ohlcv-indicators 1.1.2 → 1.1.4

package/dist/ohlcv-indicators.min.js

@@ -1 +1 @@
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s.slice(0,s.length-i+2)},D=(e,r)=>e.slice(0,e.length-r+1),S={getSMA:O,getEMA:N},V=(e,r,t=10,n)=>{const{open:i,high:s,low:o,close:l,volume:u}=r,c=e.min(...o),f=e.max(...s).minus(c).dividedBy(t),a=e(0),h={upVolume:a,downVolume:a,grossVolume:a},p=Array.from({length:t},((e,r)=>({price:c.plus(f.multipliedBy(r)),upVolume:a,downVolume:a,grossVolume:a}))),m=e(1).dividedBy(f);for(let r=0;r<l.length;r++){const n=l[r],f=i[r],h=s[r],g=o[r],d=u[r],w=n.isGreaterThanOrEqualTo(f)?d:a,v=n.isLessThan(f)?d:a,y=Math.max(0,g.minus(c).multipliedBy(m).integerValue(e.ROUND_FLOOR).toNumber()),b=Math.min(t,h.minus(c).multipliedBy(m).integerValue(e.ROUND_CEIL).toNumber());for(let e=y;e<b;e++)p[e].upVolume=p[e].upVolume.plus(w),p[e].downVolume=p[e].downVolume.plus(v),p[e].grossVolume=p[e].grossVolume.plus(w.plus(v))}for(const{upVolume:e,downVolume:r,grossVolume:t}of p)h.upVolume=h.upVolume.plus(e),h.downVolume=h.downVolume.plus(r),h.grossVolume=h.grossVolume.plus(t);return{bins:p,nodes:L(p)}},L=e=>{if(!e||0===e.length)throw new Error("Bins array is empty or not provided");let r=e[0],t=e[0];return e.forEach((e=>{e.grossVolume.isGreaterThan(r.grossVolume)&&(r=e),e.grossVolume.isLessThan(t.grossVolume)&&(t=e)})),{highestVolumeNode:r,lowestVolumeNode:t}};class P{constructor(){this.BigNumber=b,this.VolumeProfile=V}init(e){const{BigNumber:r}=this;return this.ohlcv=e.reduce(((e,{open:t,high:n,low:i,close:s,volume:o,...l})=>(e.open.push(r(t)),e.high.push(r(n)),e.low.push(r(i)),e.close.push(r(s)),e.volume.push(r(o)),Object.keys(l).forEach((r=>{e[r]||(e[r]=[]),e[r].push(l[r])})),e)),{open:[],high:[],low:[],close:[],volume:[]}),this}getHeaders(){return Object.keys(this.getData())}getData(){return this.ohlcv}getLastValues(){const e={};for(const[r,t]of Object.entries(this.ohlcv)){let n=t[t.length-1];e[r]=b.isBigNumber(n)?n.toNumber():n}return e}addColumn(e,r){const t=this.ohlcv.open.length;if(r.length>t)throw new Error("Invalid column data: The length of the new column exceeds the length of the OHLCV data");r=new Array(t-r.length).fill(NaN).concat(r),this.ohlcv[e]=r.map((e=>isNaN(e)?e:e.toNumber()))}crossPairs(e){const r=this.getData(),t={},n=e=>{if(!r.hasOwnProperty(e)&&"string"==typeof e){const[r,...t]=e.split("_");this[r.toUpperCase()]&&t.length>0&&this[r.toUpperCase()](...t)}};for(const{fast:i,slow:s}of e)if(i&&s)if(n(i),n(s),"number"!=typeof s||t[s]||(t[s]=r.close.map((()=>s))),r[i]&&r[s]){const e=B(this.BigNumber,r[i],r[s]);this.addColumn(`${i}_x_${s}`,e)}else if(r[i]&&t[s]){const e=B(this.BigNumber,r[i],t[s]);this.addColumn(`${i}_x_${s}`,e)}else console.error(`Missing ohlcv properties for ${i} or ${s}`)}EMA(e){return((e,r)=>{const t=e.getData().close,n=N(e.BigNumber,t,r);e.addColumn(`ema_${r}`,n)})(this,e),this}SMA(e){return((e,r)=>{const t=e.getData().close,n=O(e.BigNumber,t,r);e.addColumn(`sma_${r}`,n)})(this,e),this}MACD(e,r,t){return((e,r=12,t=26,n=9)=>{const i=e.getData().close,s=((e,r,t=12,n=26,i=9)=>{const s=N(e,r,t),o=N(e,r,n),l=s.map(((e,r)=>e.minus(o[r]))),u=N(e,l,i),c=l.map(((e,r)=>e.minus(u[r]))),f=B(e,l,u);return{diff:l,dea:u,histogram:c,x:f}})(e.BigNumber,i,r,t,n);for(let r in s)e.addColumn(`macd_${r}`,s[r])})(this,e,r,t),this}BollingerBands(e,r,t){return((e,r,t)=>{const n=e.getData().close,i=((e,r,t=20,n=2)=>{n=new e(n);const i=O(e,r,t),s=E(e,r,t).map((e=>e.times(n)));let o=i.map(((e,r)=>e.plus(s[r]))),l=i,u=i.map(((e,r)=>e.minus(s[r])));return{upper:o,mid:l,lower:u,range:_(r,{upper:o,lower:u})}})(e.BigNumber,n,r,t);for(let r in i)e.addColumn(`bollinger_bands_${r}`,i[r])})(this,e,r),this}IchimokuCloud(e,r,t){return((e,r,t,n)=>{const i=e.getData(),s=((e,r,t=9,n=26,i=52)=>{const s=t,o=n,l=o-s,u=i,{high:c,low:f,close:a}=r,h=A(e,c,f,s),p=A(e,c,f,o);return{conversion_line:h,base_line:p,leading_span_a:T(h,p,l,o),leading_span_b:C(e,c,f,u,o),lagging_span:D(a,o)}})(e.BigNumber,i,r,t,n);for(let r in s)e.addColumn(`ichimoku_${r}`,s[r])})(this,e,r,t),this}RSI(e,r,t){return((e,r,t,n)=>{const i=e.getData().close,s=((e,r,t=14,n="SMA",i=14)=>{if(r.length<t)return[];const s=new e(0),o=new e(100),l=new e(1);let u=[],c=s,f=s;for(let n=1;n<=t;n++){const t=new e(r[n]),i=new e(r[n-1]),o=t.minus(i);o.isLessThan(s)?f=f.plus(o.abs()):c=c.plus(o)}let a=c.dividedBy(t),h=f.dividedBy(t),p=h.isEqualTo(s)?s:a.dividedBy(h);u.push(o.minus(o.dividedBy(l.plus(p))));for(let n=t+1;n<r.length;n++){const i=new e(r[n]),m=new e(r[n-1]),g=i.minus(m);g.isLessThan(s)?(f=g.abs(),c=s):(c=g,f=s),a=a.times(t-1).plus(c).dividedBy(t),h=h.times(t-1).plus(f).dividedBy(t),p=h.isEqualTo(s)?s:a.dividedBy(h),u.push(o.minus(o.dividedBy(l.plus(p))))}let m={[`rsi_${t}`]:u};if("string"==typeof n&&"number"==typeof i&&S.hasOwnProperty(`get${n}`)){const r=S[`get${n}`](e,u,i);m[`rsi_${n}_${i}`]=r,m[`rsi_${t}_x_rsi_${n}_${i}`]=B(e,u,r)}return m})(e.BigNumber,i,r,t,n);for(let r in s)e.addColumn(`${r}`.toLowerCase(),s[r])})(this,e,r,t),this}MFI(e){return((e,r=14)=>{const t=e.getData(),n=((e,r,t=14)=>{const{high:n,low:i,close:s,volume:o}=r,l=e(0),u=e(100),c=e(1),f=[],a=[],h=[],p=[],m=[],g=[];for(let e=0;e<s.length;e++){const r=n[e].plus(i[e]).plus(s[e]).dividedBy(3),t=r.times(o[e]);f.push(r),a.push(t)}for(let e=1;e<f.length;e++)f[e].isGreaterThan(f[e-1])?(h.push(a[e]),p.push(l)):f[e].isLessThan(f[e-1])?(h.push(l),p.push(a[e])):(h.push(l),p.push(l));for(let e=t;e<=h.length;e++){const r=h.slice(e-t,e),n=p.slice(e-t,e),i=r.reduce(((e,r)=>e.plus(r)),l),s=n.reduce(((e,r)=>e.plus(r)),l),o=i.dividedBy(s);m.push(o)}for(let e=0;e<m.length;e++){const r=u.minus(u.dividedBy(c.plus(m[e])));g.push(r)}return g})(e.BigNumber,t,r);e.addColumn(`mfi_${r}`,n)})(this,e),this}RelativeVolume(e){return((e,r)=>{const t=e.getData().volume,n=((e,r,t=10)=>{const n=O(e,r,t);return r.map(((e,r)=>0!==r&&n[r-2]?n[r-2].isZero()?NaN:e.dividedBy(n[r-2]):NaN)).filter((e=>!Number.isNaN(e)))})(e.BigNumber,t,r);e.addColumn(`relative_volume_${r}`,n)})(this,e),this}}})(),OHLCV_INDICATORS=r})();

package/index.js

@@ -19,27 +19,18 @@ export default class OHLCV_INDICATORS {
     init(ohlcv) {
         const { BigNumber } = this
     
-        const ohlcvObj = ohlcv.map(({ open, high, low, close, volume, ...rest }) => ({
-            open: BigNumber(open),
-            high: BigNumber(high),
-            low: BigNumber(low),
-            close: BigNumber(close),
-            volume: BigNumber(volume),
-            ...rest
-        }));
-        
-        this.ohlcv = ohlcvObj.reduce((acc, { open, high, low, close, volume, ...rest }) => {
-            acc.open.push(open);
-            acc.high.push(high);
-            acc.low.push(low);
-            acc.close.push(close);
-            acc.volume.push(volume);
-            Object.keys(rest).forEach(key => {
+        this.ohlcv = ohlcv.reduce((acc, { open, high, low, close, volume, ...rest }) => {
+            acc.open.push(BigNumber(open))
+            acc.high.push(BigNumber(high))
+            acc.low.push(BigNumber(low))
+            acc.close.push(BigNumber(close))
+            acc.volume.push(BigNumber(volume))
+            for (const key of Object.keys(rest)) {
                 if (!acc[key]) acc[key] = [];
                 acc[key].push(rest[key]);
-            });
+            }
             return acc;
-        }, { open: [], high: [], low: [], close: [], volume: [] });
+        }, { open: [], high: [], low: [], close: [], volume: [] })
         
         
         return this
@@ -55,85 +46,68 @@ export default class OHLCV_INDICATORS {
     getLastValues(){
         const output = {}
 
-        for(let k in this.ohlcv)
-        {
-            const arr = this.ohlcv[k]
-            let value = arr[arr.length - 1]
-            output[k] = (BigNumber.isBigNumber(value)) ? value.toNumber() : value
+        for (const [k, arr] of Object.entries(this.ohlcv)) {
+            let value = arr[arr.length - 1];
+            output[k] = (BigNumber.isBigNumber(value)) ? value.toNumber() : value;
         }
 
         return output
     }
 
     addColumn(key, arr) {
-        const ohlcvLength = this.ohlcv.open.length
+        const ohlcvLength = this.ohlcv.open.length;
 
         if (arr.length > ohlcvLength) {
-            throw new Error(`Invalid column data: The length of the new column exceeds the length of the OHLCV data`)
-        }
-
-        //fulls arr with NaN until it has the same lenght as ohlcvLength
-
-        while (arr.length < ohlcvLength) {
-            arr.unshift(NaN)
+            throw new Error(`Invalid column data: The length of the new column exceeds the length of the OHLCV data`);
         }
+        
+        // Use Array.prototype.unshift to add NaN elements efficiently
+        const nanArray = new Array(ohlcvLength - arr.length).fill(NaN)
+        arr = [...nanArray, ...arr]
 
-        this.ohlcv[key] = arr.map(o => isNaN(o) ? o : o.toNumber())
+        this.ohlcv[key] = arr
     }
 
     crossPairs(arr)
     {
-
-        //crossing single column pairs 
-        const ohlcv = this.getData()
-        let slowNumArr = []
-
-        //each parameter [{fast, slow}, {fast, slow}]
-
-        arr.forEach(o => {
-            const {fast, slow} = o
-
-            //validates both are destructured correctly
-            if(!fast || !slow)
-            {
-                return
-            }
-            
-            //if the column does not exist, will try to create a new one
-            //this code can only add single column output indicators such as SMA and EMA
-            [fast, slow].forEach((v, i) => {
-                if (!ohlcv.hasOwnProperty(v) && typeof v === 'string') {
-                    const arr = v.split('_')
-                    if (arr.length > 0) {
-                        const funcName = arr[0].toUpperCase()
-                        const params = arr.slice(1)
-            
-                        if (typeof this[funcName] === 'function' && params.length > 0) {
-                            this[funcName](...params)
-                        }
-                    }
-                }
-                else if(typeof v === 'number' && i === 1)
-                {
-                    slowNumArr = ohlcv.close.map(o => 30)
-                }
-            })            
+        const ohlcv = this.getData();
+        const slowNumArrCache = {};
         
-            //finds the cross and adds is to the columns
-            if (ohlcv.hasOwnProperty(fast) && ohlcv.hasOwnProperty(slow)) {
-                const cross = findCrosses(this.BigNumber, ohlcv[fast], ohlcv[slow])
-                this.addColumn(`${fast}_x_${slow}`, cross)
-            }
-            else if(ohlcv.hasOwnProperty(fast) && slowNumArr.length > 0)
-            {
-                const cross = findCrosses(this.BigNumber, ohlcv[fast], slowNumArr)
-                this.addColumn(`${fast}_x_${slow}`, cross)
+        // Helper function to create column if it doesn't exist
+        const createColumnIfNeeded = (v) => {
+            if (!ohlcv.hasOwnProperty(v) && typeof v === 'string') {
+                const [funcName, ...params] = v.split('_');
+                if (this[funcName.toUpperCase()] && params.length > 0) {
+                    this[funcName.toUpperCase()](...params);
+                }
             }
-            else {
-                console.error(`Missing ohlcv properties for ${fast} or ${slow}`)
+        };
+        
+        for (const { fast, slow } of arr) {
+            // Validate parameters
+            if (!fast || !slow) continue;
+        
+            // Create columns if needed
+            createColumnIfNeeded(fast);
+            createColumnIfNeeded(slow);
+        
+            // Prepare slowNumArr if 'slow' is a number
+            if (typeof slow === 'number' && !slowNumArrCache[slow]) {
+                slowNumArrCache[slow] = ohlcv.close.map(() => slow);
             }
-        })
         
+            // Find and add crosses
+            if (ohlcv[fast] && ohlcv[slow]) {
+                const cross = findCrosses(this.BigNumber, ohlcv[fast], ohlcv[slow]);
+                this.addColumn(`${fast}_x_${slow}`, cross);
+            } else if (ohlcv[fast] && slowNumArrCache[slow]) {
+                const cross = findCrosses(this.BigNumber, ohlcv[fast], slowNumArrCache[slow]);
+                this.addColumn(`${fast}_x_${slow}`, cross);
+            } else {
+                console.error(`Missing ohlcv properties for ${fast} or ${slow}`);
+            }
+        }
+           
     }
 
     EMA(size) {

package/package.json

@@ -1,7 +1,7 @@
 {
   "name": "ohlcv-indicators",
-  "version": "1.1.2",
-  "description": "A JavaScript library featuring optimized trading indicators for OHLCV arrays [{open, high, low, close, value}], utilizing BigNumber precision for enhanced accuracy.",
+  "version": "1.1.4",
+  "description": "A JavaScript library featuring optimized trading indicators for OHLCV arrays [{open, high, low, close, value}], utilizing BigNumber precision for enhanced accuracy. This library is optimized for backtesting and trading bot development.",
   "main": "index.js",
   "type": "module",
   "scripts": {

package/src/moving-averages/ichimokuCloud.js

@@ -5,7 +5,7 @@ export const IchimokuCloud = (main, tenkan, kijun, senkou) => {
 
   for(let k in ichi)
   {
-      console.log(`${k} [length ${ichi[k].length}] [lastValue ${ichi[k][ichi[k].length -1]}]`)
+      //console.log(`${k} [length ${ichi[k].length}] [lastValue ${ichi[k][ichi[k].length -1]}]`)
       main.addColumn(`ichimoku_${k}`, ichi[k])
   }
 }

package/src/utilities.js

@@ -43,5 +43,5 @@ export const findCrosses = (BigNumber, fast, slow) => {
         }
     }
 
-    return crosses.map(o => BigNumber(o))
+    return crosses
 }

package/test/fetchLiveData.js

@@ -22,7 +22,9 @@ const getOneDayOHLCV = async (symbol, limit) => {
         high: convertCurrencyToFloat(z.high),
         low: convertCurrencyToFloat(z.low),
         close: convertCurrencyToFloat(z.close),
-        volume: convertCurrencyToFloat(z.volume)
+        volume: convertCurrencyToFloat(z.volume),
+        timestamp: x,
+        date: new Date(x).toDateString().slice(0, 10)
     }))
 
     return ohlcv
@@ -34,15 +36,16 @@ export const getLatestOHLCV = async (symbol) => {
     const data = await response.json()
     const {chart, lastSalePrice, volume} = data.data
     const allValues = chart.map(o => convertCurrencyToFloat(o.z.value))
-
-    console.log(new Date(chart[chart.length -1].x).toDateString().slice(0, 10))
+    const timestamp = chart[chart.length -1].x
 
     return [{
         open: allValues[0],
         high: Math.max(...allValues),
         low: Math.min(...allValues),
         close: convertCurrencyToFloat(lastSalePrice),
-        volume: convertCurrencyToFloat(volume)
+        volume: convertCurrencyToFloat(volume),
+        timestamp,
+        date: new Date(chart[chart.length -1].x).toDateString().slice(0, 10)
     }]
 }
 

package/test/test.js

@@ -1,28 +1,30 @@
 import OHLCV_INDICATORS from '../index.js'
 import { getOHLCV } from './fetchLiveData.js'
 
-const indicators = new OHLCV_INDICATORS();
+const indicators = new OHLCV_INDICATORS()
+const {BigNumber, VolumeProfile} = indicators
 
 const TEST = async () => {  
   
-  const ohlcv = await getOHLCV('ADMA', 200)
+  const unparsedOHLCV = await getOHLCV('ADMA', 200)
 
   indicators
-    .init(ohlcv)
-    //.EMA(21)
-    //.EMA(9, 'ema21')
-    //.SMA(200)
-    //.SMA(100, 'sma_200')
-    //.MACD(12, 26, 9)
-    //.BollingerBands(20, 2)
+    .init(unparsedOHLCV)
+    .EMA(21)
+    .EMA(9, 'ema21')
+    .SMA(200)
+    .SMA(100, 'sma_200')
+    .MACD(12, 26, 9)
+    .BollingerBands(20, 2)
     .IchimokuCloud(9, 26, 52)
-    //.RSI(14)
-    //.MFI(14)
-    //.RelativeVolume(10)
-    //.RelativeVolume(20)
-    //.crossPairs([{fast: 'ema_9', slow: 'ema_21'}, {fast: 'close', slow: 'sma_200'}, {fast: 'rsi_14', slow: 30}])
+    .RSI(14)
+    .MFI(14)
+    .RelativeVolume(10)
+    .RelativeVolume(20)
+    .crossPairs([{fast: 'ema_9', slow: 'ema_21'}, {fast: 'close', slow: 'sma_200'}, {fast: 'rsi_14', slow: 70}])
 
   console.log(indicators.getLastValues())
+  console.log(VolumeProfile(BigNumber, indicators.getData(), 5))
 }
 
 TEST()