ohlcv-indicators 3.3.5 → 3.3.7

package/index.js

@@ -1,10 +1,19 @@
 import { mainLoop } from './src/core-functions/mainLoop.js'
 import { correlation } from './src/studies/correlation.js'
-import { isAlreadyComputed, validateArray, validateObject, validateArrayOptions, validateBoolean, validateNumber } from './src/utilities/validators.js'
+import { 
+    isAlreadyComputed, 
+    validateArray, 
+    validateObject, 
+    validateArrayOptions, 
+    validateBoolean, 
+    validateNumber, 
+    validateArrayOfRanges
+} from './src/utilities/validators.js'
 import { verticalToHorizontal } from './src/utilities/verticalToHorizontal.js'
 import { pushToMain } from './src/core-functions/pushToMain.js'
 import { assignTypes } from './src/utilities/assignTypes.js'
 import { calcPrecisionMultiplier } from './src/utilities/precisionMultiplier.js'
+import { buildArray } from './src/utilities/assignTypes.js'
 
 /**
  * Class OHLCV_INDICATORS
@@ -40,6 +49,7 @@ export default class OHLCV_INDICATORS {
         this.crossPairsList = []
         this.verticalOhlcv = {}
         this.verticalOhlcvKeyNames = []
+        this.verticalOhlcvTempCols = new Set()
 
         this.utilities = {
             correlation
@@ -48,11 +58,11 @@ export default class OHLCV_INDICATORS {
         this.invalidValueIndex = -1
         this.precision = precision
         this.precisionMultiplier = calcPrecisionMultiplier(this, this.firstRow)
-        this.ScaledGroups = {}
+        this.scaledGroups = {}
         
         if(inputParams !== null)
         {
-            validateArray(inputParams, 'inputParams', 'constructor')
+            validateInputParams(inputParams, this.len)
             this.inputParams = inputParams
             this.compute()
         }
@@ -75,21 +85,28 @@ export default class OHLCV_INDICATORS {
           invalidValueIndex,
           len,
           verticalOhlcv,
-          priceBased
-        } = this;
-        const result = {};
-        const shouldSlice = invalidValueIndex >= 0 && skipNull;
-        const sliceLength = len - (invalidValueIndex + 1);
+          priceBased,
+          arrayTypes,
+          verticalOhlcvTempCols
+        } = this
+        const result = {}
+        const startIndex = skipNull ? invalidValueIndex + 1 : 0
+        const newLen = len - startIndex
       
         for (const [key, arr] of Object.entries(verticalOhlcv)) {
-          // If slicing is needed, create a sliced copy, otherwise re-use the array.
-          let newArr = shouldSlice ? arr.slice(-sliceLength) : arr;
-      
-          // If this key is price based and precision is enabled, map over the array.
-          if (precision && priceBased.has(key)) {
-            newArr = newArr.map(v => (v == null ? null : v / precisionMultiplier));
-          }
-          result[key] = newArr;
+
+            if(verticalOhlcvTempCols.has(key)) continue
+
+            const shouldApplyPrecision = priceBased.has(key) && precision
+            result[key] = buildArray(arrayTypes[key], newLen)
+
+            for (let x = startIndex; x < len; x++)
+            {
+                result[key][x] =  (shouldApplyPrecision) 
+                    ? arr[x] / precisionMultiplier 
+                    : arr[x]
+            }
+
         }
       
         return result;
@@ -195,7 +212,7 @@ export default class OHLCV_INDICATORS {
 
         const { lag = 0} = options;
 
-        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'lag', methodName)
+        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
 
         this.inputParams.push({key: methodName, params: [size, {lag}]})
  
@@ -213,7 +230,7 @@ export default class OHLCV_INDICATORS {
 
         const {target = 'close', lag = 0} = options
 
-        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'lag', methodName)
+        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
 
         this.inputParams.push({key: methodName, params: [methodName, size, {target, lag}]})
 
@@ -230,7 +247,7 @@ export default class OHLCV_INDICATORS {
 
         const {target = 'close', lag = 0} = options
 
-        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'lag', methodName)
+        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
 
         this.inputParams.push({key: methodName, params: [methodName, size, {target, lag}]})
 
@@ -251,7 +268,7 @@ export default class OHLCV_INDICATORS {
 
         const {target = 'close', lag = 0} = options
         
-        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'lag', methodName)
+        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
 
         this.inputParams.push({key: methodName, params: [fast, slow, signal, {target, lag}]})
         
@@ -271,9 +288,9 @@ export default class OHLCV_INDICATORS {
         const {target = 'close', height = false, range = [],  lag = 0} = options
 
 
-        validateArray(range, 'range', methodName)
-        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'lag', methodName)
-        validateBoolean(height, 'height', methodName)
+        validateArray(range, 'options.range', methodName)
+        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
+        validateBoolean(height, 'options.height', methodName)
     
         this.inputParams.push({key: methodName, params: [size, stdDev, {target, height, range, lag}]});
     
@@ -291,7 +308,7 @@ export default class OHLCV_INDICATORS {
         
         const {target = 'close', lag = 0} = options
 
-        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'lag', methodName)
+        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
 
         this.inputParams.push({key: methodName, params: [size, {target, lag}]})
 
@@ -310,9 +327,9 @@ export default class OHLCV_INDICATORS {
         validateObject(options, 'options', methodName)
         const { height = false, range = [], lag = 0} = options;
       
-        validateArray(range, 'range', methodName)
-        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'lag', methodName)
-        validateBoolean(height, 'height', methodName)
+        validateArray(range, 'options.range', methodName)
+        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
+        validateBoolean(height, 'options.height', methodName)
       
         this.inputParams.push({ key: methodName, params: [size, offset, { height, range, lag }] });
       
@@ -336,7 +353,7 @@ export default class OHLCV_INDICATORS {
 
         const {lag = 0} = options
 
-        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'lag', methodName)
+        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
 
         this.inputParams.push({key: methodName, params: [fastSize, slowSize, {lag}]})
         return this           
@@ -352,15 +369,15 @@ export default class OHLCV_INDICATORS {
 
         const {lag = 0} = options
 
-        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'lag', methodName)
+        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
 
         this.inputParams.push({key: methodName, params: [{lag}]})
         return this           
     }
 
-    Scaler(size, colKeys, options)
+    scaler(size, colKeys, options)
     {
-        const methodName = 'Scaler'
+        const methodName = 'scaler'
 
         isAlreadyComputed(this)
 
@@ -369,9 +386,9 @@ export default class OHLCV_INDICATORS {
 
         const {group = false, range = [0, 1], lag = 0, type = 'minmax'} = options
 
-        validateBoolean(group, 'group', methodName)
-        validateArray(range, 'range', methodName)
-        validateArrayOptions(['minmax', 'zscore'], type, 'type', methodName)
+        validateBoolean(group, 'options.group', methodName)
+        validateArrayOfRanges(range, 'options.range', methodName)
+        validateArrayOptions(['minmax', 'zscore'], type, 'options.type', methodName)
 
         this.inputParams.push({key: methodName, params: [size, colKeys, type, group, range, lag]})
         return this

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ohlcv-indicators",
-  "version": "3.3.5",
+  "version": "3.3.7",
   "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/core-functions/mainLoop.js

@@ -9,7 +9,7 @@ import { volumeOscillator } from "../oscillators/volumeOscillator.js";
 import { lag } from "../studies/lag.js";
 import { crossPairs } from "../studies/findCrosses.js";
 import { dateTime } from "../studies/dateTime.js";
-import { Scaler } from "../studies/scaler.js";
+import { scaler } from "../studies/scaler.js";
 
 import { buildArray } from "../utilities/assignTypes.js";
 import {  numberFormater } from "../utilities/numberUtilities.js";
@@ -26,14 +26,14 @@ const indicatorFunctions = {
   donchianChannels,
   bollingerBands,
   volumeOscillator,
-  Scaler
+  scaler
 };
 
 
 export const mainLoop = (input, main) => {
   const { len, inputParams, priceBased, precisionMultiplier, arrayTypes, verticalOhlcv, verticalOhlcvKeyNames, inputTypes } = main;
 
-  validateInputParams({inputParams, len})
+  validateInputParams(inputParams, len)
 
   for(const key of Object.keys(inputTypes))
   {

package/src/moving-averages/bollingerBands.js

@@ -17,7 +17,12 @@ export const bollingerBands = (main, index, size, stdDev, { height, range = [],
       throw new Error(`bollingerBands could not find target "${target}"`);
     }
 
-    const numberOfIndicators = inputParams.filter(o => o.key === 'bollingerBands').length;
+    let numberOfIndicators = 0
+
+    for (const o of inputParams) {
+      if (o.key === 'bollingerBands') numberOfIndicators++;
+    }
+
     prefix = numberOfIndicators > 1
       ? `bollinger_bands_${indicatorKey}`
       : `bollinger_bands${suffix}`;

package/src/moving-averages/donchianChannel.js

@@ -6,7 +6,12 @@ export const donchianChannels = (main, index, size, offset, { height, range, lag
   // Initialization: create output arrays and indicator instance on the first call.
   if (index === 0) {
     const { inputParams, priceBased, arrayTypes} = main;
-    const numberOfIndicators = inputParams.filter(o => o.key === 'donchianChannels').length;
+    let numberOfIndicators = 0
+
+    for (const o of inputParams) {
+      if (o.key === 'donchianChannels') numberOfIndicators++;
+    }
+
     const prefix = numberOfIndicators > 1 ? `donchian_channel_${indicatorKey}` : 'donchian_channel';
 
     const keyNames = [

package/src/moving-averages/macd.js

@@ -17,7 +17,12 @@ export const macd = (main, index, fast, slow, signal, {target, lag}) => {
       throw new Error(`Target property ${target} not found in verticalOhlcv for macd.`);
     }
 
-    const numberOfIndicators = inputParams.filter(o => o.key === 'macd').length;
+    let numberOfIndicators = 0
+
+    for (const o of inputParams) {
+      if (o.key === 'macd') numberOfIndicators++;
+    }
+
     // Choose a display prefix based on the number of indicators.
     const displayPrefix = numberOfIndicators > 1 ? `macd_${fast}_${slow}_${signal}` : 'macd';
 

package/src/studies/findCrosses.js

@@ -132,19 +132,25 @@ class CrossInstance {
 
 export const crossPairs = (main, index) => {
 
-    const {verticalOhlcv, instances, len, arrayTypes} = main
+    const {verticalOhlcv, instances, len, arrayTypes, verticalOhlcvTempCols} = main
 
     if(index === 0)
     {
         const {inputParams} = main
-        const findParams = inputParams.filter(o => o.key === 'crossPairs')
 
-        if(typeof findParams !== 'object') return
-
-        instances.crossPairs = {crossPairsList: findParams.flatMap(o => o.params.flat())}
+        instances.crossPairsList = inputParams.reduce((acc, { key, params }) => {
+            if (key === 'crossPairs') {
+              for (const group of params) {
+                for (const pair of group) {
+                  acc.push(pair)
+                }
+              }
+            }
+            return acc;
+          }, [])
     }
 
-    const {crossPairsList} = instances.crossPairs
+    const {crossPairsList} = instances
 
     for (const { fast, slow } of crossPairsList)
     {
@@ -156,7 +162,8 @@ export const crossPairs = (main, index) => {
         {
             if(typeof slow === 'number')
             {
-                verticalOhlcv[slow] = new Int32Array(len).fill(slow)
+                verticalOhlcvTempCols.add(slow.toString())
+                verticalOhlcv[slow.toString()] = new Int32Array(len).fill(slow)
             }
             
             if(fast !== 'price' && !verticalOhlcv.hasOwnProperty(fast)) throw Error(`fast "${fast} not found in crossPairs"`)

package/src/studies/lag.js

@@ -7,11 +7,14 @@ export const lag = (main, index) => {
     if(index === 0)
     {
         const {inputParams} = main
-        const findParams = inputParams.filter(o => o.key === 'lag')
 
-        if(typeof findParams !== 'object') return
+        const params = []
 
-        const params = findParams.map(o => o.params)
+        for (const o of inputParams) {
+            if (o.key === 'lag') {
+                params.push(o.params)
+            }
+        }
 
         for (const [colKeys, lookback] of params)
         {

package/src/studies/scaler.js

@@ -1,4 +1,4 @@
-/* General Scaler: supports "minmax" and "zscore" types */
+/* General scaler: supports "minmax" and "zscore" types */
 
 const normalizeMinMax = (value, min, max, [validMin, validMax]) => {
     const clamped = Math.min(Math.max(value, min), max);
@@ -9,7 +9,7 @@ const normalizeMinMax = (value, min, max, [validMin, validMax]) => {
     return std === 0 ? 0 : (value - mean) / std;
   };
   
-export const Scaler = (
+export const scaler = (
     main,
     index,
     size,
@@ -49,14 +49,14 @@ export const Scaler = (
         instances.scaler.windows[winKey] = [];
   
         if (group) {
-          if (!main.ScaledGroups[groupKey]) main.ScaledGroups[groupKey] = [];
-          main.ScaledGroups[groupKey].push(key);
+          if (!main.scaledGroups[groupKey]) main.scaledGroups[groupKey] = [];
+          main.scaledGroups[groupKey].push(key);
         }
   
         if (lag > 0) {
           if (group) {
             const lags = Array.from({ length: lag }).map((_, i) => `${key}_lag_${i + 1}`);
-            main.ScaledGroups[groupKey].push(...lags);
+            main.scaledGroups[groupKey].push(...lags);
           }
           main.lag([key], lag);
         }

package/src/utilities/validators.js

@@ -1,4 +1,9 @@
-export const validateInputParams = ({inputParams, len}) => {
+export const validateInputParams = (inputParams, len) => {
+
+    if(!Array.isArray(inputParams))
+    {
+        throw new Error('Property "inputParams" must be an "Array" or "Set".')
+    }
 
     for (const { params } of inputParams) {
         for (const v of params) {
@@ -87,3 +92,25 @@ export const validateNumber = (value, options, paramName, callerName) => {
     return true
 }
 
+export const validateArrayOfRanges = (range, paramName, callerName) => {
+
+    validateArray(range, paramName, callerName)
+
+    if (range.length !== 2) {
+        throw new Error(
+          `Invalid "${paramName}" array length: expected 2 items, but got ${range.length} in "${callerName}.${paramName}".`
+        );
+    }
+
+    const [min, max] = range
+
+    validateNumber(min, {min: -100, max, allowDecimals: false}, 'min', callerName)
+    validateNumber(max, {min: min, max: 100, allowDecimals: false}, 'max', callerName)
+
+    if(min === max)
+    {
+        throw new Error(`Invalid "min" can not be equal to "max" property in "${callerName}.${paramName}".`)
+    }
+
+    return true
+}

package/src/utilities/verticalToHorizontal.js

@@ -4,27 +4,26 @@ export const verticalToHorizontal = (
   startIndex = 0
 ) => {
 
-  const {precisionMultiplier, priceBased, precision, verticalOhlcv, invalidValueIndex, len, verticalOhlcvKeyNames} = main
+  const {precisionMultiplier, priceBased, precision, verticalOhlcv, invalidValueIndex, len, verticalOhlcvKeyNames, verticalOhlcvTempCols} = main
 
   if (verticalOhlcvKeyNames.length === 0) return []
   
   const skipNullIndex = skipNull && invalidValueIndex >= 0 ? invalidValueIndex + 1 : 0
   const maxStartIndex = Math.max(skipNullIndex, startIndex)
   const diffLen = len - maxStartIndex
-  const result = new Array(diffLen)
+  const result = Array.from({ length: diffLen }, () => ({}))
 
-  for (let i = maxStartIndex; i < len; i++) {
-    const row = {};
-    for (let j = 0; j < verticalOhlcvKeyNames.length; j++) {
-      const key = verticalOhlcvKeyNames[j]
-      const value = verticalOhlcv[key][i]
+   for(const [key, arr] of Object.entries(verticalOhlcv)){
+    if(verticalOhlcvTempCols.has(key)) continue
+    const shouldApplyPrecision = priceBased.has(key) && precision
 
-      row[key] = (precision && priceBased.has(key)) ? value / precisionMultiplier : value
-      
+    for (let i = maxStartIndex; i < len; i++)
+    {
+      result[i - maxStartIndex][key] = (shouldApplyPrecision)
+        ? arr[i] / precisionMultiplier 
+        : arr[i]
     }
-
-    result[i - maxStartIndex] = row
   }
-  
+
   return result
-};
+}