import isNumber from 'lodash-es/isNumber.js'
import size from 'lodash-es/size.js'
import last from 'lodash-es/last.js'
import each from 'lodash-es/each.js'
/**
* 計算各週期之KDJ隨機指標(Stochastic Oscillator KDJ)
*
* 各週期len即RSV回看期數(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
* K/D以EMA平滑遞推(kAlpha=dAlpha=1/3)，K與D初始值(seed)皆為50
* RSV=(Close-Ln)/(Hn-Ln)*100，Hn/Ln為視窗內(最近len根)之最高High/最低Low，Hn===Ln時RSV取中性值50(避免除以0)
* 輸出自輸入索引len-1起(視窗未滿之根不輸出)，其後逐根對齊至最後一根
* opt目前未被讀取(本函式尚未提供可調整之設定項)
*
* Unit Test: {@link https://github.com/yuda-lyu/w-data-trade/blob/master/test/unit-calcKdj.test.mjs Github}
* @function
* @param {Array} arr 輸入K線陣列，各元素需含time、High、Low、Close欄位
* @param {String} key 輸入計算所用數值欄位名稱字串，例如'Close'(僅供介面一致性，本函式實際計算取用High/Low/Close)
* @param {Object} [opt={}] 輸入設定物件，預設{}
* @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,K,D,J,KminusD}
* @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 },
* ]
*
* calcKdj(arr, 'Close')
* .then((rs) => {
* console.log(rs[0].vs)
* // => [
* // {
* // time: '2020-01-01T20:00:00',
* // K: 63.92185954500495,
* // D: 54.640619848334985,
* // J: 82.48433893834486,
* // KminusD: 9.281239696669964
* // }
* // ]
* })
*
*/
let calcKdj = (() => {
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 caKdj = (arr, len, opt = {}) => {
//check
if (!isNumber(len)) {
throw new Error(`len is not a number`)
}
//n
let n = size(arr)
//check
if (n < len) {
return []
}
let kTime = 'time'
let kHigh = 'High'
let kLow = 'Low'
let kClose = 'Close'
let period = len //RSV回看期數
let kAlpha = 1 / 3 //K平滑係數(EMA)
let dAlpha = 1 / 3 //D平滑係數(EMA)
let seed = 50 //K與D初始值
let K = seed
let D = seed
let J = null
//雙端佇列維持period內最高與最低值索引
let hiDeque = [] //存放可能的最高價之索引, 單調遞增索引, 為遞減
let loDeque = [] //存放可能的最低價之索引, 單調遞增索引, 為遞增
//rs
let rs = []
for (let i = 0; i < n; i++) {
//h, l, c
let h = arr[i][kHigh]
let l = arr[i][kLow]
let c = arr[i][kClose]
//check
if (!isNumber(h)) {
throw new Error(`invalid h[${h}]`)
}
if (!isNumber(l)) {
throw new Error(`invalid l[${l}]`)
}
if (!isNumber(c)) {
throw new Error(`invalid c[${c}]`)
}
//維護最高價deque, 偵測尾端High值, 若比當前h小則移除, 再把i推入
while (size(hiDeque) > 0 && arr[last(hiDeque)][kHigh] <= h) {
hiDeque.pop() //從尾端移除
}
hiDeque.push(i)
//若頭部索引超出視窗起始指標(i-period+1), 則須移除
while (size(hiDeque) > 0 && hiDeque[0] < (i - period + 1)) {
hiDeque.shift() //從頭端移除
}
//維護最低價deque, 偵測尾端Low值, 若比當前l大則移除, 再把i推入
while (size(loDeque) > 0 && arr[last(loDeque)][kLow] >= l) {
loDeque.pop() //從尾端移除
}
loDeque.push(i)
//若頭部索引超出視窗起始指標(i-period+1), 則須移除
while (size(loDeque) > 0 && loDeque[0] < (i - period + 1)) {
loDeque.shift() //從頭端移除
}
//check, 視窗未滿足period
if (i < period - 1) {
// if (fillHead) add(i, null, null)
continue
}
//視窗內最高/最低
let Hn = arr[hiDeque[0]][kHigh]
let Ln = arr[loDeque[0]][kLow]
//RSV
let RSV = null
if (Hn === Ln) {
//避免除以0 , 視窗內價格不變取中性50
RSV = 50
}
else {
RSV = ((c - Ln) / (Hn - Ln)) * 100
}
//平滑計算K,D
K = kAlpha * RSV + (1 - kAlpha) * K
D = dAlpha * K + (1 - dAlpha) * D
J = 3 * K - 2 * D
//push
rs.push({
time: arr[i][kTime],
K,
D,
J,
KminusD: K - D,
})
}
// console.log('rs', rs)
return rs
}
let caKdjs = (arr, opt = {}) => {
//rrs
let rrs = []
each(kp, (len, period) => {
//caKdj
let rs = caKdj(arr, len, opt)
//push
rrs.push({
period,
len,
vs: rs,
})
// console.log('rrs', rrs)
})
return rrs
}
let calcKdj = 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 }
//caKdjs
let rs = caKdjs(arr, opt)
return rs
}
return calcKdj
})()
export default calcKdj