import isNumber from 'lodash-es/isNumber.js'
import get from 'lodash-es/get.js'
import size from 'lodash-es/size.js'
import each from 'lodash-es/each.js'
/**
* 計算各週期之資金流量指標MFI(Money Flow Index)
*
* 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n小於len+1時，該期vs為空陣列
* 典型價tp=(High+Low+Close)/3，原始資金流rawMF=tp*Volumn；tp較前一根上升時計入正向資金流posMF，下降時計入負向資金流negMF，持平則兩者皆不計入
* MFI=100-100/(1+視窗內sumPosMF/sumNegMF之比值)；sumPosMF與sumNegMF皆小於等於opt.eps時給50(完全平盤)，僅sumNegMF小於等於opt.eps時給100(全部正向)，僅sumPosMF小於等於opt.eps時給0(全部負向)
* MFIratio=sumPosMF/(sumPosMF+sumNegMF)，兩者總和小於等於opt.eps時給0.5
* MFIdiv為MFI與len根前之MFI取正負號比較，與Close之len根漲跌方向相同給1，相反給-1，任一方向為0或無歷史值則給0
* 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-calcMfi.test.mjs Github}
* @function
* @param {Array} arr 輸入K線陣列，各元素需含time、High、Low、Close、Volumn等欄位
* @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High、Low、Close、Volumn)
* @param {Object} [opt={}] 輸入設定物件，預設{}
* @param {Number} [opt.eps=1e-12] 輸入視為0之資金流門檻值，預設1e-12
* @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,MFI,MFIratio,MFIdiv}
* @example
*
* let arr = [
* { time: '2020-01-01T00:00:00', High: 10, Low: 10, Close: 10, Volumn: 100 },
* { time: '2020-01-01T04:00:00', High: 12, Low: 12, Close: 12, Volumn: 100 },
* { time: '2020-01-01T08:00:00', High: 12, Low: 12, Close: 12, Volumn: 100 },
* { time: '2020-01-01T12:00:00', High: 9, Low: 9, Close: 9, Volumn: 100 },
* ]
*
* calcMfi(arr, 'Close')
* .then((rs) => {
* console.log(rs[0])
* // => {
* // period: '12hr',
* // len: 3,
* // vs: [ { time: '2020-01-01T12:00:00', MFI: 57.14285714285714, MFIratio: 0.5714285714285714, MFIdiv: 0 } ]
* // }
* })
*
*/
let calcMfi = (() => {
let kp = {
'12hr': 3,
'16hr': 4,
'20hr': 5,
'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
}
let caMfi = (arr, len, opt = {}) => {
//check
if (!isNumber(len)) {
throw new Error(`len is not a number`)
}
//eps
let eps = get(opt, 'eps', 1e-12)
//n
let n = size(arr)
//check
if (n < len + 1) {
return []
}
let kTime = 'time'
let kHigh = 'High'
let kLow = 'Low'
let kClose = 'Close'
let kVolumn = 'Volumn'
//計算每根的TP與Raw Money Flow, 並分類正負向(從i=1開始, 因需比較TP方向)
let posMFs = new Array(n).fill(0)
let negMFs = new Array(n).fill(0)
let tps = new Array(n).fill(0)
for (let i = 0; i < n; i++) {
let h = arr[i][kHigh]
let l = arr[i][kLow]
let c = arr[i][kClose]
let vol = arr[i][kVolumn]
//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[${c}]`)
}
if (!isNumber(vol)) {
throw new Error(`invalid vol[${vol}]`)
}
//Typical Price
let tp = (h + l + c) / 3
tps[i] = tp
//Raw Money Flow
if (i >= 1) {
let rawMF = tp * vol
if (tp > tps[i - 1]) {
posMFs[i] = rawMF
}
else if (tp < tps[i - 1]) {
negMFs[i] = rawMF
}
//tp === tps[i-1] → 不計入任何一方
}
}
//用running sum維持視窗內的正負向資金流
let sumPosMF = 0
let sumNegMF = 0
//暫存MFI值用於計算MFIdiv
let mfiVals = []
//rs
let rs = []
for (let i = 1; i < n; i++) {
//加入running sum
sumPosMF += posMFs[i]
sumNegMF += negMFs[i]
//維護視窗大小, 扣掉超出視窗的最舊值
let idxDrop = i - len
if (idxDrop >= 1) {
sumPosMF -= posMFs[idxDrop]
sumNegMF -= negMFs[idxDrop]
}
//check, 視窗未滿len
if (i < len) {
mfiVals.push(null)
continue
}
//MFI = 100 - 100 / (1 + Money Flow Ratio)
let MFI
if (sumNegMF <= eps && sumPosMF <= eps) {
MFI = 50 //完全平盤
}
else if (sumNegMF <= eps) {
MFI = 100 //全部正向
}
else if (sumPosMF <= eps) {
MFI = 0 //全部負向
}
else {
let mfRatio = sumPosMF / sumNegMF
MFI = 100 - (100 / (1 + mfRatio))
}
//MFIdiv: MFI方向 vs 價格方向
let MFIdiv = 0
let mfiIdx = mfiVals.length - len
if (mfiIdx >= 0 && mfiVals[mfiIdx] !== null) {
let mfiDir = Math.sign(MFI - mfiVals[mfiIdx])
let priceDir = Math.sign(arr[i][kClose] - arr[i - len][kClose])
if (mfiDir !== 0 && priceDir !== 0) {
MFIdiv = mfiDir === priceDir ? 1 : -1
}
}
mfiVals.push(MFI)
//MFIratio: 正向資金流佔比 (0~1)
let totalMF = sumPosMF + sumNegMF
let MFIratio = totalMF > eps ? sumPosMF / totalMF : 0.5
//push
rs.push({
time: arr[i][kTime],
MFI,
MFIratio,
MFIdiv,
})
}
// console.log('rs', rs)
return rs
}
let caMfis = (arr, opt = {}) => {
//rrs
let rrs = []
each(kp, (len, period) => {
//caMfi
let rs = caMfi(arr, len, opt)
//push
rrs.push({
period,
len,
vs: rs,
})
// console.log('rrs', rrs)
})
return rrs
}
let calcMfi = 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,...},
// {"time":"2020-01-01T04:00:00","Open":7173.75,"High":7208.41,"Low":7165.1,"Close":7195.23,"Volumn":2091.720176,...},
// ...
// ]
//caMfis
let rs = caMfis(arr, opt)
return rs
}
return calcMfi
})()
export default calcMfi