ohlcv-indicators 1.5.3 → 1.5.4

package/dist/ohlcv-indicators.min.js

@@ -1 +1 @@
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l,a=[],c=0,f=Object.keys(t[0]);c<f.length;c++){var h=f[c];i.has(h)||(o[h]=new Array(e),a.push(h))}var v,p=0,y=0,d=(v=t)[0].hasOwnProperty("date")&&/^\d{4}-\d{2}-\d{2}/.test(v[0].date);d&&(o.session_index=new Array(e),o.session_intraday_index=new Array(e),l=t[0].date.slice(0,10));for(var b=0;b<e;b++){var g=t[b];o.open[b]=r(g.open),o.high[b]=r(g.high),o.low[b]=r(g.low),o.close[b]=r(g.close),o.volume[b]=r(g.volume);var m,w=ke(a);try{for(w.s();!(m=w.n()).done;){var O=m.value;o[O][b]=g[O]}}catch(t){w.e(t)}finally{w.f()}if(d){var S=g.date.slice(0,10);S!==l&&(l=S,p++,y=0),o.session_index[b]=p,o.session_intraday_index[b]=y,y++}}return o}(n,this.len,l),this.indicators={},this.studies={},this.isComputed=!1,this},(e=[{key:"getData",value:function(){this.computeIndicators();var t=this.verticalOhlcv,e=this.precision,r=Object.keys(t),n=r.length;return t.open.map((function(i,o){for(var u={},s=0;s<n;s++){var l=r[s],a=t[l][o];u[l]=e&&a instanceof v?a.toNumber():a}return u}))}},{key:"getLastValues",value:function(){this.computeIndicators();for(var t=this.verticalOhlcv,e=this.precision,r=this.len,n={},i=0,o=Object.entries(t);i<o.length;i++){var u=Me(o[i],2),s=u[0],l=u[1][r-1];n[s]=e&&l instanceof v?l.toNumber():l}return Object.assign(n,this.studies),n}},{key:"computeIndicators",value:function(){if(!0===this.isComputed)return!1;this.isComputed;for(var t=this.indicators,e=this.addColumn.bind(this),r=0,n=Object.entries(t);r<n.length;r++){var i=Me(n[r],2),o=i[0],u=i[1];this.verticalOhlcv.hasOwnProperty(o)?delete this.indicators[o]:e(o,u)}return!0}},{key:"addColumn",value:function(t,e){var r=this.len;if(t=t.toLowerCase(),e.length>r)throw new Error("Invalid column data: The length of the new column exceeds the length of the OHLCV data");if(e.length<r){var n=r-e.length;e=new Array(n).fill(null).concat(e)}this.verticalOhlcv[t]=e}},{key:"crossPairs",value:function(t){this.computeIndicators();var e=function(t,e){var r,n=t.verticalOhlcv,i=t.precision,o=t.big,u=t.len,s={},l={},a={},c=function(t,e){var r="undefined"!=typeof Symbol&&t[Symbol.iterator]||t["@@iterator"];if(!r){if(Array.isArray(t)||(r=function(t,e){if(t){if("string"==typeof t)return se(t,e);var r={}.toString.call(t).slice(8,-1);return"Object"===r&&t.constructor&&(r=t.constructor.name),"Map"===r||"Set"===r?Array.from(t):"Arguments"===r||/^(?:Ui|I)nt(?:8|16|32)(?:Clamped)?Array$/.test(r)?se(t,e):void 0}}(t))||e&&t&&"number"==typeof t.length){r&&(t=r);var n=0,i=function(){};return{s:i,n:function(){return n>=t.length?{done:!0}:{done:!1,value:t[n++]}},e:function(t){throw t},f:i}}throw new TypeError("Invalid attempt to iterate non-iterable instance.\nIn order to be iterable, non-array objects must have a [Symbol.iterator]() method.")}var o,u=!0,s=!1;return{s:function(){r=r.call(t)},n:function(){var t=r.next();return u=t.done,t},e:function(t){s=!0,o=t},f:function(){try{u||null==r.return||r.return()}finally{if(s)throw o}}}}(e);try{var f=function(){var t=r.value,e=t.fast,c=t.slow,f=t.count;if(!e||!c)return 1;"number"!=typeof c||s[c]||(s[c]=Array(u).fill(o(c)));var h="".concat(e,"_x_").concat(c),v="".concat(e,"_c_").concat(c),p=function(t){return void 0!==f?t.slice(-f).filter((function(t){return 1===t||-1===t})).length:0};if(n[h]){var y=n[h];l[h]=y,void 0!==f&&(a[v]=p(y))}else if(n[e]&&n[c]){var d=le({fast:n[e],slow:n[c],precision:i});l[h]=d,void 0!==f&&(a[v]=p(d))}else if(n[e]&&s[c]){var b=le({fast:n[e],slow:s[c],precision:i});l[h]=b,void 0!==f&&(a[v]=p(b))}else console.log("Missing ohlcv properties for ".concat(e," or ").concat(c))};for(c.s();!(r=c.n()).done;)f()}catch(t){c.e(t)}finally{c.f()}return{x:l,c:a}}(this,t),r=e.x,n=e.c;return Object.assign(this.indicators,r),Object.assign(this.studies,n),this.computeIndicators(),this}},{key:"ema",value:function(t){var e=function(t,e){var r=t.verticalOhlcv,n=t.precision,i=r.close,o=ie(i,e,n);return function(t,e,r){return(e=function(t){var e=function(t,e){if("object"!=ne(t)||!t)return t;var r=t[Symbol.toPrimitive];if(void 0!==r){var n=r.call(t,"string");if("object"!=ne(n))return n;throw new TypeError("@@toPrimitive must return a primitive value.")}return String(t)}(t);return"symbol"==ne(e)?e:e+""}(e))in t?Object.defineProperty(t,e,{value:r,enumerable:!0,configurable:!0,writable:!0}):t[e]=r,t}({},"ema_".concat(e),o)}(this,t);return Object.assign(this.indicators,e),this}},{key:"sma",value:function(t){var e=function(t,e){var r=t.verticalOhlcv,n=t.precision,i=r.close,o=ue(i,e,n);return function(t,e,r){return(e=function(t){var e=function(t,e){if("object"!=oe(t)||!t)return t;var r=t[Symbol.toPrimitive];if(void 0!==r){var n=r.call(t,"string");if("object"!=oe(n))return n;throw new TypeError("@@toPrimitive must return a primitive value.")}return String(t)}(t);return"symbol"==oe(e)?e:e+""}(e))in t?Object.defineProperty(t,e,{value:r,enumerable:!0,configurable:!0,writable:!0}):t[e]=r,t}({},"sma_".concat(e),o)}(this,t);return Object.assign(this.indicators,e),this}},{key:"macd",value:function(t,e,r){var n=function(t,e,r,n){var i=t.verticalOhlcv,o=t.precision;return function(t){for(var e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:12,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:26,n=arguments.length>3&&void 0!==arguments[3]?arguments[3]:9,i=arguments.length>4?arguments[4]:void 0,o=t.length,u=new Array(o).fill(null),s=new Array(o).fill(null),l=new Array(o).fill(null),a=i?new qt({indicator:It,shortInterval:e,longInterval:r,signalInterval:n}):new zt(new xt(e),new xt(r),new xt(n)),c=0;c<o;c++){var f={};a.update(t[c]);try{f=a.getResult()}catch(t){f={macd:null,signal:null,histogram:null}}u[c]=f.macd,s[c]=f.signal,l[c]=f.histogram}return{macd_diff:u,macd_dea:s,macd_histogram:l,macd_diff_x_macd_dea:le({fast:u,slow:s,precision:i})}}(i.close,e,r,n,o)}(this,t,e,r);return Object.assign(this.indicators,n),this}},{key:"bollingerBands",value:function(t,e){var r=function(t,e,r){var n=t.verticalOhlcv,i=t.precision;return function(t){var e,r,n=arguments.length>1&&void 0!==arguments[1]?arguments[1]:20,i=arguments.length>2&&void 0!==arguments[2]?arguments[2]:2,o=arguments.length>3?arguments[3]:void 0,u=t.length,s=Array(u).fill(null),l=Array(u).fill(null),a=Array(u).fill(null),c=Array(u).fill(null),f=Array(u).fill(null),h=null,v=null;o?(r=new Ot(n,i),e=function(t,e,r){return{range:t.minus(r).div(e.minus(r)).times(100),height:e.minus(r).div(r).times(100)}}):(r=new St(n,i),e=function(t,e,r){return{range:(t-r)/(e-r)*100,height:(e-r)/r*100}});for(var p=0;p<u;p++){var y={};r.update(t[p]);var d=!1;try{y=r.getResult()}catch(t){d=!0,y={upper:null,middle:null,lower:null}}if(s[p]=y.upper,l[p]=y.middle,a[p]=y.lower,d)c[p]=null,f[p]=null;else{var b=e(t[p],y.upper,y.lower);h=b.range,v=b.height}c[p]=h,f[p]=v}return{bollinger_bands_upper:s,bollinger_bands_middle:l,bollinger_bands_lower:a,bollinger_bands_range:c,bollinger_bands_height:f}}(n.close,e,r,i)}(this,t,e);return Object.assign(this.indicators,r),this}},{key:"rsi",value:function(t,e,r){var n=function(t,e,r,n){var i=t.verticalOhlcv,o=t.precision,u=i.close;return"number"==typeof e&&void 0===n&&(n=e),he(u,e,r,n,o)}(this,t,e,r);return Object.assign(this.indicators,n),this}},{key:"candles",value:function(){var t=function(t,e){for(var r=[],n=[],i=[],o=1;o<e;o++){var u,s=t[o],l=t[o-1],a="Neutral",c="None",f=0,h=ve(ye);try{for(h.s();!(u=h.n()).done;){var v=u.value,p=v.isSingleCandle,y=v.candle_name,d=v.candle_score;if(p?Ae[y](s):Ae[y](l,s))if(0===f)a=1===d?"Bullish":"Bearish",c=y,f=d;else{if(f!==d){a="Neutral",c="None",f=0;break}c+=",".concat(y)}}}catch(t){h.e(t)}finally{h.f()}r.push(a),n.push(c),i.push(f)}return{candle_pattern:r,candle_name:n,candle_score:i}}(this.inputOhlcv,this.len);return Object.assign(this.indicators,t),this}},{key:"orb",value:function(){var t,e,r,n=(e=(t=this).inputOhlcv,r=t.len,t.precision,t.verticalOhlcv.close,function(t,e,r,n){for(var i=new Array(r).fill(0),o=new Array(r).fill(0),u=0,s=null,l=0,a=0,c=0;c<r;c++){var f=t[c];if(0===c&&!f.hasOwnProperty("date"))throw Error("input ohlcv array must have a date property available in candle datapoint");var h=f.date.split(" ")[0];h!==s&&(s=h,l=f.high,a=f.low),i[u]=l,o[u]=a,u++}return{orb_high:i,orb_low:o}}(e,0,r));return Object.assign(this.indicators,n),this}},{key:"donchianChannels",value:function(t,e){var r=function(t,e,r){var n=t.verticalOhlcv,i=t.precision,o=t.len;return function(t,e,r,n,i,o){for(var u=new Array(o).fill(null),s=new Array(o).fill(null),l=new Array(o).fill(null),a=[],c=[],f=i?function(t,e){return t.plus(e).div(2)}:function(t,e){return(t+e)/2},h=0;h<o;h++){for(;a.length&&a[0]<=h-r;)a.shift();for(;a.length&&t[a[a.length-1]]<=t[h];)a.pop();for(a.push(h);c.length&&c[0]<=h-r;)c.shift();for(;c.length&&e[c[c.length-1]]>=e[h];)c.pop();if(c.push(h),h>=r-1){var v=t[a[0]],p=e[c[0]],y=f(v,p),d=h+n;d>=0&&d<o&&(u[d]=v,s[d]=p,l[d]=y)}}return{donchian_channel_upper:u,donchian_channel_lower:s,donchian_channel_basis:l}}(n.high,n.low,e,r,i,o)}(this,t,e);return Object.assign(this.indicators,r),this}},{key:"candlesStudies",value:function(t){var e=function(t,e){return function(t){for(var e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:20,r=arguments.length>2?arguments[2]:void 0,n=function(t,e){return Math.abs(t-e)},i=new Array(r).fill(null),o=new Array(r).fill(null),u=new Array(r).fill(null),s=new Array(r).fill(null),l=new Array(r).fill(null),a=new Array(r).fill(null),c=new Array(r).fill(null),f=new Array(r).fill(null),h=new Array(r).fill(null),v=new Array(r).fill(null),p=new Z(e),y=new Z(e),d=new Z(e),b=0;b<r;b++){var g=t[b],m=g.open,w=g.high,O=g.low,S=g.close,_=null,j=null,P=null,E=n(m,S),R=void 0,A=void 0,k=S>m?"up":"down";"up"===k?(R=n(w,S),A=n(m,O)):(R=n(w,m),A=n(S,O)),p.update(E),y.update(R),d.update(A);try{_=p.getResult(),j=y.getResult(),P=d.getResult()}catch(t){_=null}i[b]=k,o[b]=E,u[b]=_,s[b]=Te(E,_),a[b]=R,l[b]=j,c[b]=Te(R,j),h[b]=A,f[b]=P,v[b]=Te(A,P)}return{candle_direction:i,candle_body_size_mean:u,candle_body_size:o,candle_body_size_label:s,candle_top_size_mean:l,candle_top_size:a,candle_top_size_label:c,candle_bottom_size_mean:f,candle_bottom_size:h,candle_bottom_size_label:v}}(t.inputOhlcv,e,t.len)}(this,t);return Object.assign(this.indicators,e),this}}])&&xe(t.prototype,e),Object.defineProperty(t,"prototype",{writable:!1}),t;var t,e}()})(),OHLCV_INDICATORS=e})();

package/index.js

@@ -3,7 +3,6 @@ import {sma} from './src/moving-averages/sma.js'
 import {macd} from './src/moving-averages/macd.js'
 import {bollingerBands} from './src/moving-averages/bollingerBands.js'
 import { rsi } from './src/oscillators/rsi.js'
-import { volumeProfile } from './src/studies/volumeProfile.js'
 import {crossPairs} from './src/studies/findCrosses.js'
 import { candles } from './src/studies/candles.js'
 import { orb } from './src/studies/orb.js'
@@ -190,16 +189,6 @@ export default class OHLCV_INDICATORS {
 
         return this
     }
-    volumeProfile(numBins, daysBack, targetDateKey)
-    {
-
-        const {verticalOhlcv} = this
-
-        const result = volumeProfile(verticalOhlcv, numBins, daysBack, targetDateKey)
-        Object.assign(this.indicators, result)
-
-        return this
-    }
     orb()
     {
         const result = orb(this)

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ohlcv-indicators",
-  "version": "1.5.3",
+  "version": "1.5.4",
   "description": "A JavaScript library featuring optimized trading indicators for OHLCV arrays [{open, high, low, close, value}]. This library is optimized for backtesting and trading bot development.",
   "main": "index.js",
   "type": "module",

package/src/utilities/parsing-utilities.js

@@ -1,31 +1,74 @@
-export const parseOhlcvToVertical = (input, len, big) => {
+//true if first row date starts with yyyy-mm-dd date
+const validateFirstDate = arr => arr[0].hasOwnProperty('date') && /^\d{4}-\d{2}-\d{2}/.test(arr[0].date)
 
-    const keysToTrack = ['open', 'high', 'low', 'close', 'volume']
+export const parseOhlcvToVertical = (input, len, big) => {
+    const numberColsKeys = ['open', 'high', 'low', 'close', 'volume']
+    const numberColsKeysSet = new Set(numberColsKeys)
     const verticalOhlcv = {}
-    
-    for (const key of keysToTrack) {
+
+    // Initialize arrays for numerical columns
+    for (const key of numberColsKeys) {
         verticalOhlcv[key] = new Array(len)
     }
-    
-    for (const key of Object.keys(input[0])) {
-        if (!keysToTrack.includes(key)) {
+
+    // Extract other keys and initialize their arrays
+    const inputKeys = Object.keys(input[0])
+    const otherKeys = []
+
+    for (const key of inputKeys) {
+        if (!numberColsKeysSet.has(key)) {
             verticalOhlcv[key] = new Array(len)
+            otherKeys.push(key)
         }
     }
 
-    for(let x = 0; x < len; x++)
+
+    let prevDateStr
+    let sessionIndex = 0
+    let sessionIntradayIndex = 0
+    const isValidDate = validateFirstDate(input)
+
+    if(isValidDate)
     {
-        const { open, high, low, close, volume, ...rest } = input[x]
-        verticalOhlcv.open[x] = big(open)
-        verticalOhlcv.high[x] = big(high)
-        verticalOhlcv.low[x] = big(low)
-        verticalOhlcv.close[x] = big(close)
-        verticalOhlcv.volume[x] = big(volume)
-    
-        for (const [key, value] of Object.entries(rest)) {
-            verticalOhlcv[key][x] = value
-        }      
+        verticalOhlcv['session_index'] = new Array(len)
+        verticalOhlcv['session_intraday_index'] = new Array(len)
+        prevDateStr = input[0].date.slice(0, 10)
     }
     
+    for (let x = 0; x < len; x++) {
+        const current = input[x]
+
+        // Process numerical columns with 'big' function
+        verticalOhlcv.open[x] = big(current.open)
+        verticalOhlcv.high[x] = big(current.high)
+        verticalOhlcv.low[x] = big(current.low)
+        verticalOhlcv.close[x] = big(current.close)
+        verticalOhlcv.volume[x] = big(current.volume)
+
+        // Process other keys
+        for (const key of otherKeys) {
+            verticalOhlcv[key][x] = current[key]
+        }
+
+        // Date processing for session indices
+        if (isValidDate) {
+            const thisDateStr = current.date.slice(0, 10)
+
+            if (thisDateStr !== prevDateStr) {
+                prevDateStr = thisDateStr
+                sessionIndex++
+                sessionIntradayIndex = 0
+            }
+
+            verticalOhlcv.session_index[x] = sessionIndex
+            verticalOhlcv.session_intraday_index[x] = sessionIntradayIndex
+            sessionIntradayIndex++
+        }
+    }
+
     return verticalOhlcv
-}  
+}
+
+
+
+

package/src/studies/volumeProfile.js

@@ -1,127 +0,0 @@
-export const volumeProfile = (verticalOhlcv, numBins, daysBack = 1, targetDateKey) => {
-
-  const filteredOhlcv = filterLastDays(verticalOhlcv, daysBack, targetDateKey)
-  const vP = calculateBins(filteredOhlcv, numBins)
-  const vp_high = vP.nodes.high.price
-  const vp_low = vP.nodes.low.price
-
-  return {
-    volume_profile_high: [vp_high],
-    volume_profile_low: [vp_low]
-  }
-}
-
-
-export const calculateBins = (verticalOhlcv, numBins = 5) => {
-  const { open, high, low, close, volume } = verticalOhlcv;
-
-  // Determine the range of prices
-  const lowPrice = Math.min(...low);
-  const highPrice = Math.max(...high);
-  const binSize = (highPrice - lowPrice) / numBins;
-  const zero = 0;
-
-  // Initialize totals
-  const totals = {
-    upVolume: zero,
-    downVolume: zero,
-    grossVolume: zero,
-  };
-
-  // Initialize bins
-  const bins = Array.from({ length: numBins }, (_, i) => ({
-    price: lowPrice + binSize * i,
-    upVolume: zero,
-    downVolume: zero,
-    grossVolume: zero,
-  }));
-
-  // Precompute binSize inversely to use multiplication instead of division in the loop
-  const inverseBinSize = 1 / binSize;
-
-  // Distribute volume into bins
-  for (let i = 0; i < close.length; i++) {
-    const currentClose = close[i];
-    const currentOpen = open[i];
-    const currentHigh = high[i];
-    const currentLow = low[i];
-    const currentVolume = volume[i];
-
-    const upVolume = currentClose >= currentOpen ? currentVolume : zero;
-    const downVolume = currentClose < currentOpen ? currentVolume : zero;
-
-    const lowIndex = Math.max(0, Math.floor((currentLow - lowPrice) * inverseBinSize));
-    const highIndex = Math.min(numBins, Math.ceil((currentHigh - lowPrice) * inverseBinSize));
-
-    for (let j = lowIndex; j < highIndex; j++) {
-      bins[j].upVolume += upVolume;
-      bins[j].downVolume += downVolume;
-      bins[j].grossVolume += (upVolume + downVolume);
-    }
-  }
-
-  // Sum totals outside the loop
-  for (const { upVolume, downVolume, grossVolume } of bins) {
-    totals.upVolume += upVolume;
-    totals.downVolume += downVolume;
-    totals.grossVolume += grossVolume;
-  }
-
-  const nodes = getPointsOfControl(bins);
-  return { bins, nodes };
-}
-
-const getPointsOfControl = bins => {
-  if (!bins || bins.length === 0) {
-    throw new Error('Bins array is empty or not provided');
-  }
-
-  let high = bins[0];
-  let low = bins[0];
-
-  bins.forEach(bin => {
-    if (bin.grossVolume > high.grossVolume) {
-      high = bin;
-    }
-
-    if (bin.grossVolume < low.grossVolume) {
-      low = bin;
-    }
-  });
-
-  return {high, low}
-}
-
-
-const filterLastDays = (data, daysBack, targetDateKey) => {
-  // Get the latest date and calculate the cutoff date
-  const latestDate = new Date(data[targetDateKey][data[targetDateKey].length - 1]);
-  const prevDays = new Date(latestDate);
-  prevDays.setDate(prevDays.getDate() - daysBack);
-  prevDays.setHours(0, 0, 0, 0);
-
-  // Initialize result object
-  const result = {
-    open: [],
-    high: [],
-    low: [],
-    close: [],
-    volume: [],
-    [targetDateKey]: [],
-  };
-
-  // Filter and transform data in a single pass
-  for (let i = 0; i < data[targetDateKey].length; i++) {
-    const currentDate = new Date(data[targetDateKey][i]);
-    if (currentDate >= prevDays) {
-      result.open.push(data.open[i]);
-      result.high.push(data.high[i]);
-      result.low.push(data.low[i]);
-      result.close.push(data.close[i]);
-      result.volume.push(data.volume[i]);
-      result[targetDateKey].push(data[targetDateKey][i]);
-    }
-  }
-
-  return result;
-};