import isNumber from 'lodash-es/isNumber.js'
import size from 'lodash-es/size.js'
import get from 'lodash-es/get.js'
import each from 'lodash-es/each.js'
import pickValue from './pickValue.mjs'
import caEma from './caEma.mjs'
/**
* 計算各週期之指數平滑異同移動平均線MACD(Moving Average Convergence Divergence)
*
* 各週期len為基準倍率(以4hr K線為基準)，實際採用快線期數fastPeriod=len*12、慢線期數slowPeriod=len*26、訊號線期數signalPeriod=len*9(即標準MACD(12,26,9)之等比放大)
* DIF(快線)為收盤價快線EMA減慢線EMA，DEM(慢線，即訊號線)為DIF之EMA，OSC(柱狀動能)為DIF減DEM
* 資料筆數n小於len或小於slowPeriod+signalPeriod-1時，該期vs為空陣列
* 各期第1筆對應輸入之第35*len-2根(即索引(slowPeriod-1)+(signalPeriod-1))，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-calcMacd.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，目前未實際使用(內部固定採用Close)
* @param {Object} [opt={}] 輸入設定物件，預設{}，目前未讀取任何鍵值(保留參數)
* @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,DIF,DEM,OSC}
* @example
*
* //收盤價1至34之等差序列，time自2020-01-01T00:00:00起每根間隔4小時
* let arr = []
* for (let i = 0; i < 34; i++) {
* let d = new Date(Date.UTC(2020, 0, 1) + i * 4 * 3600 * 1000)
* arr.push({ time: d.toISOString().slice(0, 19), Close: i + 1 })
* }
*
* calcMacd(arr, 'Close')
* .then((rs) => {
* let r = rs.find((v) => v.period === '4hr')
* console.log(r)
* // => {
* // period: '4hr',
* // len: 1,
* // vs: [ { time: '2020-01-06T12:00:00', DIF: 7, DEM: 7, OSC: 0 } ]
* // }
* //其餘各期(8hr,12hr,16hr,20hr,1day)因資料筆數未達門檻(35*len-2)，vs皆為[]
* })
*
*/
let calcMacd = (() => {
let kp = {
'4hr': 1,
'8hr': 2,
'12hr': 3,
'16hr': 4,
'20hr': 5,
'1day': 6, // 1 day = 6 * 4 hours, 若1day, 此時MACD的26根k線代表26日
}
let caMacd = (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'
//pickValue
let vs = pickValue(arr, kClose) //轉為 { time, value }
//params, base by standard MACD(12, 26, 9)
let fastPeriod = Math.floor(len * 12)
let slowPeriod = Math.floor(len * 26)
let signalPeriod = Math.floor(len * 9)
//check
if (n < slowPeriod + signalPeriod - 1) {
return []
}
//ensure
if (slowPeriod <= fastPeriod) slowPeriod = fastPeriod + 1
if (signalPeriod < 1) signalPeriod = 1
// console.log('fastPeriod', fastPeriod)
// console.log('slowPeriod', slowPeriod)
// console.log('signalPeriod', signalPeriod)
// console.log('n', n)
//Fast EMA
let emasFast = caEma(vs, fastPeriod, { norm: false })
// console.log('emasFast', last(emasFast), size(emasFast), n)
//Slow EMA
let emasSlow = caEma(vs, slowPeriod, { norm: false })
// console.log('emasSlow', last(emasSlow), size(emasSlow), n)
//firstFastIndex, firstSlowIndex
let firstFastIndex = (fastPeriod - 1)
let firstSlowIndex = (slowPeriod - 1)
//difs(Fast-Slow)
let difs = []
for (let i = slowPeriod - 1; i < n; i++) {
//t
let t = get(vs, `${i}.${kTime}`, null)
// console.log('t', t)
//f
let f = null
if (i >= firstFastIndex) {
f = get(emasFast, `${i - firstFastIndex}.param`, null)
}
// console.log('f', f)
//s
let s = null
if (i >= firstSlowIndex) {
s = get(emasSlow, `${i - firstSlowIndex}.param`, null)
}
// console.log('s', s)
//push
if (isNumber(f) && isNumber(s)) {
let v = f - s
difs.push({
time: t,
value: v,
})
}
else {
console.log('vs', vs)
console.log('i', i)
console.log('f', f)
console.log('s', s)
throw new Error(`invalid data`)
}
}
// console.log('difs', last(difs), size(difs), n)
//dems
let dems = caEma(difs, signalPeriod, { norm: false })
// console.log('dems', last(dems), size(dems), n)
//firstDifIndex, firstDemIndex
let firstDifIndex = slowPeriod - 1
let firstDemIndex = (slowPeriod - 1) + (signalPeriod - 1)
//rs
let rs = []
for (let i = 0; i < n; i++) {
//t
let t = get(vs, `${i}.time`, null)
// console.log('t', t)
//dif
let dif = null
if (i >= firstDifIndex) {
dif = get(difs, `${i - firstDifIndex}.value`, null)
}
// console.log('dif', dif)
//dem
let dem = null
if (i >= firstDemIndex) {
dem = get(dems, `${i - firstDemIndex}.param`, null)
}
// console.log('dmf', dem)
//osc
let osc = null // Histogram (Bar)
if (isNumber(dif) && isNumber(dem)) {
osc = dif - dem
}
// console.log('osc', osc)
//DIF: 快線, 趨勢有沒有開始動
//DEM(DEA): 慢線, 趨勢有沒有被確認
//OSC(MACD柱狀): 動能, 兩者差距有多大
if (isNumber(dif) && isNumber(dem) && isNumber(osc)) {
rs.push({
time: t,
DIF: dif,
DEM: dem,
OSC: osc,
})
}
}
// console.log('rs', last(rs), size(rs), n)
return rs
}
let caMacds = (vs, opt = {}) => {
//rrs
let rrs = []
each(kp, (len, period) => {
//caMacd
let rs = caMacd(vs, len, opt)
//push
rrs.push({
period,
len,
vs: rs,
})
})
return rrs
}
let calcMacd = 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 }
//caMacds
let rs = caMacds(arr, opt)
return rs
}
return calcMacd
})()
export default calcMacd