ohlcv-indicators 1.7.2 → 1.7.4
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/ohlcv-indicators.min.js +1 -1
- package/index.js +4 -3
- package/package.json +1 -1
- package/src/studies/candleStudies.js +95 -135
- package/src/utilities/parsing-utilities.js +109 -16
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Array(r),l=t[0].date.slice(0,10));for(var b=0;b<r;b++){var d=t[b];o.open[b]=d.open,o.high[b]=d.high,o.low[b]=d.low,o.close[b]=d.close,o.volume[b]=d.volume;var m,g=qt(a);try{for(g.s();!(m=g.n()).done;){var w=m.value;o[w][b]=d[w]}}catch(t){g.e(t)}finally{g.f()}if(y){var O=d.date.slice(0,10);O!==l&&(l=O,v++,p=0);var j=Ht(O),_=j.day_of_the_week,S=j.day_of_the_month,P=j.week_of_the_month;o.day_of_the_week[b]=_,o.day_of_the_month[b]=S,o.week_of_the_month[b]=P,o.session_index[b]=v,o.session_intraday_index[b]=p,p++}}return o}(e,this.len),this.indicators={},this.studies={},this.utilities={correlation:Yt},this},r=[{key:"getData",value:function(){this.compute();for(var t=this.verticalOhlcv,r=Object.keys(t),e=t[r[0]].length,n=r.length,o=[],i=0;i<e;i++){for(var u={},l=!1,a=0;a<n;a++){var c=r[a],s=t[c][i];if(null==s){l=!0;break}u[c]=s}l||o.push(u)}return o}},{key:"getLastValues",value:function(){this.compute();for(var t=this.verticalOhlcv,r=this.len,e={},n=0,o=Object.entries(t);n<o.length;n++){var i=Wt(o[n],2),u=i[0],l=i[1][r-1];e[u]=l}return Object.assign(e,this.studies),e}},{key:"compute",value:function(){for(var t=this.indicators,r=this.addColumn.bind(this),e=0,n=Object.entries(t);e<n.length;e++){var o=Wt(n[e],2),i=o[0],u=o[1];this.verticalOhlcv.hasOwnProperty(i)?delete this.indicators[i]:r(i,u)}return this}},{key:"addColumn",value:function(t,r){var e=this.len;if(t=t.toLowerCase(),r.length>e)throw new Error("Invalid column data: The length of the new column exceeds the length of the OHLCV data");if(r.length<e){var n=e-r.length;r=new Array(n).fill(null).concat(r)}this.verticalOhlcv[t]=r}},{key:"crossPairs",value:function(t){this.compute();var r=function(t,r){var e,n=t.verticalOhlcv,o=t.len,i={},u={},l={},a=function(t,r){var e="undefined"!=typeof Symbol&&t[Symbol.iterator]||t["@@iterator"];if(!e){if(Array.isArray(t)||(e=function(t,r){if(t){if("string"==typeof t)return Rt(t,r);var 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e=function(t){for(var r=new N(arguments.length>1&&void 0!==arguments[1]?arguments[1]:10),e=new Array(t.length).fill(null),n=new Array(t.length).fill(null),o=0;o<t.length;o++){var i=null;r.update(t[o]);try{i=r.getResult()}catch(t){i=null}e[o]=i,"number"==typeof e[o-1]&&(n[o]=t[o]/e[o-1])}return console.log(n),n}(t.verticalOhlcv.volume,r);return function(t,r,e){return(r=function(t){var r=function(t,r){if("object"!=St(t)||!t)return t;var e=t[Symbol.toPrimitive];if(void 0!==e){var n=e.call(t,"string");if("object"!=St(n))return n;throw new TypeError("@@toPrimitive must return a primitive value.")}return String(t)}(t);return"symbol"==St(r)?r:r+""}(r))in t?Object.defineProperty(t,r,{value:e,enumerable:!0,configurable:!0,writable:!0}):t[r]=e,t}({},"relative_volume_".concat(r),e)}(this,t);return Object.assign(this.indicators,r),this}},{key:"ema",value:function(t){var r=function(t,r){var e=t.verticalOhlcv.close,n=Et(e,r);return function(t,r,e){return(r=function(t){var r=function(t,r){if("object"!=Pt(t)||!t)return t;var e=t[Symbol.toPrimitive];if(void 0!==e){var n=e.call(t,"string");if("object"!=Pt(n))return n;throw new TypeError("@@toPrimitive must return a primitive value.")}return String(t)}(t);return"symbol"==Pt(r)?r:r+""}(r))in t?Object.defineProperty(t,r,{value:e,enumerable:!0,configurable:!0,writable:!0}):t[r]=e,t}({},"ema_".concat(r),n)}(this,t);return Object.assign(this.indicators,r),this}},{key:"sma",value:function(t){var r=function(t,r){var e=t.verticalOhlcv.close,n=kt(e,r);return function(t,r,e){return(r=function(t){var r=function(t,r){if("object"!=At(t)||!t)return t;var e=t[Symbol.toPrimitive];if(void 0!==e){var n=e.call(t,"string");if("object"!=At(n))return n;throw new TypeError("@@toPrimitive must return a primitive value.")}return String(t)}(t);return"symbol"==At(r)?r:r+""}(r))in t?Object.defineProperty(t,r,{value:e,enumerable:!0,configurable:!0,writable:!0}):t[r]=e,t}({},"sma_".concat(r),n)}(this,t);return Object.assign(this.indicators,r),this}},{key:"macd",value:function(t,r,e){var n=function(t,r,e,n){return function(t){for(var r=arguments.length>1&&void 0!==arguments[1]?arguments[1]:12,e=arguments.length>2&&void 0!==arguments[2]?arguments[2]:26,n=arguments.length>3&&void 0!==arguments[3]?arguments[3]:9,o=t.length,i=new Array(o).fill(null),u=new Array(o).fill(null),l=new Array(o).fill(null),a=new pt(new ct(r),new ct(e),new ct(n)),c=0;c<o;c++){var s={};a.update(t[c]);try{s=a.getResult()}catch(t){s={macd:null,signal:null,histogram:null}}i[c]=s.macd,u[c]=s.signal,l[c]=s.histogram}return{macd_diff:i,macd_dea:u,macd_histogram:l,macd_diff_x_macd_dea:xt({fast:i,slow:u})}}(t.verticalOhlcv.close,r,e,n)}(this,t,r,e);return Object.assign(this.indicators,n),this}},{key:"bollingerBands",value:function(t,r){var e=function(t,r,e){return function(t){for(var r,e,n,o=arguments.length>1&&void 0!==arguments[1]?arguments[1]:20,i=arguments.length>2&&void 0!==arguments[2]?arguments[2]:2,u=t.length,l=Array(u).fill(null),a=Array(u).fill(null),c=Array(u).fill(null),s=Array(u).fill(null),f=Array(u).fill(null),h=null,v=null,p=new tt(o,i),y=0;y<u;y++){var b={};p.update(t[y]);var d=!1;try{b=p.getResult()}catch(t){d=!0,b={upper:null,middle:null,lower:null}}if(l[y]=b.upper,a[y]=b.middle,c[y]=b.lower,d)s[y]=null,f[y]=null;else{var m=(r=t[y],e=b.upper,{range:(r-(n=b.lower))/(e-n)*100,height:(e-n)/n*100});h=m.range,v=m.height}s[y]=h,f[y]=v}return{bollinger_bands_upper:l,bollinger_bands_middle:a,bollinger_bands_lower:c,bollinger_bands_range:s,bollinger_bands_height:f}}(t.verticalOhlcv.close,r,e)}(this,t,r);return Object.assign(this.indicators,e),this}},{key:"rsi",value:function(t,r,e){var n=function(t,r,e,n){var o=t.verticalOhlcv.close;return"number"==typeof r&&void 0===n&&(n=r),Nt(o,r,e,n)}(this,t,r,e);return Object.assign(this.indicators,n),this}},{key:"orb",value:function(){var t=function(t,r){for(var e=new Array(r).fill(0),n=new Array(r).fill(0),o=0,i=null,u=0,l=0,a=0;a<r;a++){var c=t[a];if(0===a&&!c.hasOwnProperty("date"))throw Error("input ohlcv array must have a date property available in candle datapoint");var s=c.date.split(" ")[0];s!==i&&(i=s,u=c.high,l=c.low),e[o]=u,n[o]=l,o++}return{orb_high:e,orb_low:n}}(this.inputOhlcv,this.len);return Object.assign(this.indicators,t),this}},{key:"donchianChannels",value:function(t,r){var e=function(t,r,e){var n=t.verticalOhlcv,o=t.len;return function(t,r,e,n,o){for(var i=new Array(o).fill(null),u=new Array(o).fill(null),l=new Array(o).fill(null),a=[],c=[],s=0;s<o;s++){for(;a.length&&a[0]<=s-e;)a.shift();for(;a.length&&t[a[a.length-1]]<=t[s];)a.pop();for(a.push(s);c.length&&c[0]<=s-e;)c.shift();for(;c.length&&r[c[c.length-1]]>=r[s];)c.pop();if(c.push(s),s>=e-1){var f=t[a[0]],h=r[c[0]],v=(f+h)/2,p=s+n;p>=0&&p<o&&(i[p]=f,u[p]=h,l[p]=v)}}return{donchian_channel_upper:i,donchian_channel_lower:u,donchian_channel_basis:l}}(n.high,n.low,r,e,o)}(this,t,r);return Object.assign(this.indicators,e),this}},{key:"candlesStudies",value:function(t){var r=function(t,r){var e=t.inputOhlcv,n=t.len;return Ut(e,r,n)}(this,t);return Object.assign(this.indicators,r),this}},{key:"findDirectionCross",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:["close","low"];this.compute();for(var r=0;r<t.length;r++){var e=t[r],n=Lt(this,e);Object.assign(this.indicators,Qt({},"".concat(e,"_direction_cross"),n))}return this.compute(),this}},{key:"findLinearDirection",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:["close","low"];this.compute();for(var r=0;r<t.length;r++){var e=t[r],n=It(this,e);Object.assign(this.indicators,Qt({},"".concat(e,"_linear_direction"),n))}return this.compute(),this}},{key:"change",value:function(t){this.compute();var r=this.verticalOhlcv;if(!r.hasOwnProperty(t)){var e='key "'.concat(t,'" not found in verticalOhlcv. change method');throw Error(e)}return Object.assign(this.indicators,Qt({},"".concat(t,"_change"),function(t){if(!Array.isArray(t))throw Error("data param in arrayGt function must be array");for(var r=Array(t.length).fill(0),e=1;e<r.length;e++)if(null===t[e]||null===t[e-1])r[e];else{var n=t[e],o=t[e-1];r[e]=(n-o)/o*100}return r}(r[t]))),this.compute(),this}},{key:"gt",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:"close",r=arguments.length>1&&void 0!==arguments[1]?arguments[1]:"open";this.compute();var e,n=this.verticalOhlcv;if(!n.hasOwnProperty(t)){var o='key "'.concat(t,'" not found in verticalOhlcv. gt method');throw Error(o)}if("string"==typeof r){if(!n.hasOwnProperty(r)){var i='key "'.concat(r,'" not found in verticalOhlcv. gt method');throw Error(i)}e=n[r]}else"number"==typeof r&&(e=new Array(n[t].length).fill(r));return Object.assign(this.indicators,Qt({},"".concat(t,"_gt_").concat(r),function(t,r){if(!Array.isArray(t)||!Array.isArray(r))throw Error("a and b params in arrayGt function 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1
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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)?Qt(t,e):void 0}}(t,e)||function(){throw new TypeError("Invalid attempt to destructure non-iterable instance.\nIn order to be iterable, non-array objects must have a [Symbol.iterator]() method.")}()}function Qt(t,e){(null==e||e>t.length)&&(e=t.length);for(var r=0,n=Array(e);r<e;r++)n[r]=t[r];return n}function Xt(t,e){for(var r=0;r<e.length;r++){var n=e[r];n.enumerable=n.enumerable||!1,n.configurable=!0,"value"in n&&(n.writable=!0),Object.defineProperty(t,Zt(n.key),n)}}function Zt(t){var e=function(t,e){if("object"!=Jt(t)||!t)return t;var r=t[Symbol.toPrimitive];if(void 0!==r){var n=r.call(t,"string");if("object"!=Jt(n))return n;throw new TypeError("@@toPrimitive must return a primitive value.")}return String(t)}(t);return"symbol"==Jt(e)?e:e+""}var te=function(){return t=function t(e){var r=e.input,n=e.ticker,o=void 0===n?null:n,i=e.studyOptions,u=void 0===i?null:i;if(function(t,e){if(!(t instanceof e))throw new TypeError("Cannot call a class as a function")}(this,t),!Array.isArray(r))throw Error("input ohlcv must be an array: "+o);if(0===r.length)throw Error("input ohlcv must not be empty: "+o);if(!r[0].hasOwnProperty("close"))throw Error("input ohlcv array objects require at least close property: "+o);return this.len=r.length,this.crossPairsArr=[],this.inputOhlcv=r,this.studyOptions=null===u?Gt:u,this.verticalOhlcv=function(t,e,r){if(Boolean(r))for(var n in r)if(!Gt.hasOwnProperty(n))throw new Error("Key ".concat(n," not found in defaultStudyOptions. Available options: ").concat(Object.keys(Gt).join(", ")));var o=r.midPriceOpenClose,i=r.midPriceHighLow,u=r.sessionIndex,l=r.sessionIntradayIndex,a=r.dayOfTheWeek,c=r.dayOfTheMonth,s=r.weekOfTheMonth,f=["open","high","low","close","volume"];o&&f.push("mid_price_open_close"),i&&f.push("mid_price_high_low");for(var h=new Set(f),v={},p=0,y=f;p<y.length;p++)v[y[p]]=new Array(e);for(var b,d=[],m=0,g=Object.keys(t[0]);m<g.length;m++){var w=g[m];h.has(w)||(v[w]=new Array(e),d.push(w))}var O,_=0,j=0,S=(O=t)[0].hasOwnProperty("date")&&"string"==typeof O[0].date&&/^\d{4}-\d{2}-\d{2}/.test(O[0].date);S&&(u&&(v.session_index=new Array(e)),l&&(v.session_intraday_index=new Array(e)),a&&(v.day_of_the_week=new Array(e)),c&&(v.day_of_the_month=new Array(e)),s&&(v.week_of_the_month=new Array(e)),b=t[0].date.slice(0,10));for(var P=0;P<e;P++){var E=t[P];v.open[P]=E.open,v.high[P]=E.high,v.low[P]=E.low,v.close[P]=E.close,v.volume[P]=E.volume,o&&(v.mid_price_open_close[P]=(E.open+E.close)/2),i&&(v.mid_price_high_low[P]=(E.high+E.low)/2);var A,k=Ht(d);try{for(k.s();!(A=k.n()).done;){var R=A.value;v[R][P]=E[R]}}catch(t){k.e(t)}finally{k.f()}if(S){var T=E.date.slice(0,10);T!==b&&(b=T,_++,j=0);var M=Vt(T),x=M.day_of_the_week,C=M.day_of_the_month,D=M.week_of_the_month;a&&(v.day_of_the_week[P]=x),c&&(v.day_of_the_month[P]=C),s&&(v.week_of_the_month[P]=D),u&&(v.session_index[P]=_),l&&(v.session_intraday_index[P]=j),j++}}return v}(r,this.len,this.studyOptions),this.indicators={},this.studies={},this.utilities={correlation:Wt},this},e=[{key:"getData",value:function(){this.compute();for(var t=this.verticalOhlcv,e=Object.keys(t),r=t[e[0]].length,n=e.length,o=[],i=0;i<r;i++){for(var u={},l=!1,a=0;a<n;a++){var c=e[a],s=t[c][i];if(null==s){l=!0;break}u[c]=s}l||o.push(u)}return o}},{key:"getLastValues",value:function(){this.compute();for(var t=this.verticalOhlcv,e=this.len,r={},n=0,o=Object.entries(t);n<o.length;n++){var i=Yt(o[n],2),u=i[0],l=i[1][e-1];r[u]=l}return Object.assign(r,this.studies),r}},{key:"compute",value:function(){for(var t=this.indicators,e=this.addColumn.bind(this),r=0,n=Object.entries(t);r<n.length;r++){var o=Yt(n[r],2),i=o[0],u=o[1];this.verticalOhlcv.hasOwnProperty(i)?delete this.indicators[i]:e(i,u)}return this}},{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.compute();var e=function(t,e){var r,n=t.verticalOhlcv,o=t.len,i={},u={},l={},a=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 Rt(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)?Rt(t,e):void 0}}(t))||e&&t&&"number"==typeof t.length){r&&(t=r);var n=0,o=function(){};return{s:o,n:function(){return n>=t.length?{done:!0}:{done:!1,value:t[n++]}},e:function(t){throw t},f:o}}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 i,u=!0,l=!1;return{s:function(){r=r.call(t)},n:function(){var t=r.next();return u=t.done,t},e:function(t){l=!0,i=t},f:function(){try{u||null==r.return||r.return()}finally{if(l)throw i}}}}(e);try{var c=function(){var t=r.value,e=t.fast,a=t.slow,c=t.count;if(!e||!a)return 1;"number"!=typeof a||i[a]||(i[a]=Array(o).fill(a));var s="".concat(e,"_x_").concat(a),f="".concat(e,"_c_").concat(a),h=function(t){return void 0!==c?t.slice(-c).filter((function(t){return 1===t||-1===t})).length:0};if(n[s]){var v=n[s];u[s]=v,void 0!==c&&(l[f]=h(v))}else if(n[e]&&n[a]){var p=xt({fast:n[e],slow:n[a]});u[s]=p,void 0!==c&&(l[f]=h(p))}else if(n[e]&&i[a]){var y=xt({fast:n[e],slow:i[a]});u[s]=y,void 0!==c&&(l[f]=h(y))}else console.log("Missing ohlcv properties for ".concat(e," or ").concat(a))};for(a.s();!(r=a.n()).done;)c()}catch(t){a.e(t)}finally{a.f()}return{x:u,c:l}}(this,t),r=e.x,n=e.c;return Object.assign(this.indicators,r),Object.assign(this.studies,n),this.compute(),this}},{key:"lag",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:["close"],e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:1;this.compute();for(var r=this.verticalOhlcv,n=0;n<t.length;n++)for(var o=1;o<=e;o++){var i="".concat(t[n],"_lag_").concat(o),u=r[t[n]].slice(0,-o);Object.assign(this.indicators,Kt({},i,u))}return this.compute(),this}},{key:"relativeVolume",value:function(t){var e=function(t,e){var r=function(t){for(var e=new N(arguments.length>1&&void 0!==arguments[1]?arguments[1]:10),r=new Array(t.length).fill(null),n=new Array(t.length).fill(null),o=0;o<t.length;o++){var i=null;e.update(t[o]);try{i=e.getResult()}catch(t){i=null}r[o]=i,"number"==typeof r[o-1]&&(n[o]=t[o]/r[o-1])}return console.log(n),n}(t.verticalOhlcv.volume,e);return function(t,e,r){return(e=function(t){var e=function(t,e){if("object"!=St(t)||!t)return t;var r=t[Symbol.toPrimitive];if(void 0!==r){var n=r.call(t,"string");if("object"!=St(n))return n;throw new TypeError("@@toPrimitive must return a primitive value.")}return String(t)}(t);return"symbol"==St(e)?e:e+""}(e))in t?Object.defineProperty(t,e,{value:r,enumerable:!0,configurable:!0,writable:!0}):t[e]=r,t}({},"relative_volume_".concat(e),r)}(this,t);return Object.assign(this.indicators,e),this}},{key:"ema",value:function(t){var e=function(t,e){var r=t.verticalOhlcv.close,n=Et(r,e);return function(t,e,r){return(e=function(t){var e=function(t,e){if("object"!=Pt(t)||!t)return t;var r=t[Symbol.toPrimitive];if(void 0!==r){var n=r.call(t,"string");if("object"!=Pt(n))return n;throw new TypeError("@@toPrimitive must return a primitive value.")}return String(t)}(t);return"symbol"==Pt(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),n)}(this,t);return Object.assign(this.indicators,e),this}},{key:"sma",value:function(t){var e=function(t,e){var r=t.verticalOhlcv.close,n=kt(r,e);return function(t,e,r){return(e=function(t){var e=function(t,e){if("object"!=At(t)||!t)return t;var r=t[Symbol.toPrimitive];if(void 0!==r){var n=r.call(t,"string");if("object"!=At(n))return n;throw new TypeError("@@toPrimitive must return a primitive value.")}return String(t)}(t);return"symbol"==At(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),n)}(this,t);return Object.assign(this.indicators,e),this}},{key:"macd",value:function(t,e,r){var n=function(t,e,r,n){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,o=t.length,i=new Array(o).fill(null),u=new Array(o).fill(null),l=new Array(o).fill(null),a=new pt(new ct(e),new ct(r),new ct(n)),c=0;c<o;c++){var s={};a.update(t[c]);try{s=a.getResult()}catch(t){s={macd:null,signal:null,histogram:null}}i[c]=s.macd,u[c]=s.signal,l[c]=s.histogram}return{macd_diff:i,macd_dea:u,macd_histogram:l,macd_diff_x_macd_dea:xt({fast:i,slow:u})}}(t.verticalOhlcv.close,e,r,n)}(this,t,e,r);return Object.assign(this.indicators,n),this}},{key:"bollingerBands",value:function(t,e){var r=function(t,e,r){return function(t){for(var e,r,n,o=arguments.length>1&&void 0!==arguments[1]?arguments[1]:20,i=arguments.length>2&&void 0!==arguments[2]?arguments[2]:2,u=t.length,l=Array(u).fill(null),a=Array(u).fill(null),c=Array(u).fill(null),s=Array(u).fill(null),f=Array(u).fill(null),h=null,v=null,p=new tt(o,i),y=0;y<u;y++){var b={};p.update(t[y]);var d=!1;try{b=p.getResult()}catch(t){d=!0,b={upper:null,middle:null,lower:null}}if(l[y]=b.upper,a[y]=b.middle,c[y]=b.lower,d)s[y]=null,f[y]=null;else{var m=(e=t[y],r=b.upper,{range:(e-(n=b.lower))/(r-n)*100,height:(r-n)/n*100});h=m.range,v=m.height}s[y]=h,f[y]=v}return{bollinger_bands_upper:l,bollinger_bands_middle:a,bollinger_bands_lower:c,bollinger_bands_range:s,bollinger_bands_height:f}}(t.verticalOhlcv.close,e,r)}(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 o=t.verticalOhlcv.close;return"number"==typeof e&&void 0===n&&(n=e),Nt(o,e,r,n)}(this,t,e,r);return Object.assign(this.indicators,n),this}},{key:"orb",value:function(){var t=function(t,e){for(var r=new Array(e).fill(0),n=new Array(e).fill(0),o=0,i=null,u=0,l=0,a=0;a<e;a++){var c=t[a];if(0===a&&!c.hasOwnProperty("date"))throw Error("input ohlcv array must have a date property available in candle datapoint");var s=c.date.split(" ")[0];s!==i&&(i=s,u=c.high,l=c.low),r[o]=u,n[o]=l,o++}return{orb_high:r,orb_low:n}}(this.inputOhlcv,this.len);return Object.assign(this.indicators,t),this}},{key:"donchianChannels",value:function(t,e){var r=function(t,e,r){var n=t.verticalOhlcv,o=t.len;return function(t,e,r,n,o){for(var i=new Array(o).fill(null),u=new Array(o).fill(null),l=new Array(o).fill(null),a=[],c=[],s=0;s<o;s++){for(;a.length&&a[0]<=s-r;)a.shift();for(;a.length&&t[a[a.length-1]]<=t[s];)a.pop();for(a.push(s);c.length&&c[0]<=s-r;)c.shift();for(;c.length&&e[c[c.length-1]]>=e[s];)c.pop();if(c.push(s),s>=r-1){var f=t[a[0]],h=e[c[0]],v=(f+h)/2,p=s+n;p>=0&&p<o&&(i[p]=f,u[p]=h,l[p]=v)}}return{donchian_channel_upper:i,donchian_channel_lower:u,donchian_channel_basis:l}}(n.high,n.low,e,r,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=new Array(r).fill(null),o=new Array(r).fill(null),i=new Array(r).fill(null),u=new Array(r).fill(null),l=new Array(r).fill(null),a=new N(e),c=new N(e),s=new N(e),f=new N(e),h=new N(e),v=0;v<r;v++){var p=t[v],y=t[v-1];if(void 0!==y){var b=p.open,d=p.high,m=p.low,g=p.close,w=null,O=null,_=null,j=null,S=null,P=g-b,E=P>0?d-g:d-b,A=P>0?b-m:g-m,k=p.open-y.close,R=p.high-p.low;a.update(Math.abs(E)),c.update(Math.abs(A)),h.update(Math.abs(R)),s.update(k),f.update(P);try{_=a.getResult(),O=c.getResult(),w=s.getResult(),j=f.getResult(),S=h.getResult()}catch(t){j=null,w=null,_=null,O=null,S=null}n[v]=zt(P,j,.5),u[v]=zt(k,w,.5),o[v]=Ut(E,_,.5),i[v]=Ut(A,O,.5),l[v]=Ut(R,S,.5)}}return{candle_gap_size:u,candle_body_size:n,candle_top_size:o,candle_bottom_size:i,candle_shadow_size:l}}(t.inputOhlcv,e,t.len)}(this,t);return Object.assign(this.indicators,e),this}},{key:"findDirectionCross",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:["close","low"];this.compute();for(var e=0;e<t.length;e++){var r=t[e],n=Lt(this,r);Object.assign(this.indicators,Kt({},"".concat(r,"_direction_cross"),n))}return this.compute(),this}},{key:"findLinearDirection",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:["close","low"];this.compute();for(var e=0;e<t.length;e++){var r=t[e],n=It(this,r);Object.assign(this.indicators,Kt({},"".concat(r,"_linear_direction"),n))}return this.compute(),this}},{key:"change",value:function(t){this.compute();var e=this.verticalOhlcv;if(!e.hasOwnProperty(t)){var r='key "'.concat(t,'" not found in verticalOhlcv. change method');throw Error(r)}return Object.assign(this.indicators,Kt({},"".concat(t,"_change"),function(t){if(!Array.isArray(t))throw Error("data param in arrayGt function must be array");for(var e=Array(t.length).fill(0),r=1;r<e.length;r++)if(null===t[r]||null===t[r-1])e[r];else{var n=t[r],o=t[r-1];e[r]=(n-o)/o*100}return e}(e[t]))),this.compute(),this}},{key:"gt",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:"close",e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:"open";this.compute();var r,n=this.verticalOhlcv;if(!n.hasOwnProperty(t)){var o='key "'.concat(t,'" not found in verticalOhlcv. gt method');throw Error(o)}if("string"==typeof e){if(!n.hasOwnProperty(e)){var i='key "'.concat(e,'" not found in verticalOhlcv. gt method');throw Error(i)}r=n[e]}else"number"==typeof e&&(r=new Array(n[t].length).fill(e));return Object.assign(this.indicators,Kt({},"".concat(t,"_gt_").concat(e),function(t,e){if(!Array.isArray(t)||!Array.isArray(e))throw Error("a and b params in arrayGt function must be arrays");if(t.length!==e.length)throw Error("array a and b must be the same length in arrayGt function");if(t.length<2)throw Error("arrays in arrayGt function must have at least 2 numeric items");for(var r=Array(t.length).fill(.5),n=1;n<r.length;n++)null!==t[n]&&null!==e[n]||(r[n]=null),t[n]>e[n]?r[n]=1:t[n]<e[n]&&(r[n]=0);return r}(n[t],r))),this.compute(),this}}],e&&Xt(t.prototype,e),Object.defineProperty(t,"prototype",{writable:!1}),t;var t,e}()})(),OHLCV_INDICATORS=e})();
|
package/index.js
CHANGED
|
@@ -7,13 +7,13 @@ import { rsi } from './src/oscillators/rsi.js'
|
|
|
7
7
|
import {crossPairs, findDirectionCross, findLinearDirection} from './src/studies/findCrosses.js'
|
|
8
8
|
import { orb } from './src/oscillators/orb.js'
|
|
9
9
|
import { donchianChannels } from './src/moving-averages/donchianChannel.js'
|
|
10
|
-
import { parseOhlcvToVertical } from './src/utilities/parsing-utilities.js'
|
|
10
|
+
import { parseOhlcvToVertical, defaultStudyOptions } from './src/utilities/parsing-utilities.js'
|
|
11
11
|
import { candlesStudies } from './src/studies/candleStudies.js'
|
|
12
12
|
import { correlation } from './src/studies/correlation.js'
|
|
13
13
|
import { arrayChange, arrayGt } from './src/utilities/math-array.js'
|
|
14
14
|
|
|
15
15
|
export default class OHLCV_INDICATORS {
|
|
16
|
-
constructor({input, ticker =
|
|
16
|
+
constructor({input, ticker = null, studyOptions = null}) {
|
|
17
17
|
|
|
18
18
|
if(!Array.isArray(input)) throw Error('input ohlcv must be an array: ' + ticker)
|
|
19
19
|
if(input.length === 0) throw Error('input ohlcv must not be empty: ' + ticker)
|
|
@@ -22,7 +22,8 @@ export default class OHLCV_INDICATORS {
|
|
|
22
22
|
this.len = input.length
|
|
23
23
|
this.crossPairsArr = []
|
|
24
24
|
this.inputOhlcv = input
|
|
25
|
-
this.
|
|
25
|
+
this.studyOptions = (studyOptions === null) ? defaultStudyOptions : studyOptions
|
|
26
|
+
this.verticalOhlcv = parseOhlcvToVertical(input, this.len, this.studyOptions)
|
|
26
27
|
this.indicators = {}
|
|
27
28
|
this.studies = {}
|
|
28
29
|
this.utilities = {
|
package/package.json
CHANGED
|
@@ -1,6 +1,6 @@
|
|
|
1
1
|
{
|
|
2
2
|
"name": "ohlcv-indicators",
|
|
3
|
-
"version": "1.7.
|
|
3
|
+
"version": "1.7.4",
|
|
4
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.",
|
|
5
5
|
"main": "index.js",
|
|
6
6
|
"type": "module",
|
|
@@ -10,181 +10,141 @@ export const candlesStudies = (main, period) => {
|
|
|
10
10
|
|
|
11
11
|
const getCandlesStudies = (inputOhlcv, period = 20, len) => {
|
|
12
12
|
|
|
13
|
-
let getSize = (a, b) => Math.abs(a - b)
|
|
14
|
-
|
|
15
|
-
//candle_label
|
|
16
|
-
let candle_label = new Array(len).fill(null)
|
|
17
|
-
|
|
18
13
|
//close > open
|
|
19
|
-
let
|
|
20
|
-
|
|
21
|
-
//
|
|
22
|
-
let
|
|
23
|
-
|
|
24
|
-
//top
|
|
25
|
-
let candle_top_size = new Array(len).fill(null)
|
|
26
|
-
|
|
27
|
-
//bottom
|
|
28
|
-
let candle_bottom_size = new Array(len).fill(null)
|
|
29
|
-
|
|
30
|
-
//gap between the current open and previous close
|
|
31
|
-
let candle_gap_size = new Array(len).fill(null)
|
|
14
|
+
let candle_body_size = new Array(len).fill(null) //scaled candle direction close - open
|
|
15
|
+
let candle_top_size = new Array(len).fill(null) //scaled top size (0, 0.5 and 1)
|
|
16
|
+
let candle_bottom_size = new Array(len).fill(null) //scaled bottom size(0, 0.5 and 1)
|
|
17
|
+
let candle_gap_size = new Array(len).fill(null) //scaled gap between the current open and previous close (-1 to 1)
|
|
18
|
+
let candle_shadow_size = new Array(len).fill(null) //scaled shadow size high - slow
|
|
32
19
|
|
|
33
20
|
//instances
|
|
34
|
-
let bodyInstance = new FasterSMA(period)
|
|
35
21
|
let topInstance = new FasterSMA(period)
|
|
36
22
|
let bottomInstance = new FasterSMA(period)
|
|
37
|
-
let gapInstance = new FasterSMA(
|
|
23
|
+
let gapInstance = new FasterSMA(period)
|
|
24
|
+
let bodySizeInstance = new FasterSMA(period)
|
|
25
|
+
let shadowSizeInstance = new FasterSMA(period)
|
|
38
26
|
|
|
39
27
|
for(let x = 0; x < len; x++)
|
|
40
28
|
{
|
|
41
|
-
const
|
|
42
|
-
const
|
|
43
|
-
? calculateHighLowEmptyGaps(inputOhlcv[x], inputOhlcv[x-1])
|
|
44
|
-
: null
|
|
45
|
-
let bodySizeMean = null
|
|
46
|
-
let gapSizeMean = null
|
|
47
|
-
let bottomSizeMean = null
|
|
48
|
-
let topSizeMean = null
|
|
49
|
-
const bodySize = getSize(open, close)
|
|
50
|
-
let topSize
|
|
51
|
-
let bottomSize
|
|
52
|
-
let candleDirection = (close > open) ? 1 : 0 // 1 for bullish and 0 for bearish
|
|
29
|
+
const curr = inputOhlcv[x]
|
|
30
|
+
const prev = inputOhlcv[x-1]
|
|
53
31
|
|
|
54
|
-
if(
|
|
55
|
-
{
|
|
56
|
-
topSize = getSize(high, close)
|
|
57
|
-
bottomSize = getSize(open, low)
|
|
58
|
-
}
|
|
59
|
-
else
|
|
32
|
+
if(typeof prev === 'undefined')
|
|
60
33
|
{
|
|
61
|
-
|
|
62
|
-
bottomSize = getSize(close, low)
|
|
34
|
+
continue
|
|
63
35
|
}
|
|
64
36
|
|
|
65
|
-
|
|
66
|
-
topInstance.update(topSize)
|
|
67
|
-
bottomInstance.update(bottomSize)
|
|
37
|
+
const {open, high, low, close} = curr
|
|
68
38
|
|
|
69
|
-
if(gapSize)
|
|
70
|
-
{
|
|
71
|
-
gapInstance.update(gapSize)
|
|
72
|
-
}
|
|
73
|
-
|
|
74
39
|
|
|
40
|
+
//initial means
|
|
41
|
+
let gapMean = null
|
|
42
|
+
let bottomSizeMean = null
|
|
43
|
+
let topSizeMean = null
|
|
44
|
+
let bodySizeMean = null
|
|
45
|
+
let shadowSizeMean = null
|
|
46
|
+
|
|
47
|
+
//directions
|
|
48
|
+
const candleBodySize = close - open // 1 for bullish and 0 for bearish
|
|
49
|
+
|
|
50
|
+
//sizes
|
|
51
|
+
const topSize = (candleBodySize > 0) ? high - close : high - open
|
|
52
|
+
const bottomSize = (candleBodySize > 0) ? open - low : close - low
|
|
53
|
+
const gapSize = curr.open - prev.close
|
|
54
|
+
const shadowSize = curr.high - curr.low
|
|
55
|
+
|
|
56
|
+
|
|
57
|
+
//instances
|
|
58
|
+
topInstance.update(Math.abs(topSize))
|
|
59
|
+
bottomInstance.update(Math.abs(bottomSize))
|
|
60
|
+
shadowSizeInstance.update(Math.abs(shadowSize))
|
|
61
|
+
|
|
62
|
+
gapInstance.update(gapSize)
|
|
63
|
+
bodySizeInstance.update(candleBodySize)
|
|
64
|
+
|
|
65
|
+
|
|
75
66
|
try
|
|
76
67
|
{
|
|
77
|
-
bodySizeMean = bodyInstance.getResult()
|
|
78
68
|
topSizeMean = topInstance.getResult()
|
|
79
69
|
bottomSizeMean = bottomInstance.getResult()
|
|
80
|
-
|
|
70
|
+
gapMean = gapInstance.getResult()
|
|
71
|
+
bodySizeMean = bodySizeInstance.getResult()
|
|
72
|
+
shadowSizeMean = shadowSizeInstance.getResult()
|
|
81
73
|
}
|
|
82
74
|
catch(err)
|
|
83
75
|
{
|
|
84
76
|
bodySizeMean = null
|
|
85
|
-
|
|
77
|
+
gapMean = null
|
|
78
|
+
topSizeMean = null
|
|
79
|
+
bottomSizeMean = null
|
|
80
|
+
shadowSizeMean = null
|
|
86
81
|
}
|
|
87
82
|
|
|
88
|
-
|
|
89
|
-
|
|
90
|
-
|
|
91
|
-
candle_body_size[x] = classifySize(bodySize, bodySizeMean, 0.25)
|
|
92
|
-
|
|
93
|
-
//top
|
|
94
|
-
candle_top_size[x] = classifySize(topSize, topSizeMean, 0.1)
|
|
95
|
-
|
|
96
|
-
//bottom
|
|
97
|
-
candle_bottom_size[x] = classifySize(bottomSize, bottomSizeMean, 0.1)
|
|
98
|
-
|
|
99
|
-
//gap
|
|
100
|
-
candle_gap_size[x] = classifySize(gapSize, gapSizeMean, 0.25)
|
|
101
|
-
|
|
102
|
-
|
|
103
|
-
//label
|
|
83
|
+
//negatives and positives
|
|
84
|
+
candle_body_size[x] = classifyChange(candleBodySize, bodySizeMean, 0.5)
|
|
85
|
+
candle_gap_size[x] = classifyChange(gapSize, gapMean, 0.5)
|
|
104
86
|
|
|
105
|
-
|
|
106
|
-
|
|
107
|
-
|
|
108
|
-
|
|
109
|
-
candle_label[x] = labelArr.join('_')
|
|
110
|
-
}
|
|
111
|
-
}
|
|
112
|
-
|
|
113
|
-
|
|
114
|
-
// Create a Map for unique labels with indices
|
|
115
|
-
const labelMap = new Map();
|
|
116
|
-
let labelIndex = 0;
|
|
117
|
-
|
|
118
|
-
// Populate the label map and assign indices only once
|
|
119
|
-
for (const label of candle_label) {
|
|
120
|
-
if (label !== null && !labelMap.has(label)) {
|
|
121
|
-
labelMap.set(label, labelIndex++);
|
|
122
|
-
}
|
|
87
|
+
//positives only
|
|
88
|
+
candle_top_size[x] = classifySize(topSize, topSizeMean, 0.5)
|
|
89
|
+
candle_bottom_size[x] = classifySize(bottomSize, bottomSizeMean, 0.5)
|
|
90
|
+
candle_shadow_size[x] = classifySize(shadowSize, shadowSizeMean, 0.5)
|
|
123
91
|
}
|
|
124
92
|
|
|
125
|
-
// Transform candle_label in place using the labelMap for quick lookup
|
|
126
|
-
candle_label = candle_label.map(v => (v !== null && labelMap.has(v)) ? labelMap.get(v) : null);
|
|
127
|
-
|
|
128
93
|
return {
|
|
129
|
-
candle_label,
|
|
130
|
-
candle_direction,
|
|
131
94
|
candle_gap_size,
|
|
132
95
|
candle_body_size,
|
|
133
96
|
candle_top_size,
|
|
134
|
-
candle_bottom_size
|
|
97
|
+
candle_bottom_size,
|
|
98
|
+
candle_shadow_size
|
|
135
99
|
}
|
|
136
100
|
}
|
|
137
101
|
|
|
138
|
-
|
|
139
|
-
|
|
140
|
-
|
|
141
|
-
|
|
142
|
-
const
|
|
143
|
-
const
|
|
144
|
-
|
|
145
|
-
|
|
146
|
-
|
|
147
|
-
|
|
148
|
-
|
|
102
|
+
const classifyChange = (value, mean, standardDeviation = 0.5) => {
|
|
103
|
+
if (value === null || mean === null || standardDeviation === null) return null;
|
|
104
|
+
|
|
105
|
+
const largePositiveThreshold = mean + (2 * standardDeviation); // Large positive
|
|
106
|
+
const mediumPositiveThreshold = mean + (1.5 * standardDeviation); // Medium positive (1.5σ)
|
|
107
|
+
const smallPositiveThreshold = mean + (0.5 * standardDeviation); // Small positive (0.5σ)
|
|
108
|
+
const smallNegativeThreshold = mean - (0.5 * standardDeviation); // Small negative (-0.5σ)
|
|
109
|
+
const mediumNegativeThreshold = mean - (1.5 * standardDeviation); // Medium negative (-1.5σ)
|
|
110
|
+
const largeNegativeThreshold = mean - (2 * standardDeviation); // Large negative
|
|
111
|
+
|
|
112
|
+
if (value >= largePositiveThreshold) {
|
|
113
|
+
return 1; // Large positive
|
|
114
|
+
} else if (value >= mediumPositiveThreshold) {
|
|
115
|
+
return 0.75; // Medium positive
|
|
116
|
+
} else if (value >= smallPositiveThreshold) {
|
|
117
|
+
return 0.25; // Small positive
|
|
118
|
+
} else if (value <= largeNegativeThreshold) {
|
|
119
|
+
return -1; // Large negative
|
|
120
|
+
} else if (value <= mediumNegativeThreshold) {
|
|
121
|
+
return -0.75; // Medium negative
|
|
122
|
+
} else if (value <= smallNegativeThreshold) {
|
|
123
|
+
return -0.25; // Small negative
|
|
149
124
|
} else {
|
|
150
|
-
return 0; //
|
|
125
|
+
return 0; // No significant change
|
|
151
126
|
}
|
|
152
127
|
};
|
|
153
128
|
|
|
154
129
|
|
|
155
130
|
|
|
156
|
-
const
|
|
157
|
-
|
|
158
|
-
// Gaps are zones where the highest highs and lowest lows of the previous and current candles do not touch.
|
|
159
|
-
// If any of the values overlap, the gapSize is 0.
|
|
131
|
+
const classifySize = (value, mean, standardDeviation = 1.5) => {
|
|
132
|
+
if (value === null || mean === null || standardDeviation === null) return null;
|
|
160
133
|
|
|
161
|
-
|
|
134
|
+
const largeThreshold = mean + (2 * standardDeviation); // Large (2σ above mean)
|
|
135
|
+
const mediumThreshold = mean + (1 * standardDeviation); // Medium (1σ above mean)
|
|
136
|
+
const smallThreshold = mean - (1 * standardDeviation); // Small (1σ below mean)
|
|
137
|
+
const verySmallThreshold = mean - (1.5 * standardDeviation); // Very small (1.5σ below mean)
|
|
162
138
|
|
|
163
|
-
|
|
164
|
-
|
|
165
|
-
|
|
166
|
-
|
|
167
|
-
|
|
168
|
-
|
|
169
|
-
|
|
170
|
-
|
|
171
|
-
{
|
|
172
|
-
|
|
173
|
-
lows.push(open)
|
|
174
|
-
}
|
|
175
|
-
else
|
|
176
|
-
{
|
|
177
|
-
highs.push(open)
|
|
178
|
-
lows.push(close)
|
|
139
|
+
if (value > largeThreshold) {
|
|
140
|
+
return 1; // Large
|
|
141
|
+
} else if (value > mediumThreshold) {
|
|
142
|
+
return 0.75; // Medium
|
|
143
|
+
} else if (value > smallThreshold) {
|
|
144
|
+
return 0.5; // Small
|
|
145
|
+
} else if (value > verySmallThreshold) {
|
|
146
|
+
return 0.25; // Very small
|
|
147
|
+
} else {
|
|
148
|
+
return 0; // Insignificant
|
|
179
149
|
}
|
|
180
|
-
|
|
181
|
-
|
|
182
|
-
const maxHigh = Math.max(high, prevHigh)
|
|
183
|
-
const minLow = Math.min(low, prevLow)
|
|
184
|
-
const fullSize = maxHigh - minLow
|
|
185
|
-
const prevSize = Math.abs(prevHigh - prevLow)
|
|
186
|
-
const currentSize = Math.abs(high-low)
|
|
187
|
-
const gapSize = fullSize - (prevSize+currentSize)
|
|
188
|
-
|
|
189
|
-
return (gapSize > 0) ? gapSize : 0.01
|
|
190
|
-
}
|
|
150
|
+
};
|
|
@@ -1,8 +1,52 @@
|
|
|
1
1
|
//true if first row date starts with yyyy-mm-dd date
|
|
2
2
|
const validateFirstDate = arr => arr[0].hasOwnProperty('date') && typeof arr[0].date === 'string' && /^\d{4}-\d{2}-\d{2}/.test(arr[0].date)
|
|
3
3
|
|
|
4
|
-
export const
|
|
4
|
+
export const defaultStudyOptions = {
|
|
5
|
+
midPriceOpenClose: false,
|
|
6
|
+
midPriceHighLow: false,
|
|
7
|
+
sessionIndex: false,
|
|
8
|
+
sessionIntradayIndex: false,
|
|
9
|
+
dayOfTheWeek: false,
|
|
10
|
+
dayOfTheMonth: false,
|
|
11
|
+
weekOfTheMonth: false
|
|
12
|
+
}
|
|
13
|
+
|
|
14
|
+
export const parseOhlcvToVertical = (input, len, studyOptions) => {
|
|
15
|
+
|
|
16
|
+
|
|
17
|
+
if(Boolean(studyOptions))
|
|
18
|
+
{
|
|
19
|
+
for(let k in studyOptions)
|
|
20
|
+
{
|
|
21
|
+
if(!defaultStudyOptions.hasOwnProperty(k))
|
|
22
|
+
{
|
|
23
|
+
throw new Error(`Key ${k} not found in defaultStudyOptions. Available options: ${Object.keys(defaultStudyOptions).join(', ')}`)
|
|
24
|
+
}
|
|
25
|
+
}
|
|
26
|
+
}
|
|
27
|
+
|
|
28
|
+
const {
|
|
29
|
+
midPriceOpenClose,
|
|
30
|
+
midPriceHighLow,
|
|
31
|
+
sessionIndex,
|
|
32
|
+
sessionIntradayIndex,
|
|
33
|
+
dayOfTheWeek,
|
|
34
|
+
dayOfTheMonth,
|
|
35
|
+
weekOfTheMonth
|
|
36
|
+
} = studyOptions
|
|
37
|
+
|
|
5
38
|
const numberColsKeys = ['open', 'high', 'low', 'close', 'volume']
|
|
39
|
+
|
|
40
|
+
if(midPriceOpenClose)
|
|
41
|
+
{
|
|
42
|
+
numberColsKeys.push('mid_price_open_close')
|
|
43
|
+
}
|
|
44
|
+
|
|
45
|
+
if(midPriceHighLow)
|
|
46
|
+
{
|
|
47
|
+
numberColsKeys.push('mid_price_high_low')
|
|
48
|
+
}
|
|
49
|
+
|
|
6
50
|
const numberColsKeysSet = new Set(numberColsKeys)
|
|
7
51
|
const verticalOhlcv = {}
|
|
8
52
|
|
|
@@ -24,17 +68,37 @@ export const parseOhlcvToVertical = (input, len) => {
|
|
|
24
68
|
|
|
25
69
|
|
|
26
70
|
let prevDateStr
|
|
27
|
-
let
|
|
28
|
-
let
|
|
71
|
+
let sessionIndexCount = 0
|
|
72
|
+
let sessionIntradayIndexCount = 0
|
|
29
73
|
const isValidDate = validateFirstDate(input)
|
|
30
74
|
|
|
31
75
|
if(isValidDate)
|
|
32
76
|
{
|
|
33
|
-
|
|
34
|
-
|
|
35
|
-
|
|
36
|
-
|
|
37
|
-
|
|
77
|
+
if(sessionIndex)
|
|
78
|
+
{
|
|
79
|
+
verticalOhlcv['session_index'] = new Array(len)
|
|
80
|
+
}
|
|
81
|
+
|
|
82
|
+
if(sessionIntradayIndex)
|
|
83
|
+
{
|
|
84
|
+
verticalOhlcv['session_intraday_index'] = new Array(len)
|
|
85
|
+
}
|
|
86
|
+
|
|
87
|
+
if(dayOfTheWeek)
|
|
88
|
+
{
|
|
89
|
+
verticalOhlcv['day_of_the_week'] = new Array(len)
|
|
90
|
+
}
|
|
91
|
+
|
|
92
|
+
if(dayOfTheMonth)
|
|
93
|
+
{
|
|
94
|
+
verticalOhlcv['day_of_the_month'] = new Array(len)
|
|
95
|
+
}
|
|
96
|
+
|
|
97
|
+
if(weekOfTheMonth)
|
|
98
|
+
{
|
|
99
|
+
verticalOhlcv['week_of_the_month'] = new Array(len)
|
|
100
|
+
}
|
|
101
|
+
|
|
38
102
|
prevDateStr = input[0].date.slice(0, 10)
|
|
39
103
|
}
|
|
40
104
|
|
|
@@ -47,6 +111,16 @@ export const parseOhlcvToVertical = (input, len) => {
|
|
|
47
111
|
verticalOhlcv.close[x] = current.close
|
|
48
112
|
verticalOhlcv.volume[x] = current.volume
|
|
49
113
|
|
|
114
|
+
if(midPriceOpenClose)
|
|
115
|
+
{
|
|
116
|
+
verticalOhlcv.mid_price_open_close[x] = (current.open + current.close) / 2
|
|
117
|
+
}
|
|
118
|
+
|
|
119
|
+
if(midPriceHighLow)
|
|
120
|
+
{
|
|
121
|
+
verticalOhlcv.mid_price_high_low[x] = (current.high + current.low) / 2
|
|
122
|
+
}
|
|
123
|
+
|
|
50
124
|
// Process other keys
|
|
51
125
|
for (const key of otherKeys) {
|
|
52
126
|
verticalOhlcv[key][x] = current[key]
|
|
@@ -58,8 +132,8 @@ export const parseOhlcvToVertical = (input, len) => {
|
|
|
58
132
|
|
|
59
133
|
if (thisDateStr !== prevDateStr) {
|
|
60
134
|
prevDateStr = thisDateStr
|
|
61
|
-
|
|
62
|
-
|
|
135
|
+
sessionIndexCount++
|
|
136
|
+
sessionIntradayIndexCount = 0
|
|
63
137
|
}
|
|
64
138
|
|
|
65
139
|
const {
|
|
@@ -68,13 +142,32 @@ export const parseOhlcvToVertical = (input, len) => {
|
|
|
68
142
|
week_of_the_month
|
|
69
143
|
} = getDateInfo(thisDateStr)
|
|
70
144
|
|
|
71
|
-
|
|
72
|
-
|
|
73
|
-
|
|
74
|
-
|
|
75
|
-
|
|
145
|
+
if(dayOfTheWeek)
|
|
146
|
+
{
|
|
147
|
+
verticalOhlcv.day_of_the_week[x] = day_of_the_week
|
|
148
|
+
}
|
|
149
|
+
|
|
150
|
+
if(dayOfTheMonth)
|
|
151
|
+
{
|
|
152
|
+
verticalOhlcv.day_of_the_month[x] = day_of_the_month
|
|
153
|
+
}
|
|
154
|
+
|
|
155
|
+
if(weekOfTheMonth)
|
|
156
|
+
{
|
|
157
|
+
verticalOhlcv.week_of_the_month[x] = week_of_the_month
|
|
158
|
+
}
|
|
159
|
+
|
|
160
|
+
if(sessionIndex)
|
|
161
|
+
{
|
|
162
|
+
verticalOhlcv.session_index[x] = sessionIndexCount
|
|
163
|
+
}
|
|
164
|
+
|
|
165
|
+
if(sessionIntradayIndex)
|
|
166
|
+
{
|
|
167
|
+
verticalOhlcv.session_intraday_index[x] = sessionIntradayIndexCount
|
|
168
|
+
}
|
|
76
169
|
|
|
77
|
-
|
|
170
|
+
sessionIntradayIndexCount++
|
|
78
171
|
}
|
|
79
172
|
}
|
|
80
173
|
|