map +1 -0
- package/modules/backtest/dist/costs.d.ts +67 -0
- package/modules/backtest/dist/costs.d.ts.map +1 -0
- package/modules/backtest/dist/costs.js +171 -0
- package/modules/backtest/dist/costs.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
- package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.js +375 -0
- package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.js +394 -0
- package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.js +15 -0
- package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.js +12 -0
- package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.js +489 -0
- package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
- package/modules/backtest/dist/diagnostics.d.ts +16 -0
- package/modules/backtest/dist/diagnostics.d.ts.map +1 -0
- package/modules/backtest/dist/diagnostics.js +63 -0
- package/modules/backtest/dist/diagnostics.js.map +1 -0
- package/modules/backtest/dist/environment/bench.d.ts +34 -0
- package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
- package/modules/backtest/dist/environment/bench.js +724 -0
- package/modules/backtest/dist/environment/bench.js.map +1 -0
- package/modules/backtest/dist/environment/environment.d.ts +5 -0
- package/modules/backtest/dist/environment/environment.d.ts.map +1 -0
- package/modules/backtest/dist/environment/environment.js +618 -0
- package/modules/backtest/dist/environment/environment.js.map +1 -0
- package/modules/backtest/dist/environment/episode.d.ts +4 -0
- package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episode.js +121 -0
- package/modules/backtest/dist/environment/episode.js.map +1 -0
- package/modules/backtest/dist/environment/episodes.d.ts +14 -0
- package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episodes.js +644 -0
- package/modules/backtest/dist/environment/episodes.js.map +1 -0
- package/modules/backtest/dist/environment/features.d.ts +31 -0
- package/modules/backtest/dist/environment/features.d.ts.map +1 -0
- package/modules/backtest/dist/environment/features.js +157 -0
- package/modules/backtest/dist/environment/features.js.map +1 -0
- package/modules/backtest/dist/environment/index.d.ts +14 -0
- package/modules/backtest/dist/environment/index.d.ts.map +1 -0
- package/modules/backtest/dist/environment/index.js +12 -0
- package/modules/backtest/dist/environment/index.js.map +1 -0
- package/modules/backtest/dist/environment/limits.d.ts +63 -0
- package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
- package/modules/backtest/dist/environment/limits.js +253 -0
- package/modules/backtest/dist/environment/limits.js.map +1 -0
- package/modules/backtest/dist/environment/reward.d.ts +5 -0
- package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
- package/modules/backtest/dist/environment/reward.js +80 -0
- package/modules/backtest/dist/environment/reward.js.map +1 -0
- package/modules/backtest/dist/environment/types.d.ts +540 -0
- package/modules/backtest/dist/environment/types.d.ts.map +1 -0
- package/modules/backtest/dist/environment/types.js +2 -0
- package/modules/backtest/dist/environment/types.js.map +1 -0
- package/modules/backtest/dist/environment/validate.d.ts +23 -0
- package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
- package/modules/backtest/dist/environment/validate.js +264 -0
- package/modules/backtest/dist/environment/validate.js.map +1 -0
- package/modules/backtest/dist/event-driven.d.ts +111 -0
- package/modules/backtest/dist/event-driven.d.ts.map +1 -0
- package/modules/backtest/dist/event-driven.js +325 -0
- package/modules/backtest/dist/event-driven.js.map +1 -0
- package/modules/backtest/dist/execution/conformance.d.ts +33 -0
- package/modules/backtest/dist/execution/conformance.d.ts.map +1 -0
- package/modules/backtest/dist/execution/conformance.js +269 -0
- package/modules/backtest/dist/execution/conformance.js.map +1 -0
- package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
- package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-models.js +375 -0
- package/modules/backtest/dist/execution/fill-models.js.map +1 -0
- package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
- package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-order.js +156 -0
- package/modules/backtest/dist/execution/fill-order.js.map +1 -0
- package/modules/backtest/dist/execution/index.d.ts +33 -0
- package/modules/backtest/dist/execution/index.d.ts.map +1 -0
- package/modules/backtest/dist/execution/index.js +27 -0
- package/modules/backtest/dist/execution/index.js.map +1 -0
- package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
- package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
- package/modules/backtest/dist/execution/intrabar.js +130 -0
- package/modules/backtest/dist/execution/intrabar.js.map +1 -0
- package/modules/backtest/dist/execution/normalized.d.ts +56 -0
- package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
- package/modules/backtest/dist/execution/normalized.js +154 -0
- package/modules/backtest/dist/execution/normalized.js.map +1 -0
- package/modules/backtest/dist/execution/policy.d.ts +84 -0
- package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
- package/modules/backtest/dist/execution/policy.js +341 -0
- package/modules/backtest/dist/execution/policy.js.map +1 -0
- package/modules/backtest/dist/execution/types.d.ts +217 -0
- package/modules/backtest/dist/execution/types.d.ts.map +1 -0
- package/modules/backtest/dist/execution/types.js +8 -0
- package/modules/backtest/dist/execution/types.js.map +1 -0
- package/modules/backtest/dist/execution/validate.d.ts +35 -0
- package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
- package/modules/backtest/dist/execution/validate.js +666 -0
- package/modules/backtest/dist/execution/validate.js.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.js +1129 -0
- package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
- package/modules/backtest/dist/index.d.ts +33 -0
- package/modules/backtest/dist/index.d.ts.map +1 -0
- package/modules/backtest/dist/index.js +28 -0
- package/modules/backtest/dist/index.js.map +1 -0
- package/modules/backtest/dist/options/chain.d.ts +68 -0
- package/modules/backtest/dist/options/chain.d.ts.map +1 -0
- package/modules/backtest/dist/options/chain.js +303 -0
- package/modules/backtest/dist/options/chain.js.map +1 -0
- package/modules/backtest/dist/options/engine.d.ts +28 -0
- package/modules/backtest/dist/options/engine.d.ts.map +1 -0
- package/modules/backtest/dist/options/engine.js +1859 -0
- package/modules/backtest/dist/options/engine.js.map +1 -0
- package/modules/backtest/dist/options/index.d.ts +23 -0
- package/modules/backtest/dist/options/index.d.ts.map +1 -0
- package/modules/backtest/dist/options/index.js +21 -0
- package/modules/backtest/dist/options/index.js.map +1 -0
- package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
- package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/options/tearsheet.js +205 -0
- package/modules/backtest/dist/options/tearsheet.js.map +1 -0
- package/modules/backtest/dist/options/types.d.ts +571 -0
- package/modules/backtest/dist/options/types.d.ts.map +1 -0
- package/modules/backtest/dist/options/types.js +19 -0
- package/modules/backtest/dist/options/types.js.map +1 -0
- package/modules/backtest/dist/paper/index.d.ts +13 -0
- package/modules/backtest/dist/paper/index.d.ts.map +1 -0
- package/modules/backtest/dist/paper/index.js +12 -0
- package/modules/backtest/dist/paper/index.js.map +1 -0
- package/modules/backtest/dist/paper/paper.d.ts +8 -0
- package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
- package/modules/backtest/dist/paper/paper.js +950 -0
- package/modules/backtest/dist/paper/paper.js.map +1 -0
- package/modules/backtest/dist/paper/types.d.ts +190 -0
- package/modules/backtest/dist/paper/types.d.ts.map +1 -0
- package/modules/backtest/dist/paper/types.js +3 -0
- package/modules/backtest/dist/paper/types.js.map +1 -0
- package/modules/backtest/dist/paper/validate.d.ts +9 -0
- package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
- package/modules/backtest/dist/paper/validate.js +112 -0
- package/modules/backtest/dist/paper/validate.js.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.js +555 -0
- package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
- package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
- package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/engine.js +1300 -0
- package/modules/backtest/dist/portfolio/engine.js.map +1 -0
- package/modules/backtest/dist/portfolio/index.d.ts +12 -0
- package/modules/backtest/dist/portfolio/index.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/index.js +11 -0
- package/modules/backtest/dist/portfolio/index.js.map +1 -0
- package/modules/backtest/dist/portfolio/types.d.ts +418 -0
- package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/types.js +8 -0
- package/modules/backtest/dist/portfolio/types.js.map +1 -0
- package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
- package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/validate.js +556 -0
- package/modules/backtest/dist/portfolio/validate.js.map +1 -0
- package/modules/backtest/dist/run-artifacts.d.ts +425 -0
- package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/run-artifacts.js +1843 -0
- package/modules/backtest/dist/run-artifacts.js.map +1 -0
- package/modules/backtest/dist/signals.d.ts +110 -0
- package/modules/backtest/dist/signals.d.ts.map +1 -0
- package/modules/backtest/dist/signals.js +207 -0
- package/modules/backtest/dist/signals.js.map +1 -0
- package/modules/backtest/dist/tearsheet.d.ts +126 -0
- package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/tearsheet.js +266 -0
- package/modules/backtest/dist/tearsheet.js.map +1 -0
- package/modules/backtest/dist/types.d.ts +175 -0
- package/modules/backtest/dist/types.d.ts.map +1 -0
- package/modules/backtest/dist/types.js +29 -0
- package/modules/backtest/dist/types.js.map +1 -0
- package/modules/backtest/dist/validate.d.ts +13 -0
- package/modules/backtest/dist/validate.d.ts.map +1 -0
- package/modules/backtest/dist/validate.js +37 -0
- package/modules/backtest/dist/validate.js.map +1 -0
- package/modules/backtest/dist/vectorized.d.ts +53 -0
- package/modules/backtest/dist/vectorized.d.ts.map +1 -0
- package/modules/backtest/dist/vectorized.js +383 -0
- package/modules/backtest/dist/vectorized.js.map +1 -0
- package/modules/backtest/dist/walk-forward.d.ts +57 -0
- package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
- package/modules/backtest/dist/walk-forward.js +125 -0
- package/modules/backtest/dist/walk-forward.js.map +1 -0
- package/modules/backtest/etc/backtest.api.md +139 -0
- package/modules/backtest/src/artifacts.ts +54 -0
- package/modules/backtest/src/broker.ts +1529 -0
- package/modules/backtest/src/costs.ts +225 -0
- package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
- package/modules/backtest/src/cross-sectional/folds.ts +718 -0
- package/modules/backtest/src/cross-sectional/grid.ts +646 -0
- package/modules/backtest/src/cross-sectional/index.ts +76 -0
- package/modules/backtest/src/cross-sectional/types.ts +363 -0
- package/modules/backtest/src/cross-sectional/validate.ts +906 -0
- package/modules/backtest/src/diagnostics.ts +66 -0
- package/modules/backtest/src/environment/bench.ts +1022 -0
- package/modules/backtest/src/environment/environment.ts +766 -0
- package/modules/backtest/src/environment/episode.ts +146 -0
- package/modules/backtest/src/environment/episodes.ts +786 -0
- package/modules/backtest/src/environment/features.ts +184 -0
- package/modules/backtest/src/environment/index.ts +79 -0
- package/modules/backtest/src/environment/limits.ts +383 -0
- package/modules/backtest/src/environment/reward.ts +98 -0
- package/modules/backtest/src/environment/types.ts +595 -0
- package/modules/backtest/src/environment/validate.ts +415 -0
- package/modules/backtest/src/event-driven.ts +528 -0
- package/modules/backtest/src/execution/conformance.ts +346 -0
- package/modules/backtest/src/execution/fill-models.ts +410 -0
- package/modules/backtest/src/execution/fill-order.ts +261 -0
- package/modules/backtest/src/execution/index.ts +91 -0
- package/modules/backtest/src/execution/intrabar.ts +185 -0
- package/modules/backtest/src/execution/normalized.ts +216 -0
- package/modules/backtest/src/execution/policy.ts +447 -0
- package/modules/backtest/src/execution/types.ts +239 -0
- package/modules/backtest/src/execution/validate.ts +889 -0
- package/modules/backtest/src/generated/validation-specs.ts +1132 -0
- package/modules/backtest/src/index.ts +157 -0
- package/modules/backtest/src/options/chain.ts +410 -0
- package/modules/backtest/src/options/engine.ts +2240 -0
- package/modules/backtest/src/options/index.ts +68 -0
- package/modules/backtest/src/options/tearsheet.ts +327 -0
- package/modules/backtest/src/options/types.ts +573 -0
- package/modules/backtest/src/paper/index.ts +27 -0
- package/modules/backtest/src/paper/paper.ts +1288 -0
- package/modules/backtest/src/paper/types.ts +221 -0
- package/modules/backtest/src/paper/validate.ts +168 -0
- package/modules/backtest/src/portfolio/adapters.ts +651 -0
- package/modules/backtest/src/portfolio/engine.ts +1518 -0
- package/modules/backtest/src/portfolio/index.ts +64 -0
- package/modules/backtest/src/portfolio/types.ts +456 -0
- package/modules/backtest/src/portfolio/validate.ts +861 -0
- package/modules/backtest/src/run-artifacts.ts +2873 -0
- package/modules/backtest/src/signals.ts +267 -0
- package/modules/backtest/src/tearsheet.ts +425 -0
- package/modules/backtest/src/types.ts +200 -0
- package/modules/backtest/src/validate.ts +43 -0
- package/modules/backtest/src/vectorized.ts +541 -0
- package/modules/backtest/src/walk-forward.ts +215 -0
- package/modules/calendars/dist/cboe.d.ts +15 -0
- package/modules/calendars/dist/cboe.d.ts.map +1 -0
- package/modules/calendars/dist/cboe.js +16 -0
- package/modules/calendars/dist/cboe.js.map +1 -0
- package/modules/calendars/dist/crypto.d.ts +15 -0
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- package/modules/calendars/dist/crypto.js +16 -0
- package/modules/calendars/dist/crypto.js.map +1 -0
- package/modules/calendars/dist/expirations.d.ts +35 -0
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- package/modules/calendars/dist/nyse.d.ts +11 -0
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- package/modules/calendars/src/us-market.ts +86 -0
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- package/modules/cli/src/exit-codes.ts +21 -0
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- package/modules/commodities/src/internal.ts +6 -0
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- package/modules/core/dist/artifacts/analysis-artifact.d.ts +140 -0
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}
|
|
27
|
+
function minOf(xs) {
|
|
28
|
+
let m = xs[0];
|
|
29
|
+
for (let i = 1; i < xs.length; i++)
|
|
30
|
+
if (xs[i] < m)
|
|
31
|
+
m = xs[i];
|
|
32
|
+
return m;
|
|
33
|
+
}
|
|
34
|
+
const noZone = () => ({ direction: 0, top: NaN, bottom: NaN, mid: NaN });
|
|
35
|
+
const nanZone = () => ({ direction: NaN, top: NaN, bottom: NaN, mid: NaN });
|
|
36
|
+
class FvgStream {
|
|
37
|
+
minimumGapPercent;
|
|
38
|
+
prev = []; // the two prior bars
|
|
39
|
+
value = null;
|
|
40
|
+
constructor(minimumGapPercent) {
|
|
41
|
+
this.minimumGapPercent = minimumGapPercent;
|
|
42
|
+
}
|
|
43
|
+
next(bar) {
|
|
44
|
+
if (this.prev.length < 2) {
|
|
45
|
+
this.prev.push({ high: bar.high, low: bar.low });
|
|
46
|
+
this.value = null;
|
|
47
|
+
return null;
|
|
48
|
+
}
|
|
49
|
+
const c1 = this.prev[0]; // bar i−2
|
|
50
|
+
let out = noZone();
|
|
51
|
+
if (bar.low > c1.high) {
|
|
52
|
+
out = this.zone({ direction: 1, top: bar.low, bottom: c1.high });
|
|
53
|
+
}
|
|
54
|
+
else if (bar.high < c1.low) {
|
|
55
|
+
out = this.zone({ direction: -1, top: c1.low, bottom: bar.high });
|
|
56
|
+
}
|
|
57
|
+
this.prev.push({ high: bar.high, low: bar.low });
|
|
58
|
+
this.prev.shift();
|
|
59
|
+
this.value = out;
|
|
60
|
+
return out;
|
|
61
|
+
}
|
|
62
|
+
zone(input) {
|
|
63
|
+
const { direction, top, bottom } = input;
|
|
64
|
+
const mid = (top + bottom) / 2;
|
|
65
|
+
if (this.minimumGapPercent > 0 &&
|
|
66
|
+
mid !== 0 &&
|
|
67
|
+
((top - bottom) / Math.abs(mid)) * 100 < this.minimumGapPercent) {
|
|
68
|
+
return noZone();
|
|
69
|
+
}
|
|
70
|
+
return { direction, top, bottom, mid };
|
|
71
|
+
}
|
|
72
|
+
toJSON() {
|
|
73
|
+
return snapshotOf('fairValueGaps', {
|
|
74
|
+
minimumGapPercent: this.minimumGapPercent,
|
|
75
|
+
// Deep-copied like every other stream's window: `this.prev` is mutated in place on the next
|
|
76
|
+
// bar (push + shift), so handing out the live array made an already-captured snapshot change
|
|
77
|
+
// underneath its holder — a "snapshot" that is not a snapshot.
|
|
78
|
+
prev: this.prev.map((p) => ({ ...p })),
|
|
79
|
+
value: this.value,
|
|
80
|
+
});
|
|
81
|
+
}
|
|
82
|
+
static fromJSON(snapshot) {
|
|
83
|
+
const state = readSnapshot(snapshot, 'fairValueGaps');
|
|
84
|
+
const x = new FvgStream(state.number('minimumGapPercent'));
|
|
85
|
+
x.prev = state.records('prev').map((p) => ({ ...p }));
|
|
86
|
+
x.value = state.cached('value');
|
|
87
|
+
return x;
|
|
88
|
+
}
|
|
89
|
+
}
|
|
90
|
+
export const fairValueGaps = withBuiltinMetadata(makeIndicator((p) => new FvgStream(requireInRange(p.minimumGapPercent ?? 0, 'fairValueGaps', 'minimumGapPercent', 0, Infinity)), FvgStream.fromJSON, nanZone), builtinMetadata.fairValueGapsMetadata);
|
|
91
|
+
class OrderBlockStream {
|
|
92
|
+
lookback;
|
|
93
|
+
lastDown = null; // most recent bearish candle (a bullish OB origin)
|
|
94
|
+
lastUp = null; // most recent bullish candle (a bearish OB origin)
|
|
95
|
+
value = null;
|
|
96
|
+
constructor(lookback) {
|
|
97
|
+
this.lookback = lookback;
|
|
98
|
+
}
|
|
99
|
+
next(bar) {
|
|
100
|
+
if (this.lastDown)
|
|
101
|
+
this.lastDown.age++;
|
|
102
|
+
if (this.lastUp)
|
|
103
|
+
this.lastUp.age++;
|
|
104
|
+
let out = noZone();
|
|
105
|
+
if (this.lastDown && this.lastDown.age <= this.lookback && bar.close > this.lastDown.high) {
|
|
106
|
+
out = this.zone(1, this.lastDown);
|
|
107
|
+
this.lastDown = null;
|
|
108
|
+
}
|
|
109
|
+
else if (this.lastUp && this.lastUp.age <= this.lookback && bar.close < this.lastUp.low) {
|
|
110
|
+
out = this.zone(-1, this.lastUp);
|
|
111
|
+
this.lastUp = null;
|
|
112
|
+
}
|
|
113
|
+
if (this.lastDown && this.lastDown.age > this.lookback)
|
|
114
|
+
this.lastDown = null;
|
|
115
|
+
if (this.lastUp && this.lastUp.age > this.lookback)
|
|
116
|
+
this.lastUp = null;
|
|
117
|
+
const o = openOf(bar);
|
|
118
|
+
if (bar.close < o)
|
|
119
|
+
this.lastDown = { high: bar.high, low: bar.low, age: 0 };
|
|
120
|
+
else if (bar.close > o)
|
|
121
|
+
this.lastUp = { high: bar.high, low: bar.low, age: 0 };
|
|
122
|
+
this.value = out;
|
|
123
|
+
return out;
|
|
124
|
+
}
|
|
125
|
+
zone(direction, c) {
|
|
126
|
+
return { direction, top: c.high, bottom: c.low, mid: (c.high + c.low) / 2 };
|
|
127
|
+
}
|
|
128
|
+
toJSON() {
|
|
129
|
+
return snapshotOf('orderBlocks', {
|
|
130
|
+
lookback: this.lookback,
|
|
131
|
+
// Deep-copied: `age` is incremented IN PLACE on every later bar, so a live reference let an
|
|
132
|
+
// already-captured snapshot silently age along with the stream it was supposed to freeze.
|
|
133
|
+
lastDown: this.lastDown === null ? null : { ...this.lastDown },
|
|
134
|
+
lastUp: this.lastUp === null ? null : { ...this.lastUp },
|
|
135
|
+
value: this.value,
|
|
136
|
+
});
|
|
137
|
+
}
|
|
138
|
+
static fromJSON(snapshot) {
|
|
139
|
+
const state = readSnapshot(snapshot, 'orderBlocks');
|
|
140
|
+
const x = new OrderBlockStream(state.lookback('lookback'));
|
|
141
|
+
const lastDown = state.recordOrNull('lastDown');
|
|
142
|
+
const lastUp = state.recordOrNull('lastUp');
|
|
143
|
+
x.lastDown = lastDown === null ? null : { ...lastDown };
|
|
144
|
+
x.lastUp = lastUp === null ? null : { ...lastUp };
|
|
145
|
+
x.value = state.cached('value');
|
|
146
|
+
return x;
|
|
147
|
+
}
|
|
148
|
+
}
|
|
149
|
+
export const orderBlocks = withBuiltinMetadata(makeIndicator((p) => new OrderBlockStream(requirePeriod(p.lookback ?? 5, 'orderBlocks', 'lookback')), OrderBlockStream.fromJSON, nanZone), builtinMetadata.orderBlocksMetadata);
|
|
150
|
+
class LiquiditySweepStream {
|
|
151
|
+
lookback;
|
|
152
|
+
highs = [];
|
|
153
|
+
lows = [];
|
|
154
|
+
value = null;
|
|
155
|
+
constructor(lookback) {
|
|
156
|
+
this.lookback = lookback;
|
|
157
|
+
}
|
|
158
|
+
next(bar) {
|
|
159
|
+
if (this.highs.length < this.lookback) {
|
|
160
|
+
this.highs.push(bar.high);
|
|
161
|
+
this.lows.push(bar.low);
|
|
162
|
+
this.value = null;
|
|
163
|
+
return null;
|
|
164
|
+
}
|
|
165
|
+
const hh = maxOf(this.highs);
|
|
166
|
+
const ll = minOf(this.lows);
|
|
167
|
+
let direction = 0;
|
|
168
|
+
let level = NaN;
|
|
169
|
+
if (bar.high > hh && bar.close < hh) {
|
|
170
|
+
direction = 1; // swept the highs, closed back below — buy-side liquidity grab
|
|
171
|
+
level = hh;
|
|
172
|
+
}
|
|
173
|
+
else if (bar.low < ll && bar.close > ll) {
|
|
174
|
+
direction = -1; // swept the lows, closed back above — sell-side liquidity grab
|
|
175
|
+
level = ll;
|
|
176
|
+
}
|
|
177
|
+
this.highs.push(bar.high);
|
|
178
|
+
this.lows.push(bar.low);
|
|
179
|
+
this.highs.shift();
|
|
180
|
+
this.lows.shift();
|
|
181
|
+
this.value = { direction, level };
|
|
182
|
+
return this.value;
|
|
183
|
+
}
|
|
184
|
+
toJSON() {
|
|
185
|
+
return snapshotOf('liquiditySweeps', {
|
|
186
|
+
lookback: this.lookback,
|
|
187
|
+
highs: [...this.highs],
|
|
188
|
+
lows: [...this.lows],
|
|
189
|
+
value: this.value,
|
|
190
|
+
});
|
|
191
|
+
}
|
|
192
|
+
static fromJSON(snapshot) {
|
|
193
|
+
const state = readSnapshot(snapshot, 'liquiditySweeps');
|
|
194
|
+
const x = new LiquiditySweepStream(state.lookback('lookback'));
|
|
195
|
+
x.highs = state.numbers('highs');
|
|
196
|
+
x.lows = state.numbers('lows');
|
|
197
|
+
x.value = state.cached('value');
|
|
198
|
+
return x;
|
|
199
|
+
}
|
|
200
|
+
}
|
|
201
|
+
export const liquiditySweeps = withBuiltinMetadata(makeIndicator((p) => new LiquiditySweepStream(requirePeriod(p.lookback ?? 20, 'liquiditySweeps', 'lookback')), LiquiditySweepStream.fromJSON, () => ({ direction: NaN, level: NaN })), builtinMetadata.liquiditySweepsMetadata);
|
|
202
|
+
class SmcSweepStream {
|
|
203
|
+
period;
|
|
204
|
+
wickMultiplier;
|
|
205
|
+
highs = [];
|
|
206
|
+
lows = [];
|
|
207
|
+
value = null;
|
|
208
|
+
constructor(period, wickMultiplier) {
|
|
209
|
+
this.period = period;
|
|
210
|
+
this.wickMultiplier = wickMultiplier;
|
|
211
|
+
}
|
|
212
|
+
next(bar) {
|
|
213
|
+
if (this.highs.length < this.period) {
|
|
214
|
+
this.highs.push(bar.high);
|
|
215
|
+
this.lows.push(bar.low);
|
|
216
|
+
this.value = 0;
|
|
217
|
+
return this.value;
|
|
218
|
+
}
|
|
219
|
+
const swingHigh = maxOf(this.highs);
|
|
220
|
+
const swingLow = minOf(this.lows);
|
|
221
|
+
const open = openOf(bar);
|
|
222
|
+
const body = Math.abs(bar.close - open);
|
|
223
|
+
const lowerWick = Math.min(open, bar.close) - bar.low;
|
|
224
|
+
const upperWick = bar.high - Math.max(open, bar.close);
|
|
225
|
+
const bull = bar.low < swingLow &&
|
|
226
|
+
bar.close > swingLow &&
|
|
227
|
+
bar.close > open &&
|
|
228
|
+
lowerWick > body * this.wickMultiplier;
|
|
229
|
+
const bear = bar.high > swingHigh &&
|
|
230
|
+
bar.close < swingHigh &&
|
|
231
|
+
bar.close < open &&
|
|
232
|
+
upperWick > body * this.wickMultiplier;
|
|
233
|
+
this.value = bull ? 1 : bear ? -1 : 0;
|
|
234
|
+
this.highs.push(bar.high);
|
|
235
|
+
this.lows.push(bar.low);
|
|
236
|
+
this.highs.shift();
|
|
237
|
+
this.lows.shift();
|
|
238
|
+
return this.value;
|
|
239
|
+
}
|
|
240
|
+
toJSON() {
|
|
241
|
+
return snapshotOf('smcSweep', {
|
|
242
|
+
period: this.period,
|
|
243
|
+
wickMultiplier: this.wickMultiplier,
|
|
244
|
+
highs: [...this.highs],
|
|
245
|
+
lows: [...this.lows],
|
|
246
|
+
value: this.value,
|
|
247
|
+
});
|
|
248
|
+
}
|
|
249
|
+
static fromJSON(snapshot) {
|
|
250
|
+
const state = readSnapshot(snapshot, 'smcSweep');
|
|
251
|
+
const x = new SmcSweepStream(state.lookback('period'), state.number('wickMultiplier'));
|
|
252
|
+
x.highs = state.numbers('highs');
|
|
253
|
+
x.lows = state.numbers('lows');
|
|
254
|
+
x.value = state.cached('value');
|
|
255
|
+
return x;
|
|
256
|
+
}
|
|
257
|
+
}
|
|
258
|
+
/** pandas-ta `smc_sweep`: +1 bullish low sweep, -1 bearish high sweep, 0 none. */
|
|
259
|
+
export const smcSweep = withBuiltinMetadata(makeIndicator((p) => new SmcSweepStream(requirePeriod(p.period ?? 15, 'smcSweep'), requirePositive(p.wickMultiplier ?? 1.5, 'smcSweep', 'wickMultiplier')), SmcSweepStream.fromJSON, () => NaN), builtinMetadata.smcSweepMetadata);
|
|
260
|
+
// ───────────────────────── causal confirmed-swing primitive ─────────────────────────
|
|
261
|
+
/**
|
|
262
|
+
* Streaming swing detector. A swing high at bar j (strict: higher than the `strength` bars on each
|
|
263
|
+
* side) is only *confirmed* once `strength` later bars exist — so confirmation lags the swing bar by
|
|
264
|
+
* `strength`, but every confirmation is causal (it uses no bar later than the current one). `push`
|
|
265
|
+
* returns the swing(s) confirmed on the current bar (the bar `strength` ago), or `null` while the
|
|
266
|
+
* `2·strength+1` window is still filling.
|
|
267
|
+
*/
|
|
268
|
+
class SwingTracker {
|
|
269
|
+
strength;
|
|
270
|
+
buf = [];
|
|
271
|
+
size;
|
|
272
|
+
/** Most recent confirmed swing-high / swing-low prices. */
|
|
273
|
+
lastHigh = null;
|
|
274
|
+
lastLow = null;
|
|
275
|
+
constructor(strength) {
|
|
276
|
+
this.strength = strength;
|
|
277
|
+
this.size = 2 * strength + 1;
|
|
278
|
+
}
|
|
279
|
+
push(bar) {
|
|
280
|
+
this.buf.push(bar);
|
|
281
|
+
if (this.buf.length > this.size)
|
|
282
|
+
this.buf.shift();
|
|
283
|
+
if (this.buf.length < this.size)
|
|
284
|
+
return null;
|
|
285
|
+
const c = this.buf[this.strength];
|
|
286
|
+
let isHigh = true;
|
|
287
|
+
let isLow = true;
|
|
288
|
+
for (let k = 1; k <= this.strength; k++) {
|
|
289
|
+
if (c.high <= this.buf[this.strength - k].high ||
|
|
290
|
+
c.high <= this.buf[this.strength + k].high) {
|
|
291
|
+
isHigh = false;
|
|
292
|
+
}
|
|
293
|
+
if (c.low >= this.buf[this.strength - k].low || c.low >= this.buf[this.strength + k].low) {
|
|
294
|
+
isLow = false;
|
|
295
|
+
}
|
|
296
|
+
}
|
|
297
|
+
const high = isHigh ? c.high : null;
|
|
298
|
+
const low = isLow ? c.low : null;
|
|
299
|
+
if (high !== null)
|
|
300
|
+
this.lastHigh = high;
|
|
301
|
+
if (low !== null)
|
|
302
|
+
this.lastLow = low;
|
|
303
|
+
return { high, low };
|
|
304
|
+
}
|
|
305
|
+
toJSON() {
|
|
306
|
+
return snapshotOf('swingTracker', {
|
|
307
|
+
strength: this.strength,
|
|
308
|
+
buf: this.buf.map((b) => ({ ...b })),
|
|
309
|
+
lastHigh: this.lastHigh,
|
|
310
|
+
lastLow: this.lastLow,
|
|
311
|
+
});
|
|
312
|
+
}
|
|
313
|
+
static fromJSON(snapshot) {
|
|
314
|
+
const state = readSnapshot(snapshot, 'swingTracker');
|
|
315
|
+
const x = new SwingTracker(state.number('strength'));
|
|
316
|
+
x.buf = state.records('buf').map((b) => ({ ...b }));
|
|
317
|
+
x.lastHigh = state.numberOrNull('lastHigh');
|
|
318
|
+
x.lastLow = state.numberOrNull('lastLow');
|
|
319
|
+
return x;
|
|
320
|
+
}
|
|
321
|
+
}
|
|
322
|
+
class SwingTrailingStopStream {
|
|
323
|
+
tracker;
|
|
324
|
+
trend = 0;
|
|
325
|
+
stop = NaN;
|
|
326
|
+
started = false;
|
|
327
|
+
value = null;
|
|
328
|
+
constructor(strength) {
|
|
329
|
+
this.tracker = new SwingTracker(strength);
|
|
330
|
+
}
|
|
331
|
+
next(bar) {
|
|
332
|
+
this.tracker.push(bar);
|
|
333
|
+
const hi = this.tracker.lastHigh;
|
|
334
|
+
const lo = this.tracker.lastLow;
|
|
335
|
+
if (hi === null || lo === null) {
|
|
336
|
+
this.value = null;
|
|
337
|
+
return null; // need both rails before a stop exists
|
|
338
|
+
}
|
|
339
|
+
if (!this.started) {
|
|
340
|
+
this.trend = 1;
|
|
341
|
+
this.stop = lo;
|
|
342
|
+
this.started = true;
|
|
343
|
+
}
|
|
344
|
+
else if (this.trend === 1) {
|
|
345
|
+
this.stop = Math.max(this.stop, lo); // ratchet up — a trailing stop never loosens
|
|
346
|
+
if (bar.close < this.stop) {
|
|
347
|
+
this.trend = -1;
|
|
348
|
+
this.stop = hi;
|
|
349
|
+
}
|
|
350
|
+
}
|
|
351
|
+
else {
|
|
352
|
+
this.stop = Math.min(this.stop, hi);
|
|
353
|
+
if (bar.close > this.stop) {
|
|
354
|
+
this.trend = 1;
|
|
355
|
+
this.stop = lo;
|
|
356
|
+
}
|
|
357
|
+
}
|
|
358
|
+
this.value = { stop: this.stop, trend: this.trend };
|
|
359
|
+
return this.value;
|
|
360
|
+
}
|
|
361
|
+
toJSON() {
|
|
362
|
+
return snapshotOf('swingTrailingStop', {
|
|
363
|
+
tracker: this.tracker.toJSON(),
|
|
364
|
+
trend: this.trend,
|
|
365
|
+
stop: this.stop,
|
|
366
|
+
started: this.started,
|
|
367
|
+
value: this.value,
|
|
368
|
+
});
|
|
369
|
+
}
|
|
370
|
+
static fromJSON(snapshot) {
|
|
371
|
+
const state = readSnapshot(snapshot, 'swingTrailingStop');
|
|
372
|
+
const x = new SwingTrailingStopStream(1);
|
|
373
|
+
x.tracker = SwingTracker.fromJSON(state.child('tracker'));
|
|
374
|
+
x.trend = state.number('trend');
|
|
375
|
+
x.stop = state.number('stop');
|
|
376
|
+
x.started = state.boolean('started');
|
|
377
|
+
x.value = state.cached('value');
|
|
378
|
+
return x;
|
|
379
|
+
}
|
|
380
|
+
}
|
|
381
|
+
/** Structure-based trailing stop: trails the most recent confirmed swing low (long) / high (short). */
|
|
382
|
+
export const swingTrailingStop = withBuiltinMetadata(makeIndicator((p) => new SwingTrailingStopStream(requirePeriod(p.strength ?? 2, 'swingTrailingStop', 'strength')), SwingTrailingStopStream.fromJSON, () => ({ stop: NaN, trend: NaN })), builtinMetadata.swingTrailingStopMetadata);
|
|
383
|
+
class AtrTrailingStopStream {
|
|
384
|
+
mult;
|
|
385
|
+
atr;
|
|
386
|
+
stop = NaN;
|
|
387
|
+
previousClose = NaN;
|
|
388
|
+
started = false;
|
|
389
|
+
value = null;
|
|
390
|
+
constructor(period, mult) {
|
|
391
|
+
this.mult = mult;
|
|
392
|
+
this.atr = new AtrStream(period);
|
|
393
|
+
}
|
|
394
|
+
next(bar) {
|
|
395
|
+
const atr = this.atr.next(bar);
|
|
396
|
+
if (atr === null) {
|
|
397
|
+
this.value = null;
|
|
398
|
+
return null;
|
|
399
|
+
}
|
|
400
|
+
const nLoss = this.mult * atr;
|
|
401
|
+
const c = bar.close;
|
|
402
|
+
if (!this.started) {
|
|
403
|
+
this.stop = c - nLoss;
|
|
404
|
+
this.previousClose = c;
|
|
405
|
+
this.started = true;
|
|
406
|
+
this.value = { stop: this.stop, trend: c > this.stop ? 1 : -1 };
|
|
407
|
+
return this.value;
|
|
408
|
+
}
|
|
409
|
+
const prevStop = this.stop;
|
|
410
|
+
const pc = this.previousClose;
|
|
411
|
+
// Vervoort / UT-Bot ATR trailing stop: trail within a leg, flip on a confirmed close cross.
|
|
412
|
+
if (c > prevStop && pc > prevStop)
|
|
413
|
+
this.stop = Math.max(prevStop, c - nLoss);
|
|
414
|
+
else if (c < prevStop && pc < prevStop)
|
|
415
|
+
this.stop = Math.min(prevStop, c + nLoss);
|
|
416
|
+
else if (c > prevStop)
|
|
417
|
+
this.stop = c - nLoss;
|
|
418
|
+
else
|
|
419
|
+
this.stop = c + nLoss;
|
|
420
|
+
this.previousClose = c;
|
|
421
|
+
this.value = { stop: this.stop, trend: c > this.stop ? 1 : -1 };
|
|
422
|
+
return this.value;
|
|
423
|
+
}
|
|
424
|
+
toJSON() {
|
|
425
|
+
return snapshotOf('atrTrailingStop', {
|
|
426
|
+
mult: this.mult,
|
|
427
|
+
atr: this.atr.toJSON(),
|
|
428
|
+
stop: this.stop,
|
|
429
|
+
previousClose: this.previousClose,
|
|
430
|
+
started: this.started,
|
|
431
|
+
value: this.value,
|
|
432
|
+
});
|
|
433
|
+
}
|
|
434
|
+
static fromJSON(snapshot) {
|
|
435
|
+
const state = readSnapshot(snapshot, 'atrTrailingStop');
|
|
436
|
+
const x = new AtrTrailingStopStream(1, state.number('mult'));
|
|
437
|
+
x.atr = AtrStream.fromJSON(state.child('atr'));
|
|
438
|
+
x.stop = state.number('stop');
|
|
439
|
+
x.previousClose = state.number('previousClose');
|
|
440
|
+
x.started = state.boolean('started');
|
|
441
|
+
x.value = state.cached('value');
|
|
442
|
+
return x;
|
|
443
|
+
}
|
|
444
|
+
}
|
|
445
|
+
/** ATR trailing stop (Vervoort / UT-Bot): close-anchored `close ± multiplier·ATR`, trailed per leg. */
|
|
446
|
+
export const atrTrailingStop = withBuiltinMetadata(makeIndicator((p) => new AtrTrailingStopStream(requirePeriod(p.period ?? 14, 'atrTrailingStop'), requirePositive(p.multiplier ?? 3, 'atrTrailingStop', 'multiplier')), AtrTrailingStopStream.fromJSON, () => ({ stop: NaN, trend: NaN })), builtinMetadata.atrTrailingStopMetadata);
|
|
447
|
+
class EqualLevelStream {
|
|
448
|
+
tolerance;
|
|
449
|
+
high;
|
|
450
|
+
tracker;
|
|
451
|
+
prev = null;
|
|
452
|
+
cluster = 1;
|
|
453
|
+
value = null;
|
|
454
|
+
constructor(strength, tolerance, high) {
|
|
455
|
+
this.tolerance = tolerance;
|
|
456
|
+
this.high = high;
|
|
457
|
+
this.tracker = new SwingTracker(strength);
|
|
458
|
+
}
|
|
459
|
+
next(bar) {
|
|
460
|
+
const r = this.tracker.push(bar);
|
|
461
|
+
if (r === null) {
|
|
462
|
+
this.value = null;
|
|
463
|
+
return null;
|
|
464
|
+
}
|
|
465
|
+
const swing = this.high ? r.high : r.low;
|
|
466
|
+
let detected = 0;
|
|
467
|
+
let level = null;
|
|
468
|
+
if (swing !== null) {
|
|
469
|
+
if (this.prev !== null &&
|
|
470
|
+
Math.abs(swing - this.prev) <= this.tolerance * Math.abs(this.prev)) {
|
|
471
|
+
this.cluster += 1;
|
|
472
|
+
detected = 1;
|
|
473
|
+
level = (swing + this.prev) / 2;
|
|
474
|
+
}
|
|
475
|
+
else {
|
|
476
|
+
this.cluster = 1;
|
|
477
|
+
}
|
|
478
|
+
this.prev = swing;
|
|
479
|
+
}
|
|
480
|
+
this.value = { detected, level, count: detected ? this.cluster : 0 };
|
|
481
|
+
return this.value;
|
|
482
|
+
}
|
|
483
|
+
toJSON() {
|
|
484
|
+
// `high` is NOT serialized: it already IS the kind above, and a snapshot that disagreed with its
|
|
485
|
+
// own kind would restore as whichever one the factory was bound to.
|
|
486
|
+
return snapshotOf(this.high ? 'equalHighs' : 'equalLows', {
|
|
487
|
+
tolerance: this.tolerance,
|
|
488
|
+
tracker: this.tracker.toJSON(),
|
|
489
|
+
prev: this.prev,
|
|
490
|
+
cluster: this.cluster,
|
|
491
|
+
value: this.value,
|
|
492
|
+
});
|
|
493
|
+
}
|
|
494
|
+
static restore(high) {
|
|
495
|
+
return (s) => {
|
|
496
|
+
const state = readSnapshot(s, high ? 'equalHighs' : 'equalLows');
|
|
497
|
+
const x = new EqualLevelStream(1, state.number('tolerance'), high);
|
|
498
|
+
x.tracker = SwingTracker.fromJSON(state.child('tracker'));
|
|
499
|
+
x.prev = state.numberOrNull('prev');
|
|
500
|
+
x.cluster = state.number('cluster');
|
|
501
|
+
x.value = state.cached('value');
|
|
502
|
+
return x;
|
|
503
|
+
};
|
|
504
|
+
}
|
|
505
|
+
}
|
|
506
|
+
const equalLevel = (high, functionName) => makeIndicator((p) => new EqualLevelStream(requirePeriod(p.strength ?? 2, functionName, 'strength'), requireInRange(p.tolerance ?? 0.001, functionName, 'tolerance', 0, Infinity), high), EqualLevelStream.restore(high), () => ({ detected: NaN, level: NaN, count: NaN }));
|
|
507
|
+
/** Equal highs — consecutive swing highs within `tolerance` (a buy-side liquidity pool). */
|
|
508
|
+
export const equalHighs = withBuiltinMetadata(equalLevel(true, 'equalHighs'), builtinMetadata.equalHighsMetadata);
|
|
509
|
+
/** Equal lows — consecutive swing lows within `tolerance` (a sell-side liquidity pool). */
|
|
510
|
+
export const equalLows = withBuiltinMetadata(equalLevel(false, 'equalLows'), builtinMetadata.equalLowsMetadata);
|
|
511
|
+
//# sourceMappingURL=price-action-ext.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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