oakscriptjs 0.8.1 → 0.9.0

package/dist/esm/script/index.js.map

@@ -0,0 +1 @@
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package/dist/esm/security/resample.d.ts

@@ -0,0 +1,63 @@
+/**
+ * Same-symbol `request.security` by resampling the chart bars (issue #101).
+ * PineScript rules:
+ *
+ * - `lookahead_off` (default): the value of a higher-timeframe period appears on the chart bar that
+ *   completes the period; before that, the chart bars show the previous period's value
+ * - `lookahead_on`: every chart bar of a period shows the value of that period
+ * - `gaps_on`: only the bar where the value appears has it (the completing bar with lookahead off, the
+ *   first bar of the period with lookahead on); the other bars are `na`
+ * - a bar completes its period only if it closes at or after the end of the period (a period still
+ *   trading keeps showing the previous completed value); when the bars at the end of a period are missing
+ *   (data gap, a day off not in the calendar), the period completes on the first bar of the next period
+ * - D / W / M periods follow the regular hours: on extended-hours charts the premarket bars still show
+ *   the previous period, which completes on the last bar of its trading day
+ * - a higher-timeframe bar only holds the chart bars up to the bar that completes it: the premarket bars
+ *   that still show the previous period are not part of its bar (no value from after the completion)
+ */
+import type { Bar } from '../types/index.js';
+/** Higher-timeframe bars and the period index of each chart bar. */
+export interface Resampled {
+    bars: Bar[];
+    /** Index in `bars` of the period of each chart bar */
+    group: number[];
+}
+/**
+ * Groups consecutive chart bars with the same period start into higher-timeframe bars.
+ * @param bars - Chart bars (in order)
+ * @param periodStart - Period start of each chart bar, in the unit of `Bar.time`
+ */
+export declare function resample(bars: Bar[], periodStart: number[]): Resampled;
+/**
+ * Period index of each chart bar, and the latest completed period at each chart bar.
+ * @param starts - Period start of each chart bar (the higher-timeframe bar it belongs to)
+ * @param dayPeriods - Period of the trading day of each chart bar in the loaded session: on extended-hours
+ *   charts the premarket bars still belong to the previous daily period, but a new trading day completes it
+ * @param reaches - True when the chart bar closes at or after the end of its period
+ */
+export declare function periodsOf(starts: number[], dayPeriods: number[], reaches: boolean[]): {
+    group: number[];
+    latest: number[];
+};
+/**
+ * True for the chart bars that come after the bar that completed their period: on extended-hours charts
+ * the premarket bars of the next trading day still show the previous D / W / M period, but they are not
+ * part of its higher-timeframe bar. A period's first bar is never after its completion.
+ * @param group - Period index of each chart bar
+ * @param latest - Latest completed period at each chart bar
+ */
+export declare function afterCompletion(group: number[], latest: number[]): boolean[];
+/**
+ * Maps values computed on the higher-timeframe bars to the chart bars.
+ * @param values - One value per higher-timeframe bar
+ * @param group - Period index of each chart bar
+ * @param latest - Latest completed period at each chart bar (-1: none yet)
+ */
+export declare function mapToChart(values: number[], group: number[], latest: number[], lookahead: boolean, gaps: boolean): number[];
+/**
+ * Heikin Ashi bars (PineScript `ticker.heikinashi`): close = (open + high + low + close) / 4, open = the
+ * average of the previous Heikin Ashi open and close ((open + close) / 2 on the first bar),
+ * high / low = the extremes of high / low and the Heikin Ashi open and close.
+ */
+export declare function heikinAshi(bars: Bar[]): Bar[];
+//# sourceMappingURL=resample.d.ts.map

package/dist/esm/security/resample.d.ts.map

@@ -0,0 +1 @@
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package/dist/esm/security/resample.js

@@ -0,0 +1,110 @@
+/**
+ * Same-symbol `request.security` by resampling the chart bars (issue #101).
+ * PineScript rules:
+ *
+ * - `lookahead_off` (default): the value of a higher-timeframe period appears on the chart bar that
+ *   completes the period; before that, the chart bars show the previous period's value
+ * - `lookahead_on`: every chart bar of a period shows the value of that period
+ * - `gaps_on`: only the bar where the value appears has it (the completing bar with lookahead off, the
+ *   first bar of the period with lookahead on); the other bars are `na`
+ * - a bar completes its period only if it closes at or after the end of the period (a period still
+ *   trading keeps showing the previous completed value); when the bars at the end of a period are missing
+ *   (data gap, a day off not in the calendar), the period completes on the first bar of the next period
+ * - D / W / M periods follow the regular hours: on extended-hours charts the premarket bars still show
+ *   the previous period, which completes on the last bar of its trading day
+ * - a higher-timeframe bar only holds the chart bars up to the bar that completes it: the premarket bars
+ *   that still show the previous period are not part of its bar (no value from after the completion)
+ */
+/**
+ * Groups consecutive chart bars with the same period start into higher-timeframe bars.
+ * @param bars - Chart bars (in order)
+ * @param periodStart - Period start of each chart bar, in the unit of `Bar.time`
+ */
+export function resample(bars, periodStart) {
+    const out = [];
+    const group = [];
+    bars.forEach((b, i) => {
+        const start = periodStart[i];
+        const last = out[out.length - 1];
+        if (!last || last.time !== start) {
+            out.push({ time: start, open: b.open, high: b.high, low: b.low, close: b.close, volume: b.volume ?? NaN });
+        }
+        else {
+            last.high = Math.max(last.high, b.high);
+            last.low = Math.min(last.low, b.low);
+            last.close = b.close;
+            last.volume = (last.volume ?? 0) + (b.volume ?? NaN);
+        }
+        group.push(out.length - 1);
+    });
+    return { bars: out, group };
+}
+/**
+ * Period index of each chart bar, and the latest completed period at each chart bar.
+ * @param starts - Period start of each chart bar (the higher-timeframe bar it belongs to)
+ * @param dayPeriods - Period of the trading day of each chart bar in the loaded session: on extended-hours
+ *   charts the premarket bars still belong to the previous daily period, but a new trading day completes it
+ * @param reaches - True when the chart bar closes at or after the end of its period
+ */
+export function periodsOf(starts, dayPeriods, reaches) {
+    const n = starts.length;
+    const group = [];
+    starts.forEach((s, i) => group.push(i === 0 ? 0 : group[i - 1] + (s !== starts[i - 1] ? 1 : 0)));
+    const latest = [];
+    starts.forEach((s, i) => {
+        let done = i === 0 ? -1 : latest[i - 1];
+        // a new period completes all the earlier ones (their last bars may be missing)
+        if (i > 0 && group[i] !== group[i - 1])
+            done = Math.max(done, group[i] - 1);
+        // the last bar of its period in the loaded session (the premarket bars after it do not complete it again)
+        const ends = i < n - 1 ? starts[i + 1] !== s || dayPeriods[i + 1] !== dayPeriods[i] : true;
+        if (ends && reaches[i])
+            done = Math.max(done, group[i]);
+        latest.push(done);
+    });
+    return { group, latest };
+}
+/**
+ * True for the chart bars that come after the bar that completed their period: on extended-hours charts
+ * the premarket bars of the next trading day still show the previous D / W / M period, but they are not
+ * part of its higher-timeframe bar. A period's first bar is never after its completion.
+ * @param group - Period index of each chart bar
+ * @param latest - Latest completed period at each chart bar
+ */
+export function afterCompletion(group, latest) {
+    return group.map((g, i) => i > 0 && group[i - 1] === g && latest[i - 1] >= g);
+}
+/**
+ * Maps values computed on the higher-timeframe bars to the chart bars.
+ * @param values - One value per higher-timeframe bar
+ * @param group - Period index of each chart bar
+ * @param latest - Latest completed period at each chart bar (-1: none yet)
+ */
+export function mapToChart(values, group, latest, lookahead, gaps) {
+    return group.map((g, i) => {
+        if (lookahead) {
+            const first = i === 0 || group[i - 1] !== g;
+            return gaps && !first ? NaN : (values[g] ?? NaN);
+        }
+        const done = latest[i];
+        if (done < 0 || (gaps && i > 0 && latest[i - 1] === done))
+            return NaN;
+        return values[done] ?? NaN;
+    });
+}
+/**
+ * Heikin Ashi bars (PineScript `ticker.heikinashi`): close = (open + high + low + close) / 4, open = the
+ * average of the previous Heikin Ashi open and close ((open + close) / 2 on the first bar),
+ * high / low = the extremes of high / low and the Heikin Ashi open and close.
+ */
+export function heikinAshi(bars) {
+    const out = [];
+    bars.forEach((b, i) => {
+        const close = (b.open + b.high + b.low + b.close) / 4;
+        const prev = out[i - 1];
+        const open = prev ? (prev.open + prev.close) / 2 : (b.open + b.close) / 2;
+        out.push({ time: b.time, open, high: Math.max(b.high, open, close), low: Math.min(b.low, open, close), close, volume: b.volume });
+    });
+    return out;
+}
+//# sourceMappingURL=resample.js.map

package/dist/esm/security/resample.js.map

@@ -0,0 +1 @@
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package/dist/esm/session/bars.d.ts

@@ -0,0 +1,80 @@
+/**
+ * PineScript values that depend on the chart timeframe and the symbol session (issue #100):
+ * `time(tf)`, `time_close(tf)`, `timeframe.change(tf)`, `time_tradingday`, `session.*`.
+ * PineScript rules:
+ *
+ * - intraday periods are aligned on the start of the session period of the trading day: 240 minutes from
+ *   09:30 gives 09:30, 13:30; `time(tf)` is the start of the period that contains the bar open
+ * - "D" is the session start of the trading day; "W" / "M" the session start of the first trading day
+ *   of the week (Monday to Sunday) / month
+ * - intraday closes are cut at the end of the session period; the "D" close is the session end
+ * - on intraday charts the "W" / "M" (and "nD") close is the session start of the next period's first
+ *   trading day; on D / W / M charts it is the session end of the last trading day of the week / month
+ * - on D / W / M charts, intraday timeframes give the chart bar's time, and the end of the session
+ *   period that contains the bar open as close
+ * - `time_tradingday` is 00:00 UTC of the trading day (on W / M charts, of the last trading day)
+ *
+ * Multipliers above one day (issue #100 follow-up): periods restart each
+ * calendar year. "nD" groups n trading days from the first trading day of the year; "nW" groups n weeks from
+ * the first week whose Monday is in the year; "nM" groups n months from January. The last group of a year
+ * can be shorter.
+ */
+import { type TimeframeInfo } from '../timeframe/index.js';
+import { TradingCalendar, type DateNum } from './calendar.js';
+/** Values of the bars of one chart, for a trading calendar. */
+export declare class SessionBars {
+    readonly calendar: TradingCalendar;
+    readonly chart: TimeframeInfo;
+    private readonly yearDays;
+    constructor(calendar: TradingCalendar, chartTimeframe: string);
+    /** Trading days of a calendar year, in order. */
+    private tradingDaysOf;
+    /**
+     * Dates [from, to] of the `n`-`unit` period that contains `date` (for "D": its first and last trading days).
+     * Periods restart each calendar year.
+     */
+    private periodRange;
+    private dayStart;
+    private dayEnd;
+    /** PineScript `time(tf)` for a bar that opens at `time`; NaN when no trading day is found. */
+    timeOf(time: number, timeframe: string): number;
+    /** PineScript `time_close(tf)` for a bar that opens at `time`. */
+    closeOf(time: number, timeframe: string): number;
+    /** Trading day of a bar: on D / W / M charts the last trading day of the chart period. */
+    tradingDay(time: number): DateNum | null;
+    /**
+     * End of the `timeframe` period that contains `time`: the intraday close, the session end of the day,
+     * or the session end of the last trading day of the period. Used to know whether the last loaded
+     * bar completes a higher-timeframe period (request.security).
+     */
+    periodEnd(time: number, timeframe: string): number;
+    /** PineScript `time_tradingday`: 00:00 UTC of the trading day. */
+    tradingDayTime(time: number): number;
+    /** True when the bar at `time` is inside the session. */
+    inside(time: number): boolean;
+    /** Session start and end of the trading day of `time`, or null. */
+    dayBounds(time: number): {
+        date: DateNum;
+        start: number;
+        end: number;
+    } | null;
+}
+/** PineScript `session.*` flags of each bar. */
+export interface SessionFlags {
+    isfirstbar: boolean[];
+    islastbar: boolean[];
+    ismarket: boolean[];
+    ispremarket: boolean[];
+    ispostmarket: boolean[];
+    isfirstbar_regular: boolean[];
+    islastbar_regular: boolean[];
+}
+/**
+ * `session.*` flags for bars that open at `times` (in order). `regular` gives the regular trading
+ * hours when the bars include extended hours. PineScript rules: flags use the bar open
+ * time; first and last bars are per session period (a trading day can have two periods, e.g. after a
+ * futures holiday); pre / post market compare with the regular hours of the same trading day; on
+ * D / W / M charts every bar is its own session (first, last, market, first and last regular).
+ */
+export declare function sessionFlags(times: number[], bars: SessionBars, regular: SessionBars): SessionFlags;
+//# sourceMappingURL=bars.d.ts.map

package/dist/esm/session/bars.d.ts.map

@@ -0,0 +1 @@
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package/dist/esm/session/bars.js

@@ -0,0 +1,232 @@
+/**
+ * PineScript values that depend on the chart timeframe and the symbol session (issue #100):
+ * `time(tf)`, `time_close(tf)`, `timeframe.change(tf)`, `time_tradingday`, `session.*`.
+ * PineScript rules:
+ *
+ * - intraday periods are aligned on the start of the session period of the trading day: 240 minutes from
+ *   09:30 gives 09:30, 13:30; `time(tf)` is the start of the period that contains the bar open
+ * - "D" is the session start of the trading day; "W" / "M" the session start of the first trading day
+ *   of the week (Monday to Sunday) / month
+ * - intraday closes are cut at the end of the session period; the "D" close is the session end
+ * - on intraday charts the "W" / "M" (and "nD") close is the session start of the next period's first
+ *   trading day; on D / W / M charts it is the session end of the last trading day of the week / month
+ * - on D / W / M charts, intraday timeframes give the chart bar's time, and the end of the session
+ *   period that contains the bar open as close
+ * - `time_tradingday` is 00:00 UTC of the trading day (on W / M charts, of the last trading day)
+ *
+ * Multipliers above one day (issue #100 follow-up): periods restart each
+ * calendar year. "nD" groups n trading days from the first trading day of the year; "nW" groups n weeks from
+ * the first week whose Monday is in the year; "nM" groups n months from January. The last group of a year
+ * can be shorter.
+ */
+import { info, in_seconds } from '../timeframe/index.js';
+import { TradingCalendar, addDays, dateUtcMs, monthEnd, monthStart, weekStart, } from './calendar.js';
+function unitOf(tf) {
+    return { unit: tf.isdaily ? 'D' : tf.isweekly ? 'W' : 'M', n: tf.multiplier };
+}
+const yearOf = (date) => Math.floor(date / 10000);
+/** Monday of the first week of `year` (the first Monday on or after 1 January). */
+const firstMonday = (year) => {
+    const jan1 = year * 10000 + 101;
+    const monday = weekStart(jan1);
+    return monday === jan1 ? jan1 : addDays(monday, 7);
+};
+/** Values of the bars of one chart, for a trading calendar. */
+export class SessionBars {
+    calendar;
+    chart;
+    yearDays = new Map();
+    constructor(calendar, chartTimeframe) {
+        this.calendar = calendar;
+        this.chart = info(chartTimeframe);
+    }
+    /** Trading days of a calendar year, in order. */
+    tradingDaysOf(year) {
+        let days = this.yearDays.get(year);
+        if (!days) {
+            days = [];
+            for (let date = year * 10000 + 101; yearOf(date) === year; date = addDays(date, 1)) {
+                if (this.calendar.isTradingDay(date))
+                    days.push(date);
+            }
+            this.yearDays.set(year, days);
+        }
+        return days;
+    }
+    /**
+     * Dates [from, to] of the `n`-`unit` period that contains `date` (for "D": its first and last trading days).
+     * Periods restart each calendar year.
+     */
+    periodRange(date, unit, n) {
+        if (unit === 'D') {
+            if (n === 1)
+                return [date, date];
+            const days = this.tradingDaysOf(yearOf(date));
+            let k = days.findIndex((d) => d >= date);
+            if (k === -1)
+                return this.periodRange(yearOf(date) * 10000 + 10000 + 101, unit, n);
+            k -= k % n;
+            return [days[k], days[Math.min(k + n, days.length) - 1]];
+        }
+        if (unit === 'W') {
+            const monday = weekStart(date);
+            const year = yearOf(monday);
+            const first = firstMonday(year);
+            const next = firstMonday(year + 1);
+            const k = Math.round((dateUtcMs(monday) - dateUtcMs(first)) / (7 * 86_400_000));
+            const from = addDays(first, (k - (k % n)) * 7);
+            const to = addDays(from, n * 7 - 1);
+            return [from, to < next ? to : addDays(next, -1)];
+        }
+        const year = yearOf(date);
+        const month = Math.floor(date / 100) % 100;
+        const firstMonth = month - ((month - 1) % n);
+        const lastMonth = Math.min(firstMonth + n - 1, 12);
+        return [monthStart(year * 10000 + firstMonth * 100 + 1), monthEnd(year * 10000 + lastMonth * 100 + 1)];
+    }
+    dayStart(date) {
+        return this.calendar.periods(date)[0][0];
+    }
+    dayEnd(date) {
+        const p = this.calendar.periods(date);
+        return p[p.length - 1][1];
+    }
+    /** PineScript `time(tf)` for a bar that opens at `time`; NaN when no trading day is found. */
+    timeOf(time, timeframe) {
+        const tf = info(timeframe);
+        const at = this.calendar.locate(time);
+        if (!at)
+            return NaN;
+        if (tf.isintraday) {
+            if (this.chart.isdwm)
+                return time;
+            const [start] = this.calendar.periods(at.date)[at.index];
+            const ms = in_seconds(tf.period) * 1000;
+            return start + Math.floor((time - start) / ms) * ms;
+        }
+        const { unit, n } = unitOf(tf);
+        const [from, to] = this.periodRange(at.date, unit, n);
+        const first = this.calendar.firstTradingDay(from, to);
+        return first === null ? NaN : this.dayStart(first);
+    }
+    /** PineScript `time_close(tf)` for a bar that opens at `time`. */
+    closeOf(time, timeframe) {
+        const tf = info(timeframe);
+        const at = this.calendar.locate(time);
+        if (!at)
+            return NaN;
+        if (tf.isintraday) {
+            const [, end] = this.calendar.periods(at.date)[at.index];
+            // on D / W / M charts: the end of the session period that contains the bar open
+            if (this.chart.isdwm)
+                return end;
+            return Math.min(this.timeOf(time, timeframe) + in_seconds(tf.period) * 1000, end);
+        }
+        const { unit, n } = unitOf(tf);
+        const [from, to] = this.periodRange(at.date, unit, n);
+        // intraday charts: the start of the next period, except "1D" (the session end)
+        if (this.chart.isintraday && (unit !== 'D' || n > 1)) {
+            const [nextFrom, nextTo] = this.periodRange(addDays(to, 1), unit, n);
+            const first = this.calendar.firstTradingDay(nextFrom, addDays(nextTo, 31));
+            return first === null ? NaN : this.dayStart(first);
+        }
+        const last = this.calendar.lastTradingDay(from, to);
+        return last === null ? NaN : this.dayEnd(last);
+    }
+    /** Trading day of a bar: on D / W / M charts the last trading day of the chart period. */
+    tradingDay(time) {
+        const at = this.calendar.locate(time);
+        if (!at)
+            return null;
+        if (this.chart.isdwm) {
+            const { unit, n } = unitOf(this.chart);
+            const [from, to] = this.periodRange(at.date, unit, n);
+            return this.calendar.lastTradingDay(from, to);
+        }
+        return at.date;
+    }
+    /**
+     * End of the `timeframe` period that contains `time`: the intraday close, the session end of the day,
+     * or the session end of the last trading day of the period. Used to know whether the last loaded
+     * bar completes a higher-timeframe period (request.security).
+     */
+    periodEnd(time, timeframe) {
+        const tf = info(timeframe);
+        const at = this.calendar.locate(time);
+        if (!at)
+            return NaN;
+        if (tf.isintraday) {
+            const [, end] = this.calendar.periods(at.date)[at.index];
+            return Math.min(this.timeOf(time, timeframe) + in_seconds(tf.period) * 1000, end);
+        }
+        const { unit, n } = unitOf(tf);
+        const [from, to] = this.periodRange(at.date, unit, n);
+        const last = this.calendar.lastTradingDay(from, to);
+        return last === null ? NaN : this.dayEnd(last);
+    }
+    /** PineScript `time_tradingday`: 00:00 UTC of the trading day. */
+    tradingDayTime(time) {
+        const day = this.tradingDay(time);
+        return day === null ? NaN : dateUtcMs(day);
+    }
+    /** True when the bar at `time` is inside the session. */
+    inside(time) {
+        return this.calendar.locate(time)?.inside ?? false;
+    }
+    /** Session start and end of the trading day of `time`, or null. */
+    dayBounds(time) {
+        const at = this.calendar.locate(time);
+        return at ? { date: at.date, start: this.dayStart(at.date), end: this.dayEnd(at.date) } : null;
+    }
+}
+/**
+ * `session.*` flags for bars that open at `times` (in order). `regular` gives the regular trading
+ * hours when the bars include extended hours. PineScript rules: flags use the bar open
+ * time; first and last bars are per session period (a trading day can have two periods, e.g. after a
+ * futures holiday); pre / post market compare with the regular hours of the same trading day; on
+ * D / W / M charts every bar is its own session (first, last, market, first and last regular).
+ */
+export function sessionFlags(times, bars, regular) {
+    const n = times.length;
+    const flag = () => new Array(n).fill(false);
+    const out = {
+        isfirstbar: flag(), islastbar: flag(), ismarket: flag(), ispremarket: flag(), ispostmarket: flag(),
+        isfirstbar_regular: flag(), islastbar_regular: flag(),
+    };
+    const chart = bars.chart;
+    let previousPeriod = '';
+    let previousRegular = '';
+    for (let i = 0; i < n; i++) {
+        const t = times[i];
+        if (chart.isdwm) {
+            for (const k of ['isfirstbar', 'islastbar', 'ismarket', 'isfirstbar_regular', 'islastbar_regular'])
+                out[k][i] = true;
+            continue;
+        }
+        const at = bars.calendar.locate(t);
+        if (!at) {
+            previousPeriod = previousRegular = '';
+            continue;
+        }
+        const close = bars.closeOf(t, chart.period);
+        const [, end] = bars.calendar.periods(at.date)[at.index];
+        const period = `${at.date}/${at.index}`;
+        out.isfirstbar[i] = period !== previousPeriod;
+        out.islastbar[i] = close >= end;
+        const regularPeriods = regular.calendar.periods(at.date);
+        const r = regularPeriods.findIndex(([s, e]) => s <= t && t < e);
+        const market = r !== -1;
+        out.ismarket[i] = market;
+        if (!market && regularPeriods.length) {
+            out.ispremarket[i] = t < regularPeriods[0][0];
+            out.ispostmarket[i] = t >= regularPeriods[regularPeriods.length - 1][1];
+        }
+        const regularPeriod = market ? `${at.date}/${r}` : '';
+        out.isfirstbar_regular[i] = market && regularPeriod !== previousRegular;
+        out.islastbar_regular[i] = market && close >= regularPeriods[r][1];
+        previousPeriod = period;
+        previousRegular = regularPeriod;
+    }
+    return out;
+}
+//# sourceMappingURL=bars.js.map

package/dist/esm/session/bars.js.map

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