oakscriptjs 0.11.0 → 0.11.2

package/dist/cjs/script/index.js

@@ -29,6 +29,7 @@ var __toCommonJS = (mod) => __copyProps(__defProp({}, "__esModule", { value: tru
 var script_exports = {};
 __export(script_exports, {
   BarData: () => import_series.BarData,
+  MissingSymbolDataError: () => MissingSymbolDataError,
   STRATEGY_DEFAULTS: () => import_strategy2.STRATEGY_DEFAULTS,
   Series: () => import_series.Series,
   alertcondition: () => alertcondition,
@@ -126,9 +127,10 @@ var import_numberformat = require("../str/numberformat.js");
 var import_calendar = require("../session/calendar.js");
 var import_bars = require("../session/bars.js");
 var import_resample = require("../security/resample.js");
+var import_other = require("../security/other.js");
 var import_types = require("../types/index.js");
 var import_strategy = require("../strategy/index.js");
-var import_session = require("../time/session.js");
+var import_context = require("../session/context.js");
 var import_strategy2 = require("../strategy/index.js");
 var compare = __toESM(require("../compare/index.js"), 1);
 var import_input_active = require("../runtime/input-active.js");
@@ -185,8 +187,10 @@ function executeScript(body, barsInput, inputs = {}, chart2 = {}, options = {})
   ctx = freshCollector(inputs);
   (0, import_registry.resetDrawings)();
   mathCore.resetRandom();
+  missingSymbols = [];
   try {
     body();
+    if (missingSymbols.length) throw new MissingSymbolDataError(missingSymbols);
     const c = ctx;
     return {
       metadata: {
@@ -310,6 +314,10 @@ const input = {
       "input_session"
     );
   },
+  /** Ticker id ("NASDAQ:MSFT"), for `request.security` of another symbol (#180). */
+  symbol(defval, title, opts = {}) {
+    return registerInput({ type: "symbol", defval, title, options: opts.options, ...common(opts) }, "input_symbol");
+  },
   /** Date and time as a UNIX time in milliseconds, e.g. `input.time(timestamp('2024-01-01'), 'Start')`. */
   time(defval, title, opts = {}) {
     const v = registerInput({ type: "time", defval, title, ...common(opts) }, "input_time");
@@ -361,11 +369,12 @@ const ta = {
   highestbars: (sourceOrLength, length) => typeof sourceOrLength === "number" ? taSeries.highestbars(high, sourceOrLength) : taSeries.highestbars(sourceOrLength, length),
   /** `ta.lowestbars(source, length)` or `ta.lowestbars(length)` (source = low); offsets are 0 or negative. */
   lowestbars: (sourceOrLength, length) => typeof sourceOrLength === "number" ? taSeries.lowestbars(low, sourceOrLength) : taSeries.lowestbars(sourceOrLength, length),
-  /** `ta.vwap(source, anchor?, stdev_mult?)` with the chart volume; the default anchor is a new trading
-   *  day (`timeframe.change("1D")`), which needs the chart context (timeframe, time zone, session), and the
-   *  first bar: as in PineScript, the first loaded bars (a day in progress) have a value. */
+  /** `ta.vwap(source, anchor?, stdev_mult?)` with the chart volume; the default anchor is a new trading day
+   *  and the first bar: as in PineScript, the first loaded bars (a day in progress) have a value. On D / W / M
+   *  charts every bar is a new day (no time zone or session needed); on intraday charts it needs the chart context
+   *  (timeframe, time zone, session). */
   vwap: ((source, anchor, stdev_mult) => {
-    const a = anchor ?? changeOf("1D", true);
+    const a = anchor ?? vwapAnchor();
     return stdev_mult === void 0 ? taSeries.vwap(source, volume, a) : taSeries.vwapBands(source, volume, a, stdev_mult);
   }),
   /** `ta.mfi(source, length)` with the chart volume (PineScript takes 2 arguments). */
@@ -765,7 +774,7 @@ function eachBar(fn) {
     for (idx = 0; idx < b.length; idx++) {
       if (pendingError && pendingError.bar === idx) throw new Error((0, import_series.historyError)(idx, pendingError.barsBack));
       currentBar = idx;
-      (0, import_registry.setDrawingBar)(idx, idx === b.length - 1);
+      (0, import_registry.setDrawingBar)(idx, idx === b.length - 1, b.length - 1);
       const r = fn(ctx2);
       out[idx] = typeof r === "number" ? r : typeof r === "boolean" ? r ? 1 : 0 : NaN;
       for (const buffer of buffers.values()) {
@@ -927,6 +936,17 @@ const strategy = Object.defineProperties(
   Object.assign((title, options) => declareStrategy(title, options), strategyMembers),
   variableGetters
 );
+class MissingSymbolDataError extends Error {
+  constructor(requests) {
+    super(
+      `request.security needs the bars of ${requests.map((r) => `${r.symbol} (${r.timeframe})`).join(", ")}: pass them with ChartContext.bars.`
+    );
+    this.requests = requests;
+    this.name = "MissingSymbolDataError";
+  }
+  requests;
+}
+let missingSymbols = [];
 let chartCtx = {};
 function chartTimeframe() {
   collector();
@@ -1047,6 +1067,12 @@ const syminfo = {
   },
   get currency() {
     return chartText("currency", "syminfo.currency");
+  },
+  get basecurrency() {
+    return chartText("basecurrency", "syminfo.basecurrency");
+  },
+  get root() {
+    return chartText("root", "syminfo.root");
   }
 };
 function calendar(fn) {
@@ -1108,23 +1134,6 @@ function sessionBars() {
   }
   return sessionCache;
 }
-function calendarFor(session2, timezone) {
-  const { bars: bars2 } = sessionBars();
-  if (!session2 && !timezone) return { bars: bars2, test: false };
-  const tz = timezone ?? exchangeTimezone();
-  if (session2 !== void 0 && (0, import_session.parsePineSession)(session2) === null) {
-    const name = session2.trim();
-    const symbol = name === "regular" && chartCtx.regularSession ? chartCtx.regularSession : chartCtx.session;
-    return { bars: new import_bars.SessionBars(new import_calendar.TradingCalendar(tz, { session: toSpec(symbol).session }, "symbol"), bars2.chart.period), test: true };
-  }
-  const spec = session2 ? { session: session2 } : { session: toSpec(chartCtx.session).session };
-  return {
-    bars: new import_bars.SessionBars(new import_calendar.TradingCalendar(tz, spec, session2 ? "pine" : "symbol"), bars2.chart.period),
-    test: true,
-    // a PineScript session string: the rules of time.inSession (runs ending at 0000, days around a clock change)
-    inside: session2 ? (time2) => timeCore.inSession(time2, session2, tz, timeframeCore.in_seconds(bars2.chart.period) * 1e3) : void 0
-  };
-}
 function perBar(fn) {
   const times = ctxBars.bars.map(barTime);
   return import_series.Series.fromArray(ctxBars, times.map((t, i) => fn(t, i, times)));
@@ -1134,17 +1143,19 @@ function callableSeries(series, fn) {
   Object.assign(fn, series);
   return fn;
 }
+function chartSessionPeriods(timeframeString, session2, timezone) {
+  const { bars: bars2 } = sessionBars();
+  return (0, import_context.sessionPeriods)(bars2, { ...chartCtx, timezone: exchangeTimezone() }, timeframeString, session2, timezone);
+}
 function timeFunction(tf, session2, timezone) {
   collector();
-  const { bars: bars2, test, inside } = calendarFor(session2, timezone);
-  const timeframeString = tf || chartTimeframe().period;
-  return perBar((t) => test && !(inside ? inside(t) : bars2.inside(t)) ? NaN : bars2.timeOf(t, timeframeString));
+  const { open: open2 } = chartSessionPeriods(tf || chartTimeframe().period, session2, timezone);
+  return perBar((t) => open2(t));
 }
 function timeCloseFunction(tf, session2, timezone) {
   collector();
-  const { bars: bars2, test, inside } = calendarFor(session2, timezone);
-  const timeframeString = tf || chartTimeframe().period;
-  return perBar((t) => test && !(inside ? inside(t) : bars2.inside(t)) ? NaN : bars2.closeOf(t, timeframeString));
+  const { close: close2 } = chartSessionPeriods(tf || chartTimeframe().period, session2, timezone);
+  return perBar((t) => close2(t));
 }
 let runNow = NaN;
 const timenow = new import_series.Series(ctxBars, () => runNow);
@@ -1159,6 +1170,19 @@ function changeOf(tf, firstBar = false) {
   const changed = (a, b) => !Number.isNaN(a) && !Number.isNaN(b) && a !== b;
   return perBar((t, i, times) => (i > 0 ? changed(bars2.timeOf(t, tf), bars2.timeOf(times[i - 1], tf)) : firstBar) ? 1 : 0);
 }
+function vwapAnchor() {
+  if (chartTimeframe().isdwm) return barFlag(() => true);
+  const { bars: bars2 } = sessionBars();
+  let last = NaN;
+  let previous = NaN;
+  return perBar((t, i) => {
+    const day = bars2.timeOf(t, "1D");
+    const isNew = i === 0 || (Number.isNaN(day) ? Number.isNaN(previous) : day !== last);
+    if (!Number.isNaN(day)) last = day;
+    previous = day;
+    return isNew ? 1 : 0;
+  });
+}
 function flag(key) {
   const { bars: bars2, regular } = sessionBars();
   const values = (0, import_bars.sessionFlags)(ctxBars.bars.map(barTime), bars2, regular)[key];
@@ -1244,17 +1268,17 @@ function valuesOf(value, length) {
   }
   return value.toArray().slice();
 }
-function security(symbol, timeframe2, expression, gaps = barmerge.gaps_off, lookahead = barmerge.lookahead_off) {
+function security(symbol, timeframe2, expression, gaps = barmerge.gaps_off, lookahead = barmerge.lookahead_off, ignore_invalid_symbol = false) {
   collector();
   const heikin = symbol.startsWith(HEIKIN_ASHI);
   const base = heikin ? symbol.slice(HEIKIN_ASHI.length) : symbol;
-  if (base !== "" && base !== chartCtx.tickerid) {
-    throw new Error(`request.security: "${symbol}" is not the chart symbol; other symbols need external data.`);
-  }
   const chart2 = chartTimeframe();
   const tf = timeframeCore.info(timeframe2 || chart2.period).period;
+  if (base !== "" && base !== chartCtx.tickerid) {
+    return externalSecurity(base, heikin, tf, expression, gaps, lookahead, ignore_invalid_symbol, false);
+  }
   if (timeframeCore.in_seconds(tf) < timeframeCore.in_seconds(chart2.period)) {
-    throw new Error(`request.security: timeframe "${tf}" is lower than the chart timeframe "${chart2.period}".`);
+    return externalSecurity(chartCtx.tickerid ?? "", heikin, tf, expression, gaps, lookahead, ignore_invalid_symbol, true);
   }
   const chartBars = ctxBars.bars;
   const times = chartBars.map(barTime);
@@ -1274,6 +1298,8 @@ function security(symbol, timeframe2, expression, gaps = barmerge.gaps_off, look
       const periods = at ? calendar2.calendar.periods(at.date) : [];
       return periods.length ? calendar2.timeOf(periods[0][0], tf) : starts[i];
     });
+    const tfInfo = timeframeCore.info(tf);
+    (0, import_bars.strayPeriods)(starts, dayPeriods, times, loaded, tfInfo.isdwm ? null : timeframeCore.in_seconds(tf) * 1e3);
     const reaches = times.map((t) => loaded.closeOf(t, chart2.period) >= calendar2.periodEnd(t, tf));
     ({ group, latest } = (0, import_resample.periodsOf)(starts, dayPeriods, reaches));
     const unit = chartCtx.timeUnit === "ms" ? 1 : 1e3;
@@ -1300,7 +1326,85 @@ function security(symbol, timeframe2, expression, gaps = barmerge.gaps_off, look
   );
   return Array.isArray(result) ? mapped : mapped[0];
 }
-const request = { security };
+function runExternal(symbol, heikin, tf, expression, ignoreInvalid, own) {
+  let bars2 = chartCtx.bars?.(symbol, tf);
+  if (bars2 === void 0 && !missingSymbols.some((r) => r.symbol === symbol && r.timeframe === tf)) {
+    missingSymbols.push({ symbol, timeframe: tf });
+  }
+  if (bars2 !== void 0 && bars2.length === 0 && !ignoreInvalid) throw new Error(`Invalid symbol: ${symbol}`);
+  bars2 ??= [];
+  if (heikin) bars2 = (0, import_resample.heikinAshi)(bars2);
+  const given2 = chartCtx.symbolInfo?.(symbol);
+  const info = own ? { ...chartCtx, ...given2 } : given2 ?? {};
+  const chartBars = ctxBars.bars;
+  const savedCtx = chartCtx;
+  let result;
+  let values;
+  ctxBars.setAll(bars2);
+  chartCtx = {
+    ...chartCtx,
+    tickerid: symbol,
+    timeframe: tf,
+    timezone: info.timezone,
+    session: info.session,
+    regularSession: info.regularSession,
+    mintick: info.mintick,
+    minmove: info.minmove,
+    pricescale: info.pricescale,
+    pointvalue: info.pointvalue,
+    mincontract: info.mincontract,
+    symbolType: info.symbolType,
+    currency: info.currency,
+    basecurrency: info.basecurrency,
+    root: info.root
+  };
+  try {
+    result = expression();
+    const parts = Array.isArray(result) ? result : [result];
+    values = parts.map((p) => valuesOf(p, bars2.length));
+  } finally {
+    ctxBars.setAll(chartBars);
+    chartCtx = savedCtx;
+  }
+  return { bars: bars2, info, result, values };
+}
+function mergeChart() {
+  return {
+    timeframe: chartTimeframe().period,
+    timezone: chartCtx.timezone,
+    session: chartCtx.session,
+    timeUnit: chartCtx.timeUnit,
+    // the realtime rule applies to a last bar that receives live updates
+    lastBarConfirmed: chartCtx.realtime !== true
+  };
+}
+function externalSecurity(symbol, heikin, tf, expression, gaps, lookahead, ignoreInvalid, own) {
+  const { bars: bars2, info, result, values } = runExternal(symbol, heikin, tf, expression, ignoreInvalid, own);
+  const index = (0, import_other.securityOther)(ctxBars.bars, bars2, tf, mergeChart(), {
+    gaps: gaps === barmerge.gaps_on,
+    lookahead: lookahead === barmerge.lookahead_on,
+    other: info
+  });
+  const mapped = values.map((v) => import_series.Series.fromArray(ctxBars, index.map((j) => j < 0 ? NaN : v[j] ?? NaN)));
+  return Array.isArray(result) ? mapped : mapped[0];
+}
+function security_lower_tf(symbol, timeframe2, expression, ignore_invalid_symbol = false) {
+  collector();
+  const heikin = symbol.startsWith(HEIKIN_ASHI);
+  const base = heikin ? symbol.slice(HEIKIN_ASHI.length) : symbol;
+  const chart2 = chartTimeframe();
+  const tf = timeframeCore.info(timeframe2 || chart2.period).period;
+  if (timeframeCore.in_seconds(tf) > timeframeCore.in_seconds(chart2.period)) {
+    throw new Error(`request.security_lower_tf: timeframe "${tf}" is higher than the chart timeframe "${chart2.period}".`);
+  }
+  const own = base === "" || base === chartCtx.tickerid;
+  const ticker2 = own ? chartCtx.tickerid ?? "" : base;
+  const { bars: bars2, info, result, values } = runExternal(ticker2, heikin, tf, expression, ignore_invalid_symbol, own);
+  const ranges = (0, import_other.securityLowerTf)(ctxBars.bars, bars2, tf, mergeChart(), { other: info });
+  const mapped = values.map((v) => ranges.map(([from, to]) => v.slice(from, to)));
+  return Array.isArray(result) ? mapped : mapped[0];
+}
+const request = { security, security_lower_tf };
 const line = {
   ...lineCore,
   get all() {