oakscriptjs 0.9.5 → 0.9.6

package/dist/esm/ta/running-sum.js

@@ -6,119 +6,214 @@
  * - each bar first removes, with a Kahan step, the compensated value that was added for the value that leaves the
  *   window, then adds the new value with a Kahan step and keeps its compensated value;
  * - when the compensation of the previous step would be lost when applied to the new value, the sum is computed
- *   again from the window values (newest first) and the compensation is reset. The test rounds on the grid of the
- *   new value toward +infinity: for a negative power of two, the finer grid of the binade below (#136).
+ *   again from the window values (newest first) and the compensation is reset. The test moves the new value toward
+ *   +infinity by the size of the compensation, in floating point (#136, #142).
  *
  * So the result can differ from the exact window sum in the last bits (e.g. a small residue on a window of zeros),
  * as in PineScript.
  *
  * @internal
  */
-const view = new DataView(new ArrayBuffer(8));
-/** Binary exponent of a finite non-zero number (from its bits). */
-function exponentOf(x) {
-    view.setFloat64(0, x);
-    const e = (view.getUint16(0) >> 4) & 0x7ff;
-    return e === 0 ? -1074 : e - 1023;
-}
-/**
- * Distance from a finite non-zero `x` to the next number toward +infinity: the spacing of the binade of `x`, or half
- * of it when `x` is a negative power of two (the next number up is in the binade below).
- */
-function spacingUp(x) {
-    const e = exponentOf(x);
-    const powerOfTwo = (view.getUint16(0) & 0xf) === 0 && view.getUint16(2) === 0 && view.getUint32(4) === 0;
-    return 2 ** (e - (x < 0 && powerOfTwo && e > -1022 ? 53 : 52));
-}
 /**
- * Whether the compensation `c` is (partly) lost when it is applied to `x`: `x - c` rounded on the grid of `x`
- * (spacing {@link spacingUp}, ties to an even mantissa) applies less than `c`.
+ * Whether the compensation `c` is (partly) lost when it is applied to `x`: `x + |c|` in floating point moves `x` by
+ * less than `|c|`. Moving toward +infinity uses the grid above `x` (the coarser binade just below a power of two, the
+ * finer binade for a negative power of two), as PineScript (measured bit for bit, #142).
  */
 function compensationLost(x, c) {
     if (c === 0 || x === 0)
         return false;
-    const ulp = spacingUp(x);
-    const q = c / ulp;
-    const mantissa = x / ulp;
-    const f = Math.floor(q);
-    const d = q - f;
-    // parity of mantissa - f from each part: the mantissa can be 2^53 (half spacing), where mantissa - f is not exact
-    const applied = d > 0.5 ? f + 1 : d < 0.5 ? f : Math.abs(mantissa % 2) === Math.abs(f % 2) ? f : f + 1;
-    return Math.abs(applied) < Math.abs(q);
+    const size = Math.abs(c);
+    return Math.abs(x + size - x) < size;
 }
 /** A value PineScript treats as na in window functions (also +/-Infinity). */
-function isNa(v) {
+export function isNa(v) {
     return v === undefined || v === null || !Number.isFinite(v);
 }
 /**
- * The sum of the last `length` non-na values on each bar, as PineScript computes it.
+ * Running sum state, one value at a time. {@link step} computes the sum with a new value from the kept state without
+ * changing it; {@link commit} keeps the last step. So several candidate values can be tried on one bar and only the
+ * last one kept (a ta.* call in a loop).
  *
- * @param source - Values (na: NaN, null, undefined or +/-Infinity, skipped)
- * @param length - Number of non-na values in the window
- * @returns The running sum per bar: NaN until `length` non-na values exist; a bar with an na value keeps the
- *   previous result
+ * The length can change from one step to the next (a series length). PineScript then first moves the kept sum to the
+ * new length with Kahan steps of the raw values (not the stored compensated values): a smaller length removes the
+ * values that leave the window, oldest first; a larger length adds back the values from the one before the old window
+ * down to the one `length` values back, newest first (one more than the window needs). Then the usual step runs with
+ * the new length: it removes the stored value of the one `length` values back and adds the new value.
  */
-export function runningSum(source, length) {
-    const len = Math.floor(length);
-    const out = new Array(source.length).fill(NaN);
-    if (!(len >= 1))
-        return out;
-    const values = [];
-    const stored = [];
-    let s = 0;
-    let c = 0;
-    let previous = NaN;
-    const kahanAdd = (v) => {
-        const y = v - c;
-        const t = s + y;
-        c = (t - s) - y;
-        s = t;
-        return y;
-    };
-    for (let i = 0; i < source.length; i++) {
-        const v = source[i];
-        if (isNa(v)) {
-            out[i] = previous;
-            continue;
+export class RunningSum {
+    values = [];
+    stored = [];
+    keptLength = NaN;
+    s = 0;
+    c = 0;
+    stepLength = NaN;
+    stepX = NaN;
+    stepY = NaN;
+    stepS = 0;
+    stepC = 0;
+    /** Kahan steps that move the kept sum from the kept length to `len`; the result goes to stepS / stepC. */
+    resize(len) {
+        const values = this.values;
+        const n = values.length;
+        const kept = this.keptLength;
+        let s = this.s;
+        let c = this.c;
+        const add = (v) => {
+            const y = v - c;
+            const t = s + y;
+            c = (t - s) - y;
+            s = t;
+        };
+        if (len < kept) {
+            for (let k = Math.max(0, n - kept); k <= n - len - 1; k++)
+                add(-values[k]);
         }
-        const x = v;
+        else if (len > kept) {
+            for (let k = n - kept - 1; k >= Math.max(0, n - len); k--)
+                add(values[k]);
+        }
+        this.stepS = s;
+        this.stepC = c;
+    }
+    /**
+     * The running sum of the last `length` values with the (not na) value `x` added, from the kept state; the state is
+     * unchanged until {@link commit}.
+     *
+     * @returns The sum, or NaN while fewer than `length` values exist (with `x`)
+     */
+    step(x, length) {
+        const len = length;
+        const values = this.values;
+        this.resize(len);
+        let s = this.stepS;
+        let c = this.stepC;
         const c0 = c;
         const n = values.length;
-        if (n >= len)
-            kahanAdd(-stored[n - len]);
-        values.push(x);
+        if (n >= len) {
+            const y = -this.stored[n - len] - c;
+            const t = s + y;
+            c = (t - s) - y;
+            s = t;
+        }
         if (compensationLost(x, c0)) {
-            let fresh = 0;
-            for (let k = values.length - 1; k >= Math.max(0, values.length - len); k--)
+            let fresh = x;
+            for (let k = n - 1; k >= Math.max(0, n + 1 - len); k--)
                 fresh += values[k];
             s = fresh;
             c = 0;
-            stored.push(x);
+            this.stepY = x;
         }
         else {
-            stored.push(kahanAdd(x));
+            const y = x - c;
+            const t = s + y;
+            c = (t - s) - y;
+            s = t;
+            this.stepY = y;
         }
-        previous = values.length >= len ? s : NaN;
-        out[i] = previous;
+        this.stepLength = len;
+        this.stepX = x;
+        this.stepS = s;
+        this.stepC = c;
+        return n + 1 >= len ? s : NaN;
+    }
+    /**
+     * The running sum of the last `length` values on a bar with an na value (no value added), from the kept state; the
+     * state is unchanged until {@link commit}. With an unchanged length, it is the previous result.
+     *
+     * @returns The sum, or NaN while fewer than `length` values exist
+     */
+    stepNa(length) {
+        this.resize(length);
+        this.stepLength = length;
+        this.stepX = NaN;
+        const n = this.values.length;
+        return n > 0 && n >= length ? this.stepS : NaN;
+    }
+    /** Keeps the state of the last {@link step} or {@link stepNa}. */
+    commit() {
+        if (!Number.isNaN(this.stepX)) {
+            this.values.push(this.stepX);
+            this.stored.push(this.stepY);
+        }
+        this.keptLength = this.stepLength;
+        this.s = this.stepS;
+        this.c = this.stepC;
+    }
+}
+/** The running sums of `source` with the length `lengthAt(i)` on bar `i`. */
+function sumWindows(source, lengthAt) {
+    const out = new Array(source.length);
+    const sum = new RunningSum();
+    for (let i = 0; i < source.length; i++) {
+        const v = source[i];
+        const len = lengthAt(i);
+        out[i] = isNa(v) ? sum.stepNa(len) : sum.step(v, len);
+        sum.commit();
     }
     return out;
 }
 /**
- * Window variance from the running sums of the values and of their squares, as PineScript computes it:
- * biased `sumSq / n - mean * mean`, unbiased `sumSq / (n - 1) - mean * sum / (n - 1)`, with `mean = sum / n`.
+ * The sum of the last `length` non-na values on each bar, as PineScript computes it.
+ *
+ * @param source - Values (na: NaN, null, undefined or +/-Infinity, skipped)
+ * @param length - Number of non-na values in the window
+ * @returns The running sum per bar: NaN until `length` non-na values exist; a bar with an na value keeps the
+ *   previous result
  */
-export function runningVariance(source, length, biased) {
+export function runningSum(source, length) {
     const len = Math.floor(length);
+    if (!(len >= 1))
+        return new Array(source.length).fill(NaN);
+    return sumWindows(source, () => len);
+}
+/** The values of a series length, floored, checked to be at least 1 on every bar. */
+function seriesLengths(lengths, count, name) {
+    if (lengths.length < count) {
+        throw new Error(`${name}: the length series has ${lengths.length} values for ${count} bars`);
+    }
+    return Array.from({ length: count }, (_, i) => {
+        const len = Math.floor(lengths[i]);
+        if (!(len >= 1))
+            throw new Error(`${name}: length must be at least 1 (bar ${i}: ${lengths[i]})`);
+        return len;
+    });
+}
+/**
+ * The sum of the last `lengths[i]` non-na values on each bar `i` (a series length), as PineScript computes it (see
+ * {@link RunningSum}). A bar with an na value gives the sum of the last `lengths[i]` earlier values.
+ *
+ * @param name - Function name for the error messages
+ */
+export function runningSumSeries(source, lengths, name = 'math.sum') {
+    const lens = seriesLengths(lengths, source.length, name);
+    return sumWindows(source, (i) => lens[i]);
+}
+/** Variance from the running sums of the values and of their squares; rules in {@link runningVariance}. */
+function varianceFromSums(source, sumOf, lengthAt, biased) {
     const squares = Array.from({ length: source.length }, (_, i) => {
         const v = source[i];
         return isNa(v) ? NaN : v * v;
     });
-    const sums = runningSum(source, len);
-    const sumSquares = runningSum(squares, len);
+    const sums = sumOf(source);
+    const sumSquares = sumOf(squares);
     return sums.map((sum, i) => {
+        const len = lengthAt(i);
         const mean = sum / len;
         const sq = sumSquares[i];
         return biased ? sq / len - mean * mean : sq / (len - 1) - (mean * sum) / (len - 1);
     });
 }
+/**
+ * Window variance from the running sums of the values and of their squares, as PineScript computes it:
+ * biased `sumSq / n - mean * mean`, unbiased `sumSq / (n - 1) - mean * sum / (n - 1)`, with `mean = sum / n`.
+ */
+export function runningVariance(source, length, biased) {
+    const len = Math.floor(length);
+    return varianceFromSums(source, (src) => runningSum(src, len), () => len, biased);
+}
+/** {@link runningVariance} with a series length (the length of bar `i` is `lengths[i]`). */
+export function runningVarianceSeries(source, lengths, biased, name = 'ta.variance') {
+    const lens = seriesLengths(lengths, source.length, name);
+    return varianceFromSums(source, (src) => sumWindows(src, (i) => lens[i]), (i) => lens[i], biased);
+}
 //# sourceMappingURL=running-sum.js.map

package/dist/esm/ta/running-sum.js.map

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package/dist/esm/ta-series.d.ts

@@ -11,7 +11,7 @@ import type { Bar } from './types/index.js';
  * @param length - Period length
  * @returns Series with SMA values
  */
-export declare function sma(source: Series, length: number): Series;
+export declare function sma(source: Series, length: number | Series): Series;
 /**
  * Exponential Moving Average
  * @param source - Source series
@@ -64,7 +64,7 @@ export declare function bb(source: Series, length: number, mult: number): [Serie
  * @param biased - true (default): divide by length; false: by length - 1
  * @returns Series with standard deviation values
  */
-export declare function stdev(source: Series, length: number, biased?: boolean): Series;
+export declare function stdev(source: Series, length: number | Series, biased?: boolean): Series;
 /**
  * Average True Range
  * @param bars - Bar data
@@ -280,7 +280,7 @@ export declare function dev(source: Series, length: number): Series;
  * @param biased - Use biased estimation (default: true)
  * @returns Series with variance values
  */
-export declare function variance(source: Series, length: number, biased?: boolean): Series;
+export declare function variance(source: Series, length: number | Series, biased?: boolean): Series;
 /**
  * Median
  * @param source - Source series
@@ -369,7 +369,7 @@ export declare function dmi(bars: Bar[], diLength: number, adxSmoothing: number)
  * @param source - Source series
  * @param shortLength - Short smoothing period
  * @param longLength - Long smoothing period
- * @returns Series with TSI values
+ * @returns Series with TSI values, in [-1, 1] as PineScript
  */
 export declare function tsi(source: Series, shortLength: number, longLength: number): Series;
 /**

package/dist/esm/ta-series.d.ts.map

@@ -1 +1 @@
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package/dist/esm/ta-series.js

@@ -14,7 +14,7 @@ import { Series } from './runtime/series.js';
 export function sma(source, length) {
     const bars = source.bars;
     const sourceValues = source.toArray();
-    const result = taCore.sma(sourceValues, length);
+    const result = taCore.sma(sourceValues, length instanceof Series ? length.toArray() : length);
     return Series.fromArray(bars, result);
 }
 /**
@@ -107,7 +107,8 @@ export function bb(source, length, mult) {
  */
 export function stdev(source, length, biased = true) {
     const bars = source.bars;
-    return Series.fromArray(bars, taCore.stdev(source.toArray(), length, biased));
+    const len = length instanceof Series ? length.toArray() : length;
+    return Series.fromArray(bars, taCore.stdev(source.toArray(), len, biased));
 }
 /**
  * Average True Range
@@ -506,7 +507,7 @@ export function dev(source, length) {
  */
 export function variance(source, length, biased = true) {
     const bars = source.bars;
-    const result = taCore.variance(source.toArray(), length, biased);
+    const result = taCore.variance(source.toArray(), length instanceof Series ? length.toArray() : length, biased);
     return Series.fromArray(bars, result);
 }
 /**
@@ -649,7 +650,7 @@ export function dmi(bars, diLength, adxSmoothing) {
  * @param source - Source series
  * @param shortLength - Short smoothing period
  * @param longLength - Long smoothing period
- * @returns Series with TSI values
+ * @returns Series with TSI values, in [-1, 1] as PineScript
  */
 export function tsi(source, shortLength, longLength) {
     const bars = source.bars;

package/dist/esm/ta-series.js.map

@@ -1 +1 @@
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package/dist/esm/time/datestring.d.ts

@@ -10,6 +10,7 @@
  * Time zones: "UT", "UTC", "GMT", "+0530", "-05:00", "GMT+5", "UTC-0300", and the RFC 2822
  * names EST, EDT, CST, CDT, MST, MDT, PST, PDT. After a "T" time, only numeric offsets.
  * Without a time the time is 00:00. Without a time zone the time zone is GMT+0.
+ * "2025" and "2025-06" are the first day of the year / month. "01 Jan 2022 GMT+3" (a zone without a time) gives na.
  * "24:00" is midnight at the end of the day.
  *
  * "Z", "2024-01-01T09:30:00 GMT", "24:30" and "09:30:60" are compile errors in PineScript, and

package/dist/esm/time/datestring.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"datestring.d.ts","sourceRoot":"","sources":["../../../src/time/datestring.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;GAgBG;AA4CH;;;GAGG;AACH,wBAAgB,eAAe,CAAC,UAAU,EAAE,MAAM,GAAG,MAAM,CA+B1D"}
+{"version":3,"file":"datestring.d.ts","sourceRoot":"","sources":["../../../src/time/datestring.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;GAiBG;AA6CH;;;GAGG;AACH,wBAAgB,eAAe,CAAC,UAAU,EAAE,MAAM,GAAG,MAAM,CAuC1D"}

package/dist/esm/time/datestring.js

@@ -10,6 +10,7 @@
  * Time zones: "UT", "UTC", "GMT", "+0530", "-05:00", "GMT+5", "UTC-0300", and the RFC 2822
  * names EST, EDT, CST, CDT, MST, MDT, PST, PDT. After a "T" time, only numeric offsets.
  * Without a time the time is 00:00. Without a time zone the time zone is GMT+0.
+ * "2025" and "2025-06" are the first day of the year / month. "01 Jan 2022 GMT+3" (a zone without a time) gives na.
  * "24:00" is midnight at the end of the day.
  *
  * "Z", "2024-01-01T09:30:00 GMT", "24:30" and "09:30:60" are compile errors in PineScript, and
@@ -30,6 +31,7 @@ const ZONE = String.raw `(ut|utc|gmt|[ecmp][sd]t|(?:utc|gmt)?\s*[+-]\d{1,2}(?::?
 const NUMERIC_ZONE = String.raw `([+-]\d{2}(?::?\d{2})?)`;
 const DATE = String.raw `(\d{4})([-/])(\d{1,2})\2(\d{1,2})`;
 const WEEKDAY = String.raw `(?:[a-z]{3,9},?\s+)?`;
+const YEAR_MONTH = /^(\d{4})(?:-(\d{1,2}))?$/;
 const ISO_T = new RegExp(String.raw `^${DATE}t${TIME}\s*${NUMERIC_ZONE}?$`, 'i');
 const ISO = new RegExp(String.raw `^${DATE}(?:\s+${TIME})?\s*${ZONE}?$`, 'i');
 const DAY_FIRST = new RegExp(String.raw `^${WEEKDAY}(\d{1,2})(?:\s+|-)([a-z]+)\.?,?(?:\s+|-)(\d{4})(?:,?\s+${TIME})?\s*${ZONE}?$`, 'i');
@@ -63,6 +65,13 @@ export function parseDateString(dateString) {
     let year, month, day;
     let rest;
     let m;
+    // "2025" and "2025-06": the first day of the year / month, 00:00 UTC (PineScript)
+    if ((m = YEAR_MONTH.exec(text))) {
+        const mo = m[2] ? Number(m[2]) : 1;
+        if (mo < 1 || mo > 12)
+            throw new SyntaxError(`Invalid date string "${dateString}": a field is out of range`);
+        return Date.UTC(Number(m[1]), mo - 1, 1);
+    }
     if ((m = ISO_T.exec(text) ?? ISO.exec(text))) {
         [year, month, day] = [m[1], Number(m[3]), m[4]];
         rest = m.slice(5);
@@ -70,6 +79,9 @@ export function parseDateString(dateString) {
     else if ((m = DAY_FIRST.exec(text))) {
         [day, month, year] = [m[1], monthNumber(m[2]), m[3]];
         rest = m.slice(4);
+        // a time zone without a time ("01 Jan 2022 GMT+3") gives na in PineScript
+        if (rest[0] === undefined && rest[4] !== undefined)
+            return NaN;
     }
     else if ((m = MONTH_FIRST.exec(text))) {
         [month, day, year] = [monthNumber(m[1]), m[2], m[3]];