@tradingaction/indicators 2.0.1

package/lib/utils/merge.d.ts

@@ -0,0 +1,11 @@
+interface Merge {
+    (data: any[]): any;
+    algorithm(): any;
+    algorithm(newAlgorithm: any): Merge;
+    merge(): any;
+    merge(newMerge: any): Merge;
+    skipUndefined(): boolean;
+    skipUndefined(newSkipUndefined: boolean): Merge;
+}
+export default function (): Merge;
+export {};

package/lib/utils/merge.js

@@ -0,0 +1,70 @@
+/*
+https://github.com/ScottLogic/d3fc/blob/master/src/indicator/algorithm/merge.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 zipper from "./zipper";
+import { identity } from "./identity";
+// applies an algorithm to an array, merging the result back into
+// the source array using the given merge function.
+export default function () {
+    let algorithm = identity;
+    let skipUndefined = true;
+    let merge = () => {
+        /** Do Nothing */
+    };
+    const mergeCompute = (data) => {
+        const zip = zipper().combine((datum, indicator) => {
+            const result = skipUndefined && indicator === undefined
+                ? datum
+                : // @ts-ignore
+                    merge(datum, indicator);
+            return result === undefined ? datum : result;
+        });
+        // @ts-ignore
+        return zip(data, algorithm(data));
+    };
+    mergeCompute.algorithm = (newAlgorithm) => {
+        if (newAlgorithm === undefined) {
+            return algorithm;
+        }
+        algorithm = newAlgorithm;
+        return mergeCompute;
+    };
+    mergeCompute.merge = (newMerge) => {
+        if (newMerge === undefined) {
+            return merge;
+        }
+        merge = newMerge;
+        return mergeCompute;
+    };
+    mergeCompute.skipUndefined = (newSkipUndefined) => {
+        if (newSkipUndefined === undefined) {
+            return skipUndefined;
+        }
+        skipUndefined = newSkipUndefined;
+        return mergeCompute;
+    };
+    return mergeCompute;
+}
+//# sourceMappingURL=merge.js.map

package/lib/utils/merge.js.map

@@ -0,0 +1 @@
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package/lib/utils/path.d.ts

@@ -0,0 +1 @@
+export declare const path: (loc?: any | any[]) => (obj: any, defaultValue?: any) => any;

package/lib/utils/path.js

@@ -0,0 +1,15 @@
+export const path = (loc = []) => {
+    const key = Array.isArray(loc) ? loc : [loc];
+    const length = key.length;
+    return function (obj, defaultValue) {
+        if (length === 0) {
+            return obj !== undefined && obj !== null ? obj : defaultValue;
+        }
+        let index = 0;
+        while (obj != null && index < length) {
+            obj = obj[key[index++]];
+        }
+        return index === length ? obj : defaultValue;
+    };
+};
+//# sourceMappingURL=path.js.map

package/lib/utils/path.js.map

@@ -0,0 +1 @@
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package/lib/utils/rebind.d.ts

@@ -0,0 +1 @@
+export default function rebind(target: any, source: any, ...names: string[]): any;

package/lib/utils/rebind.js

@@ -0,0 +1,18 @@
+// copied from https://github.com/d3fc/d3fc-rebind/blob/master/src/rebind.js
+function createReboundMethod(target, source, name) {
+    const method = source[name];
+    if (typeof method !== "function") {
+        throw new Error(`Attempt to rebind ${name} which isn't a function on the source object`);
+    }
+    return (...args) => {
+        const value = method.apply(source, args);
+        return value === source ? target : value;
+    };
+}
+export default function rebind(target, source, ...names) {
+    for (const name of names) {
+        target[name] = createReboundMethod(target, source, name);
+    }
+    return target;
+}
+//# sourceMappingURL=rebind.js.map

package/lib/utils/rebind.js.map

@@ -0,0 +1 @@
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package/lib/utils/slidingWindow.d.ts

@@ -0,0 +1,19 @@
+interface SlidingWindow {
+    (data: any[]): any[];
+    misc(): any;
+    misc(x: any): SlidingWindow;
+    accumulator(): any;
+    accumulator(x: any): SlidingWindow;
+    skipInitial(): number;
+    skipInitial(x: number): SlidingWindow;
+    source(): any;
+    source(source: any): SlidingWindow;
+    sourcePath(): any;
+    sourcePath(x: any): SlidingWindow;
+    windowSize(): number;
+    windowSize(windowSize: number): SlidingWindow;
+    undefinedValue(): any;
+    undefinedValue(x: any): SlidingWindow;
+}
+export default function (): SlidingWindow;
+export {};

package/lib/utils/slidingWindow.js

@@ -0,0 +1,111 @@
+/*
+
+Taken from https://github.com/ScottLogic/d3fc/blob/master/src/indicator/algorithm/calculator/slidingWindow.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 { functor } from "./functor";
+import { path } from "./path";
+export default function () {
+    let undefinedValue;
+    let windowSize = 10;
+    let accumulator = () => {
+        /** Do nothin */
+    };
+    let sourcePath;
+    let source;
+    let skipInitial = 0;
+    let misc;
+    const slidingWindow = (data) => {
+        const sourceFunction = source || path(sourcePath);
+        // @ts-ignore
+        const size = functor(windowSize).apply(this, arguments);
+        const windowData = data.slice(skipInitial, size + skipInitial).map(sourceFunction);
+        let accumulatorIdx = 0;
+        const undef = functor(undefinedValue);
+        return data.map((d, i) => {
+            if (i < skipInitial + size - 1) {
+                return undef(sourceFunction(d), i, misc);
+            }
+            if (i >= skipInitial + size) {
+                // Treat windowData as FIFO rolling buffer
+                windowData.shift();
+                windowData.push(sourceFunction(d, i));
+            }
+            // @ts-ignore
+            return accumulator(windowData, i, accumulatorIdx++, misc);
+        });
+    };
+    slidingWindow.undefinedValue = function (x) {
+        if (!arguments.length) {
+            return undefinedValue;
+        }
+        undefinedValue = x;
+        return slidingWindow;
+    };
+    slidingWindow.windowSize = function (x) {
+        if (!arguments.length) {
+            return windowSize;
+        }
+        windowSize = x;
+        return slidingWindow;
+    };
+    slidingWindow.misc = function (x) {
+        if (!arguments.length) {
+            return misc;
+        }
+        misc = x;
+        return slidingWindow;
+    };
+    slidingWindow.accumulator = function (x) {
+        if (!arguments.length) {
+            return accumulator;
+        }
+        accumulator = x;
+        return slidingWindow;
+    };
+    slidingWindow.skipInitial = function (x) {
+        if (!arguments.length) {
+            return skipInitial;
+        }
+        skipInitial = x;
+        return slidingWindow;
+    };
+    slidingWindow.sourcePath = function (x) {
+        if (!arguments.length) {
+            return sourcePath;
+        }
+        sourcePath = x;
+        return slidingWindow;
+    };
+    slidingWindow.source = function (x) {
+        if (!arguments.length) {
+            return source;
+        }
+        source = x;
+        return slidingWindow;
+    };
+    return slidingWindow;
+}
+//# sourceMappingURL=slidingWindow.js.map

package/lib/utils/slidingWindow.js.map

@@ -0,0 +1 @@
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package/lib/utils/zipper.d.ts

@@ -0,0 +1,7 @@
+interface Zip {
+    (...args: any[]): any[];
+    combine(): any;
+    combine(x: any): Zip;
+}
+export default function zipper(): Zip;
+export {};

package/lib/utils/zipper.js

@@ -0,0 +1,36 @@
+/* an extension to d3.zip so we call a function instead of an array */
+import { min } from "d3-array";
+import { identity } from "./identity";
+export default function zipper() {
+    let combine = identity;
+    function zip() {
+        var _a;
+        const n = arguments.length;
+        if (n === 0) {
+            return [];
+        }
+        const m = (_a = min(arguments, d3_zipLength)) !== null && _a !== void 0 ? _a : 0;
+        const zips = new Array(m);
+        for (let i = -1; ++i < m;) {
+            // tslint:disable-next-line: no-shadowed-variable
+            for (let j = -1, zip = (zips[i] = new Array(n)); ++j < n;) {
+                zip[j] = arguments[j][i];
+            }
+            // @ts-ignore
+            zips[i] = combine.apply(this, zips[i]);
+        }
+        return zips;
+    }
+    function d3_zipLength(d) {
+        return d.length;
+    }
+    zip.combine = function (x) {
+        if (!arguments.length) {
+            return combine;
+        }
+        combine = x;
+        return zip;
+    };
+    return zip;
+}
+//# sourceMappingURL=zipper.js.map

package/lib/utils/zipper.js.map

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package/package.json

@@ -0,0 +1,49 @@
+{
+    "name": "@tradingaction/indicators",
+    "version": "2.0.1",
+    "description": "Indicators for react-financial-charts",
+    "publishConfig": {
+        "access": "public"
+    },
+    "main": "./lib/index.js",
+    "typings": "./lib/index.d.ts",
+    "files": [
+        "lib",
+        "src"
+    ],
+    "sideEffects": false,
+    "author": "Reactive Markets",
+    "keywords": [
+        "charts",
+        "charting",
+        "stockcharts",
+        "finance",
+        "financial",
+        "finance-chart",
+        "react",
+        "d3"
+    ],
+    "license": "MIT",
+    "repository": {
+        "type": "git",
+        "url": "https://github.com/reactivemarkets/react-financial-charts.git"
+    },
+    "bugs": {
+        "url": "https://github.com/reactivemarkets/react-financial-charts/issues"
+    },
+    "scripts": {
+        "build": "npm run clean && npm run compile",
+        "clean": "rimraf lib",
+        "compile": "tsc -p tsconfig.json",
+        "watch": "tsc -p tsconfig.json --watch --preserveWatchOutput"
+    },
+    "dependencies": {
+        "d3-array": "^2.9.1",
+        "d3-scale": "^3.2.3"
+    },
+    "peerDependencies": {
+        "react": "^16.0.0 || ^17.0.0 || ^18.0.0",
+        "react-dom": "^16.0.0 || ^17.0.0 || ^18.0.0"
+    },
+    "gitHead": "4bc60a26c5958208e3dc87261d2588cece29dfa2"
+}

package/src/calculator/atr.ts

@@ -0,0 +1,88 @@
+import { sum } from "d3-array";
+import { slidingWindow } from "../utils";
+import { ATR as defaultOptions } from "./defaultOptionsForComputation";
+
+export interface ATROptions {
+    readonly windowSize: number;
+}
+
+export interface ATRSource {
+    readonly close: number;
+    readonly high: number;
+    readonly low: number;
+    readonly open: number;
+}
+
+export interface ATRCalculator {
+    (data: any[]): any;
+    undefinedLength(): number;
+    options(): ATROptions;
+    options(newOptions: ATROptions): ATRCalculator;
+    source(): (d: any) => ATRSource;
+    source(newSource: (d: any) => ATRSource): ATRCalculator;
+}
+
+export default function () {
+    let options: ATROptions = defaultOptions;
+    let source = (d: any) => ({ open: d.open, high: d.high, low: d.low, close: d.close });
+
+    const calculator = (data: any[]) => {
+        const { windowSize } = options;
+
+        const trueRangeAlgorithm = slidingWindow()
+            .windowSize(2)
+            .source(source)
+            .undefinedValue((d: any) => d.high - d.low) // the first TR value is simply the High minus the Low
+            .accumulator((values: any) => {
+                const prev = values[0];
+                const d = values[1];
+                return Math.max(d.high - d.low, d.high - prev.close, d.low - prev.close);
+            });
+
+        let prevATR: number | undefined;
+
+        const atrAlgorithm = slidingWindow()
+            .skipInitial(1) // trueRange starts from index 1 so ATR starts from 1
+            .windowSize(windowSize)
+            .accumulator((values: any[]) => {
+                const tr = values[values.length - 1];
+                const atr =
+                    prevATR !== undefined ? (prevATR * (windowSize - 1) + tr) / windowSize : sum(values) / windowSize;
+
+                prevATR = atr;
+                return atr;
+            });
+
+        const newData = atrAlgorithm(trueRangeAlgorithm(data));
+
+        return newData;
+    };
+
+    calculator.undefinedLength = () => {
+        const { windowSize } = options;
+
+        return windowSize - 1;
+    };
+
+    calculator.options = (newOptions?: ATROptions) => {
+        if (newOptions === undefined) {
+            return options;
+        }
+
+        options = { ...defaultOptions, ...newOptions };
+
+        return calculator;
+    };
+
+    calculator.source = (newSource?: (d: any) => ATRSource) => {
+        if (newSource === undefined) {
+            return source;
+        }
+
+        source = newSource;
+
+        return calculator;
+    };
+
+    return calculator as ATRCalculator;
+}

package/src/calculator/bollingerband.ts

@@ -0,0 +1,102 @@
+/*
+https://github.com/ScottLogic/d3fc/blob/master/src/indicator/algorithm/calculator/bollingerBands.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 { deviation, mean } from "d3-array";
+import { path, slidingWindow, zipper } from "../utils";
+import ema from "./ema";
+import { BollingerBand as defaultOptions } from "./defaultOptionsForComputation";
+
+export interface BollingerBandOptions {
+    readonly windowSize: number;
+    readonly sourcePath: string;
+    readonly multiplier: number;
+    readonly movingAverageType: string;
+}
+
+interface BollingerBandCalculator {
+    (data: any[]): any;
+    undefinedLength(): number;
+    options(): BollingerBandOptions;
+    options(newOptions: BollingerBandOptions): BollingerBandCalculator;
+}
+
+export default function () {
+    let options: BollingerBandOptions = defaultOptions;
+
+    const calculator = (data: any[]) => {
+        const { windowSize, multiplier, movingAverageType, sourcePath } = options;
+
+        const source = path(sourcePath);
+
+        const meanAlgorithm =
+            movingAverageType === "ema"
+                ? ema().options({ windowSize, sourcePath })
+                : slidingWindow()
+                      .windowSize(windowSize)
+                      .accumulator((values: any) => mean(values))
+                      .sourcePath(sourcePath);
+
+        const bollingerBandAlgorithm = slidingWindow()
+            .windowSize(windowSize)
+            .accumulator((values: any[]) => {
+                const avg = values[values.length - 1].mean;
+                const stdDev = deviation<any>(values, (each) => source(each.datum));
+                if (stdDev === undefined) {
+                    return undefined;
+                }
+
+                return {
+                    top: avg + multiplier * stdDev,
+                    middle: avg,
+                    bottom: avg - multiplier * stdDev,
+                };
+            });
+
+        const zip = zipper().combine((datum: any, meanValue: number) => ({ datum, mean: meanValue }));
+
+        const tuples = zip(data, meanAlgorithm(data));
+
+        return bollingerBandAlgorithm(tuples);
+    };
+
+    calculator.undefinedLength = () => {
+        const { windowSize } = options;
+
+        return windowSize - 1;
+    };
+
+    calculator.options = (newOptions?: BollingerBandOptions) => {
+        if (newOptions === undefined) {
+            return options;
+        }
+
+        options = { ...defaultOptions, ...newOptions };
+
+        return calculator;
+    };
+
+    return calculator as BollingerBandCalculator;
+}

package/src/calculator/change.ts

@@ -0,0 +1,53 @@
+import { slidingWindow } from "../utils";
+import { Change as defaultOptions } from "./defaultOptionsForComputation";
+
+export interface ChangeOptions {
+    readonly sourcePath: string;
+    readonly basePath: string;
+    readonly mainKeys: string[];
+    readonly compareKeys: string[];
+}
+
+interface ChangeCalculator {
+    (data: any[]): any;
+    undefinedLength(): number;
+    options(): ChangeOptions;
+    options(newOptions: ChangeOptions): ChangeCalculator;
+}
+
+export default function () {
+    let options: ChangeOptions = defaultOptions;
+
+    const calculator = (data: any[]) => {
+        const { sourcePath } = options;
+
+        const algo = slidingWindow()
+            .windowSize(2)
+            .sourcePath(sourcePath)
+            .accumulator(([prev, curr]: any) => {
+                const absoluteChange = curr - prev;
+                const percentChange = (absoluteChange * 100) / prev;
+                return { absoluteChange, percentChange };
+            });
+
+        const newData = algo(data);
+
+        return newData;
+    };
+
+    calculator.undefinedLength = () => {
+        return 1;
+    };
+
+    calculator.options = (newOptions?: ChangeOptions) => {
+        if (newOptions === undefined) {
+            return options;
+        }
+
+        options = { ...defaultOptions, ...newOptions };
+
+        return calculator;
+    };
+
+    return calculator as ChangeCalculator;
+}