openalgo-script 0.1.0-alpha.1 → 0.2.0

package/dist/core/stdlib/volume/flow.js

@@ -0,0 +1,125 @@
+import { NONE, fold, held, hl2, hlc3, isPresent, result, tailOf } from '../values/index.js';
+import { emaStep, smaStep } from '../averages/index.js';
+import { changeStep, sumStep } from '../series/index.js';
+import { moneyFlow } from './accumulation.js';
+/** `cmf(len)`: accumulation over the lookback as a fraction of its volume, from bar `len - 1`. */
+export function cmfStep(state, key, bar, len) {
+    const flow = sumStep(state, `${key}f`, moneyFlow(bar), len);
+    const traded = sumStep(state, `${key}v`, bar.volume, len);
+    if (!isPresent(flow) || !isPresent(traded) || !(traded > 0))
+        return NONE;
+    return result(flow / traded);
+}
+/** `cmf(len)` as a tail. */
+export function cmfTail(len = 20) {
+    return tailOf((state, bar) => cmfStep(state, '', bar, len));
+}
+/** `cmf(len)` over a run of bars. */
+export function cmf(bars, len = 20) {
+    return fold(cmfTail(len), bars);
+}
+/**
+ * `mfi(len)`: the strength reading computed on money flow rather than price,
+ * from bar `len`.
+ *
+ * A bar's whole flow counts on one side or the other, by whether the typical
+ * price rose or fell, so the first lookback is bars 1 to `len` and the extra bar
+ * is in the declared warmup.
+ */
+export function mfiStep(state, key, bar, len) {
+    const typicalKey = `${key}p`;
+    const seenKey = `${key}k`;
+    const typical = hlc3(bar);
+    const before = held(state, typicalKey);
+    const started = state[seenKey] === true;
+    state[seenKey] = true;
+    state[typicalKey] = typical;
+    let up = NONE;
+    let down = NONE;
+    if (started && isPresent(typical) && isPresent(before) && isPresent(bar.volume)) {
+        const flow = result(typical * bar.volume);
+        up = typical > before ? flow : 0;
+        down = typical < before ? flow : 0;
+    }
+    const rise = sumStep(state, `${key}u`, up, len);
+    const fall = sumStep(state, `${key}d`, down, len);
+    if (!isPresent(rise) || !isPresent(fall))
+        return NONE;
+    // No down bar in the lookback is the top of the scale, as in `rsi`.
+    if (fall === 0)
+        return 100;
+    return result(100 - 100 / (1 + rise / fall));
+}
+/** `mfi(len)` as a tail. */
+export function mfiTail(len = 14) {
+    return tailOf((state, bar) => mfiStep(state, '', bar, len));
+}
+/** `mfi(len)` over a run of bars. */
+export function mfi(bars, len = 14) {
+    return fold(mfiTail(len), bars);
+}
+/**
+ * `eom(len)`: how far price moved per unit of volume, from bar `len`.
+ *
+ * The midpoint's move, times the bar's range, over the volume traded, then
+ * averaged over the lookback. The midpoint move needs the previous bar, so the
+ * average's lookback starts at bar 1 and the first reading is at bar `len`.
+ *
+ * **No scaling constant.** Implementations of this reading usually multiply by
+ * a large divisor whose only job is to bring the number into a readable range,
+ * and they do not agree on it. `stdlib.md` section 7 declares `eom(len = 14)`
+ * with no such argument, so there is none here and the reading is the quantity
+ * itself. That leaves it very small on a liquid instrument, which is recorded
+ * as a gap in the specification rather than papered over with a constant this
+ * library invented.
+ */
+export function eomStep(state, key, bar, len) {
+    const travelled = changeStep(state, `${key}c`, hl2(bar), 1);
+    let term = NONE;
+    if (isPresent(travelled) &&
+        isPresent(bar.high) &&
+        isPresent(bar.low) &&
+        isPresent(bar.volume) &&
+        bar.volume !== 0) {
+        term = result((travelled * (bar.high - bar.low)) / bar.volume);
+    }
+    return smaStep(state, `${key}q`, term, len);
+}
+/** `eom(len)` as a tail. */
+export function eomTail(len = 14) {
+    return tailOf((state, bar) => eomStep(state, '', bar, len));
+}
+/** `eom(len)` over a run of bars. */
+export function eom(bars, len = 14) {
+    return fold(eomTail(len), bars);
+}
+/** `forceIndex(len)`: change times volume, smoothed, from bar `len`. */
+export function forceIndexStep(state, key, bar, len) {
+    const moved = changeStep(state, `${key}c`, bar.close, 1);
+    const force = isPresent(moved) && isPresent(bar.volume) ? result(moved * bar.volume) : NONE;
+    return emaStep(state, `${key}e`, force, len);
+}
+/** `forceIndex(len)` as a tail. */
+export function forceIndexTail(len = 13) {
+    return tailOf((state, bar) => forceIndexStep(state, '', bar, len));
+}
+/** `forceIndex(len)` over a run of bars. */
+export function forceIndex(bars, len = 13) {
+    return fold(forceIndexTail(len), bars);
+}
+/** `relativeVolume(len)`: this bar's volume over its own recent average, from bar `len - 1`. */
+export function relativeVolumeStep(state, key, volume, len) {
+    const mean = smaStep(state, `${key}q`, volume, len);
+    if (!isPresent(mean) || !isPresent(volume) || mean === 0)
+        return NONE;
+    return result(volume / mean);
+}
+/** `relativeVolume(len)` as a tail. */
+export function relativeVolumeTail(len = 20) {
+    return tailOf((state, bar) => relativeVolumeStep(state, '', bar.volume, len));
+}
+/** `relativeVolume(len)` over a run of bars. */
+export function relativeVolume(bars, len = 20) {
+    return fold(relativeVolumeTail(len), bars);
+}
+//# sourceMappingURL=flow.js.map

package/dist/core/stdlib/volume/flow.js.map

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package/dist/core/stdlib/volume/index.d.ts

@@ -0,0 +1,5 @@
+export { ad, adOsc, adOscStep, adOscTail, adStep, adTail, moneyFlow, obv, obvStep, obvTail, pvt, pvtStep, pvtTail, } from './accumulation.js';
+export { cmf, cmfStep, cmfTail, eom, eomStep, eomTail, forceIndex, forceIndexStep, forceIndexTail, mfi, mfiStep, mfiTail, relativeVolume, relativeVolumeStep, relativeVolumeTail, } from './flow.js';
+export type { Anchored } from './weighted.js';
+export { vwap, vwapAnchor, vwapAnchorStep, vwapAnchorTail, vwapStep, vwapTail, } from './weighted.js';
+//# sourceMappingURL=index.d.ts.map

package/dist/core/stdlib/volume/index.d.ts.map

@@ -0,0 +1 @@
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package/dist/core/stdlib/volume/index.js

@@ -0,0 +1,4 @@
+export { ad, adOsc, adOscStep, adOscTail, adStep, adTail, moneyFlow, obv, obvStep, obvTail, pvt, pvtStep, pvtTail, } from './accumulation.js';
+export { cmf, cmfStep, cmfTail, eom, eomStep, eomTail, forceIndex, forceIndexStep, forceIndexTail, mfi, mfiStep, mfiTail, relativeVolume, relativeVolumeStep, relativeVolumeTail, } from './flow.js';
+export { vwap, vwapAnchor, vwapAnchorStep, vwapAnchorTail, vwapStep, vwapTail, } from './weighted.js';
+//# sourceMappingURL=index.js.map

package/dist/core/stdlib/volume/index.js.map

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package/dist/core/stdlib/volume/weighted.d.ts

@@ -0,0 +1,52 @@
+/**
+ * `vwap` and `vwapAnchor`: the volume weighted average price since an anchor.
+ *
+ * `stdlib.md` section 7 writes `vwap(src)` and says it resets at the start of
+ * each trading session **as the instrument defines it**, not at midnight,
+ * because the session is what the number means. Where a session starts follows
+ * from the instrument's own trading hours and not from any arithmetic here, so
+ * this library takes the anchor as a flag per bar and an engine derives it.
+ * `vwapAnchor` is therefore the whole of the calculation and `vwap` is that
+ * calculation with the session's first bars passed in.
+ *
+ * The running totals are carried rather than rebuilt, because that is the
+ * definition: a volume weighted average since an anchor is a pair of running
+ * totals, and a lookback over the bars since the anchor would be a different
+ * quantity with a different value.
+ */
+import type { Series, StateRecord, Tail, Value } from '../values/index.js';
+/** A bar's source price, its volume, and whether the average restarts here. */
+export interface Anchored {
+    readonly src: Value;
+    readonly volume: Value;
+    readonly reset: boolean;
+}
+/**
+ * `vwapAnchor(src, resetWhen)`: from the first bar `resetWhen` is true.
+ *
+ * The bar the condition holds on is the first bar of the new average, not the
+ * last bar of the old one. Absent before the condition has ever been true,
+ * because there is no anchor to measure from and zero would read as a price.
+ */
+export declare function vwapAnchorStep(state: StateRecord, key: string, input: Anchored): Value;
+/** `vwapAnchor(src, resetWhen)` as a tail. */
+export declare function vwapAnchorTail(): Tail<Anchored, Value>;
+/** `vwapAnchor(src, resetWhen)` over whole series. */
+export declare function vwapAnchor(src: Series, volume: Series, resetWhen: readonly boolean[]): Value[];
+/**
+ * `vwap(src)`: the same average anchored to the session, from the session's
+ * first bar.
+ *
+ * `sessionStart` is the engine's answer to "does a new trading session begin on
+ * this bar", read off the instrument's stated trading hours, which is why it
+ * is an argument rather than something derived from the timestamps here. On a daily or longer interval every bar is its own
+ * session, so every bar is an anchor and the result equals `src`; the compiler
+ * emits warning OS8006 saying so, which is a compile-time matter and not this
+ * library's.
+ */
+export declare function vwapTail(): Tail<Anchored, Value>;
+/** `vwap(src)` as a step, which is `vwapAnchor` anchored to the session. */
+export declare function vwapStep(state: StateRecord, key: string, input: Anchored): Value;
+/** `vwap(src)` over whole series. */
+export declare function vwap(src: Series, volume: Series, sessionStart: readonly boolean[]): Value[];
+//# sourceMappingURL=weighted.d.ts.map

package/dist/core/stdlib/volume/weighted.d.ts.map

@@ -0,0 +1 @@
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package/dist/core/stdlib/volume/weighted.js

@@ -0,0 +1,64 @@
+import { NONE, flag, fold, isPresent, result, slot, tailOf } from '../values/index.js';
+/**
+ * `vwapAnchor(src, resetWhen)`: from the first bar `resetWhen` is true.
+ *
+ * The bar the condition holds on is the first bar of the new average, not the
+ * last bar of the old one. Absent before the condition has ever been true,
+ * because there is no anchor to measure from and zero would read as a price.
+ */
+export function vwapAnchorStep(state, key, input) {
+    const flowKey = `${key}f`;
+    const tradedKey = `${key}v`;
+    const anchoredKey = `${key}a`;
+    if (input.reset) {
+        state[flowKey] = 0;
+        state[tradedKey] = 0;
+        state[anchoredKey] = true;
+    }
+    if (!flag(state, anchoredKey))
+        return NONE;
+    if (!isPresent(input.src) || !isPresent(input.volume))
+        return NONE;
+    const flow = slot(state, flowKey, 0) + input.src * input.volume;
+    const traded = slot(state, tradedKey, 0) + input.volume;
+    state[flowKey] = flow;
+    state[tradedKey] = traded;
+    if (traded === 0)
+        return NONE;
+    return result(flow / traded);
+}
+/** `vwapAnchor(src, resetWhen)` as a tail. */
+export function vwapAnchorTail() {
+    return tailOf((state, input) => vwapAnchorStep(state, '', input));
+}
+/** `vwapAnchor(src, resetWhen)` over whole series. */
+export function vwapAnchor(src, volume, resetWhen) {
+    return fold(vwapAnchorTail(), src.map((value, index) => ({
+        src: value,
+        volume: volume[index] ?? NONE,
+        reset: resetWhen[index] === true,
+    })));
+}
+/**
+ * `vwap(src)`: the same average anchored to the session, from the session's
+ * first bar.
+ *
+ * `sessionStart` is the engine's answer to "does a new trading session begin on
+ * this bar", read off the instrument's stated trading hours, which is why it
+ * is an argument rather than something derived from the timestamps here. On a daily or longer interval every bar is its own
+ * session, so every bar is an anchor and the result equals `src`; the compiler
+ * emits warning OS8006 saying so, which is a compile-time matter and not this
+ * library's.
+ */
+export function vwapTail() {
+    return vwapAnchorTail();
+}
+/** `vwap(src)` as a step, which is `vwapAnchor` anchored to the session. */
+export function vwapStep(state, key, input) {
+    return vwapAnchorStep(state, key, input);
+}
+/** `vwap(src)` over whole series. */
+export function vwap(src, volume, sessionStart) {
+    return vwapAnchor(src, volume, sessionStart);
+}
+//# sourceMappingURL=weighted.js.map

package/dist/core/stdlib/volume/weighted.js.map

@@ -0,0 +1 @@
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package/dist/core/version/version.generated.d.ts

@@ -1,10 +1,10 @@
 /** This build's package version. The release refuses to publish unless the tag, the manifest and this agree. */
-export declare const VERSION = "0.1.0-alpha.1";
+export declare const VERSION = "0.2.0";
 /**
  * The compiled program format this compiler emits.
  *
  * Deliberately not the package version. An engine written by somebody else
  * targets this number, and it moves only when the format does.
  */
-export declare const COMPILED_FORMAT_VERSION = "1.0";
+export declare const COMPILED_FORMAT_VERSION = "1.1";
 //# sourceMappingURL=version.generated.d.ts.map

package/dist/core/version/version.generated.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"version.generated.d.ts","sourceRoot":"","sources":["../../../src/core/version/version.generated.ts"],"names":[],"mappings":"AAKA,gHAAgH;AAChH,eAAO,MAAM,OAAO,kBAAkB,CAAC;AAEvC;;;;;GAKG;AACH,eAAO,MAAM,uBAAuB,QAAQ,CAAC"}
+{"version":3,"file":"version.generated.d.ts","sourceRoot":"","sources":["../../../src/core/version/version.generated.ts"],"names":[],"mappings":"AAKA,gHAAgH;AAChH,eAAO,MAAM,OAAO,UAAU,CAAC;AAE/B;;;;;GAKG;AACH,eAAO,MAAM,uBAAuB,QAAQ,CAAC"}

package/dist/core/version/version.generated.js

@@ -3,12 +3,12 @@
 // VERSION comes from package.json and COMPILED_FORMAT_VERSION from
 // spec/compiled-program.md, so neither can drift from the thing it names.
 /** This build's package version. The release refuses to publish unless the tag, the manifest and this agree. */
-export const VERSION = "0.1.0-alpha.1";
+export const VERSION = "0.2.0";
 /**
  * The compiled program format this compiler emits.
  *
  * Deliberately not the package version. An engine written by somebody else
  * targets this number, and it moves only when the format does.
  */
-export const COMPILED_FORMAT_VERSION = "1.0";
+export const COMPILED_FORMAT_VERSION = "1.1";
 //# sourceMappingURL=version.generated.js.map

package/dist/core/version/version.generated.js.map

@@ -1 +1 @@
-{"version":3,"file":"version.generated.js","sourceRoot":"","sources":["../../../src/core/version/version.generated.ts"],"names":[],"mappings":"AAAA,0DAA0D;AAC1D,EAAE;AACF,mEAAmE;AACnE,0EAA0E;AAE1E,gHAAgH;AAChH,MAAM,CAAC,MAAM,OAAO,GAAG,eAAe,CAAC;AAEvC;;;;;GAKG;AACH,MAAM,CAAC,MAAM,uBAAuB,GAAG,KAAK,CAAC"}
+{"version":3,"file":"version.generated.js","sourceRoot":"","sources":["../../../src/core/version/version.generated.ts"],"names":[],"mappings":"AAAA,0DAA0D;AAC1D,EAAE;AACF,mEAAmE;AACnE,0EAA0E;AAE1E,gHAAgH;AAChH,MAAM,CAAC,MAAM,OAAO,GAAG,OAAO,CAAC;AAE/B;;;;;GAKG;AACH,MAAM,CAAC,MAAM,uBAAuB,GAAG,KAAK,CAAC"}

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "openalgo-script",
-  "version": "0.1.0-alpha.1",
+  "version": "0.2.0",
   "description": "An open trading language. Write a study or a strategy once, plot it, backtest it, trade it.",
   "keywords": [
     "trading",
@@ -25,7 +25,12 @@
     ".": {
       "types": "./dist/core/index.d.ts",
       "import": "./dist/core/index.js"
-    }
+    },
+    "./adapters/charts": {
+      "types": "./dist/adapters/charts/index.d.ts",
+      "import": "./dist/adapters/charts/index.js"
+    },
+    "./package.json": "./package.json"
   },
   "files": [
     "CHANGELOG.md",
@@ -37,26 +42,45 @@
     "src"
   ],
   "scripts": {
-    "check:names": "node scripts/check-names.mjs",
-    "check:examples": "node scripts/check-examples.mjs",
-    "check:errors": "node scripts/check-error-codes.mjs",
-    "test": "node scripts/check-duplication.mjs && node scripts/check-error-codes.mjs && node scripts/check-examples.mjs && node scripts/check-layering.mjs && node scripts/check-modularity.mjs && node scripts/check-names.mjs && npm run build && npm run test:unit",
-    "test:unit": "npm run generate && tsc -p tsconfig.test.json && node scripts/run-tests.mjs",
-    "check:layering": "node scripts/check-layering.mjs",
-    "check:duplication": "node scripts/check-duplication.mjs",
-    "check:modularity": "node scripts/check-modularity.mjs",
-    "generate:errors": "node scripts/generate-error-catalogue.mjs",
+    "check:names": "node --disallow-code-generation-from-strings scripts/check-names.mjs",
+    "check:no-eval": "npm run build && npm run build:test && node --disallow-code-generation-from-strings scripts/check-no-eval.mjs",
+    "check:examples": "node --disallow-code-generation-from-strings scripts/check-examples.mjs",
+    "check:examples:compile": "npm run build && npm run build:test && node --disallow-code-generation-from-strings scripts/check-examples-compile.mjs",
+    "check:catalogue": "node --disallow-code-generation-from-strings scripts/check-catalogue-tests.mjs",
+    "check:errors": "node --disallow-code-generation-from-strings scripts/check-error-codes.mjs",
+    "check:raises": "node --disallow-code-generation-from-strings scripts/check-raises.mjs",
+    "check:defaults": "npm run build && node --disallow-code-generation-from-strings scripts/check-defaults.mjs",
+    "check:chart": "npm run build && node --disallow-code-generation-from-strings scripts/check-chart-surface.mjs",
+    "check:section-20": "node --disallow-code-generation-from-strings scripts/check-section-20.mjs",
+    "test": "node --disallow-code-generation-from-strings scripts/check-duplication.mjs && node --disallow-code-generation-from-strings scripts/check-error-codes.mjs && node --disallow-code-generation-from-strings scripts/check-examples.mjs && node --disallow-code-generation-from-strings scripts/check-catalogue-tests.mjs && node --disallow-code-generation-from-strings scripts/check-layering.mjs && node --disallow-code-generation-from-strings scripts/check-limits.mjs && node --disallow-code-generation-from-strings scripts/check-modularity.mjs && node --disallow-code-generation-from-strings scripts/check-names.mjs && node --disallow-code-generation-from-strings scripts/check-raises.mjs && node --disallow-code-generation-from-strings scripts/check-section-20.mjs && npm run build && node --disallow-code-generation-from-strings scripts/check-defaults.mjs && node --disallow-code-generation-from-strings scripts/check-chart-surface.mjs && npm run test:unit && node --disallow-code-generation-from-strings scripts/check-examples-compile.mjs && node --disallow-code-generation-from-strings scripts/check-no-eval.mjs && npm run bench",
+    "test:unit": "npm run build:test && node --disallow-code-generation-from-strings scripts/run-tests.mjs",
+    "check:layering": "node --disallow-code-generation-from-strings scripts/check-layering.mjs",
+    "check:duplication": "node --disallow-code-generation-from-strings scripts/check-duplication.mjs",
+    "check:limits": "node --disallow-code-generation-from-strings scripts/check-limits.mjs",
+    "check:modularity": "node --disallow-code-generation-from-strings scripts/check-modularity.mjs",
+    "generate:errors": "node --disallow-code-generation-from-strings scripts/generate-error-catalogue.mjs",
     "typecheck": "npm run generate && tsc -p tsconfig.json --noEmit && tsc -p tsconfig.test.json --noEmit",
-    "build": "npm run generate && tsc -p tsconfig.json",
+    "build": "npm run generate && node --disallow-code-generation-from-strings scripts/clean-output.mjs tsconfig.json && tsc -p tsconfig.json",
+    "build:test": "npm run generate && node --disallow-code-generation-from-strings scripts/clean-output.mjs tsconfig.test.json && tsc -p tsconfig.test.json",
     "prepack": "npm run build",
-    "generate:version": "node scripts/generate-version.mjs",
+    "generate:version": "node --disallow-code-generation-from-strings scripts/generate-version.mjs",
     "generate": "npm run generate:errors && npm run generate:version",
-    "check:changelog": "node scripts/check-changelog.mjs"
+    "check:changelog": "node --disallow-code-generation-from-strings scripts/check-changelog.mjs",
+    "bench": "node --disallow-code-generation-from-strings scripts/bench.mjs",
+    "bench:record": "node --disallow-code-generation-from-strings scripts/bench.mjs --record"
   },
   "engines": {
     "node": ">=22"
   },
   "dependencies": {},
+  "peerDependencies": {
+    "openalgo-charts": ">=2.4.0"
+  },
+  "peerDependenciesMeta": {
+    "openalgo-charts": {
+      "optional": true
+    }
+  },
   "devDependencies": {
     "@types/node": "^24.0.0",
     "typescript": "^5.9.0"