ohlcv-indicators 3.5.64 → 3.5.66

package/dist/ohlcv-indicators.min.js

@@ -1 +1 @@
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0!==arguments[2]?arguments[2]:{},n="heikenAshi";u(this);var o=null===t&&null===e;!1===o&&(p(t,{min:1,max:this.len,allowDecimals:!1},"smoothLength",n),p(e,{min:1,max:this.len,allowDecimals:!1},"afterSmoothLength",n)),c(r,"options",n);var i=r.lag,a=void 0===i?0:i;return p(a,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),this.inputParams.push({key:n,order:0,params:[t,e,{lag:a,bothNull:o}]}),this}},{key:"vidya",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:14,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:20,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{},n="vidya";u(this),p(t,{min:2,max:this.len,allowDecimals:!1},"size",n),p(e,{min:1,max:this.len,allowDecimals:!1},"momentum",n),c(r,"options",n);var o=r.target,i=void 0===o?"close":o,a=r.lag,l=void 0===a?0:a,s=r.atrLength,f=void 0===s?200:s,h=r.bandDistance,v=void 0===h?2:h,m=r.liquidityLookback,d=void 0===m?20:m;return y(i,"options.target",n),p(l,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),p(v,{min:.01,max:10,allowDecimals:!0},"options.bandDistance",n),p(f,{min:2,max:this.len,allowDecimals:!1},"options.atrLength",n),p(d,{min:1,max:this.len,allowDecimals:!1},"options.liquidityLookback",n),this.inputParams.push({key:n,params:[t,e,{target:i,lag:l}]}),this}},{key:"stochastic",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:14,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:3,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:3,n=arguments.length>3&&void 0!==arguments[3]?arguments[3]:{},o="stochastic",i=this.len;p(t,{min:1,max:i,allowDecimals:!1},"kPeriod",o),p(e,{min:1,max:i,allowDecimals:!1},"kSlowingPeriod",o),p(r,{min:1,max:i,allowDecimals:!1},"dPeriod",o),c(n,"options",o);var a=n.lag,u=void 0===a?0:a;return p(u,{min:0,max:i,allowDecimals:!1},"options.lag",o),this.inputParams.push({key:o,order:0,params:[t,e,r,{lag:u}]}),this}},{key:"macd",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:12,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:26,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:9,n=arguments.length>3&&void 0!==arguments[3]?arguments[3]:{},o="macd";u(this),p(t,{min:1,max:this.len,allowDecimals:!1},"fast",o),p(e,{min:1,max:this.len,allowDecimals:!1},"slow",o),p(r,{min:1,max:this.len,allowDecimals:!1},"signal",o),c(n,"options",o);var i=n.target,a=void 0===i?"close":i,l=n.lag,s=void 0===l?0:l;y(a,"options.target",o),p(s,{min:0,max:this.len,allowDecimals:!1},"options.lag",o);var f={instanceKey:"".concat(t,"_").concat(e,"_").concat(r).concat("close"===a?"":"_".concat(a))};return this.inputParams.push({key:o,params:[t,e,r,{target:a,lag:s,precomputed:f}]}),this}},{key:"bollingerBands",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:20,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:2,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{},n="bollingerBands";u(this),p(t,{min:1,max:this.len,allowDecimals:!1},"size",n),p(e,{min:.01,max:50,allowDecimals:!0},"stdDev",n),c(r,"options",n);var o=r.target,i=void 0===o?"close":o,a=r.height,s=void 0!==a&&a,h=r.range,v=void 0===h?[]:h,m=r.lag,d=void 0===m?0:m;return y(i,"options.target",n),l(v,"options.range",n),p(d,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),f(s,"options.height",n),this.inputParams.push({key:n,params:[t,e,{target:i,height:s,range:v,lag:d}]}),this}},{key:"rsi",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:14,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:{},r="rsi";u(this),p(t,{min:1,max:this.len,allowDecimals:!1},"size",r),c(e,"options",r);var n=e.target,o=void 0===n?"close":n,i=e.lag,a=void 0===i?0:i;return y(o,"options.target",r),p(a,{min:0,max:this.len,allowDecimals:!1},"options.lag",r),this.inputParams.push({key:r,params:[t,{target:o,lag:a}]}),this}},{key:"donchianChannels",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:20,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:0,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{},n="donchianChannels";u(this),p(t,{min:1,max:this.len,allowDecimals:!1},"size",n),p(e,{min:0,max:this.len,allowDecimals:!1},"offset",n),c(r,"options",n);var o=r.height,i=void 0!==o&&o,a=r.range,s=void 0===a?[]:a,h=r.lag,y=void 0===h?0:h;return l(s,"options.range",n),p(y,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),f(i,"options.height",n),this.inputParams.push({key:n,order:0,params:[t,e,{height:i,range:s,lag:y}]}),this}},{key:"volumeOscillator",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:5,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:10,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{},n="volumeOscillator";if(!this.inputTypes.hasOwnProperty("volume"))throw new Error('If "volumeOscillator" is called the input ohlcv must contain valid volume properties.');u(this),p(t,{min:1,max:this.len,allowDecimals:!1},"fastsize",n),p(e,{min:t,max:this.len,allowDecimals:!1},"slowsize",n),c(r,"options",n);var o=r.lag,i=void 0===o?0:o;return p(i,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),this.inputParams.push({key:n,order:0,params:[t,e,{lag:i}]}),this}},{key:"dateTime",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:{},e="dateTime";u(this),c(t,"options",e);var r=t.lag,n=void 0===r?0:r,o=t.oneHot,i=void 0!==o&&o;p(n,{min:0,max:this.len,allowDecimals:!1},"options.lag",e),f(i,"options.oneHot",e);var a=i?"one_hot_":"",l=qr(qr(qr(qr(qr({},"".concat(a,"month"),12),"".concat(a,"day_of_the_month"),31),"".concat(a,"day_of_the_week"),7),"".concat(a,"hour"),24),"".concat(a,"minute"),60),s={prefix:a,colKeySizes:l,colKeys:Object.keys(l)};return this.inputParams.push({key:e,order:0,params:[{lag:n,oneHot:i,precompute:s}]}),this}},{key:"priceFeatures",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:{},e="priceFeatures";u(this),c(t,"options",e);var r=t.lag,n=void 0===r?0:r,o=t.colKeys,i=void 0===o?[]:o,a=t.retLogs,s=void 0!==a&&a;return p(n,{min:0,max:this.len,allowDecimals:!1},"options.lag",e),l(i,"options.colKeys",e),f(s,"retLogs",e),this.inputParams.push({key:e,params:[{lag:n,colKeys:i,retLogs:s}]}),this}},{key:"scaler",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:"zscore",e=arguments.length>1?arguments[1]:void 0,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{},n="scaler";u(this),s(["minmax","zscore","byfeature"],t,"options.type",n),p(e,{min:1,max:this.len,allowDecimals:!1},"size",n);var o="".concat(n,"(").concat(t,", ").concat(e,", options = {})");c(r,"options",o);var i=r.minMaxRange,a=void 0===i?null:i,y=r.lag,v=void 0!==y&&y,m=r.colKeys,d=void 0===m?[]:m,b=r.weights,g=void 0===b?{}:b,w=r.euclideanWeights,S=void 0!==w&&w,O=r.byFeatureRange,j=void 0===O?null:O,N=r.offset,P=void 0===N?0:N;p(P,{min:0,max:this.len,allowDecimals:!1},"offset",n),l(d,"options.colKeys",o),f(v,"options.lag",o),c(g,"options.weights",o);var _=v?e-1:0;if(0===d.length)throw new Error('The property "options.colKeys" must be an array with target keys in '.concat(o,"."));for(var A=0,k=Object.entries(g);A<k.length;A++){var T=Hr(k[A],2),x=T[0],E=T[1];if(l(E,"options.weights.".concat(x)),!v&&E.size>0)throw new Error('If "options.lag" is set to false "options.weights.'.concat(x,'" can only contain 1 item (float) in ').concat(o,"."));if(E.length>e)throw new Error('The length of the property "options.weights.'.concat(x,'" can not be longer than "size" in ').concat(o,"."));for(var M=0;M<E.length;M++){var I=E[M];p(I,{min:.01,max:10,allowDecimals:!0},"options.weights.".concat(x,"[").concat(M,"]"),o)}}if("byfeature"!==t){if(null==!j)throw new Error('"options.byFeatureRange" is only valid when "type" is "byfeature".')}else h(j,"options.byFeatureRange",o);return["minmax","byfeature"].includes(t)&&h(a,"options.minMaxRange",o),this.inputParams.push({key:n,params:[e,d,{type:t,minMaxRange:a,lookback:_,weights:g,euclideanWeights:S,byFeatureRange:j,offset:P}]}),this}},{key:"mapCols",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:["change"],e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:null,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{};u(this);var n="mapCols";null==e&&(e=_r),c(r,"options",n);var o=r.lag,i=void 0===o?0:o,a=r.isPriceBased,s=void 0!==a&&a;if(l(t,"newCols",n),p(i,{min:0,allowDecimals:!1},"options.lag",n),f(s,"isPriceBased","mapCols"),!1===this.precision&&s)throw new Error('Invalid param: If "mapCols.options.isPriceBased" is true, the "constructor.precision" param must be also true.');return this.inputParams.push({key:n,params:[t,e,{lag:i,isPriceBased:s}]}),this}}],e&&Kr(t.prototype,e),Object.defineProperty(t,"prototype",{writable:!1}),t;var t,e}()})(),OHLCV_INDICATORS=e})();

package/index.js

@@ -43,7 +43,7 @@ export default class OHLCV_INDICATORS {
         this.firstRow = this.input[0]
         this.precision = precision
 
-        const initialPriceBasedArr = ['open', 'high', 'low', 'close']
+        const initialPriceBasedArr = ['open', 'high', 'low', 'close', 'mid_price']
         this.initialPriceBased = new Set(initialPriceBasedArr)
         this.priceBased = new Set(initialPriceBasedArr)
         this.precisionMultiplier = calcPrecisionMultiplier(this)
@@ -525,13 +525,14 @@ export default class OHLCV_INDICATORS {
 
         validateObject(options, 'options', methodName)
 
-        const {lag = 0, colKeys = []} = options
+        const {lag = 0, colKeys = [], retLogs = false} = options
 
         validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
         validateArray(colKeys, 'options.colKeys', methodName)
+        validateBoolean(retLogs, 'retLogs', methodName)
 
 
-        this.inputParams.push({key: methodName, params: [{lag, colKeys}]})
+        this.inputParams.push({key: methodName, params: [{lag, colKeys, retLogs}]})
 
         return this
     }

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ohlcv-indicators",
-  "version": "3.5.64",
+  "version": "3.5.66",
   "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

@@ -66,6 +66,7 @@ export const mainLoop = (input, main) => {
   {
     verticalOhlcv[key] = buildArray(arrayTypes[key], len)
   }
+
   // Process each row in the input
   for (let chunkStart = 0; chunkStart < len; chunkStart += chunkProcess) {
 
@@ -76,12 +77,12 @@ export const mainLoop = (input, main) => {
       
         for(const [key, formaterKey] of Object.entries(inputTypes))
         {
-          const value = curr[key]
+          let value = curr[key]
+
+          if(typeof value === 'undefined') continue
 
           if(inputNumberFormatter.hasOwnProperty(formaterKey))
           {
-            if(typeof value === 'undefined') console.log({index, formaterKey, key})
-
             const formatedValue = inputNumberFormatter[formaterKey](value, precisionMultiplier)
 
             main.pushToMain({index, key, value: formatedValue})
@@ -95,6 +96,10 @@ export const mainLoop = (input, main) => {
             main.pushToMain({index, key, value})
           }
         }
+
+        const midPrice = (curr.open + curr.close) / 2
+        
+        main.pushToMain({index, key: 'mid_price', value: midPrice})
     
         // Process these indicators separately (ensuring their execution in the order of initialization)
         for (const { key, params} of inputParams)

package/src/studies/priceFeatures.js

@@ -1,20 +1,24 @@
 
-const getRet = (next, prev) => (next - prev) / prev 
+
 const isBadNumber = (v) => v == null || !Number.isFinite(v)
 
-export const priceFeatures  = (main, index, {lag, colKeys}) => {
+export const priceFeatures  = (main, index, {lag, colKeys, retLogs}) => {
     const { verticalOhlcv } = main
 
+    const getRet = (next, prev) => (retLogs) ? Math.log(next / prev) : (next - prev) / prev
+    const prefix = (retLogs) ? 'ret_log_' : 'ret_'
+
     if(index === 0) {
         const {len} = main
 
         const newCols = {
-            ret_change: new Float64Array(len).fill(NaN),
-            ret_upper_wick: new Float64Array(len).fill(NaN),
-            ret_lower_wick: new Float64Array(len).fill(NaN),
-            ret_gap: new Float64Array(len).fill(NaN),
-            ret_body: new Float64Array(len).fill(NaN),
-            ret_range: new Float64Array(len).fill(NaN)
+            [`${prefix}change`]: new Float64Array(len).fill(NaN),
+            [`${prefix}mid_price_change`]: new Float64Array(len).fill(NaN),
+            [`${prefix}upper_wick`]: new Float64Array(len).fill(NaN),
+            [`${prefix}lower_wick`]: new Float64Array(len).fill(NaN),
+            [`${prefix}gap`]: new Float64Array(len).fill(NaN),
+            [`${prefix}body`]: new Float64Array(len).fill(NaN),
+            [`${prefix}range`]: new Float64Array(len).fill(NaN)
         }
 
         for(const target of colKeys) {
@@ -24,7 +28,7 @@ export const priceFeatures  = (main, index, {lag, colKeys}) => {
                 );
             }
 
-            newCols[`ret_${target}`] = new Float64Array(len).fill(NaN)
+            newCols[`${prefix}${target}`] = new Float64Array(len).fill(NaN)
         }
 
         Object.assign(verticalOhlcv, newCols)
@@ -35,24 +39,31 @@ export const priceFeatures  = (main, index, {lag, colKeys}) => {
     }
 
     const prevClose = verticalOhlcv.close[index - 1]
+    const prevOpen = verticalOhlcv.open[index - 1]
 
     if(typeof prevClose === 'undefined') return
 
+   
+
     const currOpen = verticalOhlcv.open[index]
     const currHigh = verticalOhlcv.high[index]
     const currLow = verticalOhlcv.low[index]
     const currClose = verticalOhlcv.close[index]
+    
+    const prevMidPrice = (prevClose + prevOpen) / 2
+    const currMidPrice = (currOpen + currClose) / 2
 
     const upperWickTop = Math.max(currOpen, currClose)
     const lowerWickTop = Math.min(currOpen, currClose)
 
     const row = {
-        ret_change: getRet(currClose, prevClose),
-        ret_upper_wick: getRet(currHigh, upperWickTop),
-        ret_lower_wick: getRet(lowerWickTop, currLow),
-        ret_gap: getRet(currOpen, prevClose),
-        ret_body: getRet(currClose, currOpen),
-        ret_range: getRet(currHigh, currLow)
+        [`${prefix}change`]: getRet(currClose, prevClose),
+        [`${prefix}mid_price_change`]: getRet(currMidPrice, prevMidPrice),
+        [`${prefix}upper_wick`]: getRet(currHigh, upperWickTop),
+        [`${prefix}lower_wick`]: getRet(lowerWickTop, currLow),
+        [`${prefix}gap`]: getRet(currOpen, prevClose),
+        [`${prefix}body`]: getRet(currClose, currOpen),
+        [`${prefix}range`]: getRet(currHigh, currLow)
     }
 
     let hasInvalidTarget = false
@@ -66,7 +77,7 @@ export const priceFeatures  = (main, index, {lag, colKeys}) => {
         }
 
         const targetRet = getRet(currClose, targetVal)
-        row[`ret_${target}`] = targetRet
+        row[`${prefix}${target}`] = targetRet
     }
 
     if(hasInvalidTarget) return

package/src/utilities/assignTypes.js

@@ -37,32 +37,50 @@ export const assignTypes = main => {
   const inputTypes  = {}
   const arrayTypes  = {}
 
+  const priceBasedInputTypes = new Map() // colName -> inputType
+
   for (const [colName, cellValue] of Object.entries(firstRow)) {
 
     if (colName === 'date') {
       inputTypes[colName] = selectDateFormatter(cellValue, true)
       arrayTypes[colName] = 'Array'
     }
-    else if(colName === 'volume')
-    {
+    else if (colName === 'volume') {
       inputTypes[colName] = classifyNum(cellValue, true)
       arrayTypes[colName] = 'Int32Array'
     }
-    else if(initialPriceBased.has(colName))
-    {
+    else if (initialPriceBased.has(colName)) {
       inputTypes[colName] = classifyNum(cellValue, true, precision)
       arrayTypes[colName] = 'Float64Array'
-    } else {
+
+      priceBasedInputTypes.set(colName, inputTypes[colName])
+    }
+    else {
       const thisType = classifyNum(cellValue, false, precision)
       inputTypes[colName] = thisType
       arrayTypes[colName] = (thisType === 'number') ? 'Float64Array' : 'Array'
     }
   }
 
+  const uniqueInputTypes = new Set(priceBasedInputTypes.values())
+  if (uniqueInputTypes.size > 1) {
+    const details = [...priceBasedInputTypes.entries()]
+      .map(([col, type]) => `${col}: "${type}"`)
+      .join(', ')
+    throw new Error(
+      `Inconsistent types among price-based columns — ${details}. ` +
+      `All initialPriceBased columns must share the same numeric type.`
+    )
+  }
+
+  if(arrayTypes.hasOwnProperty('open') && arrayTypes.hasOwnProperty('close')){
+    arrayTypes.mid_price = arrayTypes.open
+    inputTypes.mid_price =  inputTypes.open
+  }
+
   return { inputTypes, arrayTypes }
 }
 
-
 export const getArrayType = (key, arr) => {
   if (!arr || typeof arr !== 'object') {
     throw new TypeError(`Invalid array type: "${key}"`);