ohlcv-indicators 3.5.69 → 3.5.71

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,y=r.bandDistance,v=void 0===y?2:y,m=r.liquidityLookback,d=void 0===m?20:m;return h(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,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;h(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.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,params:[t,e,{lag:i}]}),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 h(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.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:"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=Ur(Ur(Ur(Ur(Ur({},"".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,h=r.lag,v=void 0!==h&&h,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,P=r.offset,N=void 0===P?0:P;p(N,{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=Br(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 y(j,"options.byFeatureRange",o);return["minmax","byfeature"].includes(t)&&y(a,"options.minMaxRange",o),this.inputParams.push({key:n,params:[e,d,{type:t,minMaxRange:a,lookback:_,weights:g,euclideanWeights:S,byFeatureRange:j,offset:N}]}),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=Or),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&&Hr(t.prototype,e),Object.defineProperty(t,"prototype",{writable:!1}),t;var t,e}()})(),OHLCV_INDICATORS=e})();

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ohlcv-indicators",
-  "version": "3.5.69",
+  "version": "3.5.71",
   "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/oscillators/stochastic.js

@@ -7,8 +7,8 @@ export const stochastic = (main, index, kPeriod, kSlowingPeriod, dPeriod, {lag})
     const { verticalOhlcv, instances , useFullNames} = main;
 
     const paramsKey = ((kPeriod === 14 && kSlowingPeriod === 3 && dPeriod === 3) && !useFullNames) ? '' : `_${kPeriod}_${kSlowingPeriod}_${dPeriod}`
-    const stochD = `stoch_d${paramsKey}`;
-    const stochK = `stoch_k${paramsKey}`;
+    const stochD = `stochastic_d${paramsKey}`;
+    const stochK = `stochastic_k${paramsKey}`;
     const instanceKey = paramsKey
 
   // Initialization on the first index.

package/src/studies/priceFeatures.js

@@ -3,14 +3,14 @@
 const isBadNumber = (v) => v == null || !Number.isFinite(v)
 
 export const priceFeatures  = (main, index, {lag, colKeys, retLogs}) => {
-    const { verticalOhlcv } = main
+    const { verticalOhlcv, priceBased, scaledGroups } = 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 = {
             [`${prefix}change`]: new Float64Array(len).fill(NaN),
             [`${prefix}mid_price_change`]: new Float64Array(len).fill(NaN),
@@ -24,15 +24,23 @@ export const priceFeatures  = (main, index, {lag, colKeys, retLogs}) => {
         for(const target of colKeys) {
             if(!verticalOhlcv.hasOwnProperty(target)) {
                 throw new Error(
-                    `Target property ${target} not found in verticalOhlcv for "priceFeatures".`
+                    `Target property in "options.colKey" array "${target}" not found in verticalOhlcv for "priceFeatures".`
                 );
             }
 
+            else if(!priceBased.has(target)) {
+                 throw new Error(
+                     `Target property in "options.colKey" array "${target}" not found in priceBased for "priceFeatures".`
+                );               
+            }
+
             newCols[`${prefix}${target}`] = new Float64Array(len).fill(NaN)
         }
 
         Object.assign(verticalOhlcv, newCols)
 
+        scaledGroups.priceFeatures = Object.keys(newCols)
+
         if(lag) {
             main.lag(Object.keys(newCols), lag)
         }