oakscriptjs 0.7.2 → 0.8.0

package/dist/callsite/index.d.ts

@@ -0,0 +1,6 @@
+import type { Source } from '../types';
+export declare function whenCalled<T extends number | boolean>(called: ArrayLike<boolean | number>, fn: (...values: number[][]) => ArrayLike<T>, ...sources: Source[]): Array<T | number>;
+export declare function crossover(): (a: number, b: number) => boolean;
+export declare function crossunder(): (a: number, b: number) => boolean;
+export declare function cross(): (a: number, b: number) => boolean;
+//# sourceMappingURL=index.d.ts.map

package/dist/callsite/index.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../src/callsite/index.ts"],"names":[],"mappings":"AA6BA,OAAO,KAAK,EAAE,MAAM,EAAE,MAAM,UAAU,CAAC;AAWvC,wBAAgB,UAAU,CAAC,CAAC,SAAS,MAAM,GAAG,OAAO,EACnD,MAAM,EAAE,SAAS,CAAC,OAAO,GAAG,MAAM,CAAC,EACnC,EAAE,EAAE,CAAC,GAAG,MAAM,EAAE,MAAM,EAAE,EAAE,KAAK,SAAS,CAAC,CAAC,CAAC,EAC3C,GAAG,OAAO,EAAE,MAAM,EAAE,GACnB,KAAK,CAAC,CAAC,GAAG,MAAM,CAAC,CASnB;AAeD,wBAAgB,SAAS,IAAI,CAAC,CAAC,EAAE,MAAM,EAAE,CAAC,EAAE,MAAM,KAAK,OAAO,CAE7D;AAGD,wBAAgB,UAAU,IAAI,CAAC,CAAC,EAAE,MAAM,EAAE,CAAC,EAAE,MAAM,KAAK,OAAO,CAE9D;AAGD,wBAAgB,KAAK,IAAI,CAAC,CAAC,EAAE,MAAM,EAAE,CAAC,EAAE,MAAM,KAAK,OAAO,CAEzD"}

package/dist/index.cjs

@@ -22,6 +22,10 @@ var index_exports = {};
 __export(index_exports, {
   BarData: () => BarData,
   LightweightChartsAdapter: () => LightweightChartsAdapter,
+  STRATEGY_CONSTANTS: () => STRATEGY_CONSTANTS,
+  STRATEGY_DEFAULTS: () => STRATEGY_DEFAULTS,
+  STRATEGY_NUMBER_VARIABLES: () => STRATEGY_NUMBER_VARIABLES,
+  STRATEGY_TEXT_VARIABLES: () => STRATEGY_TEXT_VARIABLES,
   Series: () => Series,
   SimpleInputAdapter: () => SimpleInputAdapter,
   VERSION: () => VERSION,
@@ -29,11 +33,13 @@ __export(index_exports, {
   abs: () => abs,
   alertcondition: () => alertcondition,
   array: () => array_exports,
+  at: () => at,
   atr: () => atr2,
   avg: () => avg,
   bb: () => bb2,
   box: () => box_exports,
   calculateZigZag: () => calculateZigZag,
+  callsite: () => callsite_exports,
   ceil: () => ceil,
   change: () => change2,
   chartPoint: () => chartpoint_exports,
@@ -44,9 +50,10 @@ __export(index_exports, {
   compare: () => compare_exports,
   cos: () => cos,
   createPlot: () => createPlot,
-  crossover: () => crossover2,
-  crossunder: () => crossunder2,
+  crossover: () => crossover3,
+  crossunder: () => crossunder3,
   cum: () => cum2,
+  div: () => div,
   ema: () => ema2,
   exp: () => exp,
   fixnan: () => fixnan,
@@ -56,6 +63,7 @@ __export(index_exports, {
   getHigh: () => getHigh,
   getLow: () => getLow,
   getOpen: () => getOpen,
+  getSource: () => getSource,
   getSourceSeries: () => getSourceSeries,
   hline: () => hline,
   indicator: () => indicator,
@@ -193,6 +201,40 @@ __export(ta_exports, {
   wvad: () => wvad,
   zigzag: () => zigzag
 });
+
+// src/compare/index.ts
+var compare_exports = {};
+__export(compare_exports, {
+  EPSILON: () => EPSILON,
+  eq: () => eq,
+  ge: () => ge,
+  gt: () => gt,
+  le: () => le,
+  lt: () => lt,
+  ne: () => ne
+});
+var EPSILON = 1e-10;
+var valid = (a, b2) => !Number.isNaN(a) && !Number.isNaN(b2);
+function eq(a, b2) {
+  return valid(a, b2) && Math.abs(a - b2) <= EPSILON;
+}
+function ne(a, b2) {
+  return valid(a, b2) && Math.abs(a - b2) > EPSILON;
+}
+function lt(a, b2) {
+  return valid(a, b2) && b2 - a > EPSILON;
+}
+function le(a, b2) {
+  return valid(a, b2) && a - b2 <= EPSILON;
+}
+function gt(a, b2) {
+  return valid(a, b2) && a - b2 > EPSILON;
+}
+function ge(a, b2) {
+  return valid(a, b2) && b2 - a <= EPSILON;
+}
+
+// src/ta/index.ts
 function sma(source, length2) {
   const result = [];
   const len = Math.floor(length2);
@@ -384,7 +426,7 @@ function tr(handle_na = false, high, low, close) {
   const result = [];
   for (let i = 0; i < high.length; i++) {
     if (i === 0) {
-      result.push(high[i] - low[i]);
+      result.push(handle_na ? high[i] - low[i] : NaN);
     } else {
       const prevClose = close[i - 1];
       if (isNaN(prevClose)) {
@@ -411,7 +453,7 @@ function atr(length2, high, low, close) {
       "ta.atr() requires high, low, and close series. Either pass them explicitly or use createContext({ chart: { high, low, close } }) for implicit data."
     );
   }
-  const trueRange = tr(false, high, low, close);
+  const trueRange = tr(true, high, low, close);
   return rma(trueRange, length2);
 }
 function supertrend(factor, atrPeriod, high, low, close, wicks = false) {
@@ -888,48 +930,26 @@ function mfi(source, length2, volume) {
       "ta.mfi() requires volume series. Either pass it explicitly or use createContext({ chart: { ..., volume } }) for implicit data."
     );
   }
-  const result = [];
-  const changes = [NaN];
-  for (let i = 1; i < source.length; i++) {
-    changes.push(source[i] - source[i - 1]);
-  }
-  const positiveFlow = [];
-  const negativeFlow = [];
+  const upperFlow = [];
+  const lowerFlow = [];
   for (let i = 0; i < source.length; i++) {
-    if (i === 0 || isNaN(changes[i])) {
-      positiveFlow.push(0);
-      negativeFlow.push(0);
-    } else if (changes[i] > 0) {
-      positiveFlow.push(volume[i] * source[i]);
-      negativeFlow.push(0);
-    } else if (changes[i] < 0) {
-      positiveFlow.push(0);
-      negativeFlow.push(volume[i] * source[i]);
-    } else {
-      positiveFlow.push(0);
-      negativeFlow.push(0);
-    }
-  }
-  for (let i = 0; i < source.length; i++) {
-    if (i < length2) {
-      result.push(NaN);
-    } else {
-      let posSum = 0;
-      let negSum = 0;
-      for (let j = 0; j < length2; j++) {
-        posSum += positiveFlow[i - j];
-        negSum += negativeFlow[i - j];
-      }
-      if (negSum === 0) {
-        result.push(100);
-      } else {
-        const moneyRatio = posSum / negSum;
-        const mfiValue = 100 - 100 / (1 + moneyRatio);
-        result.push(mfiValue);
-      }
-    }
-  }
-  return result;
+    const change3 = i === 0 ? NaN : source[i] - source[i - 1];
+    const flow = volume[i] * source[i];
+    upperFlow.push(le(change3, 0) ? 0 : flow);
+    lowerFlow.push(ge(change3, 0) ? 0 : flow);
+  }
+  const sumAt = (flow, i) => {
+    const values2 = lastValues(flow, i, Math.floor(length2));
+    return values2 ? values2.reduce((a, b2) => a + b2, 0) : NaN;
+  };
+  const upper2 = upperFlow.map((_, i) => sumAt(upperFlow, i));
+  const lower2 = lowerFlow.map((_, i) => sumAt(lowerFlow, i));
+  return upper2.map((u, i) => {
+    const l = lower2[i];
+    if (Number.isNaN(u) || Number.isNaN(l)) return NaN;
+    if (l === 0) return 100;
+    return 100 - 100 / (1 + u / l);
+  });
 }
 function hma(source, length2) {
   const halfLength = Math.floor(length2 / 2);
@@ -1093,50 +1113,32 @@ function dmi(diLength, adxSmoothing, high, low, close) {
   const len = Math.max(high.length, low.length, close.length);
   const plusDM = [];
   const minusDM = [];
-  const trueRangeValues = tr(false, high, low, close);
-  for (let i = 0; i < len; i++) {
-    if (i === 0) {
-      plusDM.push(0);
-      minusDM.push(0);
-    } else {
-      const upMove = high[i] - high[i - 1];
-      const downMove = low[i - 1] - low[i];
-      let plusDMVal = 0;
-      let minusDMVal = 0;
-      if (upMove > downMove && upMove > 0) {
-        plusDMVal = upMove;
-      }
-      if (downMove > upMove && downMove > 0) {
-        minusDMVal = downMove;
-      }
-      plusDM.push(plusDMVal);
-      minusDM.push(minusDMVal);
-    }
-  }
-  const smoothedPlusDM = rma(plusDM, diLength);
-  const smoothedMinusDM = rma(minusDM, diLength);
-  const smoothedTR = rma(trueRangeValues, diLength);
-  const plusDI = [];
-  const minusDI = [];
-  for (let i = 0; i < len; i++) {
-    if (smoothedTR[i] === 0) {
-      plusDI.push(0);
-      minusDI.push(0);
-    } else {
-      plusDI.push(smoothedPlusDM[i] / smoothedTR[i] * 100);
-      minusDI.push(smoothedMinusDM[i] / smoothedTR[i] * 100);
-    }
-  }
-  const dx = [];
   for (let i = 0; i < len; i++) {
-    const sum4 = plusDI[i] + minusDI[i];
-    if (sum4 === 0) {
-      dx.push(0);
-    } else {
-      dx.push(Math.abs(plusDI[i] - minusDI[i]) / sum4 * 100);
-    }
-  }
-  const adx = rma(dx, adxSmoothing);
+    const up = i === 0 ? NaN : high[i] - high[i - 1];
+    const down = i === 0 ? NaN : low[i - 1] - low[i];
+    plusDM.push(Number.isNaN(up) ? NaN : gt(up, down) && gt(up, 0) ? up : 0);
+    minusDM.push(Number.isNaN(down) ? NaN : gt(down, up) && gt(down, 0) ? down : 0);
+  }
+  const trur = rma(tr(false, high, low, close), diLength);
+  const smoothedPlus = rma(plusDM, diLength);
+  const smoothedMinus = rma(minusDM, diLength);
+  const directional = (smoothed) => {
+    let last2 = NaN;
+    return smoothed.map((v, i) => {
+      const t2 = trur[i];
+      const value = t2 === 0 ? NaN : 100 * v / t2;
+      if (!Number.isNaN(value)) last2 = value;
+      return last2;
+    });
+  };
+  const plusDI = directional(smoothedPlus);
+  const minusDI = directional(smoothedMinus);
+  const dx = plusDI.map((plus, i) => {
+    const minus = minusDI[i];
+    const sum4 = plus + minus;
+    return Math.abs(plus - minus) / (eq(sum4, 0) ? 1 : sum4);
+  });
+  const adx = rma(dx, adxSmoothing).map((v) => 100 * v);
   return [plusDI, minusDI, adx];
 }
 function tsi(source, shortLength, longLength) {
@@ -1963,38 +1965,6 @@ __export(math_exports, {
   toradians: () => toradians
 });
 
-// src/compare/index.ts
-var compare_exports = {};
-__export(compare_exports, {
-  EPSILON: () => EPSILON,
-  eq: () => eq,
-  ge: () => ge,
-  gt: () => gt,
-  le: () => le,
-  lt: () => lt,
-  ne: () => ne
-});
-var EPSILON = 1e-10;
-var valid = (a, b2) => !Number.isNaN(a) && !Number.isNaN(b2);
-function eq(a, b2) {
-  return valid(a, b2) && Math.abs(a - b2) <= EPSILON;
-}
-function ne(a, b2) {
-  return valid(a, b2) && Math.abs(a - b2) > EPSILON;
-}
-function lt(a, b2) {
-  return valid(a, b2) && b2 - a > EPSILON;
-}
-function le(a, b2) {
-  return valid(a, b2) && a - b2 <= EPSILON;
-}
-function gt(a, b2) {
-  return valid(a, b2) && a - b2 > EPSILON;
-}
-function ge(a, b2) {
-  return valid(a, b2) && b2 - a <= EPSILON;
-}
-
 // src/runtime/series.ts
 var BarData = class _BarData {
   _bars;
@@ -6242,6 +6212,44 @@ var format_none = 0;
 var format_bold = 1;
 var format_italic = 2;
 
+// src/callsite/index.ts
+var callsite_exports = {};
+__export(callsite_exports, {
+  cross: () => cross2,
+  crossover: () => crossover2,
+  crossunder: () => crossunder2,
+  whenCalled: () => whenCalled
+});
+function whenCalled(called, fn, ...sources) {
+  const bars = [];
+  for (let i = 0; i < called.length; i++) if (called[i]) bars.push(i);
+  const result = fn(...sources.map((s) => bars.map((i) => s[i] ?? NaN)));
+  const out = new Array(called.length).fill(NaN);
+  bars.forEach((bar, k) => {
+    out[bar] = result[k];
+  });
+  return out;
+}
+function twoSeriesSite(test) {
+  let prevA = NaN;
+  let prevB = NaN;
+  return (a, b2) => {
+    const result = test(a, b2, prevA, prevB);
+    prevA = a;
+    prevB = b2;
+    return result;
+  };
+}
+function crossover2() {
+  return twoSeriesSite((a, b2, pa, pb) => a > b2 && pa <= pb);
+}
+function crossunder2() {
+  return twoSeriesSite((a, b2, pa, pb) => a < b2 && pa >= pb);
+}
+function cross2() {
+  return twoSeriesSite((a, b2, pa, pb) => a > b2 && pa <= pb || a < b2 && pa >= pb);
+}
+
 // src/ta-series.ts
 var ta_series_exports = {};
 __export(ta_series_exports, {
@@ -6256,9 +6264,9 @@ __export(ta_series_exports, {
   cmo: () => cmo2,
   cog: () => cog2,
   correlation: () => correlation2,
-  cross: () => cross2,
-  crossover: () => crossover2,
-  crossunder: () => crossunder2,
+  cross: () => cross3,
+  crossover: () => crossover3,
+  crossunder: () => crossunder3,
   cum: () => cum2,
   dev: () => dev2,
   dmi: () => dmi2,
@@ -6424,7 +6432,7 @@ function stoch2(source, high, low, length2) {
   const result = stoch(sourceValues, highValues, lowValues, length2);
   return Series.fromArray(bars, result);
 }
-function crossover2(source1, source2) {
+function crossover3(source1, source2) {
   const bars = source1.bars;
   const vals1 = source1.toArray();
   const vals2 = typeof source2 === "number" ? Array(bars.length).fill(source2) : source2.toArray();
@@ -6432,7 +6440,7 @@ function crossover2(source1, source2) {
   const numResult = result.map((b2) => b2 ? 1 : 0);
   return Series.fromArray(bars, numResult);
 }
-function crossunder2(source1, source2) {
+function crossunder3(source1, source2) {
   const bars = source1.bars;
   const vals1 = source1.toArray();
   const vals2 = typeof source2 === "number" ? Array(bars.length).fill(source2) : source2.toArray();
@@ -6440,7 +6448,7 @@ function crossunder2(source1, source2) {
   const numResult = result.map((b2) => b2 ? 1 : 0);
   return Series.fromArray(bars, numResult);
 }
-function cross2(source1, source2) {
+function cross3(source1, source2) {
   const bars = source1.bars;
   const vals1 = source1.toArray();
   const vals2 = typeof source2 === "number" ? Array(bars.length).fill(source2) : source2.toArray();
@@ -6759,9 +6767,9 @@ var ta = {
   atr: atr2,
   tr: tr2,
   stoch: stoch2,
-  crossover: crossover2,
-  crossunder: crossunder2,
-  cross: cross2,
+  crossover: crossover3,
+  crossunder: crossunder3,
+  cross: cross3,
   change: change2,
   mom: mom2,
   roc: roc2,
@@ -6837,6 +6845,16 @@ function fixnan(source) {
     return seen ? last2 : v;
   });
 }
+function at(source, i, offset = 0) {
+  if (offset < 0) {
+    throw new RangeError(`at(): the offset must be >= 0 (got ${offset}); a negative offset reads a later bar.`);
+  }
+  const j = i - offset;
+  return j >= 0 && j < source.length ? source[j] ?? NaN : NaN;
+}
+function div(a, b2) {
+  return b2 === 0 ? NaN : a / b2;
+}
 function ohlcFromBars(bars) {
   return {
     open: bars.map((b2) => b2.open),
@@ -6857,6 +6875,50 @@ function getLow(ohlc) {
 function getOpen(ohlc) {
   return ohlc.open;
 }
+function getSource(data, source = "close") {
+  const isOHLC = "open" in data && Array.isArray(data.open);
+  if (isOHLC) {
+    const ohlc = data;
+    switch (source) {
+      case "close":
+        return ohlc.close;
+      case "open":
+        return ohlc.open;
+      case "high":
+        return ohlc.high;
+      case "low":
+        return ohlc.low;
+      case "hl2":
+        return ohlc.high.map((h, i) => (h + ohlc.low[i]) / 2);
+      case "hlc3":
+        return ohlc.high.map((h, i) => (h + ohlc.low[i] + ohlc.close[i]) / 3);
+      case "ohlc4":
+        return ohlc.open.map((o, i) => (o + ohlc.high[i] + ohlc.low[i] + ohlc.close[i]) / 4);
+      case "hlcc4":
+        return ohlc.high.map((h, i) => (h + ohlc.low[i] + ohlc.close[i] + ohlc.close[i]) / 4);
+    }
+  } else {
+    const bars = data;
+    switch (source) {
+      case "close":
+        return bars.map((b2) => b2.close);
+      case "open":
+        return bars.map((b2) => b2.open);
+      case "high":
+        return bars.map((b2) => b2.high);
+      case "low":
+        return bars.map((b2) => b2.low);
+      case "hl2":
+        return bars.map((b2) => (b2.high + b2.low) / 2);
+      case "hlc3":
+        return bars.map((b2) => (b2.high + b2.low + b2.close) / 3);
+      case "ohlc4":
+        return bars.map((b2) => (b2.open + b2.high + b2.low + b2.close) / 4);
+      case "hlcc4":
+        return bars.map((b2) => (b2.high + b2.low + b2.close + b2.close) / 4);
+    }
+  }
+}
 function getSourceSeries(bars, source = "close") {
   const open = new Series(bars, (bar) => bar.open);
   const high = new Series(bars, (bar) => bar.high);
@@ -7656,6 +7718,72 @@ function getSourceData(ohlcv, sourceName) {
   }
 }
 
+// src/strategy/index.ts
+var STRATEGY_CONSTANTS = {
+  long: "long",
+  short: "short",
+  fixed: "fixed",
+  cash: "cash",
+  percent_of_equity: "percent_of_equity",
+  commission: { percent: "percent", cash_per_contract: "cash_per_contract", cash_per_order: "cash_per_order" },
+  direction: { all: "all", long: "long", short: "short" },
+  oca: { none: "none", cancel: "cancel", reduce: "reduce" }
+};
+var STRATEGY_DEFAULTS = {
+  pyramiding: 0,
+  calc_on_order_fills: false,
+  calc_on_every_tick: false,
+  backtest_fill_limits_assumption: 0,
+  default_qty_type: "fixed",
+  default_qty_value: 1,
+  initial_capital: 1e6,
+  slippage: 0,
+  commission_type: "percent",
+  commission_value: 0,
+  process_orders_on_close: false,
+  close_entries_rule: "FIFO",
+  margin_long: 100,
+  margin_short: 100,
+  calc_bars_count: 0,
+  risk_free_rate: 2,
+  use_bar_magnifier: false,
+  fill_orders_on_standard_ohlc: false
+};
+var STRATEGY_NUMBER_VARIABLES = [
+  "position_size",
+  "position_avg_price",
+  "equity",
+  "initial_capital",
+  "netprofit",
+  "netprofit_percent",
+  "openprofit",
+  "openprofit_percent",
+  "grossprofit",
+  "grossprofit_percent",
+  "grossloss",
+  "grossloss_percent",
+  "opentrades",
+  "closedtrades",
+  "wintrades",
+  "losstrades",
+  "eventrades",
+  "avg_trade",
+  "avg_trade_percent",
+  "avg_winning_trade",
+  "avg_winning_trade_percent",
+  "avg_losing_trade",
+  "avg_losing_trade_percent",
+  "max_drawdown",
+  "max_drawdown_percent",
+  "max_runup",
+  "max_runup_percent",
+  "max_contracts_held_all",
+  "max_contracts_held_long",
+  "max_contracts_held_short",
+  "margin_liquidation_price"
+];
+var STRATEGY_TEXT_VARIABLES = ["position_entry_name", "account_currency"];
+
 // src/runtime/adapters/LightweightChartsAdapter.ts
 var LightweightChartsAdapter = class {
   chart;
@@ -7864,7 +7992,7 @@ var SimpleInputAdapter = class {
 };
 
 // src/index.ts
-var VERSION = "0.7.2";
+var VERSION = "0.8.0";
 var info2 = {
   name: "OakScriptJS",
   version: VERSION,

package/dist/index.d.ts

@@ -17,7 +17,8 @@ import * as chartPoint from './chartpoint';
 import * as polyline from './polyline';
 import * as text from './text';
 import * as compare from './compare';
-export { taCore, math, array, map, str, color, time, timeframe, matrix, line, box, label, linefill, chartPoint, polyline, text, compare };
+import * as callsite from './callsite';
+export { taCore, math, array, map, str, color, time, timeframe, matrix, line, box, label, linefill, chartPoint, polyline, text, compare, callsite };
 export { Series, BarData } from './runtime/series';
 export type { SeriesExtractor } from './runtime/series';
 import * as ta from './ta-series';
@@ -26,7 +27,7 @@ export type { PlotOptions, HLineOptions, FillOptions, InputMetadata, PlotMetadat
 export { sma, ema, rsi, macd, bb, stdev, crossover, crossunder, change, tr, atr, cum, vwap } from './ta-series';
 export { abs, ceil, floor, round, max, min, avg, sum, sqrt, pow, exp, log, sin, cos, tan } from './math';
 export { rgb, from_hex as color_from_hex, new_color } from './color';
-export { ohlcFromBars, getClose, getHigh, getLow, getOpen, getSourceSeries } from './utils';
+export { ohlcFromBars, getClose, getHigh, getLow, getOpen, getSource, getSourceSeries, at, div } from './utils';
 export * from './lib';
 export { isNA as na, nz, fixnan } from './utils';
 export { indicator, type IndicatorMetadataConfig, type InputDefinition, type IndicatorContext, type IndicatorInstance, type IndicatorConstructor, } from './indicator';
@@ -35,9 +36,11 @@ export { plot as plotHelper, createPlot, type Time, type TimeValuePair, type Plo
 export { setContext, clearContext, getContext, registerCalculate, recalculate, plot, hline, clearPlots, } from './runtime/runtime';
 export { input_int, input_float, input_bool, input_string, input_source, input_timeframe, input_session, input_time, } from './runtime/inputs';
 export type { OakScriptContext, ChartAdapter, InputAdapter, SeriesHandle, SeriesOptions, InputConfig, InputOptions, OhlcvData, PlotConfig, HLineConfig, FillConfig, } from './runtime/types';
+export { STRATEGY_CONSTANTS, STRATEGY_DEFAULTS, STRATEGY_NUMBER_VARIABLES, STRATEGY_TEXT_VARIABLES, } from './strategy';
+export type * from './strategy';
 export { LightweightChartsAdapter } from './runtime/adapters/LightweightChartsAdapter';
 export { SimpleInputAdapter } from './runtime/adapters/SimpleInputAdapter';
-export declare const VERSION = "0.7.2";
+export declare const VERSION = "0.8.0";
 export declare const info: {
     name: string;
     version: string;

package/dist/index.d.ts.map

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