ohlcv-indicators 3.4.6 → 3.4.8

package/index.js

@@ -15,7 +15,7 @@ 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'
-
+import { dateOutputFormaters } from './src/utilities/dateUtilities.js'
 
 //precomputed
 import { precomputeMovingAverages } from './src/moving-averages/movingAverages.js'
@@ -86,8 +86,13 @@ export default class OHLCV_INDICATORS {
     }
 
 
-    getDataAsCols(skipNull = true) {
+    getDataAsCols(options = {}) {
         this.compute();
+
+        const {skipNull = true, dateFormat = 'string'} = options
+
+        validateArrayOptions(Object.keys(dateOutputFormaters), dateFormat, 'dateFormat', 'getDataAsCols')
+        validateObject(options, 'options', 'getDataAsCols')
       
         const {
           precisionMultiplier,
@@ -112,9 +117,17 @@ export default class OHLCV_INDICATORS {
 
             for (let x = startIndex; x < len; x++)
             {
-                result[key][x] =  (shouldApplyPrecision) 
-                    ? arr[x] / precisionMultiplier 
-                    : arr[x]
+                if(shouldApplyPrecision)
+                {
+                    result[key][x] = arr[x] / precisionMultiplier 
+                }
+                else if(key === 'date')
+                {
+                    result[key][x] = dateOutputFormaters[dateFormat](arr[x])
+                }
+                else{
+                    result[key][x] = arr[x]
+                }
             }
 
         }
@@ -123,20 +136,38 @@ export default class OHLCV_INDICATORS {
       }
       
 
-    getData(skipNull = true) {
+    getData(options = {}) {
 
         //getData method returns the last object (row) of the new OHLCV with indicators: {open, high, low, close, rsi_14, bollinger_bands_upper}
         this.compute()
 
-        return verticalToHorizontal(skipNull, this, 0)
+        const {skipNull = true, dateFormat = 'string'} = options
+
+        validateArrayOptions(Object.keys(dateOutputFormaters), dateFormat, 'dateFormat', 'getData')
+        validateObject(options, 'options', 'getData')
+ 
+        return verticalToHorizontal({
+            main: this, 
+            skipNull, 
+            startIndex: 0,
+            dateFormat
+        })
     }
     
     
-    getLastValues(){
+    getLastValues(options = {}){
 
         this.compute()
 
-        return verticalToHorizontal(false, this, this.len - 1)[0]
+        const {dateFormat = 'string'} = options
+         validateArrayOptions(Object.keys(dateOutputFormaters), dateFormat, 'dateFormat', 'getData')
+
+        return verticalToHorizontal({
+            skipNull: false, 
+            main: this, 
+            startIndex: this.len - 1,
+            dateFormat
+        })[0]
     }
 
     compute() {
@@ -228,6 +259,24 @@ export default class OHLCV_INDICATORS {
         return this
     }
 
+    atr(size = 14, options = {}) {
+
+        const methodName = 'atr'
+
+        isAlreadyComputed(this)
+
+        validateNumber(size, {min: 1, max: this.len, allowDecimals: false}, 'size', methodName)
+        validateObject(options, 'options', methodName)
+
+        const {lag = 0} = options
+
+        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
+
+        this.inputParams.push({key: methodName, params: [size, {lag}]})
+
+        return this
+    }
+
     ema(size = 5, options = {}) {
 
         const methodName = 'ema'

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ohlcv-indicators",
-  "version": "3.4.6",
+  "version": "3.4.8",
   "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

@@ -10,6 +10,7 @@ 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 { atr } from "../volatility/atr.js";
 
 import { buildArray } from "../utilities/assignTypes.js";
 import {  numberFormater } from "../utilities/numberUtilities.js";
@@ -19,6 +20,7 @@ import { dateFormaters } from "../utilities/dateUtilities.js";
 const indicatorFunctions = {
   dateTime,
   rsi,
+  atr,
   ema: movingAverages,
   sma: movingAverages,
   macd,

package/src/moving-averages/movingAverages.js

@@ -1,7 +1,10 @@
 
 import {FasterEMA, FasterSMA} from 'trading-signals';
 
-const indicatorClasses = {ema: FasterEMA, sma: FasterSMA} 
+const indicatorClasses = {
+  ema: FasterEMA, 
+  sma: FasterSMA
+} 
 
 export const movingAverages = (main, index, indicatorName, size, { target, lag, precomputed }) => {
   const { verticalOhlcv, instances } = main
@@ -18,13 +21,13 @@ export const movingAverages = (main, index, indicatorName, size, { target, lag,
 
   // Retrieve the current price value.
   const value = verticalOhlcv[target][index]
-  const { maInstance } = instances[keyName]
+  const instance = instances[keyName]
 
   // Update the moving average instance.
-  maInstance.update(value);
+  instance.update(value);
   let currMa = NaN;
   try {
-    currMa = maInstance.getResult();
+    currMa = instance.getResult();
   } catch (err) {
 
   }
@@ -42,9 +45,7 @@ export const precomputeMovingAverages = ({main, size, target, lag, methodName})
   const keyName = `${methodName}_${size}${suffix}`
 
     // Create the main moving average instance.
-    instances[keyName] = {
-      maInstance: new indicatorClasses[methodName](size)
-    }
+    instances[keyName] = new indicatorClasses[methodName](size)
 
     verticalOhlcv[keyName] = new Float64Array(len).fill(NaN)
 

package/src/utilities/dateUtilities.js

@@ -1,3 +1,10 @@
+export const dateOutputFormaters = {
+  string: d => d.toISOString(),
+  milliseconds: d => d.getTime(),
+  seconds: d => d.getTime() / 1000,
+  object: d => d
+}
+
 export const dateFormaters = {
     dateObject: d => d,
     dateMilliseconds: d => new Date(d),

package/src/utilities/verticalToHorizontal.js

@@ -1,8 +1,6 @@
-export const verticalToHorizontal = (
-  skipNull = false, 
-  main,
-  startIndex = 0
-) => {
+import { dateOutputFormaters } from "./dateUtilities.js" 
+
+export const verticalToHorizontal = ({main, skipNull = false, startIndex = 0, dateFormat}) => {
 
   const {precisionMultiplier, priceBased, precision, verticalOhlcv, invalidValueIndex, len, verticalOhlcvKeyNames, verticalOhlcvTempCols} = main
 
@@ -19,9 +17,19 @@ export const verticalToHorizontal = (
 
     for (let i = maxStartIndex; i < len; i++)
     {
-      result[i - maxStartIndex][key] = (shouldApplyPrecision)
-        ? arr[i] / precisionMultiplier 
-        : arr[i]
+      if(shouldApplyPrecision)
+      {
+        result[i - maxStartIndex][key] = arr[i] / precisionMultiplier 
+
+      }
+      else if(key === 'date')
+      {
+        result[i - maxStartIndex][key] = dateOutputFormaters[dateFormat](arr[i])
+      } 
+      else
+      {
+        result[i - maxStartIndex][key] = arr[i]
+      }
     }
   }
 

package/src/volatility/atr.js

@@ -0,0 +1,46 @@
+
+import {FasterATR, FasterWSMA} from 'trading-signals';
+
+export const atr = (main, index, size, {lag}) => {
+  const { verticalOhlcv, instances } = main
+  const keyName = `atr_${size}`
+
+  if (index === 0) {
+
+    const {instances, verticalOhlcv, arrayTypes, len, priceBased} = main
+
+    instances[keyName] = new FasterATR(size, FasterWSMA)
+    verticalOhlcv[keyName] = new Float64Array(len).fill(NaN)
+
+    priceBased.add(keyName)
+
+    if(lag > 0)
+    {
+      main.lag([keyName], lag)
+    }
+
+    arrayTypes[keyName] = 'Float64Array'
+  }
+
+  // Retrieve the current price value.
+  const value = {
+      high: verticalOhlcv.high[index],
+      low: verticalOhlcv.low[index],
+      close: verticalOhlcv.close[index],
+    } 
+  const instance = instances[keyName]
+
+  // Update the moving average instance.
+  instance.update(value);
+  let currMa = NaN;
+  try {
+    currMa = instance.getResult();
+  } catch (err) {
+
+  }
+
+  // Always push the MA value (even if NaN).
+  main.pushToMain({ index, key: keyName, value: currMa });
+
+  return true;
+}