ohlcv-indicators 2.1.4 → 2.1.6

package/index.js

@@ -3,7 +3,10 @@ import { correlation } from './src/studies/correlation.js'
 import { setIndicatorsFromInputParams } from './src/utilities/setIndicatorsFromInputParams.js'
 import { validateDate } from './src/utilities/validators.js'
 import { isAlreadyComputed } from './src/utilities/validators.js'
-import { divideByMultiplier } from './src/utilities/precision.js'
+import { divideByMultiplier } from './src/utilities/numberUtilities.js'
+import { getMovingAveragesParams } from './src/moving-averages/movingAverages.js'
+
+const validMagnitudeValues = [0.01, 0.02, 0.025, 0.05, 0.1, 0.20, 0.25, 0.5, 1]
 
 export default class OHLCV_INDICATORS {
     constructor({input, ticker = null, precision = true}) {
@@ -206,7 +209,7 @@ export default class OHLCV_INDICATORS {
         {
             const key = colKeys[x]
 
-            if(this.priceBased.find(v => key.startsWith(v)))
+            if(this.priceBased.find(v => key === v))
             {
                 this.priceBased.push(key)
             }
@@ -215,11 +218,18 @@ export default class OHLCV_INDICATORS {
         return this;
     }
     
-    relativeVolume(size) {
+    relativeVolume(size, options = {}) {
 
         isAlreadyComputed(this)
 
-        this.inputParams.push({key: 'relativeVolume', params: [size]})
+        const {scale = null} = options
+
+        if (typeof scale === 'number' && !validMagnitudeValues.includes(scale)) {
+
+            throw new Error(`"scale" value in relativeVolume must be any of the following numbers: ${validMagnitudeValues.join(', ')}`);
+        }
+
+        this.inputParams.push({key: 'relativeVolume', params: [size, {scale}]})
  
         return this
     }
@@ -228,19 +238,9 @@ export default class OHLCV_INDICATORS {
 
         isAlreadyComputed(this)
 
-        if(!options || typeof options !== 'object')
-        {
-            throw new Error('"options" must be an object in ema. eg: {target, height, range}');
-        }
-
-        const {target = 'close'} = options
-
-        if (typeof size !== 'number' || size <= 0) {
-            throw new Error('"size" must be a positive number in ema.');
-        }
+        const optionArgs = getMovingAveragesParams('ema', size, options, validMagnitudeValues)
 
-        this.inputParams.push({key: 'ema', params: [size, target]})
-        this.priceBased.push(`ema_${size}`)
+        this.inputParams.push({key: 'movingAverages', params: ['ema', size, optionArgs]})
 
         return this
     }
@@ -248,23 +248,14 @@ export default class OHLCV_INDICATORS {
 
         isAlreadyComputed(this)
 
-        if(!options || typeof options !== 'object')
-        {
-            throw new Error('"options" must be an object in sma. eg: {target, height, range}');
-        }
-
-        const {target = 'close'} = options
-
-        if (typeof size !== 'number' || size <= 0) {
-            throw new Error('"size" must be a positive number in sma.');
-        }
-
+        const optionArgs = getMovingAveragesParams('sma', size, options, validMagnitudeValues)
 
-        this.inputParams.push({key: 'sma', params: [size, target]})
-        this.priceBased.push(`sma_${size}`)
+        this.inputParams.push({key: 'movingAverages', params: ['sma', size, optionArgs]})
 
-        return this 
+        return this
     }
+
+    
     macd(fast = 12, slow = 26, signal = 9, options = {}) {
 
         isAlreadyComputed(this)
@@ -300,7 +291,7 @@ export default class OHLCV_INDICATORS {
             throw new Error('"options" must be an object in bollingerBands. eg: {target, height, range}');
         }
 
-        const {target = 'close', height = false, range = [], zScore = []} = options
+        const {target = 'close', height = false, range = [], zScore = [], scale = null} = options
 
         // Validate size and times
         if (typeof size !== 'number' || size <= 0) {
@@ -317,15 +308,23 @@ export default class OHLCV_INDICATORS {
         }
         if (typeof height !== 'boolean') {
             throw new Error('"height" must be a boolean in bollingerBands.');
-        } 
+        }
+        else
+        {
+            if (typeof scale === 'number' && !validMagnitudeValues.includes(scale)) {
+
+                throw new Error(`"scale" value in bollingerBands must be any of the following numbers: ${validMagnitudeValues.join(', ')}`);
+            }           
+        }
+
+
     
-        this.inputParams.push({key: 'bollingerBands', params: [size, stdDev, {target, height, range, zScore}]});
-        this.priceBased.push('bollinger_bands_middle', 'bollinger_bands_upper', 'bollinger_bands_lower');
+        this.inputParams.push({key: 'bollingerBands', params: [size, stdDev, {target, height, scale, range, zScore}]});
     
         return this;
     }
     
-    rsi(size)
+    rsi(size, options = {})
     {
         isAlreadyComputed(this)
 
@@ -334,63 +333,97 @@ export default class OHLCV_INDICATORS {
             throw new Error('"size" must be a positive number in rsi.');
         }
 
-        this.inputParams.push({key: 'rsi', params: [size]})
+        const {scale = null, target = 'close'} = options
+
+        if (typeof scale === 'number' && !validMagnitudeValues.includes(scale)) {
+
+            throw new Error(`"scale" value in rsi must be any of the following numbers: ${validMagnitudeValues.join(', ')}`);
+        }
+
+        this.inputParams.push({key: 'rsi', params: [size, {scale, target}]})
 
         return this
     }
-    donchianChannels(size = 20, offset = 0, options = {})
-    {
-        isAlreadyComputed(this)
-
+    donchianChannels(size = 20, offset = 0, options = {}) {
+        isAlreadyComputed(this);
+      
         if (typeof size !== 'number' || size <= 0) {
-            throw new Error('"size" must be a positive number or 0 in donchianChannels.');
+          throw new Error('"size" must be a positive number greater than 0 in donchianChannels.');
         }
-    
-        if (typeof offset !== 'number' || offset <= 0) {
-            throw new Error('"offset" must be a positive number or 0 in donchianChannels.');
+      
+        if (typeof offset !== 'number' || offset < 0) {
+          throw new Error('"offset" must be a number greater than or equal to 0 in donchianChannels.');
         }
+      
+        const { height = false, range = [], scale = null } = options;
+      
+        if (!Array.isArray(range)) {
+          throw new Error('If set, "range" must be an array of column names in donchianChannels.');
+        }
+      
+        if (typeof height !== 'boolean') {
+          throw new Error('"height" must be a boolean in donchianChannels.');
+        }
+        else
+        {
 
-        const {height = false, range = false} = options
-
-        this.inputParams.push({key: 'donchianChannels', params: [size, offset, {height, range}]})
-        this.priceBased.push('donchian_channel_upper', 'donchian_channel_lower', 'donchian_channel_basis')
+            if (typeof scale === 'number' && !validMagnitudeValues.includes(scale)) {
 
-        return this       
+                throw new Error(`"scale" value in donchianChannels must be any of the following numbers: ${validMagnitudeValues.join(', ')}`);
+            }        
+        }
+      
+        this.inputParams.push({ key: 'donchianChannels', params: [size, offset, { height, range, scale }] });
+      
+        return this;
     }
-    candleStudies(size = 20, options = {})
-    {
-
-        isAlreadyComputed(this)
+      
 
+    candleStudies(size = 20, stdDev = 2, options = {}) {
+        isAlreadyComputed(this);
+      
         if (typeof size !== 'number' || size <= 0) {
-            throw new Error('"size" must be a positive number or 0 in candleStudies.');
+          throw new Error('"size" must be a positive number greater than 0 in candleStudies.');
+        }
+      
+        if (typeof stdDev !== 'number' || stdDev <= 0) {
+          throw new Error('"stdDev" must be a positive number greater than 0 in candleStudies.');
         }
+      
+        const { lag = 0, scale = 0.05 } = options;
 
-        const {stdDev = 2, lag = 0} = options
 
-        if(typeof stdDev !== 'number' || (typeof stdDev === 'number' && stdDev <= 0))
-        {
-            throw new Error('"stdDev" must be a positive number greater than 0 in candleStudies.');
-        }
+        if (typeof scale === 'number' && !validMagnitudeValues.includes(scale)) {
 
-        this.inputParams.push({key: 'candleStudies', params: [size, stdDev, lag]})
-        return this       
-    }
+            throw new Error(`"scale" value in candleStudies must be any of the following numbers: ${validMagnitudeValues.join(', ')}`);
+        }
+      
+        this.inputParams.push({ key: 'candleStudies', params: [size, stdDev, {lag, scale}] });
+        return this;
+      }
+      
 
-    volumeOscillator(fastSize = 5, slowSize = 10)
+    volumeOscillator(fastSize = 5, slowSize = 10, options = {})
     {
 
         isAlreadyComputed(this)
 
-        if (typeof fastSize !== 'number' || fastSize <= 0) {
-            throw new Error('fastSize" must be a positive number in volumeOscillator.');
+        if (typeof fastSize !== 'number' || fastSize <= 1) {
+            throw new Error('fastSize" must be a positive number greater than 1 in volumeOscillator.');
         }
 
         if (typeof slowSize !== 'number' || slowSize <= fastSize) {
             throw new Error('"slowSize" must be a positive number greater than the "fastSize" in volumeOscillator.');
         }
 
-        this.inputParams.push({key: 'volumeOscillator', params: [fastSize, slowSize]})
+        const {scale = null} = options
+
+        if (typeof scale === 'number' && !validMagnitudeValues.includes(scale)) {
+
+            throw new Error(`"scale" value in volumeOscillator must be any of the following numbers: ${validMagnitudeValues.join(', ')}`);
+        }
+
+        this.inputParams.push({key: 'volumeOscillator', params: [fastSize, slowSize, {scale}]})
         return this           
     }
     dateTime()

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ohlcv-indicators",
-  "version": "2.1.4",
+  "version": "2.1.6",
   "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/moving-averages/bollingerBands.js

@@ -1,12 +1,12 @@
 import { FasterBollingerBands } from 'trading-signals'
+import { calcMagnitude } from '../utilities/numberUtilities.js';
 
 const defaultTarget = 'close'
 
-export const bollingerBands = (main, index, size, stdDev, options) => {
+export const bollingerBands = (main, index, size, stdDev, { height, range = [], zScore = [], target, scale }) => {
   // Destructure options ensure range and zScore default to empty arrays if not provided.
 
   const { verticalOhlcv, instances, lastIndexReplace } = main;
-  const { height, range = [], zScore = [], target } = options
   const suffix = target === defaultTarget ? '' : `_${target}`
   const indicatorKey = `${size}_${stdDev}${suffix}`
   let prefix // Will be computed during initialization
@@ -47,10 +47,12 @@ export const bollingerBands = (main, index, size, stdDev, options) => {
       ...(height && { [`${prefix}_height`]: [...nullArray] })
     }
 
+    main.priceBased.push(`${prefix}_upper`, `${prefix}_middle`, `${prefix}_lower`)
+
     // Set up additional arrays for each range property.
     for (const rangeKey of range) {
       if (!(rangeKey in verticalOhlcv) || !priceBased.includes(rangeKey)) {
-        throw new Error(`Invalid range item value "${rangeKey}" property for bollingerBands. Only price based key names are accepted:\n${JSON.stringify(main.priceBased)}`)
+        throw new Error(`Invalid range item value "${rangeKey}" property for bollingerBands. Only price based key names are accepted:\n${JSON.stringify(priceBased)}`)
       }
       ohlcvSetup[`${prefix}_range_${rangeKey}`] = [...nullArray]
     }
@@ -58,7 +60,7 @@ export const bollingerBands = (main, index, size, stdDev, options) => {
     // Set up additional arrays for each zScore property.
     for (const zScoreKey of zScore) {
       if (!(zScoreKey in verticalOhlcv) || !priceBased.includes(zScoreKey)) {
-        throw new Error(`Invalid zScore item value "${zScoreKey}" for bollingerBands. Only price based key names are accepted:\n${JSON.stringify(main.priceBased)}`)
+        throw new Error(`Invalid zScore item value "${zScoreKey}" for bollingerBands. Only price based key names are accepted:\n${JSON.stringify(priceBased)}`)
       }
       ohlcvSetup[`${prefix}_zscore_${zScoreKey}`] = [...nullArray]
     }
@@ -97,23 +99,40 @@ export const bollingerBands = (main, index, size, stdDev, options) => {
 
   // Process height if a height instance exists.
   if (height) {
-    const heightValue = ((upper - lower) / lower) * 100
+    let heightValue = ((upper - lower) / lower)
+
+    if(scale)
+    {
+      heightValue = calcMagnitude(heightValue, scale)
+    }
+
     main.pushToMain({index, key: `${subPrefix}_height`, value: heightValue})
   }
 
   // Process each range property.
   for (const rangeKey of range) {
-    const rangeValue = (verticalOhlcv[rangeKey][index] - lower) / (upper - lower)
+    let rangeValue = (verticalOhlcv[rangeKey][index] - lower) / (upper - lower)
+
+    if(scale)
+    {
+      rangeValue = calcMagnitude(rangeValue, scale)
+    }
+
     main.pushToMain({index, key: `${subPrefix}_range_${rangeKey}`, value: rangeValue})
   }
 
   // Process each zScore property.
   for (const zScoreKey of zScore) {
     const denominator = upper - lower
-    const zScoreValue = denominator !== 0
+    let zScoreValue = denominator !== 0
       ? (2 * stdDev * (verticalOhlcv[zScoreKey][index] - middle)) / denominator
       : 0
       
+    if(denominator !== 0 && scale)
+    {
+      zScoreValue = calcMagnitude(zScoreValue, scale)
+    }
+
     main.pushToMain({index, key: `${subPrefix}_zscore_${zScoreKey}`, value: zScoreValue})
   }
 

package/src/moving-averages/donchianChannel.js

@@ -1,41 +1,47 @@
+import { calcMagnitude } from "../utilities/numberUtilities.js"
+
+
+export const donchianChannels = (main, index, size, offset, { height, range, scale}) => {
 
-export const donchianChannels = (main, index, size, offset, options) => {
-  const { height, range } = options
   const indicatorKey = `${size}_${offset}`
+  const {verticalOhlcv, instances, len} = main
 
   // Initialization: create output arrays and indicator instance on the first call.
   if (index === 0) {
-    const numberOfIndicators = main.inputParams.filter(o => o.key === 'donchianChannels').length
+    const {inputParams, nullArray, priceBased} = main
+    const numberOfIndicators = inputParams.filter(o => o.key === 'donchianChannels').length
     const prefix = numberOfIndicators > 1 ? `donchian_channel_${indicatorKey}` : 'donchian_channel'
 
-    Object.assign(main.verticalOhlcv, {
-      [`${prefix}_upper`]: [...main.nullArray],
-      [`${prefix}_basis`]: [...main.nullArray],
-      [`${prefix}_lower`]: [...main.nullArray],
-      ...(height && { [`${prefix}_height`]: [...main.nullArray] })
+    Object.assign(verticalOhlcv, {
+      [`${prefix}_upper`]: [...nullArray],
+      [`${prefix}_basis`]: [...nullArray],
+      [`${prefix}_lower`]: [...nullArray],
+      ...(height && { [`${prefix}_height`]: [...nullArray] })
     })
 
-    if (!main.instances.hasOwnProperty('donchian_channel')) {
-      main.instances.donchian_channel = { numberOfIndicators, settings: {} }
+    priceBased.push(`${prefix}_upper`, `${prefix}_basis`, `${prefix}_lower`);
+
+    if (!instances.hasOwnProperty('donchian_channel')) {
+      instances.donchian_channel = { numberOfIndicators, settings: {} }
     }
 
     // Set up additional arrays for each range property.
     for (const rangeKey of range) {
-      if (!(rangeKey in main.verticalOhlcv) || !main.priceBased.includes(rangeKey)) {
-        throw new Error(`Invalid range item value "${rangeKey}" property for donchianChannels. Only price based key names are accepted:\n${JSON.stringify(main.priceBased)}`)
+      if (!(rangeKey in verticalOhlcv) || !priceBased.includes(rangeKey)) {
+        throw new Error(`Invalid range item value "${rangeKey}" property for donchianChannels. Only price based key names are accepted:\n${JSON.stringify(priceBased)}`)
       }
-      main.verticalOhlcv[`${prefix}_range_${rangeKey}`] = [...main.nullArray]
+      verticalOhlcv[`${prefix}_range_${rangeKey}`] = [...nullArray]
     }
 
-    main.instances.donchian_channel.settings[indicatorKey] = {
+    instances.donchian_channel.settings[indicatorKey] = {
       maxDeque: [], // will hold indices for highs in descending order
       minDeque: []  // will hold indices for lows in ascending order
     }
   }
 
-  const numberOfIndicators = main.instances.donchian_channel.numberOfIndicators
+  const numberOfIndicators = instances.donchian_channel.numberOfIndicators
   const subPrefix = numberOfIndicators > 1 ? `donchian_channel_${indicatorKey}` : 'donchian_channel'
-  const state = main.instances.donchian_channel.settings[indicatorKey]
+  const state = instances.donchian_channel.settings[indicatorKey]
   const { maxDeque, minDeque } = state
 
   // Compute the “current bar index” for the window.
@@ -45,10 +51,10 @@ export const donchianChannels = (main, index, size, offset, options) => {
   const startIdx = endIdx - size        // window: [startIdx, endIdx)
 
   // If the window is not fully available, exit early.
-  if (startIdx < 0 || endIdx > main.len) return true
+  if (startIdx < 0 || endIdx > len) return true
 
-  const highs = main.verticalOhlcv.high
-  const lows = main.verticalOhlcv.low
+  const highs = verticalOhlcv.high
+  const lows = verticalOhlcv.low
 
   // **Update the maximum deque:**
   // Remove indices that are out of the current window.
@@ -86,13 +92,25 @@ export const donchianChannels = (main, index, size, offset, options) => {
   main.pushToMain({index, key: `${subPrefix}_lower`, value: lower})
 
   if (height) {
-    const heightValue = ((upper - lower) / lower) * 100
+    let heightValue = ((upper - lower) / lower)
+
+    if(scale)
+    {
+      heightValue = calcMagnitude(heightValue, scale)
+    }
+
     main.pushToMain({index, key: `${subPrefix}_height`, value: heightValue})
   }
 
   // Process each range property.
   for (const rangeKey of range) {
-    const rangeValue = (main.verticalOhlcv[rangeKey][index] - lower) / (upper - lower)
+    let rangeValue = (verticalOhlcv[rangeKey][index] - lower) / (upper - lower)
+
+    if(scale)
+    {
+      rangeValue = calcMagnitude(rangeValue, scale)
+    }
+
     main.pushToMain({index, key: `${subPrefix}_range_${rangeKey}`, value: rangeValue})
   }
 

package/src/moving-averages/macd.js

@@ -1,73 +1,77 @@
-import {FasterEMA, FasterMACD} from 'trading-signals';
+import { FasterEMA, FasterMACD } from 'trading-signals';
 
-const defaultTarget = 'close'
+const defaultTarget = 'close';
 
 export const macd = (main, index, fast, slow, signal, options) => {
+  const { target } = options;
+  const { verticalOhlcv, instances } = main;
 
-    const {target} = options
-    const suffix = target === defaultTarget ? '' : `_${target}`;
-    const indicatorKey = `${fast}_${slow}_${signal}${suffix}`;
-
-    if (index === 0) {
-
-        if(!main.verticalOhlcv.hasOwnProperty(target))
-        {
-            throw new Error(`Target property ${target} not found in verticalOhlcv for macd.`)
-        }
-
-        const numberOfIndicators = main.inputParams.filter(o => o.key === 'macd').length;
-        const prefix =
-          numberOfIndicators > 1
-            ? `macd_${indicatorKey}`
-            : `macd${suffix}`;
-
-        main.crossPairsList.push({fast: `${prefix}_diff`, slow: `${prefix}_dea`, isDefault: true});
-
-        if(!main.instances.hasOwnProperty('macd'))
-        {
-            main.instances.macd = {
-                numberOfIndicators,
-                settings: {}
-              }
-        }
-
-        main.instances.macd.settings[indicatorKey] = new FasterMACD(
-            new FasterEMA(fast),
-            new FasterEMA(slow),
-            new FasterEMA(signal)
-        );
-
-        Object.assign(main.verticalOhlcv, {
-            [`${prefix}_diff`]: [...main.nullArray],
-            [`${prefix}_dea`]: [...main.nullArray],
-            [`${prefix}_histogram`]: [...main.nullArray],
-        })
-    }
+  // Instance key (for internal storage) includes target if not default.
+  const instanceKey = `${fast}_${slow}_${signal}${target === defaultTarget ? '' : `_${target}`}`;
+
+  // On the first index, do the initialization.
+  if (index === 0) {
+    const { inputParams, crossPairsList, nullArray } = main;
 
-    
-    const subPrefix = main.instances.macd.numberOfIndicators > 1
-        ? `macd_${indicatorKey}`
-        : `macd${suffix}`;
-
-    const macdInstance = main.instances.macd.settings[indicatorKey];
-    const value = main.verticalOhlcv[target][index]
-    macdInstance.update(value, main.lastIndexReplace);
-
-    let macdResult;
-    
-    try {
-        macdResult = macdInstance.getResult();
-    } catch (err) {
-        //do nothing
+    if (!verticalOhlcv.hasOwnProperty(target)) {
+      throw new Error(`Target property ${target} not found in verticalOhlcv for macd.`);
     }
 
+    const numberOfIndicators = inputParams.filter(o => o.key === 'macd').length;
+    // For display keys: if there's more than one indicator, include the parameters in the prefix.
+    const displayPrefix = numberOfIndicators > 1 ? `macd_${fast}_${slow}_${signal}` : 'macd';
+
+    // Build the keys: if target is not the default, append it at the end.
+    const diffKey = target === defaultTarget ? `${displayPrefix}_diff` : `${displayPrefix}_diff_${target}`;
+    const deaKey = target === defaultTarget ? `${displayPrefix}_dea` : `${displayPrefix}_dea_${target}`;
+    const histogramKey = target === defaultTarget ? `${displayPrefix}_histogram` : `${displayPrefix}_histogram_${target}`;
 
-    if (macdResult) {
+    crossPairsList.push({ fast: diffKey, slow: deaKey, isDefault: true });
 
-        main.pushToMain({index, key: `${subPrefix}_diff`, value: macdResult.macd})
-        main.pushToMain({index, key: `${subPrefix}_dea`, value: macdResult.signal})
-        main.pushToMain({index, key: `${subPrefix}_histogram`, value: macdResult.histogram})
+    if (!instances.hasOwnProperty('macd')) {
+      instances.macd = {
+        numberOfIndicators,
+        settings: {}
+      };
     }
 
-    return true;
+    instances.macd.settings[instanceKey] = new FasterMACD(
+      new FasterEMA(fast),
+      new FasterEMA(slow),
+      new FasterEMA(signal)
+    );
+
+    Object.assign(verticalOhlcv, {
+      [diffKey]: [...nullArray],
+      [deaKey]: [...nullArray],
+      [histogramKey]: [...nullArray],
+    });
+  }
+
+  const {numberOfIndicators, settings} = instances.macd
+
+  // Determine display prefix for updating values.
+  const displayPrefix = numberOfIndicators > 1 ? `macd_${fast}_${slow}_${signal}` : 'macd';
+  const diffKey = target === defaultTarget ? `${displayPrefix}_diff` : `${displayPrefix}_diff_${target}`;
+  const deaKey = target === defaultTarget ? `${displayPrefix}_dea` : `${displayPrefix}_dea_${target}`;
+  const histogramKey = target === defaultTarget ? `${displayPrefix}_histogram` : `${displayPrefix}_histogram_${target}`;
+
+  const macdInstance = settings[instanceKey];
+  const value = verticalOhlcv[target][index];
+  macdInstance.update(value, main.lastIndexReplace);
+
+  let macdResult;
+  try {
+    macdResult = macdInstance.getResult();
+  } catch (err) {
+    // Do nothing if no result is available.
+  }
+
+  if (macdResult) {
+    main.pushToMain({ index, key: diffKey, value: macdResult.macd });
+    main.pushToMain({ index, key: deaKey, value: macdResult.signal });
+    main.pushToMain({ index, key: histogramKey, value: macdResult.histogram });
+  }
+
+  return true;
 };