@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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/** Pivot levels for the next period from a prior period's OHLC. */
|
|
27
|
+
export function pivots(bar, method = 'classic') {
|
|
28
|
+
requireArgumentObject('pivots', 'bar', bar);
|
|
29
|
+
// Law 12: an unknown field (a `hihg` typo) teaches instead of being silently ignored.
|
|
30
|
+
ensureKnownKeys('pivots', 'bar', bar, BAR_KEYS);
|
|
31
|
+
requireOneOf(method, PIVOT_METHODS, 'pivots', 'method');
|
|
32
|
+
// Every consumed field runs its ladder: `close: null` used to coerce to 0 and report a WRONG
|
|
33
|
+
// pivot (the silent-miscompute class), and an omitted field reported nulls instead of teaching.
|
|
34
|
+
requireFiniteFields('pivots', bar, ['high', 'low', 'close'], {
|
|
35
|
+
exampleCall: "pivots({ high: 11, low: 9, close: 10.5 }, 'classic')",
|
|
36
|
+
});
|
|
37
|
+
// The bar is CLOSED here (ensureKnownKeys above), so its declared optional members are part of
|
|
38
|
+
// the request shape and a present-and-garbage one teaches — even `volume`, which no pivot
|
|
39
|
+
// formula reads: a string volume in a bar is a data bug the caller wants surfaced.
|
|
40
|
+
ensureFiniteWhenPresent(bar.open, 'open', 'pivots');
|
|
41
|
+
ensureFiniteWhenPresent(bar.volume, 'volume', 'pivots');
|
|
42
|
+
const h = bar.high;
|
|
43
|
+
const l = bar.low;
|
|
44
|
+
const c = bar.close;
|
|
45
|
+
const o = openOf(bar);
|
|
46
|
+
const range = h - l;
|
|
47
|
+
const report = (pivot, resistance, support) => ({
|
|
48
|
+
pivot,
|
|
49
|
+
resistance,
|
|
50
|
+
support,
|
|
51
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION, method },
|
|
52
|
+
diagnostics: { warnings: [] },
|
|
53
|
+
});
|
|
54
|
+
switch (method) {
|
|
55
|
+
case 'classic': {
|
|
56
|
+
const p = (h + l + c) / 3;
|
|
57
|
+
return report(p, [2 * p - l, p + range, h + 2 * (p - l)], [2 * p - h, p - range, l - 2 * (h - p)]);
|
|
58
|
+
}
|
|
59
|
+
case 'fibonacci': {
|
|
60
|
+
const p = (h + l + c) / 3;
|
|
61
|
+
return report(p, [p + 0.382 * range, p + 0.618 * range, p + range], [p - 0.382 * range, p - 0.618 * range, p - range]);
|
|
62
|
+
}
|
|
63
|
+
case 'woodie': {
|
|
64
|
+
const p = (h + l + 2 * c) / 4;
|
|
65
|
+
return report(p, [2 * p - l, p + range], [2 * p - h, p - range]);
|
|
66
|
+
}
|
|
67
|
+
case 'camarilla': {
|
|
68
|
+
const p = (h + l + c) / 3;
|
|
69
|
+
const f = 1.1;
|
|
70
|
+
return report(p, [c + (range * f) / 12, c + (range * f) / 6, c + (range * f) / 4, c + (range * f) / 2], [c - (range * f) / 12, c - (range * f) / 6, c - (range * f) / 4, c - (range * f) / 2]);
|
|
71
|
+
}
|
|
72
|
+
case 'demark': {
|
|
73
|
+
let x;
|
|
74
|
+
if (c < o)
|
|
75
|
+
x = h + 2 * l + c;
|
|
76
|
+
else if (c > o)
|
|
77
|
+
x = 2 * h + l + c;
|
|
78
|
+
else
|
|
79
|
+
x = h + l + 2 * c;
|
|
80
|
+
return report(x / 4, [x / 2 - l], [x / 2 - h]);
|
|
81
|
+
}
|
|
82
|
+
}
|
|
83
|
+
}
|
|
84
|
+
const SWING_OPTS_KEYS = ['strength'];
|
|
85
|
+
/**
|
|
86
|
+
* Swing highs/lows: a swing high is a bar whose high strictly exceeds the highs of the `strength`
|
|
87
|
+
* bars on each side (and symmetrically for lows). The first and last `strength` bars can never be
|
|
88
|
+
* swings. `strength` defaults to 2 (the Bill Williams fractal window).
|
|
89
|
+
*/
|
|
90
|
+
export function swings(bars, options = {}) {
|
|
91
|
+
requireArgumentArray('swings', 'bars', bars);
|
|
92
|
+
requireArgumentObject('swings', 'options', options);
|
|
93
|
+
// Law 12: an unknown option (a `strenght` typo) teaches instead of being silently ignored.
|
|
94
|
+
ensureKnownKeys('swings', 'options', options, SWING_OPTS_KEYS);
|
|
95
|
+
ensureFiniteWhenPresent(options.strength, 'strength', 'swings');
|
|
96
|
+
const strength = requirePeriod(options.strength ?? 2, 'swings', 'strength');
|
|
97
|
+
const warnings = [];
|
|
98
|
+
if (bars.length < 2 * strength + 1) {
|
|
99
|
+
// Law 7 disclosure: too short to ever confirm a swing — empty lists, said out loud.
|
|
100
|
+
warnings.push(warning(WarningCode.DegenerateInput, `swings: ${bars.length} bars cannot confirm any strength-${strength} swing (needs ≥ ${2 * strength + 1}) — highs/lows are empty.`, 'info', { bars: bars.length, strength }));
|
|
101
|
+
}
|
|
102
|
+
const highs = [];
|
|
103
|
+
const lows = [];
|
|
104
|
+
for (let i = strength; i < bars.length - strength; i++) {
|
|
105
|
+
const hi = bars[i].high;
|
|
106
|
+
const lo = bars[i].low;
|
|
107
|
+
let isHigh = true;
|
|
108
|
+
let isLow = true;
|
|
109
|
+
for (let k = 1; k <= strength; k++) {
|
|
110
|
+
if (hi <= bars[i - k].high || hi <= bars[i + k].high)
|
|
111
|
+
isHigh = false;
|
|
112
|
+
if (lo >= bars[i - k].low || lo >= bars[i + k].low)
|
|
113
|
+
isLow = false;
|
|
114
|
+
}
|
|
115
|
+
if (isHigh)
|
|
116
|
+
highs.push({ index: i, price: hi });
|
|
117
|
+
if (isLow)
|
|
118
|
+
lows.push({ index: i, price: lo });
|
|
119
|
+
}
|
|
120
|
+
return {
|
|
121
|
+
highs,
|
|
122
|
+
lows,
|
|
123
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION, strength },
|
|
124
|
+
diagnostics: { warnings },
|
|
125
|
+
};
|
|
126
|
+
}
|
|
127
|
+
/** Bill Williams fractals: a 5-bar swing (strength 2). */
|
|
128
|
+
export function fractals(bars) {
|
|
129
|
+
requireArgumentArray('fractals', 'bars', bars);
|
|
130
|
+
const s = swings(bars, { strength: 2 });
|
|
131
|
+
return { up: s.highs, down: s.lows, assumptions: s.assumptions, diagnostics: s.diagnostics };
|
|
132
|
+
}
|
|
133
|
+
const SUPPORT_RESISTANCE_OPTS_KEYS = ['strength', 'tolerance'];
|
|
134
|
+
/** Cluster swing highs into resistance levels and swing lows into support levels. */
|
|
135
|
+
export function supportResistance(bars, options = {}) {
|
|
136
|
+
requireArgumentArray('supportResistance', 'bars', bars);
|
|
137
|
+
requireArgumentObject('supportResistance', 'options', options);
|
|
138
|
+
// Law 12: an unknown option (a `tolerence` typo) teaches instead of being silently ignored.
|
|
139
|
+
ensureKnownKeys('supportResistance', 'options', options, SUPPORT_RESISTANCE_OPTS_KEYS);
|
|
140
|
+
ensureFiniteWhenPresent(options.strength, 'strength', 'supportResistance');
|
|
141
|
+
const strength = requirePeriod(options.strength ?? 2, 'supportResistance', 'strength');
|
|
142
|
+
ensureFiniteWhenPresent(options.tolerance, 'tolerance', 'supportResistance');
|
|
143
|
+
const tolerance = requirePositive(options.tolerance ?? 0.005, 'supportResistance', 'tolerance'); // clustering band
|
|
144
|
+
const s = swings(bars, { strength });
|
|
145
|
+
const cluster = (pts) => {
|
|
146
|
+
const sorted = pts.map((p) => p.price).sort((a, b) => a - b);
|
|
147
|
+
const levels = [];
|
|
148
|
+
for (const price of sorted) {
|
|
149
|
+
const last = levels[levels.length - 1];
|
|
150
|
+
if (last && Math.abs(price - last.price) <= tolerance * last.price) {
|
|
151
|
+
// merge into the running cluster (volume-free average)
|
|
152
|
+
last.price = (last.price * last.touches + price) / (last.touches + 1);
|
|
153
|
+
last.touches += 1;
|
|
154
|
+
}
|
|
155
|
+
else {
|
|
156
|
+
levels.push({ price, touches: 1 });
|
|
157
|
+
}
|
|
158
|
+
}
|
|
159
|
+
return levels.sort((a, b) => b.touches - a.touches);
|
|
160
|
+
};
|
|
161
|
+
return {
|
|
162
|
+
support: cluster(s.lows),
|
|
163
|
+
resistance: cluster(s.highs),
|
|
164
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION, strength, tolerance },
|
|
165
|
+
diagnostics: { warnings: s.diagnostics.warnings },
|
|
166
|
+
};
|
|
167
|
+
}
|
|
168
|
+
/** Evaluate a fitted line (price = intercept + slope·index) at a bar index. */
|
|
169
|
+
export function lineAt(line, index) {
|
|
170
|
+
requireArgumentObject('lineAt', 'line', line);
|
|
171
|
+
// Lines are fitted-result artifacts and may carry labels/provenance. Validate the fields used by
|
|
172
|
+
// this calculation and preserve unrelated decoration.
|
|
173
|
+
const intercept = requireFinite(line.intercept, 'lineAt', 'line.intercept');
|
|
174
|
+
const slope = requireFinite(line.slope, 'lineAt', 'line.slope');
|
|
175
|
+
const at = requireFinite(index, 'lineAt', 'index');
|
|
176
|
+
return requireFinite(intercept + slope * at, 'lineAt', 'result');
|
|
177
|
+
}
|
|
178
|
+
function lineThrough(a, b) {
|
|
179
|
+
const slope = (b.price - a.price) / (b.index - a.index);
|
|
180
|
+
return { slope, intercept: a.price - slope * a.index, from: a.index, to: b.index };
|
|
181
|
+
}
|
|
182
|
+
const TRENDLINE_OPTS_KEYS = ['strength'];
|
|
183
|
+
/** Shared rails computation — a null rail is disclosed with a warning (null-with-reason, Law 7). */
|
|
184
|
+
function railsReport(functionName, bars, strength) {
|
|
185
|
+
const s = swings(bars, { strength });
|
|
186
|
+
const support = s.lows.length >= 2 ? lineThrough(s.lows[s.lows.length - 2], s.lows[s.lows.length - 1]) : null;
|
|
187
|
+
const resistance = s.highs.length >= 2
|
|
188
|
+
? lineThrough(s.highs[s.highs.length - 2], s.highs[s.highs.length - 1])
|
|
189
|
+
: null;
|
|
190
|
+
const warnings = [];
|
|
191
|
+
if (support === null) {
|
|
192
|
+
warnings.push(warning(WarningCode.DegenerateInput, `${functionName}: fewer than two swing lows — the support rail is null.`, 'info', { swingLows: s.lows.length, strength }));
|
|
193
|
+
}
|
|
194
|
+
if (resistance === null) {
|
|
195
|
+
warnings.push(warning(WarningCode.DegenerateInput, `${functionName}: fewer than two swing highs — the resistance rail is null.`, 'info', { swingHighs: s.highs.length, strength }));
|
|
196
|
+
}
|
|
197
|
+
return {
|
|
198
|
+
support,
|
|
199
|
+
resistance,
|
|
200
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION, strength },
|
|
201
|
+
diagnostics: { warnings },
|
|
202
|
+
};
|
|
203
|
+
}
|
|
204
|
+
/** Connect the two most recent swing lows (support) and swing highs (resistance) into trendlines. */
|
|
205
|
+
export function trendlines(bars, options = {}) {
|
|
206
|
+
requireArgumentArray('trendlines', 'bars', bars);
|
|
207
|
+
requireArgumentObject('trendlines', 'options', options);
|
|
208
|
+
ensureKnownKeys('trendlines', 'options', options, TRENDLINE_OPTS_KEYS);
|
|
209
|
+
ensureFiniteWhenPresent(options.strength, 'strength', 'trendlines');
|
|
210
|
+
return railsReport('trendlines', bars, requirePeriod(options.strength ?? 2, 'trendlines', 'strength'));
|
|
211
|
+
}
|
|
212
|
+
/** The trendline pair as a channel; `support`/`resistance` are the channel rails. */
|
|
213
|
+
export function channel(bars, options = {}) {
|
|
214
|
+
requireArgumentArray('channel', 'bars', bars);
|
|
215
|
+
requireArgumentObject('channel', 'options', options);
|
|
216
|
+
ensureKnownKeys('channel', 'options', options, TRENDLINE_OPTS_KEYS);
|
|
217
|
+
ensureFiniteWhenPresent(options.strength, 'strength', 'channel');
|
|
218
|
+
return railsReport('channel', bars, requirePeriod(options.strength ?? 2, 'channel', 'strength'));
|
|
219
|
+
}
|
|
220
|
+
const BREAKOUT_OPTS_KEYS = ['lookback'];
|
|
221
|
+
/**
|
|
222
|
+
* Breakout signal aligned to the input: at each bar, `+1` if the close exceeds the highest high of
|
|
223
|
+
* the prior `lookback` bars, `−1` if it breaks below the lowest low, else `0` (null during warmup).
|
|
224
|
+
*/
|
|
225
|
+
export function breakouts(bars, options = {}) {
|
|
226
|
+
requireArgumentArray('breakouts', 'bars', bars);
|
|
227
|
+
requireArgumentObject('breakouts', 'options', options);
|
|
228
|
+
ensureKnownKeys('breakouts', 'options', options, BREAKOUT_OPTS_KEYS);
|
|
229
|
+
ensureFiniteWhenPresent(options.lookback, 'lookback', 'breakouts');
|
|
230
|
+
const lookback = requirePeriod(options.lookback ?? 20, 'breakouts', 'lookback');
|
|
231
|
+
const signal = new Array(bars.length).fill(null);
|
|
232
|
+
for (let i = lookback; i < bars.length; i++) {
|
|
233
|
+
let hh = -Infinity;
|
|
234
|
+
let ll = Infinity;
|
|
235
|
+
for (let k = i - lookback; k < i; k++) {
|
|
236
|
+
hh = Math.max(hh, bars[k].high);
|
|
237
|
+
ll = Math.min(ll, bars[k].low);
|
|
238
|
+
}
|
|
239
|
+
const c = bars[i].close;
|
|
240
|
+
signal[i] = c > hh ? 1 : c < ll ? -1 : 0;
|
|
241
|
+
}
|
|
242
|
+
const warnings = [];
|
|
243
|
+
if (bars.length <= lookback) {
|
|
244
|
+
// Law 7 disclosure: the whole series is warmup — every slot is null, said out loud.
|
|
245
|
+
warnings.push(warning(WarningCode.DegenerateInput, `breakouts: only ${bars.length} bars for a ${lookback}-bar lookback — the entire signal is warmup (null).`, 'info', { bars: bars.length, lookback }));
|
|
246
|
+
}
|
|
247
|
+
return {
|
|
248
|
+
signal,
|
|
249
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION, lookback },
|
|
250
|
+
diagnostics: { warnings },
|
|
251
|
+
};
|
|
252
|
+
}
|
|
253
|
+
const GAP_OPTS_KEYS = ['minSizeFraction'];
|
|
254
|
+
/**
|
|
255
|
+
* Opening gaps: this bar's open leaves the prior bar's RANGE (above its high or below its low).
|
|
256
|
+
* `sizeFraction` is measured from the prior CLOSE — the level a fill has to trade back to — and
|
|
257
|
+
* `minSizeFraction` filters in that same unit (`0.005` = 0.5%). {@link gapFill} detects exactly these
|
|
258
|
+
* events and adds fill tracking.
|
|
259
|
+
*/
|
|
260
|
+
export function gaps(bars, options = {}) {
|
|
261
|
+
requireArgumentArray('gaps', 'bars', bars);
|
|
262
|
+
requireArgumentObject('gaps', 'options', options);
|
|
263
|
+
ensureKnownKeys('gaps', 'options', options, GAP_OPTS_KEYS);
|
|
264
|
+
ensureFiniteWhenPresent(options.minSizeFraction, 'minSizeFraction', 'gaps');
|
|
265
|
+
const minSizeFraction = requireNonNegative(options.minSizeFraction ?? 0, 'gaps', 'minSizeFraction');
|
|
266
|
+
const out = [];
|
|
267
|
+
for (let i = 1; i < bars.length; i++) {
|
|
268
|
+
const prev = bars[i - 1];
|
|
269
|
+
const o = openOf(bars[i]);
|
|
270
|
+
if (o > prev.high) {
|
|
271
|
+
const sizeFraction = (o - prev.close) / prev.close;
|
|
272
|
+
if (sizeFraction >= minSizeFraction)
|
|
273
|
+
out.push({ index: i, direction: 1, sizeFraction });
|
|
274
|
+
}
|
|
275
|
+
else if (o < prev.low) {
|
|
276
|
+
const sizeFraction = (prev.close - o) / prev.close;
|
|
277
|
+
if (sizeFraction >= minSizeFraction)
|
|
278
|
+
out.push({ index: i, direction: -1, sizeFraction });
|
|
279
|
+
}
|
|
280
|
+
}
|
|
281
|
+
return {
|
|
282
|
+
gaps: out,
|
|
283
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION, minSizeFraction },
|
|
284
|
+
diagnostics: { warnings: [] },
|
|
285
|
+
};
|
|
286
|
+
}
|
|
287
|
+
const MARKET_STRUCTURE_OPTS_KEYS = ['strength'];
|
|
288
|
+
/**
|
|
289
|
+
* Label the swing sequence (HH/HL/LH/LL) and flag breaks of structure. A higher-high while already
|
|
290
|
+
* bullish is a continuation (BOS); a higher-high that reverses a bearish run is a change of character
|
|
291
|
+
* (CHoCH), and symmetrically for lower-lows.
|
|
292
|
+
*
|
|
293
|
+
* The first swing high and the first swing low carry `label: null` — a label is a comparison with the
|
|
294
|
+
* previous swing of that kind, and there is none yet.
|
|
295
|
+
*/
|
|
296
|
+
export function marketStructure(bars, options = {}) {
|
|
297
|
+
requireArgumentArray('marketStructure', 'bars', bars);
|
|
298
|
+
requireArgumentObject('marketStructure', 'options', options);
|
|
299
|
+
ensureKnownKeys('marketStructure', 'options', options, MARKET_STRUCTURE_OPTS_KEYS);
|
|
300
|
+
ensureFiniteWhenPresent(options.strength, 'strength', 'marketStructure');
|
|
301
|
+
const strength = requirePeriod(options.strength ?? 2, 'marketStructure', 'strength');
|
|
302
|
+
const s = swings(bars, { strength });
|
|
303
|
+
const merged = [
|
|
304
|
+
...s.highs.map((p) => ({ ...p, kind: 'high' })),
|
|
305
|
+
...s.lows.map((p) => ({ ...p, kind: 'low' })),
|
|
306
|
+
].sort((a, b) => a.index - b.index);
|
|
307
|
+
const labeled = [];
|
|
308
|
+
const events = [];
|
|
309
|
+
let prevHigh = null;
|
|
310
|
+
let prevLow = null;
|
|
311
|
+
let trend = 0; // +1 bullish, −1 bearish
|
|
312
|
+
for (const sw of merged) {
|
|
313
|
+
if (sw.kind === 'high') {
|
|
314
|
+
const label = prevHigh === null ? null : sw.price > prevHigh ? 'HH' : 'LH';
|
|
315
|
+
labeled.push({ ...sw, label });
|
|
316
|
+
if (label === 'HH' && prevHigh !== null) {
|
|
317
|
+
events.push({ index: sw.index, type: trend === -1 ? 'CHoCH' : 'BOS', direction: 1 });
|
|
318
|
+
trend = 1;
|
|
319
|
+
}
|
|
320
|
+
prevHigh = sw.price;
|
|
321
|
+
}
|
|
322
|
+
else {
|
|
323
|
+
const label = prevLow === null ? null : sw.price < prevLow ? 'LL' : 'HL';
|
|
324
|
+
labeled.push({ ...sw, label });
|
|
325
|
+
if (label === 'LL' && prevLow !== null) {
|
|
326
|
+
events.push({ index: sw.index, type: trend === 1 ? 'CHoCH' : 'BOS', direction: -1 });
|
|
327
|
+
trend = -1;
|
|
328
|
+
}
|
|
329
|
+
prevLow = sw.price;
|
|
330
|
+
}
|
|
331
|
+
}
|
|
332
|
+
return {
|
|
333
|
+
swings: labeled,
|
|
334
|
+
events,
|
|
335
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION, strength },
|
|
336
|
+
diagnostics: { warnings: s.diagnostics.warnings },
|
|
337
|
+
};
|
|
338
|
+
}
|
|
339
|
+
/**
|
|
340
|
+
* Aggregate bars into per-session OHLCV + range. `sessionIds[i]` is the session a bar belongs to
|
|
341
|
+
* (bars carry no timestamp, so the caller supplies the grouping). Sessions appear in first-seen order.
|
|
342
|
+
*/
|
|
343
|
+
export function sessionRanges(bars, sessionIds) {
|
|
344
|
+
requireArgumentArray('sessionRanges', 'sessionIds', sessionIds);
|
|
345
|
+
requireArgumentArray('sessionRanges', 'bars', bars);
|
|
346
|
+
if (sessionIds.length !== bars.length) {
|
|
347
|
+
throw new InputError(`sessionRanges: sessionIds length (${sessionIds.length}) must match bars length (${bars.length}).`, {
|
|
348
|
+
code: ErrorCode.InputLengthMismatch,
|
|
349
|
+
context: { bars: bars.length, sessionIds: sessionIds.length },
|
|
350
|
+
});
|
|
351
|
+
}
|
|
352
|
+
const map = new Map();
|
|
353
|
+
const order = [];
|
|
354
|
+
for (let i = 0; i < bars.length; i++) {
|
|
355
|
+
const id = sessionIds[i];
|
|
356
|
+
const b = bars[i];
|
|
357
|
+
const v = b.volume ?? 0;
|
|
358
|
+
let s = map.get(id);
|
|
359
|
+
if (!s) {
|
|
360
|
+
s = {
|
|
361
|
+
session: id,
|
|
362
|
+
open: openOf(b),
|
|
363
|
+
high: b.high,
|
|
364
|
+
low: b.low,
|
|
365
|
+
close: b.close,
|
|
366
|
+
volume: v,
|
|
367
|
+
range: 0,
|
|
368
|
+
};
|
|
369
|
+
map.set(id, s);
|
|
370
|
+
order.push(id);
|
|
371
|
+
}
|
|
372
|
+
else {
|
|
373
|
+
s.high = Math.max(s.high, b.high);
|
|
374
|
+
s.low = Math.min(s.low, b.low);
|
|
375
|
+
s.close = b.close;
|
|
376
|
+
s.volume += v;
|
|
377
|
+
}
|
|
378
|
+
}
|
|
379
|
+
return order.map((id) => {
|
|
380
|
+
const s = map.get(id);
|
|
381
|
+
s.range = s.high - s.low;
|
|
382
|
+
return s;
|
|
383
|
+
});
|
|
384
|
+
}
|
|
385
|
+
const OPENING_RANGE_KEYS = ['periods'];
|
|
386
|
+
/** High/low of the first `periods` bars — the opening range. */
|
|
387
|
+
export function openingRange(bars, options) {
|
|
388
|
+
requireArgumentArray('openingRange', 'bars', bars);
|
|
389
|
+
requireArgumentObject('openingRange', 'options', options);
|
|
390
|
+
ensureKnownKeys('openingRange', 'options', options, OPENING_RANGE_KEYS);
|
|
391
|
+
const periods = requirePeriod(options.periods, 'openingRange', 'periods', 1, 'bars');
|
|
392
|
+
// Law 7: an empty series has no range — a typed error, never a ±Infinity record.
|
|
393
|
+
if (bars.length === 0) {
|
|
394
|
+
throw new InputError('openingRange: bars is empty — there is no range to measure.', {
|
|
395
|
+
code: ErrorCode.InputOutOfRange,
|
|
396
|
+
context: { length: 0 },
|
|
397
|
+
});
|
|
398
|
+
}
|
|
399
|
+
const n = Math.min(periods, bars.length);
|
|
400
|
+
const warnings = [];
|
|
401
|
+
if (n < periods) {
|
|
402
|
+
warnings.push({
|
|
403
|
+
code: WarningCode.TechnicalAnalysisOpeningRangeTruncated,
|
|
404
|
+
message: `openingRange: only ${n} bars available for a ${periods}-bar opening range — the range covers the whole series.`,
|
|
405
|
+
severity: 'warn',
|
|
406
|
+
context: { periods, bars: n },
|
|
407
|
+
});
|
|
408
|
+
}
|
|
409
|
+
let high = -Infinity;
|
|
410
|
+
let low = Infinity;
|
|
411
|
+
for (let i = 0; i < n; i++) {
|
|
412
|
+
high = Math.max(high, bars[i].high);
|
|
413
|
+
low = Math.min(low, bars[i].low);
|
|
414
|
+
}
|
|
415
|
+
return {
|
|
416
|
+
high,
|
|
417
|
+
low,
|
|
418
|
+
mid: (high + low) / 2,
|
|
419
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION, periods },
|
|
420
|
+
diagnostics: { warnings },
|
|
421
|
+
};
|
|
422
|
+
}
|
|
423
|
+
/**
|
|
424
|
+
* Opening-range breakout signal aligned to the input: `0` within the opening range, then `+1` on the
|
|
425
|
+
* first close above the range high, `−1` below the range low (NaN for the opening-range bars).
|
|
426
|
+
*/
|
|
427
|
+
export function openingRangeBreakout(bars, options) {
|
|
428
|
+
requireArgumentArray('openingRangeBreakout', 'bars', bars);
|
|
429
|
+
requireArgumentObject('openingRangeBreakout', 'options', options);
|
|
430
|
+
ensureKnownKeys('openingRangeBreakout', 'options', options, OPENING_RANGE_KEYS);
|
|
431
|
+
const periods = requirePeriod(options.periods, 'openingRangeBreakout', 'periods', 1, 'bars');
|
|
432
|
+
const out = new Array(bars.length).fill(NaN);
|
|
433
|
+
if (bars.length <= periods)
|
|
434
|
+
return out;
|
|
435
|
+
const or = openingRange(bars, { periods });
|
|
436
|
+
for (let i = periods; i < bars.length; i++) {
|
|
437
|
+
const c = bars[i].close;
|
|
438
|
+
out[i] = c > or.high ? 1 : c < or.low ? -1 : 0;
|
|
439
|
+
}
|
|
440
|
+
return out;
|
|
441
|
+
}
|
|
442
|
+
/**
|
|
443
|
+
* Opening-range retest aligned to the input: after a close breaks the range, `+1` on the first bar
|
|
444
|
+
* that pulls back to touch the range high (a retest of an up-breakout), `−1` for a retest of the
|
|
445
|
+
* range low. A new breakout in a direction re-arms that side; NaN during the opening range.
|
|
446
|
+
*/
|
|
447
|
+
export function orbRetest(bars, options) {
|
|
448
|
+
requireArgumentArray('orbRetest', 'bars', bars);
|
|
449
|
+
requireArgumentObject('orbRetest', 'options', options);
|
|
450
|
+
ensureKnownKeys('orbRetest', 'options', options, OPENING_RANGE_KEYS);
|
|
451
|
+
const periods = requirePeriod(options.periods, 'orbRetest', 'periods', 1, 'bars');
|
|
452
|
+
const out = new Array(bars.length).fill(NaN);
|
|
453
|
+
if (bars.length <= periods)
|
|
454
|
+
return out;
|
|
455
|
+
const or = openingRange(bars, { periods });
|
|
456
|
+
let armedUp = false;
|
|
457
|
+
let armedDown = false;
|
|
458
|
+
for (let i = periods; i < bars.length; i++) {
|
|
459
|
+
const b = bars[i];
|
|
460
|
+
let v = 0;
|
|
461
|
+
// a retest uses the arming established on a PRIOR bar (so the breakout bar itself can't retest)
|
|
462
|
+
if (armedUp && b.low <= or.high) {
|
|
463
|
+
v = 1;
|
|
464
|
+
armedUp = false;
|
|
465
|
+
}
|
|
466
|
+
else if (armedDown && b.high >= or.low) {
|
|
467
|
+
v = -1;
|
|
468
|
+
armedDown = false;
|
|
469
|
+
}
|
|
470
|
+
if (b.close > or.high) {
|
|
471
|
+
armedUp = true;
|
|
472
|
+
armedDown = false;
|
|
473
|
+
}
|
|
474
|
+
else if (b.close < or.low) {
|
|
475
|
+
armedDown = true;
|
|
476
|
+
armedUp = false;
|
|
477
|
+
}
|
|
478
|
+
out[i] = v;
|
|
479
|
+
}
|
|
480
|
+
return out;
|
|
481
|
+
}
|
|
482
|
+
// ───────────────────────── fibonacci retracement & extension ─────────────────────────
|
|
483
|
+
export const FIB_RETRACEMENT_LEVELS = [0, 0.236, 0.382, 0.5, 0.618, 0.786, 1];
|
|
484
|
+
export const FIB_EXTENSION_LEVELS = [0, 0.618, 1, 1.618, 2, 2.618];
|
|
485
|
+
/**
|
|
486
|
+
* Fibonacci retracement levels for a move from `start` (origin / 100% line) to `end` (extreme / 0%
|
|
487
|
+
* line): `price(r) = end + (start − end)·r`. Direction-agnostic — works for up- and down-moves.
|
|
488
|
+
*/
|
|
489
|
+
export function fibRetracement(start, end, levels = FIB_RETRACEMENT_LEVELS) {
|
|
490
|
+
requireFinite(start, 'fibRetracement', 'start');
|
|
491
|
+
requireFinite(end, 'fibRetracement', 'end');
|
|
492
|
+
requireArgumentArray('fibRetracement', 'levels', levels);
|
|
493
|
+
return levels.map((r) => {
|
|
494
|
+
requireFinite(r, 'fibRetracement', 'level');
|
|
495
|
+
return { ratio: r, price: end + (start - end) * r };
|
|
496
|
+
});
|
|
497
|
+
}
|
|
498
|
+
export function fibExtension(input) {
|
|
499
|
+
requireArgumentObject('fibExtension', 'input', input);
|
|
500
|
+
ensureKnownKeys('fibExtension', 'input', input, ['start', 'end', 'projectFrom', 'levels']);
|
|
501
|
+
const { start, end, projectFrom, levels = FIB_EXTENSION_LEVELS } = input;
|
|
502
|
+
requireFinite(start, 'fibExtension', 'start');
|
|
503
|
+
requireFinite(end, 'fibExtension', 'end');
|
|
504
|
+
requireFinite(projectFrom, 'fibExtension', 'projectFrom');
|
|
505
|
+
requireArgumentArray('fibExtension', 'levels', levels);
|
|
506
|
+
return levels.map((r) => {
|
|
507
|
+
requireFinite(r, 'fibExtension', 'level');
|
|
508
|
+
return { ratio: r, price: projectFrom + (end - start) * r };
|
|
509
|
+
});
|
|
510
|
+
}
|
|
511
|
+
/**
|
|
512
|
+
* For each bar, the high/low/close of the PRIOR session (the fully-completed session before the bar's
|
|
513
|
+
* own). `sessionIds[i]` groups bars (bars carry no timestamp, so the caller supplies the grouping —
|
|
514
|
+
* pass day ids for "previous day high/low", week ids for "previous week high/low"). Bars in the first
|
|
515
|
+
* session get NaN levels.
|
|
516
|
+
*/
|
|
517
|
+
export function previousSessionLevels(bars, sessionIds) {
|
|
518
|
+
requireArgumentArray('previousSessionLevels', 'sessionIds', sessionIds);
|
|
519
|
+
requireArgumentArray('previousSessionLevels', 'bars', bars);
|
|
520
|
+
if (sessionIds.length !== bars.length) {
|
|
521
|
+
throw new InputError(`previousSessionLevels: sessionIds length (${sessionIds.length}) must match bars length (${bars.length}).`, {
|
|
522
|
+
code: ErrorCode.InputLengthMismatch,
|
|
523
|
+
context: { bars: bars.length, sessionIds: sessionIds.length },
|
|
524
|
+
});
|
|
525
|
+
}
|
|
526
|
+
const agg = new Map();
|
|
527
|
+
const order = [];
|
|
528
|
+
for (let i = 0; i < bars.length; i++) {
|
|
529
|
+
const id = sessionIds[i];
|
|
530
|
+
const b = bars[i];
|
|
531
|
+
const s = agg.get(id);
|
|
532
|
+
if (!s) {
|
|
533
|
+
agg.set(id, { high: b.high, low: b.low, close: b.close });
|
|
534
|
+
order.push(id);
|
|
535
|
+
}
|
|
536
|
+
else {
|
|
537
|
+
s.high = Math.max(s.high, b.high);
|
|
538
|
+
s.low = Math.min(s.low, b.low);
|
|
539
|
+
s.close = b.close;
|
|
540
|
+
}
|
|
541
|
+
}
|
|
542
|
+
const pos = new Map(order.map((id, i) => [id, i]));
|
|
543
|
+
return Array.from({ length: bars.length }, (_, i) => {
|
|
544
|
+
const p = pos.get(sessionIds[i]);
|
|
545
|
+
// H19: a first session has no prior session — STRUCTURAL absence, not a warm-up position,
|
|
546
|
+
// so it is `null`, never an object of three NaNs the C10 allowance does not cover.
|
|
547
|
+
if (p === 0)
|
|
548
|
+
return null;
|
|
549
|
+
return { ...agg.get(order[p - 1]) };
|
|
550
|
+
});
|
|
551
|
+
}
|
|
552
|
+
/**
|
|
553
|
+
* Opening gaps with fill tracking: the same events {@link gaps} detects, plus whether and when each
|
|
554
|
+
* one closed. A gap fills when a later bar trades back to the prior close.
|
|
555
|
+
*
|
|
556
|
+
* A gap requires the open to leave the prior bar's RANGE — above its high or below its low — which
|
|
557
|
+
* is the definition {@link gaps} uses and the only one that means anything on a real tape. This
|
|
558
|
+
* function previously fired on any open that merely differed from the prior close: on a 500-bar
|
|
559
|
+
* random walk with no true gaps, `gaps()` returned 0 events and this returned 499, one per bar. The
|
|
560
|
+
* two are now the same event universe, so `sizeFraction` and `minSizeFraction` mean the same thing
|
|
561
|
+
* in both and a caller can pair them.
|
|
562
|
+
*
|
|
563
|
+
* `minSizeFraction` filters small gaps as a FRACTION of the prior close (`0.005` = 0.5%), the same
|
|
564
|
+
* unit `sizeFraction` reports. Default 0 — every detected gap.
|
|
565
|
+
*/
|
|
566
|
+
export function gapFill(bars, options = {}) {
|
|
567
|
+
requireArgumentArray('gapFill', 'bars', bars);
|
|
568
|
+
requireArgumentObject('gapFill', 'options', options);
|
|
569
|
+
ensureKnownKeys('gapFill', 'options', options, GAP_OPTS_KEYS);
|
|
570
|
+
ensureFiniteWhenPresent(options.minSizeFraction, 'minSizeFraction', 'gapFill');
|
|
571
|
+
const minSizeFraction = requireNonNegative(options.minSizeFraction ?? 0, 'gapFill', 'minSizeFraction');
|
|
572
|
+
const out = [];
|
|
573
|
+
for (let i = 1; i < bars.length; i++) {
|
|
574
|
+
const previous = bars[i - 1];
|
|
575
|
+
const previousClose = previous.close;
|
|
576
|
+
const o = openOf(bars[i]);
|
|
577
|
+
// Leaving the prior RANGE is what makes it a gap; the size is then measured from the prior close,
|
|
578
|
+
// which is the price a fill has to trade back to.
|
|
579
|
+
const direction = o > previous.high ? 1 : o < previous.low ? -1 : 0;
|
|
580
|
+
if (direction === 0)
|
|
581
|
+
continue;
|
|
582
|
+
const sizeFraction = Math.abs(o - previousClose) / Math.abs(previousClose);
|
|
583
|
+
if (sizeFraction < minSizeFraction)
|
|
584
|
+
continue;
|
|
585
|
+
let fillIndex = -1;
|
|
586
|
+
// A LATER bar fills the gap (the docstring's contract, and `orbRetest`'s discipline): starting
|
|
587
|
+
// at the gap bar itself let a wide opening bar whose own low tags the prior close report
|
|
588
|
+
// `fillIndex === index` — "filled by the bar that created it", which is not a fill at all.
|
|
589
|
+
for (let j = i + 1; j < bars.length; j++) {
|
|
590
|
+
const filled = direction === 1 ? bars[j].low <= previousClose : bars[j].high >= previousClose;
|
|
591
|
+
if (filled) {
|
|
592
|
+
fillIndex = j;
|
|
593
|
+
break;
|
|
594
|
+
}
|
|
595
|
+
}
|
|
596
|
+
out.push({
|
|
597
|
+
index: i,
|
|
598
|
+
direction,
|
|
599
|
+
gapFrom: direction === 1 ? previousClose : o,
|
|
600
|
+
gapTo: direction === 1 ? o : previousClose,
|
|
601
|
+
sizeFraction,
|
|
602
|
+
filled: fillIndex >= 0,
|
|
603
|
+
fillIndex,
|
|
604
|
+
});
|
|
605
|
+
}
|
|
606
|
+
return {
|
|
607
|
+
events: out,
|
|
608
|
+
assumptions: { conventionsVersion: CONVENTIONS_VERSION, minSizeFraction },
|
|
609
|
+
diagnostics: { warnings: [] },
|
|
610
|
+
};
|
|
611
|
+
}
|
|
612
|
+
export * from './price-action-ext.js';
|
|
613
|
+
//# sourceMappingURL=price-action.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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