calcMa.mjs

import isNumber from 'lodash-es/isNumber.js'
import get from 'lodash-es/get.js'
import size from 'lodash-es/size.js'
import slice from 'lodash-es/slice.js'
import sumBy from 'lodash-es/sumBy.js'
import each from 'lodash-es/each.js'
import pickValue from './pickValue.mjs'


/**
 * 計算各週期之移動平均MA(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
 * 各期第1筆對應輸入之第len根，其後逐根對齊至最後一根
 *
 * Unit Test: {@link https://github.com/yuda-lyu/w-data-trade/blob/master/test/unit-calcMa.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改為均線與現值之偏離比例(MA-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}
 * @example
 *
 * let arr = [
 *     { time: '2020-01-01T00:00:00', Close: 7173.32 },
 *     { time: '2020-01-01T04:00:00', Close: 7195.23 },
 *     { time: '2020-01-01T08:00:00', Close: 7225.01 },
 *     { time: '2020-01-01T12:00:00', Close: 7209.83 },
 *     { time: '2020-01-01T16:00:00', Close: 7188.77 },
 *     { time: '2020-01-01T20:00:00', Close: 7200.85 },
 * ]
 *
 * calcMa(arr, 'Close')
 *     .then((rs) => {
 *         console.log(rs[0])
 *         // => {
 *         //   period: '1day',
 *         //   len: 6,
 *         //   vs: [ { time: '2020-01-01T20:00:00', param: 7198.835 } ]
 *         // }
 *     })
 *
 */
let calcMa = (() => {

    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 caMa = (vs, len, opt = {}) => {

        //check
        if (!isNumber(len)) {
            throw new Error(`len is not a number`)
        }

        //norm
        let norm = get(opt, 'norm', false)

        //n
        let n = size(vs)

        //check
        if (n < len) {
            return []
        }

        //rs
        let rs = []
        for (let i = len - 1; i < n; i++) {

            //indStart
            let indStart = i - len + 1
            indStart = Math.max(indStart, 0)

            //indEnd
            let indEnd = i + 1
            indEnd = Math.min(indEnd, n)

            //prs
            let prs = slice(vs, indStart, indEnd)
            // console.log('prs', prs)

            //sum
            let sum = sumBy(prs, 'value')
            // console.log('sum', sum)

            //ma
            let ma = sum / len

            //diffMa
            let diffMa = ma - vs[i].value //ma-現在

            //ratioDiffMa
            let ratioDiffMa = 0
            if (vs[i].value !== 0) {
                ratioDiffMa = diffMa / vs[i].value
            }

            //param
            let param = ma
            if (norm) {
                param = ratioDiffMa
            }

            //r
            let r = {
                time: vs[i].time,
                param,
            }

            //push
            rs.push(r)

        }

        return rs
    }

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

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

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

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

        })

        return rrs
    }

    let calcMa = 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 }

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

        return rs
    }

    return calcMa
})()


export default calcMa