feat: add 7 alt-chart bar builders (B19) (#220)
Adds seven information-driven bar builders to the **Alt-Chart Bars** family, the final batch of the family-deepening run. Indicator count **507 → 514**. ## Builders All implement the `BarBuilder` trait (`update(Candle) -> Vec<Bar>`), emitting a data-dependent number of completed bars per candle. | Builder | Driver | Bar fields | |---------|--------|-----------| | `RangeBars` | close | open, close, direction | | `TickBars` | OHLCV | open, high, low, close, volume | | `VolumeBars` | OHLCV | open, high, low, close, volume | | `DollarBars` (Lopez de Prado) | OHLCV | + dollar | | `ImbalanceBars` | OHLC | + imbalance, direction | | `RunBars` | OHLC | + length, direction | | `ThreeLineBreakBars` | close | open, close, direction | ## Touchpoints Seven core modules (each with full unit tests), `mod.rs`/`lib.rs` (builders counted, bar element types on their own re-export lines), README family rows, Python/Node/WASM hand-written bindings for the variable-length output (Python tuples + `(k, N)` ndarray; Node `Vec<object>`; WASM array of objects), the `bar_builder_update_candle` fuzz target, dedicated Python + Node tests, the `BAR_BUILDERS` completeness exclusion, and CHANGELOG. ## Verification - `cargo test -p wickra-core --lib` — 4207 passed - `cargo test -p wickra-core --doc` — 464 passed - `cargo clippy --workspace --all-targets --all-features -- -D warnings` — clean - `npm test` (node) — 584 passed - `pytest` (python) — 957 passed
This commit is contained in:
kingchenc
@@ -14,7 +14,18 @@ const wickra = require('..');
|
||||
// but intentionally not isReady/warmupPeriod, so they are excluded from the
|
||||
// Indicator completeness contract below (their interface is covered by the
|
||||
// dedicated bar-builder tests).
|
||||
const BAR_BUILDERS = new Set(['RenkoBars', 'KagiBars', 'PointAndFigureBars']);
|
||||
const BAR_BUILDERS = new Set([
|
||||
'RenkoBars',
|
||||
'KagiBars',
|
||||
'PointAndFigureBars',
|
||||
'RangeBars',
|
||||
'TickBars',
|
||||
'VolumeBars',
|
||||
'DollarBars',
|
||||
'ImbalanceBars',
|
||||
'RunBars',
|
||||
'ThreeLineBreakBars',
|
||||
]);
|
||||
|
||||
// An "indicator class" is an exported constructor whose prototype carries the
|
||||
// streaming `update` method. This excludes `version` (a plain function), the bar
|
||||
|
||||
@@ -1769,3 +1769,72 @@ test('PointAndFigureBars closes a column on a 3-box reversal', () => {
|
||||
assert.equal(col[0].direction, 1);
|
||||
assert.ok(Math.abs(col[0].high - 15) < 1e-9 && Math.abs(col[0].low - 10) < 1e-9);
|
||||
});
|
||||
|
||||
test('RangeBars prints aligned bars on an up move', () => {
|
||||
const rb = new wickra.RangeBars(1.0);
|
||||
assert.deepEqual(rb.update(10), []); // seed
|
||||
const up = rb.update(13);
|
||||
assert.equal(up.length, 3);
|
||||
assert.ok(Math.abs(up[0].open - 10) < 1e-9 && Math.abs(up[2].close - 13) < 1e-9);
|
||||
assert.ok(up.every((b) => b.direction === 1));
|
||||
});
|
||||
|
||||
test('TickBars groups a fixed number of candles', () => {
|
||||
const tb = new wickra.TickBars(2);
|
||||
assert.deepEqual(tb.update(10, 11, 9, 10.5, 100), []);
|
||||
const out = tb.update(10.5, 12, 10, 11, 150);
|
||||
assert.equal(out.length, 1);
|
||||
assert.ok(Math.abs(out[0].open - 10) < 1e-9);
|
||||
assert.ok(Math.abs(out[0].high - 12) < 1e-9);
|
||||
assert.ok(Math.abs(out[0].low - 9) < 1e-9);
|
||||
assert.ok(Math.abs(out[0].close - 11) < 1e-9);
|
||||
assert.ok(Math.abs(out[0].volume - 250) < 1e-9);
|
||||
});
|
||||
|
||||
test('VolumeBars closes when accumulated volume crosses the threshold', () => {
|
||||
const vb = new wickra.VolumeBars(100);
|
||||
assert.deepEqual(vb.update(10, 10, 10, 10, 60), []);
|
||||
const out = vb.update(10.5, 10.5, 10.5, 10.5, 60);
|
||||
assert.equal(out.length, 1);
|
||||
assert.ok(Math.abs(out[0].volume - 120) < 1e-9);
|
||||
});
|
||||
|
||||
test('DollarBars closes when traded value crosses the threshold', () => {
|
||||
const db = new wickra.DollarBars(1000);
|
||||
assert.deepEqual(db.update(10, 10, 10, 10, 60), []);
|
||||
const out = db.update(10, 10, 10, 10, 60);
|
||||
assert.equal(out.length, 1);
|
||||
assert.ok(Math.abs(out[0].dollar - 1200) < 1e-9);
|
||||
assert.ok(Math.abs(out[0].volume - 120) < 1e-9);
|
||||
});
|
||||
|
||||
test('ImbalanceBars closes a buy bar at the threshold', () => {
|
||||
const ib = new wickra.ImbalanceBars(3.0);
|
||||
ib.update(10, 10, 10, 10);
|
||||
ib.update(11, 11, 11, 11);
|
||||
ib.update(12, 12, 12, 12);
|
||||
const out = ib.update(13, 13, 13, 13);
|
||||
assert.equal(out.length, 1);
|
||||
assert.equal(out[0].direction, 1);
|
||||
assert.ok(Math.abs(out[0].imbalance - 3) < 1e-9);
|
||||
});
|
||||
|
||||
test('RunBars closes a buy run at the run length', () => {
|
||||
const rb = new wickra.RunBars(3);
|
||||
rb.update(10, 10, 10, 10);
|
||||
rb.update(11, 11, 11, 11);
|
||||
rb.update(12, 12, 12, 12);
|
||||
const out = rb.update(13, 13, 13, 13);
|
||||
assert.equal(out.length, 1);
|
||||
assert.equal(out[0].direction, 1);
|
||||
assert.equal(out[0].length, 3);
|
||||
});
|
||||
|
||||
test('ThreeLineBreakBars draws a rising line', () => {
|
||||
const tlb = new wickra.ThreeLineBreakBars(3);
|
||||
assert.deepEqual(tlb.update(10), []); // seed
|
||||
const out = tlb.update(11);
|
||||
assert.equal(out.length, 1);
|
||||
assert.equal(out[0].direction, 1);
|
||||
assert.ok(Math.abs(out[0].open - 10) < 1e-9 && Math.abs(out[0].close - 11) < 1e-9);
|
||||
});
|
||||
|
||||
Vendored
+104
@@ -468,6 +468,54 @@ export interface PnfColumnValue {
|
||||
high: number
|
||||
low: number
|
||||
}
|
||||
export interface RangeBarValue {
|
||||
open: number
|
||||
close: number
|
||||
direction: number
|
||||
}
|
||||
export interface TickBarValue {
|
||||
open: number
|
||||
high: number
|
||||
low: number
|
||||
close: number
|
||||
volume: number
|
||||
}
|
||||
export interface VolumeBarValue {
|
||||
open: number
|
||||
high: number
|
||||
low: number
|
||||
close: number
|
||||
volume: number
|
||||
}
|
||||
export interface DollarBarValue {
|
||||
open: number
|
||||
high: number
|
||||
low: number
|
||||
close: number
|
||||
volume: number
|
||||
dollar: number
|
||||
}
|
||||
export interface ImbalanceBarValue {
|
||||
open: number
|
||||
high: number
|
||||
low: number
|
||||
close: number
|
||||
imbalance: number
|
||||
direction: number
|
||||
}
|
||||
export interface RunBarValue {
|
||||
open: number
|
||||
high: number
|
||||
low: number
|
||||
close: number
|
||||
length: number
|
||||
direction: number
|
||||
}
|
||||
export interface LineBreakBarValue {
|
||||
open: number
|
||||
close: number
|
||||
direction: number
|
||||
}
|
||||
export interface SessionHighLowValue {
|
||||
high: number
|
||||
low: number
|
||||
@@ -5028,6 +5076,62 @@ export declare class PointAndFigureBars {
|
||||
reversal(): number
|
||||
reset(): void
|
||||
}
|
||||
export type RangeBarsNode = RangeBars
|
||||
export declare class RangeBars {
|
||||
constructor(range: number)
|
||||
update(close: number): Array<RangeBarValue>
|
||||
batch(close: Array<number>): Array<RangeBarValue>
|
||||
range(): number
|
||||
reset(): void
|
||||
}
|
||||
export type TickBarsNode = TickBars
|
||||
export declare class TickBars {
|
||||
constructor(ticks: number)
|
||||
update(open: number, high: number, low: number, close: number, volume: number): Array<TickBarValue>
|
||||
batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>, volume: Array<number>): Array<TickBarValue>
|
||||
ticks(): number
|
||||
reset(): void
|
||||
}
|
||||
export type VolumeBarsNode = VolumeBars
|
||||
export declare class VolumeBars {
|
||||
constructor(volumePerBar: number)
|
||||
update(open: number, high: number, low: number, close: number, volume: number): Array<VolumeBarValue>
|
||||
batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>, volume: Array<number>): Array<VolumeBarValue>
|
||||
volumePerBar(): number
|
||||
reset(): void
|
||||
}
|
||||
export type DollarBarsNode = DollarBars
|
||||
export declare class DollarBars {
|
||||
constructor(dollarPerBar: number)
|
||||
update(open: number, high: number, low: number, close: number, volume: number): Array<DollarBarValue>
|
||||
batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>, volume: Array<number>): Array<DollarBarValue>
|
||||
dollarPerBar(): number
|
||||
reset(): void
|
||||
}
|
||||
export type ImbalanceBarsNode = ImbalanceBars
|
||||
export declare class ImbalanceBars {
|
||||
constructor(threshold: number)
|
||||
update(open: number, high: number, low: number, close: number): Array<ImbalanceBarValue>
|
||||
batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<ImbalanceBarValue>
|
||||
threshold(): number
|
||||
reset(): void
|
||||
}
|
||||
export type RunBarsNode = RunBars
|
||||
export declare class RunBars {
|
||||
constructor(runLength: number)
|
||||
update(open: number, high: number, low: number, close: number): Array<RunBarValue>
|
||||
batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<RunBarValue>
|
||||
runLength(): number
|
||||
reset(): void
|
||||
}
|
||||
export type ThreeLineBreakBarsNode = ThreeLineBreakBars
|
||||
export declare class ThreeLineBreakBars {
|
||||
constructor(lines: number)
|
||||
update(close: number): Array<LineBreakBarValue>
|
||||
batch(close: Array<number>): Array<LineBreakBarValue>
|
||||
lines(): number
|
||||
reset(): void
|
||||
}
|
||||
export type AlphaNode = Alpha
|
||||
export declare class Alpha {
|
||||
constructor(period: number, riskFree: number)
|
||||
|
||||
File diff suppressed because one or more lines are too long
@@ -17818,6 +17818,559 @@ impl PointAndFigureBarsNode {
|
||||
}
|
||||
}
|
||||
|
||||
#[napi(object)]
|
||||
pub struct RangeBarValue {
|
||||
pub open: f64,
|
||||
pub close: f64,
|
||||
pub direction: i32,
|
||||
}
|
||||
|
||||
#[napi(js_name = "RangeBars")]
|
||||
pub struct RangeBarsNode {
|
||||
inner: wc::RangeBars,
|
||||
}
|
||||
#[napi]
|
||||
impl RangeBarsNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new(range: f64) -> napi::Result<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::RangeBars::new(range).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(&mut self, close: f64) -> napi::Result<Vec<RangeBarValue>> {
|
||||
let candle = wc::Candle::new(close, close, close, close, 1.0, 0).map_err(map_err)?;
|
||||
Ok(self
|
||||
.inner
|
||||
.update(candle)
|
||||
.into_iter()
|
||||
.map(|b| RangeBarValue {
|
||||
open: b.open,
|
||||
close: b.close,
|
||||
direction: i32::from(b.direction),
|
||||
})
|
||||
.collect())
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(&mut self, close: Vec<f64>) -> napi::Result<Vec<RangeBarValue>> {
|
||||
let mut out = Vec::new();
|
||||
for price in close {
|
||||
let candle = wc::Candle::new(price, price, price, price, 1.0, 0).map_err(map_err)?;
|
||||
for b in self.inner.update(candle) {
|
||||
out.push(RangeBarValue {
|
||||
open: b.open,
|
||||
close: b.close,
|
||||
direction: i32::from(b.direction),
|
||||
});
|
||||
}
|
||||
}
|
||||
Ok(out)
|
||||
}
|
||||
#[napi]
|
||||
pub fn range(&self) -> f64 {
|
||||
self.inner.range()
|
||||
}
|
||||
#[napi]
|
||||
pub fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
}
|
||||
|
||||
#[napi(object)]
|
||||
pub struct TickBarValue {
|
||||
pub open: f64,
|
||||
pub high: f64,
|
||||
pub low: f64,
|
||||
pub close: f64,
|
||||
pub volume: f64,
|
||||
}
|
||||
|
||||
#[napi(js_name = "TickBars")]
|
||||
pub struct TickBarsNode {
|
||||
inner: wc::TickBars,
|
||||
}
|
||||
#[napi]
|
||||
impl TickBarsNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new(ticks: u32) -> napi::Result<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::TickBars::new(ticks as usize).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(
|
||||
&mut self,
|
||||
open: f64,
|
||||
high: f64,
|
||||
low: f64,
|
||||
close: f64,
|
||||
volume: f64,
|
||||
) -> napi::Result<Vec<TickBarValue>> {
|
||||
let candle = wc::Candle::new(open, high, low, close, volume, 0).map_err(map_err)?;
|
||||
Ok(self
|
||||
.inner
|
||||
.update(candle)
|
||||
.into_iter()
|
||||
.map(|b| TickBarValue {
|
||||
open: b.open,
|
||||
high: b.high,
|
||||
low: b.low,
|
||||
close: b.close,
|
||||
volume: b.volume,
|
||||
})
|
||||
.collect())
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
open: Vec<f64>,
|
||||
high: Vec<f64>,
|
||||
low: Vec<f64>,
|
||||
close: Vec<f64>,
|
||||
volume: Vec<f64>,
|
||||
) -> napi::Result<Vec<TickBarValue>> {
|
||||
if open.len() != high.len()
|
||||
|| high.len() != low.len()
|
||||
|| low.len() != close.len()
|
||||
|| close.len() != volume.len()
|
||||
{
|
||||
return Err(NapiError::from_reason(
|
||||
"open, high, low, close, volume must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let mut out = Vec::new();
|
||||
for i in 0..open.len() {
|
||||
let candle = wc::Candle::new(open[i], high[i], low[i], close[i], volume[i], 0)
|
||||
.map_err(map_err)?;
|
||||
for b in self.inner.update(candle) {
|
||||
out.push(TickBarValue {
|
||||
open: b.open,
|
||||
high: b.high,
|
||||
low: b.low,
|
||||
close: b.close,
|
||||
volume: b.volume,
|
||||
});
|
||||
}
|
||||
}
|
||||
Ok(out)
|
||||
}
|
||||
#[napi]
|
||||
pub fn ticks(&self) -> u32 {
|
||||
self.inner.ticks() as u32
|
||||
}
|
||||
#[napi]
|
||||
pub fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
}
|
||||
|
||||
#[napi(object)]
|
||||
pub struct VolumeBarValue {
|
||||
pub open: f64,
|
||||
pub high: f64,
|
||||
pub low: f64,
|
||||
pub close: f64,
|
||||
pub volume: f64,
|
||||
}
|
||||
|
||||
#[napi(js_name = "VolumeBars")]
|
||||
pub struct VolumeBarsNode {
|
||||
inner: wc::VolumeBars,
|
||||
}
|
||||
#[napi]
|
||||
impl VolumeBarsNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new(volume_per_bar: f64) -> napi::Result<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::VolumeBars::new(volume_per_bar).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(
|
||||
&mut self,
|
||||
open: f64,
|
||||
high: f64,
|
||||
low: f64,
|
||||
close: f64,
|
||||
volume: f64,
|
||||
) -> napi::Result<Vec<VolumeBarValue>> {
|
||||
let candle = wc::Candle::new(open, high, low, close, volume, 0).map_err(map_err)?;
|
||||
Ok(self
|
||||
.inner
|
||||
.update(candle)
|
||||
.into_iter()
|
||||
.map(|b| VolumeBarValue {
|
||||
open: b.open,
|
||||
high: b.high,
|
||||
low: b.low,
|
||||
close: b.close,
|
||||
volume: b.volume,
|
||||
})
|
||||
.collect())
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
open: Vec<f64>,
|
||||
high: Vec<f64>,
|
||||
low: Vec<f64>,
|
||||
close: Vec<f64>,
|
||||
volume: Vec<f64>,
|
||||
) -> napi::Result<Vec<VolumeBarValue>> {
|
||||
if open.len() != high.len()
|
||||
|| high.len() != low.len()
|
||||
|| low.len() != close.len()
|
||||
|| close.len() != volume.len()
|
||||
{
|
||||
return Err(NapiError::from_reason(
|
||||
"open, high, low, close, volume must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let mut out = Vec::new();
|
||||
for i in 0..open.len() {
|
||||
let candle = wc::Candle::new(open[i], high[i], low[i], close[i], volume[i], 0)
|
||||
.map_err(map_err)?;
|
||||
for b in self.inner.update(candle) {
|
||||
out.push(VolumeBarValue {
|
||||
open: b.open,
|
||||
high: b.high,
|
||||
low: b.low,
|
||||
close: b.close,
|
||||
volume: b.volume,
|
||||
});
|
||||
}
|
||||
}
|
||||
Ok(out)
|
||||
}
|
||||
#[napi(js_name = "volumePerBar")]
|
||||
pub fn volume_per_bar(&self) -> f64 {
|
||||
self.inner.volume_per_bar()
|
||||
}
|
||||
#[napi]
|
||||
pub fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
}
|
||||
|
||||
#[napi(object)]
|
||||
pub struct DollarBarValue {
|
||||
pub open: f64,
|
||||
pub high: f64,
|
||||
pub low: f64,
|
||||
pub close: f64,
|
||||
pub volume: f64,
|
||||
pub dollar: f64,
|
||||
}
|
||||
|
||||
#[napi(js_name = "DollarBars")]
|
||||
pub struct DollarBarsNode {
|
||||
inner: wc::DollarBars,
|
||||
}
|
||||
#[napi]
|
||||
impl DollarBarsNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new(dollar_per_bar: f64) -> napi::Result<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::DollarBars::new(dollar_per_bar).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(
|
||||
&mut self,
|
||||
open: f64,
|
||||
high: f64,
|
||||
low: f64,
|
||||
close: f64,
|
||||
volume: f64,
|
||||
) -> napi::Result<Vec<DollarBarValue>> {
|
||||
let candle = wc::Candle::new(open, high, low, close, volume, 0).map_err(map_err)?;
|
||||
Ok(self
|
||||
.inner
|
||||
.update(candle)
|
||||
.into_iter()
|
||||
.map(|b| DollarBarValue {
|
||||
open: b.open,
|
||||
high: b.high,
|
||||
low: b.low,
|
||||
close: b.close,
|
||||
volume: b.volume,
|
||||
dollar: b.dollar,
|
||||
})
|
||||
.collect())
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
open: Vec<f64>,
|
||||
high: Vec<f64>,
|
||||
low: Vec<f64>,
|
||||
close: Vec<f64>,
|
||||
volume: Vec<f64>,
|
||||
) -> napi::Result<Vec<DollarBarValue>> {
|
||||
if open.len() != high.len()
|
||||
|| high.len() != low.len()
|
||||
|| low.len() != close.len()
|
||||
|| close.len() != volume.len()
|
||||
{
|
||||
return Err(NapiError::from_reason(
|
||||
"open, high, low, close, volume must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let mut out = Vec::new();
|
||||
for i in 0..open.len() {
|
||||
let candle = wc::Candle::new(open[i], high[i], low[i], close[i], volume[i], 0)
|
||||
.map_err(map_err)?;
|
||||
for b in self.inner.update(candle) {
|
||||
out.push(DollarBarValue {
|
||||
open: b.open,
|
||||
high: b.high,
|
||||
low: b.low,
|
||||
close: b.close,
|
||||
volume: b.volume,
|
||||
dollar: b.dollar,
|
||||
});
|
||||
}
|
||||
}
|
||||
Ok(out)
|
||||
}
|
||||
#[napi(js_name = "dollarPerBar")]
|
||||
pub fn dollar_per_bar(&self) -> f64 {
|
||||
self.inner.dollar_per_bar()
|
||||
}
|
||||
#[napi]
|
||||
pub fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
}
|
||||
|
||||
#[napi(object)]
|
||||
pub struct ImbalanceBarValue {
|
||||
pub open: f64,
|
||||
pub high: f64,
|
||||
pub low: f64,
|
||||
pub close: f64,
|
||||
pub imbalance: f64,
|
||||
pub direction: i32,
|
||||
}
|
||||
|
||||
#[napi(js_name = "ImbalanceBars")]
|
||||
pub struct ImbalanceBarsNode {
|
||||
inner: wc::ImbalanceBars,
|
||||
}
|
||||
#[napi]
|
||||
impl ImbalanceBarsNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new(threshold: f64) -> napi::Result<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::ImbalanceBars::new(threshold).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(
|
||||
&mut self,
|
||||
open: f64,
|
||||
high: f64,
|
||||
low: f64,
|
||||
close: f64,
|
||||
) -> napi::Result<Vec<ImbalanceBarValue>> {
|
||||
let candle = wc::Candle::new(open, high, low, close, 1.0, 0).map_err(map_err)?;
|
||||
Ok(self
|
||||
.inner
|
||||
.update(candle)
|
||||
.into_iter()
|
||||
.map(|b| ImbalanceBarValue {
|
||||
open: b.open,
|
||||
high: b.high,
|
||||
low: b.low,
|
||||
close: b.close,
|
||||
imbalance: b.imbalance,
|
||||
direction: i32::from(b.direction),
|
||||
})
|
||||
.collect())
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
open: Vec<f64>,
|
||||
high: Vec<f64>,
|
||||
low: Vec<f64>,
|
||||
close: Vec<f64>,
|
||||
) -> napi::Result<Vec<ImbalanceBarValue>> {
|
||||
if open.len() != high.len() || high.len() != low.len() || low.len() != close.len() {
|
||||
return Err(NapiError::from_reason(
|
||||
"open, high, low, close must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let mut out = Vec::new();
|
||||
for i in 0..open.len() {
|
||||
let candle =
|
||||
wc::Candle::new(open[i], high[i], low[i], close[i], 1.0, 0).map_err(map_err)?;
|
||||
for b in self.inner.update(candle) {
|
||||
out.push(ImbalanceBarValue {
|
||||
open: b.open,
|
||||
high: b.high,
|
||||
low: b.low,
|
||||
close: b.close,
|
||||
imbalance: b.imbalance,
|
||||
direction: i32::from(b.direction),
|
||||
});
|
||||
}
|
||||
}
|
||||
Ok(out)
|
||||
}
|
||||
#[napi]
|
||||
pub fn threshold(&self) -> f64 {
|
||||
self.inner.threshold()
|
||||
}
|
||||
#[napi]
|
||||
pub fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
}
|
||||
|
||||
#[napi(object)]
|
||||
pub struct RunBarValue {
|
||||
pub open: f64,
|
||||
pub high: f64,
|
||||
pub low: f64,
|
||||
pub close: f64,
|
||||
pub length: u32,
|
||||
pub direction: i32,
|
||||
}
|
||||
|
||||
#[napi(js_name = "RunBars")]
|
||||
pub struct RunBarsNode {
|
||||
inner: wc::RunBars,
|
||||
}
|
||||
#[napi]
|
||||
impl RunBarsNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new(run_length: u32) -> napi::Result<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::RunBars::new(run_length as usize).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(
|
||||
&mut self,
|
||||
open: f64,
|
||||
high: f64,
|
||||
low: f64,
|
||||
close: f64,
|
||||
) -> napi::Result<Vec<RunBarValue>> {
|
||||
let candle = wc::Candle::new(open, high, low, close, 1.0, 0).map_err(map_err)?;
|
||||
Ok(self
|
||||
.inner
|
||||
.update(candle)
|
||||
.into_iter()
|
||||
.map(|b| RunBarValue {
|
||||
open: b.open,
|
||||
high: b.high,
|
||||
low: b.low,
|
||||
close: b.close,
|
||||
length: b.length as u32,
|
||||
direction: i32::from(b.direction),
|
||||
})
|
||||
.collect())
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
open: Vec<f64>,
|
||||
high: Vec<f64>,
|
||||
low: Vec<f64>,
|
||||
close: Vec<f64>,
|
||||
) -> napi::Result<Vec<RunBarValue>> {
|
||||
if open.len() != high.len() || high.len() != low.len() || low.len() != close.len() {
|
||||
return Err(NapiError::from_reason(
|
||||
"open, high, low, close must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let mut out = Vec::new();
|
||||
for i in 0..open.len() {
|
||||
let candle =
|
||||
wc::Candle::new(open[i], high[i], low[i], close[i], 1.0, 0).map_err(map_err)?;
|
||||
for b in self.inner.update(candle) {
|
||||
out.push(RunBarValue {
|
||||
open: b.open,
|
||||
high: b.high,
|
||||
low: b.low,
|
||||
close: b.close,
|
||||
length: b.length as u32,
|
||||
direction: i32::from(b.direction),
|
||||
});
|
||||
}
|
||||
}
|
||||
Ok(out)
|
||||
}
|
||||
#[napi(js_name = "runLength")]
|
||||
pub fn run_length(&self) -> u32 {
|
||||
self.inner.run_length() as u32
|
||||
}
|
||||
#[napi]
|
||||
pub fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
}
|
||||
|
||||
#[napi(object)]
|
||||
pub struct LineBreakBarValue {
|
||||
pub open: f64,
|
||||
pub close: f64,
|
||||
pub direction: i32,
|
||||
}
|
||||
|
||||
#[napi(js_name = "ThreeLineBreakBars")]
|
||||
pub struct ThreeLineBreakBarsNode {
|
||||
inner: wc::ThreeLineBreakBars,
|
||||
}
|
||||
#[napi]
|
||||
impl ThreeLineBreakBarsNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new(lines: u32) -> napi::Result<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::ThreeLineBreakBars::new(lines as usize).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(&mut self, close: f64) -> napi::Result<Vec<LineBreakBarValue>> {
|
||||
let candle = wc::Candle::new(close, close, close, close, 1.0, 0).map_err(map_err)?;
|
||||
Ok(self
|
||||
.inner
|
||||
.update(candle)
|
||||
.into_iter()
|
||||
.map(|b| LineBreakBarValue {
|
||||
open: b.open,
|
||||
close: b.close,
|
||||
direction: i32::from(b.direction),
|
||||
})
|
||||
.collect())
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(&mut self, close: Vec<f64>) -> napi::Result<Vec<LineBreakBarValue>> {
|
||||
let mut out = Vec::new();
|
||||
for price in close {
|
||||
let candle = wc::Candle::new(price, price, price, price, 1.0, 0).map_err(map_err)?;
|
||||
for b in self.inner.update(candle) {
|
||||
out.push(LineBreakBarValue {
|
||||
open: b.open,
|
||||
close: b.close,
|
||||
direction: i32::from(b.direction),
|
||||
});
|
||||
}
|
||||
}
|
||||
Ok(out)
|
||||
}
|
||||
#[napi]
|
||||
pub fn lines(&self) -> u32 {
|
||||
self.inner.lines() as u32
|
||||
}
|
||||
#[napi]
|
||||
pub fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
}
|
||||
|
||||
#[napi(js_name = "Alpha")]
|
||||
pub struct AlphaNode {
|
||||
inner: wc::Alpha,
|
||||
|
||||
Reference in New Issue
Block a user