@tradingaction/indicators 2.0.1

package/lib/calculator/pointAndFigure.js

@@ -0,0 +1,215 @@
+import { PointAndFigure as defaultOptions } from "./defaultOptionsForComputation";
+function createBox(d, dateAccessor, dateMutator) {
+    const box = {
+        open: d.open,
+        fromDate: dateAccessor(d),
+        toDate: dateAccessor(d),
+        startOfYear: d.startOfYear,
+        startOfQuarter: d.startOfQuarter,
+        startOfMonth: d.startOfMonth,
+        startOfWeek: d.startOfWeek,
+    };
+    dateMutator(box, dateAccessor(d));
+    return box;
+}
+function updateColumns(columnData, dateAccessor, dateMutator) {
+    columnData.forEach(function (d) {
+        d.startOfYear = false;
+        d.startOfQuarter = false;
+        d.startOfMonth = false;
+        d.startOfWeek = false;
+        d.boxes.forEach(function (eachBox) {
+            if (d.open === undefined) {
+                d.open = eachBox.open;
+            }
+            d.close = eachBox.close;
+            d.high = Math.max(d.open, d.close);
+            d.low = Math.min(d.open, d.close);
+            if (d.fromDate === undefined) {
+                d.fromDate = eachBox.fromDate;
+            }
+            if (d.date === undefined) {
+                d.date = eachBox.date;
+            }
+            d.toDate = eachBox.toDate;
+            if (eachBox.startOfYear) {
+                d.startOfYear = d.startOfYear || eachBox.startOfYear;
+                d.startOfQuarter = eachBox.startOfQuarter;
+                d.startOfMonth = eachBox.startOfMonth;
+                d.startOfWeek = eachBox.startOfWeek;
+                dateMutator(d, dateAccessor(eachBox));
+            }
+            if (d.startOfQuarter !== true && eachBox.startOfQuarter) {
+                d.startOfQuarter = eachBox.startOfQuarter;
+                d.startOfMonth = eachBox.startOfMonth;
+                d.startOfWeek = eachBox.startOfWeek;
+                dateMutator(d, dateAccessor(eachBox));
+            }
+            if (d.startOfMonth !== true && eachBox.startOfMonth) {
+                d.startOfMonth = eachBox.startOfMonth;
+                d.startOfWeek = eachBox.startOfWeek;
+                dateMutator(d, dateAccessor(eachBox));
+            }
+            if (d.startOfWeek !== true && eachBox.startOfWeek) {
+                d.startOfWeek = eachBox.startOfWeek;
+                dateMutator(d, dateAccessor(eachBox));
+            }
+        });
+    });
+    return columnData;
+}
+export default function () {
+    let options = defaultOptions;
+    let dateAccessor = (d) => d.date;
+    let dateMutator = (d, date) => {
+        d.date = date;
+    };
+    const calculator = (rawData) => {
+        const { reversal, boxSize, sourcePath } = options;
+        const source = 
+        // eslint-disable-next-line prettier/prettier
+        sourcePath === "high/low" ? ((d) => ({ high: d.high, low: d.low })) : ((d) => ({ high: d.close, low: d.close }));
+        const pricingMethod = source;
+        const columnData = [];
+        // @ts-ignore
+        let column = {
+            boxes: [],
+            open: rawData[0].open,
+        };
+        let box = createBox(rawData[0], dateAccessor, dateMutator);
+        columnData.push(column);
+        rawData.forEach(function (d) {
+            // @ts-ignore
+            column.volume = (column.volume || 0) + d.volume;
+            if (!box.startOfYear) {
+                box.startOfYear = d.startOfYear;
+                if (box.startOfYear) {
+                    dateMutator(box, dateAccessor(d));
+                }
+            }
+            if (!box.startOfYear && !box.startOfQuarter) {
+                box.startOfQuarter = d.startOfQuarter;
+                if (box.startOfQuarter && !box.startOfYear) {
+                    dateMutator(box, dateAccessor(d));
+                }
+            }
+            if (!box.startOfQuarter && !box.startOfMonth) {
+                box.startOfMonth = d.startOfMonth;
+                if (box.startOfMonth && !box.startOfQuarter) {
+                    dateMutator(box, dateAccessor(d));
+                }
+            }
+            if (!box.startOfMonth && !box.startOfWeek) {
+                box.startOfWeek = d.startOfWeek;
+                if (box.startOfWeek && !box.startOfMonth) {
+                    dateMutator(box, dateAccessor(d));
+                }
+            }
+            if (columnData.length === 1 && column.boxes.length === 0) {
+                const upwardMovement = Math.max(pricingMethod(d).high - column.open, 0); // upward movement
+                const downwardMovement = Math.abs(Math.min(column.open - pricingMethod(d).low, 0)); // downward movement
+                column.direction = upwardMovement > downwardMovement ? 1 : -1;
+                if (boxSize * reversal < upwardMovement || boxSize * reversal < downwardMovement) {
+                    // enough movement to trigger a reversal
+                    box.toDate = dateAccessor(d);
+                    box.open = column.open;
+                    const noOfBoxes = column.direction > 0
+                        ? Math.floor(upwardMovement / boxSize)
+                        : Math.floor(downwardMovement / boxSize);
+                    for (let i = 0; i < noOfBoxes; i++) {
+                        // @ts-ignore
+                        box.close = box.open + column.direction * boxSize;
+                        // @ts-ignore
+                        const prevBoxClose = box.close;
+                        column.boxes.push(box);
+                        box = createBox(box, dateAccessor, dateMutator);
+                        // box = cloneMe(box);
+                        box.open = prevBoxClose;
+                    }
+                    box.fromDate = dateAccessor(d);
+                    // @ts-ignore
+                    box.date = dateAccessor(d);
+                }
+            }
+            else {
+                // one or more boxes already formed in the current column
+                const upwardMovement = Math.max(pricingMethod(d).high - box.open, 0); // upward movement
+                const downwardMovement = Math.abs(Math.min(pricingMethod(d).low - box.open, 0)); // downward movement
+                if ((column.direction > 0 && upwardMovement > boxSize) /* rising column AND box can be formed */ ||
+                    (column.direction < 0 && downwardMovement > boxSize) /* falling column AND box can be formed */) {
+                    // form another box
+                    // @ts-ignore
+                    box.close = box.open + column.direction * boxSize;
+                    box.toDate = dateAccessor(d);
+                    // @ts-ignore
+                    const prevBoxClose = box.close;
+                    column.boxes.push(box);
+                    box = createBox(d, dateAccessor, dateMutator);
+                    box.open = prevBoxClose;
+                    box.fromDate = dateAccessor(d);
+                    dateMutator(box, dateAccessor(d));
+                }
+                else if (
+                /* rising column and there is downward movement to trigger a reversal */
+                (column.direction > 0 && downwardMovement > boxSize * reversal) ||
+                    /* falling column and there is downward movement to trigger a reversal */
+                    (column.direction < 0 && upwardMovement > boxSize * reversal)) {
+                    // reversal
+                    box.open = box.open + -1 * column.direction * boxSize;
+                    box.toDate = dateAccessor(d);
+                    // box.displayDate = d.displayDate;
+                    dateMutator(box, dateAccessor(d));
+                    // box.startOfYear = d.startOfYear;
+                    // box.startOfQuarter = d.startOfQuarter;
+                    // box.startOfMonth = d.startOfMonth;
+                    // box.startOfWeek = d.startOfWeek;
+                    // var idx = index + 1;
+                    column = {
+                        boxes: [],
+                        // @ts-ignore
+                        volume: 0,
+                        direction: -1 * column.direction,
+                    };
+                    const noOfBoxes = column.direction > 0
+                        ? Math.floor(upwardMovement / boxSize)
+                        : Math.floor(downwardMovement / boxSize);
+                    for (let i = 0; i < noOfBoxes; i++) {
+                        // @ts-ignore
+                        box.close = box.open + column.direction * boxSize;
+                        // @ts-ignore
+                        const prevBoxClose = box.close;
+                        column.boxes.push(box);
+                        box = createBox(d, dateAccessor, dateMutator);
+                        box.open = prevBoxClose;
+                    }
+                    columnData.push(column);
+                }
+            }
+        });
+        updateColumns(columnData, dateAccessor, dateMutator);
+        return columnData;
+    };
+    calculator.options = (newOptions) => {
+        if (newOptions === undefined) {
+            return options;
+        }
+        options = Object.assign(Object.assign({}, defaultOptions), newOptions);
+        return calculator;
+    };
+    calculator.dateMutator = (newDateMutator) => {
+        if (newDateMutator === undefined) {
+            return dateMutator;
+        }
+        dateMutator = newDateMutator;
+        return calculator;
+    };
+    calculator.dateAccessor = (newDateAccessor) => {
+        if (newDateAccessor === undefined) {
+            return dateAccessor;
+        }
+        dateAccessor = newDateAccessor;
+        return calculator;
+    };
+    return calculator;
+}
+//# sourceMappingURL=pointAndFigure.js.map

package/lib/calculator/pointAndFigure.js.map

@@ -0,0 +1 @@
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package/lib/calculator/renko.d.ts

@@ -0,0 +1,12 @@
+export default function (): {
+    (rawData: any[]): any[];
+    options(newOptions?: any): {
+        reversalType: string;
+        windowSize: number;
+        fixedBrickSize: number;
+        sourcePath: string;
+        percentage: number;
+    } | any;
+    dateMutator(newDateMutator?: any): ((d: any, date: any) => void) | any;
+    dateAccessor(newDateAccessor?: any): ((d: any) => any) | any;
+};

package/lib/calculator/renko.js

@@ -0,0 +1,170 @@
+import { functor, merge } from "../utils";
+import atr from "./atr";
+import { Renko as defaultOptions } from "./defaultOptionsForComputation";
+export default function () {
+    let options = defaultOptions;
+    let dateAccessor = (d) => d.date;
+    let dateMutator = (d, date) => {
+        d.date = date;
+    };
+    const calculator = (rawData) => {
+        const { reversalType, fixedBrickSize, sourcePath, windowSize, percentage } = options;
+        const source = sourcePath === "high/low"
+            ? (d) => ({ high: d.high, low: d.low })
+            : (d) => ({ high: d.close, low: d.close });
+        const pricingMethod = source;
+        let brickSize;
+        if (reversalType === "ATR") {
+            const atrAlgorithm = atr().options({ windowSize });
+            const atrCalculator = merge()
+                .algorithm(atrAlgorithm)
+                .merge((d, c) => {
+                d["atr" + windowSize] = c;
+            });
+            atrCalculator(rawData);
+            brickSize = (d) => d["atr" + windowSize];
+        }
+        else if (reversalType === "Percentage LTP") {
+            // Calculate brick size as a percentage of the last price
+            brickSize = (d) => d.close * (percentage / 100);
+        }
+        else {
+            brickSize = functor(fixedBrickSize);
+        }
+        const renkoData = [];
+        let index = 0;
+        let prevBrickClose = rawData[index].open;
+        let prevBrickOpen = rawData[index].open;
+        let brick = {};
+        let direction = 0;
+        rawData.forEach(function (d, idx) {
+            if (brick.from === undefined) {
+                brick.high = d.high;
+                brick.low = d.low;
+                brick.startOfYear = d.startOfYear;
+                brick.startOfQuarter = d.startOfQuarter;
+                brick.startOfMonth = d.startOfMonth;
+                brick.startOfWeek = d.startOfWeek;
+                brick.from = idx;
+                brick.fromDate = dateAccessor(d);
+                dateMutator(brick, dateAccessor(d));
+            }
+            brick.volume = (brick.volume || 0) + d.volume;
+            const prevCloseToHigh = prevBrickClose - pricingMethod(d).high;
+            const prevCloseToLow = prevBrickClose - pricingMethod(d).low;
+            const prevOpenToHigh = prevBrickOpen - pricingMethod(d).high;
+            const prevOpenToLow = prevBrickOpen - pricingMethod(d).low;
+            const priceMovement = Math.min(Math.abs(prevCloseToHigh), Math.abs(prevCloseToLow), Math.abs(prevOpenToHigh), Math.abs(prevOpenToLow));
+            // @ts-ignore
+            brick.high = Math.max(brick.high, d.high);
+            // @ts-ignore
+            brick.low = Math.min(brick.low, d.low);
+            if (!brick.startOfYear) {
+                brick.startOfYear = d.startOfYear;
+                if (brick.startOfYear) {
+                    dateMutator(brick, dateAccessor(d));
+                }
+            }
+            if (!brick.startOfQuarter) {
+                brick.startOfQuarter = d.startOfQuarter;
+                if (brick.startOfQuarter && !brick.startOfYear) {
+                    dateMutator(brick, dateAccessor(d));
+                }
+            }
+            if (!brick.startOfMonth) {
+                brick.startOfMonth = d.startOfMonth;
+                if (brick.startOfMonth && !brick.startOfQuarter) {
+                    dateMutator(brick, dateAccessor(d));
+                }
+            }
+            if (!brick.startOfWeek) {
+                brick.startOfWeek = d.startOfWeek;
+                if (brick.startOfWeek && !brick.startOfMonth) {
+                    dateMutator(brick, dateAccessor(d));
+                }
+            }
+            if (brickSize(d)) {
+                const noOfBricks = Math.floor(priceMovement / brickSize(d));
+                brick.open =
+                    Math.abs(prevCloseToHigh) < Math.abs(prevOpenToHigh) ||
+                        Math.abs(prevCloseToLow) < Math.abs(prevOpenToLow)
+                        ? prevBrickClose
+                        : prevBrickOpen;
+                if (noOfBricks >= 1) {
+                    let j = 0;
+                    for (j = 0; j < noOfBricks; j++) {
+                        brick.close =
+                            // @ts-ignore
+                            brick.open < pricingMethod(d).high
+                                ? // if brick open is less than current price it means it is green/hollow brick
+                                    brick.open + brickSize(d)
+                                : // @ts-ignore
+                                    brick.open - brickSize(d);
+                        // @ts-ignore
+                        direction = brick.close > brick.open ? 1 : -1;
+                        brick.direction = direction;
+                        brick.to = idx;
+                        brick.toDate = dateAccessor(d);
+                        // brick.diff = brick.open - brick.close;
+                        // brick.atr = d.atr;
+                        brick.fullyFormed = true;
+                        renkoData.push(brick);
+                        prevBrickClose = brick.close;
+                        prevBrickOpen = brick.open;
+                        const newBrick = {
+                            high: brick.high,
+                            low: brick.low,
+                            open: brick.close,
+                            startOfYear: false,
+                            startOfMonth: false,
+                            startOfQuarter: false,
+                            startOfWeek: false,
+                        };
+                        brick = newBrick;
+                        brick.from = idx;
+                        brick.fromDate = dateAccessor(d);
+                        // indexMutator(brick, index + j);
+                        dateMutator(brick, dateAccessor(d));
+                        brick.volume = (brick.volume || 0) + d.volume;
+                    }
+                    index = index + j - 1;
+                    brick = {};
+                }
+                else {
+                    if (idx === rawData.length - 1) {
+                        brick.close = direction > 0 ? pricingMethod(d).high : pricingMethod(d).low;
+                        brick.to = idx;
+                        brick.toDate = dateAccessor(d);
+                        dateMutator(brick, dateAccessor(d));
+                        brick.fullyFormed = false;
+                        renkoData.push(brick);
+                    }
+                }
+            }
+        });
+        return renkoData;
+    };
+    calculator.options = (newOptions) => {
+        if (newOptions === undefined) {
+            return options;
+        }
+        options = Object.assign(Object.assign({}, defaultOptions), newOptions);
+        return calculator;
+    };
+    calculator.dateMutator = (newDateMutator) => {
+        if (newDateMutator === undefined) {
+            return dateMutator;
+        }
+        dateMutator = newDateMutator;
+        return calculator;
+    };
+    calculator.dateAccessor = (newDateAccessor) => {
+        if (newDateAccessor === undefined) {
+            return dateAccessor;
+        }
+        dateAccessor = newDateAccessor;
+        return calculator;
+    };
+    return calculator;
+}
+//# sourceMappingURL=renko.js.map

package/lib/calculator/renko.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"renko.js","sourceRoot":"","sources":["../../src/calculator/renko.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,OAAO,EAAE,KAAK,EAAE,MAAM,UAAU,CAAC;AAC1C,OAAO,GAAG,MAAM,OAAO,CAAC;AACxB,OAAO,EAAE,KAAK,IAAI,cAAc,EAAE,MAAM,gCAAgC,CAAC;AAEzE,MAAM,CAAC,OAAO;IACV,IAAI,OAAO,GAAG,cAAc,CAAC;IAE7B,IAAI,YAAY,GAAG,CAAC,CAAM,EAAE,EAAE,CAAC,CAAC,CAAC,IAAI,CAAC;IACtC,IAAI,WAAW,GAAG,CAAC,CAAM,EAAE,IAAS,EAAE,EAAE;QACpC,CAAC,CAAC,IAAI,GAAG,IAAI,CAAC;IAClB,CAAC,CAAC;IAEF,MAAM,UAAU,GAAG,CAAC,OAAc,EAAE,EAAE;QAClC,MAAM,EAAE,YAAY,EAAE,cAAc,EAAE,UAAU,EAAE,UAAU,EAAE,UAAU,EAAE,GAAG,OAAO,CAAC;QAErF,MAAM,MAAM,GACR,UAAU,KAAK,UAAU;YACrB,CAAC,CAAC,CAAC,CAAM,EAAE,EAAE,CAAC,CAAC,EAAE,IAAI,EAAE,CAAC,CAAC,IAAI,EAAE,GAAG,EAAE,CAAC,CAAC,GAAG,EAAE,CAAC;YAC5C,CAAC,CAAC,CAAC,CAAM,EAAE,EAAE,CAAC,CAAC,EAAE,IAAI,EAAE,CAAC,CAAC,KAAK,EAAE,GAAG,EAAE,CAAC,CAAC,KAAK,EAAE,CAAC,CAAC;QAExD,MAAM,aAAa,GAAG,MAAM,CAAC;QAC7B,IAAI,SAAc,CAAC;QAEnB,IAAI,YAAY,KAAK,KAAK,EAAE;YACxB,MAAM,YAAY,GAAG,GAAG,EAAE,CAAC,OAAO,CAAC,EAAE,UAAU,EAAE,CAAC,CAAC;YAEnD,MAAM,aAAa,GAAG,KAAK,EAAE;iBACxB,SAAS,CAAC,YAAY,CAAC;iBACvB,KAAK,CAAC,CAAC,CAAM,EAAE,CAAM,EAAE,EAAE;gBACtB,CAAC,CAAC,KAAK,GAAG,UAAU,CAAC,GAAG,CAAC,CAAC;YAC9B,CAAC,CAAC,CAAC;YAEP,aAAa,CAAC,OAAO,CAAC,CAAC;YACvB,SAAS,GAAG,CAAC,CAAM,EAAE,EAAE,CAAC,CAAC,CAAC,KAAK,GAAG,UAAU,CAAC,CAAC;SACjD;aAAM,IAAI,YAAY,KAAK,gBAAgB,EAAE;YAC1C,yDAAyD;YACzD,SAAS,GAAG,CAAC,CAAM,EAAE,EAAE,CAAC,CAAC,CAAC,KAAK,GAAG,CAAC,UAAU,GAAG,GAAG,CAAC,CAAC;SACxD;aAAM;YACH,SAAS,GAAG,OAAO,CAAC,cAAc,CAAC,CAAC;SACvC;QAED,MAAM,SAAS,GAAU,EAAE,CAAC;QAE5B,IAAI,KAAK,GAAG,CAAC,CAAC;QACd,IAAI,cAAc,GAAG,OAAO,CAAC,KAAK,CAAC,CAAC,IAAI,CAAC;QACzC,IAAI,aAAa,GAAG,OAAO,CAAC,KAAK,CAAC,CAAC,IAAI,CAAC;QACxC,IAAI,KAAK,GAuBL,EAAE,CAAC;QACP,IAAI,SAAS,GAAG,CAAC,CAAC;QAElB,OAAO,CAAC,OAAO,CAAC,UAAU,CAAC,EAAE,GAAG;YAC5B,IAAI,KAAK,CAAC,IAAI,KAAK,SAAS,EAAE;gBAC1B,KAAK,CAAC,IAAI,GAAG,CAAC,CAAC,IAAI,CAAC;gBACpB,KAAK,CAAC,GAAG,GAAG,CAAC,CAAC,GAAG,CAAC;gBAClB,KAAK,CAAC,WAAW,GAAG,CAAC,CAAC,WAAW,CAAC;gBAClC,KAAK,CAAC,cAAc,GAAG,CAAC,CAAC,cAAc,CAAC;gBACxC,KAAK,CAAC,YAAY,GAAG,CAAC,CAAC,YAAY,CAAC;gBACpC,KAAK,CAAC,WAAW,GAAG,CAAC,CAAC,WAAW,CAAC;gBAElC,KAAK,CAAC,IAAI,GAAG,GAAG,CAAC;gBACjB,KAAK,CAAC,QAAQ,GAAG,YAAY,CAAC,CAAC,CAAC,CAAC;gBACjC,WAAW,CAAC,KAAK,EAAE,YAAY,CAAC,CAAC,CAAC,CAAC,CAAC;aACvC;YACD,KAAK,CAAC,MAAM,GAAG,CAAC,KAAK,CAAC,MAAM,IAAI,CAAC,CAAC,GAAG,CAAC,CAAC,MAAM,CAAC;YAE9C,MAAM,eAAe,GAAG,cAAc,GAAG,aAAa,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC;YAC/D,MAAM,cAAc,GAAG,cAAc,GAAG,aAAa,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC;YAC7D,MAAM,cAAc,GAAG,aAAa,GAAG,aAAa,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC;YAC7D,MAAM,aAAa,GAAG,aAAa,GAAG,aAAa,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC;YAC3D,MAAM,aAAa,GAAG,IAAI,CAAC,GAAG,CAC1B,IAAI,CAAC,GAAG,CAAC,eAAe,CAAC,EACzB,IAAI,CAAC,GAAG,CAAC,cAAc,CAAC,EACxB,IAAI,CAAC,GAAG,CAAC,cAAc,CAAC,EACxB,IAAI,CAAC,GAAG,CAAC,aAAa,CAAC,CAC1B,CAAC;YAEF,aAAa;YACb,KAAK,CAAC,IAAI,GAAG,IAAI,CAAC,GAAG,CAAC,KAAK,CAAC,IAAI,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC;YAC1C,aAAa;YACb,KAAK,CAAC,GAAG,GAAG,IAAI,CAAC,GAAG,CAAC,KAAK,CAAC,GAAG,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC;YAEvC,IAAI,CAAC,KAAK,CAAC,WAAW,EAAE;gBACpB,KAAK,CAAC,WAAW,GAAG,CAAC,CAAC,WAAW,CAAC;gBAClC,IAAI,KAAK,CAAC,WAAW,EAAE;oBACnB,WAAW,CAAC,KAAK,EAAE,YAAY,CAAC,CAAC,CAAC,CAAC,CAAC;iBACvC;aACJ;YAED,IAAI,CAAC,KAAK,CAAC,cAAc,EAAE;gBACvB,KAAK,CAAC,cAAc,GAAG,CAAC,CAAC,cAAc,CAAC;gBACxC,IAAI,KAAK,CAAC,cAAc,IAAI,CAAC,KAAK,CAAC,WAAW,EAAE;oBAC5C,WAAW,CAAC,KAAK,EAAE,YAAY,CAAC,CAAC,CAAC,CAAC,CAAC;iBACvC;aACJ;YAED,IAAI,CAAC,KAAK,CAAC,YAAY,EAAE;gBACrB,KAAK,CAAC,YAAY,GAAG,CAAC,CAAC,YAAY,CAAC;gBACpC,IAAI,KAAK,CAAC,YAAY,IAAI,CAAC,KAAK,CAAC,cAAc,EAAE;oBAC7C,WAAW,CAAC,KAAK,EAAE,YAAY,CAAC,CAAC,CAAC,CAAC,CAAC;iBACvC;aACJ;YACD,IAAI,CAAC,KAAK,CAAC,WAAW,EAAE;gBACpB,KAAK,CAAC,WAAW,GAAG,CAAC,CAAC,WAAW,CAAC;gBAClC,IAAI,KAAK,CAAC,WAAW,IAAI,CAAC,KAAK,CAAC,YAAY,EAAE;oBAC1C,WAAW,CAAC,KAAK,EAAE,YAAY,CAAC,CAAC,CAAC,CAAC,CAAC;iBACvC;aACJ;YAED,IAAI,SAAS,CAAC,CAAC,CAAC,EAAE;gBACd,MAAM,UAAU,GAAG,IAAI,CAAC,KAAK,CAAC,aAAa,GAAG,SAAS,CAAC,CAAC,CAAC,CAAC,CAAC;gBAE5D,KAAK,CAAC,IAAI;oBACN,IAAI,CAAC,GAAG,CAAC,eAAe,CAAC,GAAG,IAAI,CAAC,GAAG,CAAC,cAAc,CAAC;wBACpD,IAAI,CAAC,GAAG,CAAC,cAAc,CAAC,GAAG,IAAI,CAAC,GAAG,CAAC,aAAa,CAAC;wBAC9C,CAAC,CAAC,cAAc;wBAChB,CAAC,CAAC,aAAa,CAAC;gBAExB,IAAI,UAAU,IAAI,CAAC,EAAE;oBACjB,IAAI,CAAC,GAAG,CAAC,CAAC;oBACV,KAAK,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,UAAU,EAAE,CAAC,EAAE,EAAE;wBAC7B,KAAK,CAAC,KAAK;4BACP,aAAa;4BACb,KAAK,CAAC,IAAI,GAAG,aAAa,CAAC,CAAC,CAAC,CAAC,IAAI;gCAC9B,CAAC,CAAC,6EAA6E;oCAC7E,KAAK,CAAC,IAAI,GAAG,SAAS,CAAC,CAAC,CAAC;gCAC3B,CAAC,CAAC,aAAa;oCACb,KAAK,CAAC,IAAI,GAAG,SAAS,CAAC,CAAC,CAAC,CAAC;wBACpC,aAAa;wBACb,SAAS,GAAG,KAAK,CAAC,KAAK,GAAG,KAAK,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;wBAC9C,KAAK,CAAC,SAAS,GAAG,SAAS,CAAC;wBAC5B,KAAK,CAAC,EAAE,GAAG,GAAG,CAAC;wBACf,KAAK,CAAC,MAAM,GAAG,YAAY,CAAC,CAAC,CAAC,CAAC;wBAC/B,yCAAyC;wBACzC,qBAAqB;wBACrB,KAAK,CAAC,WAAW,GAAG,IAAI,CAAC;wBACzB,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;wBAEtB,cAAc,GAAG,KAAK,CAAC,KAAK,CAAC;wBAC7B,aAAa,GAAG,KAAK,CAAC,IAAI,CAAC;wBAE3B,MAAM,QAAQ,GAAG;4BACb,IAAI,EAAE,KAAK,CAAC,IAAI;4BAChB,GAAG,EAAE,KAAK,CAAC,GAAG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package/lib/calculator/rsi.d.ts

@@ -0,0 +1,12 @@
+export interface RSIOptions {
+    windowSize: number;
+    sourcePath?: string;
+}
+export default function (): {
+    (data: any[]): any[];
+    undefinedLength(): number;
+    options(newOptions?: RSIOptions): {
+        windowSize: number;
+        sourcePath: string;
+    } | any;
+};

package/lib/calculator/rsi.js

@@ -0,0 +1,87 @@
+/*
+https://github.com/ScottLogic/d3fc/blob/master/src/indicator/algorithm/calculator/relativeStrengthIndex.js
+
+The MIT License (MIT)
+
+Copyright (c) 2014-2015 Scott Logic Ltd.
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in
+all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
+THE SOFTWARE.
+*/
+import { mean } from "d3-array";
+import { path, slidingWindow } from "../utils";
+import { RSI as defaultOptions } from "./defaultOptionsForComputation";
+export default function () {
+    let options = defaultOptions;
+    const calculator = (data) => {
+        const { windowSize, sourcePath } = options;
+        // @ts-ignore
+        const source = path(sourcePath);
+        let prevAvgGain;
+        let prevAvgLoss;
+        const rsiAlgorithm = slidingWindow()
+            .windowSize(windowSize)
+            .accumulator((values) => {
+            const avgGain = prevAvgGain !== undefined
+                ? (prevAvgGain * (windowSize - 1) + values[values.length - 1].gain) / windowSize
+                : mean(values, (each) => each.gain);
+            if (avgGain === undefined) {
+                return undefined;
+            }
+            const avgLoss = prevAvgLoss !== undefined
+                ? (prevAvgLoss * (windowSize - 1) + values[values.length - 1].loss) / windowSize
+                : mean(values, (each) => each.loss);
+            if (avgLoss === undefined) {
+                return undefined;
+            }
+            const relativeStrength = avgGain / avgLoss;
+            const rsi = 100 - 100 / (1 + relativeStrength);
+            prevAvgGain = avgGain;
+            prevAvgLoss = avgLoss;
+            return rsi;
+        });
+        const gainsAndLossesCalculator = slidingWindow()
+            .windowSize(2)
+            .undefinedValue(() => [0, 0])
+            .accumulator((tuple) => {
+            const prev = tuple[0];
+            const now = tuple[1];
+            const change = source(now) - source(prev);
+            return {
+                gain: Math.max(change, 0),
+                loss: Math.abs(Math.min(change, 0)),
+            };
+        });
+        const gainsAndLosses = gainsAndLossesCalculator(data);
+        const rsiData = rsiAlgorithm(gainsAndLosses);
+        return rsiData;
+    };
+    calculator.undefinedLength = () => {
+        const { windowSize } = options;
+        return windowSize - 1;
+    };
+    calculator.options = (newOptions) => {
+        if (newOptions === undefined) {
+            return options;
+        }
+        options = Object.assign(Object.assign({}, defaultOptions), newOptions);
+        return calculator;
+    };
+    return calculator;
+}
+//# sourceMappingURL=rsi.js.map

package/lib/calculator/rsi.js.map

@@ -0,0 +1 @@
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package/lib/calculator/sar.d.ts

@@ -0,0 +1,12 @@
+export interface SAROptions {
+    readonly accelerationFactor: number;
+    readonly maxAccelerationFactor: number;
+}
+export default function (): {
+    (data: any[]): any;
+    undefinedLength(): number;
+    options(newOptions?: SAROptions): {
+        accelerationFactor: number;
+        maxAccelerationFactor: number;
+    } | any;
+};

package/lib/calculator/sar.js

@@ -0,0 +1,87 @@
+import { mappedSlidingWindow } from "../utils";
+import { SAR as defaultOptions } from "./defaultOptionsForComputation";
+function calc(prev, now) {
+    const risingSar = prev.risingSar + prev.af * (prev.risingEp - prev.risingSar);
+    const fallingSar = prev.fallingSar - prev.af * (prev.fallingSar - prev.fallingEp);
+    const risingEp = Math.max(prev.risingEp, now.high);
+    const fallingEp = Math.min(prev.fallingEp, now.low);
+    return {
+        risingSar,
+        fallingSar,
+        risingEp,
+        fallingEp,
+    };
+}
+export default function () {
+    let options = defaultOptions;
+    const calculator = (data) => {
+        const { accelerationFactor, maxAccelerationFactor } = options;
+        const algorithm = mappedSlidingWindow()
+            .windowSize(2)
+            // @ts-ignore
+            .undefinedValue(({ high, low }) => {
+            return {
+                risingSar: low,
+                risingEp: high,
+                fallingSar: high,
+                fallingEp: low,
+                af: accelerationFactor,
+            };
+        })
+            .accumulator(([prev, now]) => {
+            const { risingSar, fallingSar, risingEp, fallingEp } = calc(prev, now);
+            if (prev.use === undefined && risingSar > now.low && fallingSar < now.high) {
+                return {
+                    risingSar,
+                    fallingSar,
+                    risingEp,
+                    fallingEp,
+                };
+            }
+            const use = prev.use !== undefined
+                ? prev.use === "rising"
+                    ? risingSar > now.low
+                        ? "falling"
+                        : "rising"
+                    : fallingSar < now.high
+                        ? "rising"
+                        : "falling"
+                : risingSar > now.low
+                    ? "falling"
+                    : "rising";
+            const current = prev.use === use
+                ? {
+                    af: Math.min(maxAccelerationFactor, prev.af + accelerationFactor),
+                    fallingEp,
+                    risingEp,
+                    fallingSar,
+                    risingSar,
+                }
+                : {
+                    af: accelerationFactor,
+                    fallingEp: now.low,
+                    risingEp: now.high,
+                    fallingSar: Math.max(prev.risingEp, now.high),
+                    risingSar: Math.min(prev.fallingEp, now.low),
+                };
+            const { date, high, low } = now;
+            return Object.assign(Object.assign({ date,
+                high,
+                low }, current), { use, sar: use === "falling" ? current.fallingSar : current.risingSar });
+        });
+        const calculatedData = algorithm(data).map((d) => d.sar);
+        return calculatedData;
+    };
+    calculator.undefinedLength = () => {
+        return 1;
+    };
+    calculator.options = (newOptions) => {
+        if (newOptions === undefined) {
+            return options;
+        }
+        options = Object.assign(Object.assign({}, defaultOptions), newOptions);
+        return calculator;
+    };
+    return calculator;
+}
+//# sourceMappingURL=sar.js.map

package/lib/calculator/sar.js.map

@@ -0,0 +1 @@
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package/lib/calculator/sma.d.ts

@@ -0,0 +1,12 @@
+export interface SMAOptions {
+    readonly sourcePath?: string;
+    readonly windowSize: number;
+}
+export default function (): {
+    (data: any[]): any[];
+    undefinedLength(): number;
+    options(newOptions?: SMAOptions): {
+        sourcePath: string;
+        windowSize: number;
+    } | any;
+};