calcEma.mjs

import each from 'lodash-es/each.js'
import pickValue from './pickValue.mjs'
import caEma from './caEma.mjs'


/**
 * 計算各週期之指數移動平均EMA(Exponential Moving Average)
 *
 * 各週期len為該期涵蓋之K線根數(以4hr K線為基準，1day=6根)，資料筆數不足該期len時，該期vs為空陣列
 * 第1筆為種子值(取前len筆之算術平均SMA)，對應輸入之第len根，物件僅含{time,param}
 * 其後各筆依EMA公式(alpha=2/(len+1))遞推，逐根對齊至最後一根，物件另含{value,diff,ratio}
 * diff=EMA-現值，ratio=diff/現值(現值為0時ratio給0)
 *
 * Unit Test: {@link https://github.com/yuda-lyu/w-data-trade/blob/master/test/unit-calcEma.test.mjs Github}
 * @function
 * @param {Array} arr 輸入K線陣列，各元素需含time與計算所用之數值欄位
 * @param {String} key 輸入計算所用數值欄位名稱字串，例如'Close'
 * @param {Object} [opt={}] 輸入設定物件，預設{}
 * @param {Boolean} [opt.norm=false] 輸入是否將param改為EMA與現值之偏離比例(EMA-現值)/現值布林值，預設false
 * @returns {Promise} 回傳Promise，resolve為各期結果陣列，各元素為{period,len,vs}，vs內各元素為{time,param}(第1筆種子值僅含{time,param}，其後各筆另含{value,diff,ratio})
 * @example
 *
 * let arr = [
 *     { time: '2020-01-01T00:00:00', Open: 101, High: 101.5, Low: 100.5, Close: 101 },
 *     { time: '2020-01-01T04:00:00', Open: 101, High: 105.17, Low: 99.28, Close: 103.45 },
 *     { time: '2020-01-01T08:00:00', Open: 103.45, High: 108.74, Low: 101.35, Close: 106.64 },
 *     { time: '2020-01-01T12:00:00', Open: 106.64, High: 111.54, Low: 104.68, Close: 109.58 },
 *     { time: '2020-01-01T16:00:00', Open: 109.58, High: 112.76, Low: 108.18, Close: 111.37 },
 *     { time: '2020-01-01T20:00:00', Open: 111.37, High: 112.3, Low: 110.72, Close: 111.65 },
 * ]
 *
 * calcEma(arr, 'Close')
 *     .then((rs) => {
 *         console.log(rs[0].vs)
 *         // => [ { time: '2020-01-01T20:00:00', param: 107.28166666666665 } ]
 *     })
 *
 */
let calcEma = (() => {

    let kp = {
        '1day': 6, // 1 day = 6 * 4 hours
        '2day': 12, // 2 days = 12 * 4 hours
        '4day': 24, // 4 days = 24 * 4 hours
        '7day': 42, // 7 days = 42 * 4 hours
        '15day': 90, // 15 days = 90 * 4 hours
        '30day': 180, // 30 days = 180 * 4 hours
    }

    let caEmas = (vs, opt = {}) => {

        //rrs
        let rrs = []
        each(kp, (len, period) => {

            //caEma
            let rs = caEma(vs, len, opt)

            //push
            rrs.push({
                period,
                len,
                vs: rs,
            })

        })

        return rrs
    }

    let calcEma = async (arr, key, opt = {}) => {
        // arr = [
        //   {"time":"2020-01-01T00:00:00","Open":7195,"High":7225.62,"Low":7145.01,"Close":7173.32,"Volumn":4657.972543,"CloseTime":"2020-01-01T03:59:59","QuoteAssetVolume":33441599.81960844,"NumberOfTrades":46046,"TakerBuyBaseAssetVolume":2161.591103,"TakerBuyQuoteAssetVolume":15520451.66291961},
        //   {"time":"2020-01-01T04:00:00","Open":7173.75,"High":7208.41,"Low":7165.1,"Close":7195.23,"Volumn":2091.720176,"CloseTime":"2020-01-01T07:59:59","QuoteAssetVolume":15032938.06298061,"NumberOfTrades":29738,"TakerBuyBaseAssetVolume":1010.628114,"TakerBuyQuoteAssetVolume":7263338.98247078},
        //   {"time":"2020-01-01T08:00:00","Open":7195.24,"High":7245,"Low":7175.46,"Close":7225.01,"Volumn":2833.74918,"CloseTime":"2020-01-01T11:59:59","QuoteAssetVolume":20445895.8017956,"NumberOfTrades":32476,"TakerBuyBaseAssetVolume":1548.865619,"TakerBuyQuoteAssetVolume":11176594.41972043},
        //   {"time":"2020-01-01T12:00:00","Open":7225,"High":7236.27,"Low":7199.11,"Close":7209.83,"Volumn":2061.295051,"CloseTime":"2020-01-01T15:59:59","QuoteAssetVolume":14890182.27509305,"NumberOfTrades":29991,"TakerBuyBaseAssetVolume":1049.711236,"TakerBuyQuoteAssetVolume":7582850.37593562},
        //   ...
        // ]

        //pickValue
        let vs = pickValue(arr, key) //轉為 { time, value }

        //caEmas
        let rs = caEmas(vs, opt)

        return rs
    }

    return calcEma
})()


export default calcEma