import isNumber from 'lodash-es/isNumber.js'
import size from 'lodash-es/size.js'
import each from 'lodash-es/each.js'
/**
* 計算各週期之Vortex Indicator(VI+/VI-，Etienne Botes與Douglas Siepman原始定義)
*
* 各週期len為該期涵蓋之K線根數(以4hr K線為基準，1day=6根)，直接讀取輸入arr內High、Low、Close欄位計算，資料筆數不足len+1根時，該期vs為空陣列
* 各期第1筆對應輸入之第len根(因每根計算VM+/VM-/TR皆需前一根資料，故自輸入第1根起算，累積滿len根視窗後才有第1筆輸出)，其後逐根對齊至最後一根
* sum(TR)為0(視窗內無波動)時，VI+與VI-皆直接給0以避免除以0
*
* Unit Test: {@link https://github.com/yuda-lyu/w-data-trade/blob/master/test/unit-calcVortex.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 保留參數(與同系列calc函式介面一致)，目前函式內部未使用
* @param {Object} [opt={}] 輸入設定物件，預設{}，目前函式內部未使用
* @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,VIplus,VIminus,VIdiff,VIsum}
* @example
*
* let arr = [
* { time: '2020-01-01T00:00:00', High: 105, Low: 95, Close: 100 },
* { time: '2020-01-01T04:00:00', High: 110, Low: 100, Close: 108 },
* { time: '2020-01-01T08:00:00', High: 112, Low: 104, Close: 106 },
* { time: '2020-01-01T12:00:00', High: 109, Low: 101, Close: 103 },
* ]
*
* calcVortex(arr, 'Close')
* .then((rs) => {
* let r = rs.find((v) => v.period === '12hr')
* console.log(r)
* // => {
* // period: '12hr',
* // len: 3,
* // vs: [
* // {
* // time: '2020-01-01T12:00:00',
* // VIplus: 1.2307692307692308,
* // VIminus: 0.8461538461538461,
* // VIdiff: 0.3846153846153847,
* // VIsum: 2.076923076923077
* // }
* // ]
* // }
* })
*
*/
let calcVortex = (() => {
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 caVortex = (arr, len, opt = {}) => {
//check
if (!isNumber(len)) {
throw new Error(`len is not a number`)
}
//n
let n = size(arr)
//check
if (n < len + 1) {
return []
}
let kTime = 'time'
let kHigh = 'High'
let kLow = 'Low'
let kClose = 'Close'
//用running sum維持 period 內 sum(VM+), sum(VM-), sum(TR)
let sumVp = 0 //sum(VM+)
let sumVm = 0 //sum(VM-)
let sumTr = 0 //sum(TR)
//暫存每根的 vm+/vm-/tr 以便視窗滑動時扣掉最舊那根, 取用索引i代表「第i根K所計算的量」(需要i-1)
let vps = new Array(n).fill(0)
let vms = new Array(n).fill(0)
let trs = new Array(n).fill(0)
//rs
let rs = []
for (let i = 1; i < n; i++) {
let h = arr[i][kHigh]
let l = arr[i][kLow]
let cPrev = arr[i - 1][kClose]
let hPrev = arr[i - 1][kHigh]
let lPrev = arr[i - 1][kLow]
//check
if (!isNumber(h)) {
throw new Error(`invalid h[${h}]`)
}
if (!isNumber(l)) {
throw new Error(`invalid l[${l}]`)
}
if (!isNumber(cPrev)) {
throw new Error(`invalid cPrev[${cPrev}]`)
}
if (!isNumber(hPrev)) {
throw new Error(`invalid hPrev[${hPrev}]`)
}
if (!isNumber(lPrev)) {
throw new Error(`invalid lPrev[${lPrev}]`)
}
//VM+ / VM-
let vp = Math.abs(h - lPrev)
let vm = Math.abs(l - hPrev)
//TR
let tr1 = Math.abs(h - l)
let tr2 = Math.abs(h - cPrev)
let tr3 = Math.abs(l - cPrev)
let tr = Math.max(tr1, tr2, tr3)
vps[i] = vp
vms[i] = vm
trs[i] = tr
//加入running sum
sumVp += vp
sumVm += vm
sumTr += tr
//維護視窗大小, 視窗涵蓋的指標是(i-len+1)至i, 所以移動視窗後皆要扣掉已超出視窗的前1個也就是(i-len)位置的值, 且因為計算量從i=1才開始, 故使用idxDrop>=1
let idxDrop = i - len
if (idxDrop >= 1) {
sumVp -= vps[idxDrop]
sumVm -= vms[idxDrop]
sumTr -= trs[idxDrop]
}
//check, 視窗未滿len, 需要累積到i>=len才有len根量
if (i < len) {
continue
}
//VI+ / VI-
let VIplus = null
let VIminus = null
if (sumTr === 0) {
//極端情況，避免除以0
VIplus = 0
VIminus = 0
}
else {
VIplus = sumVp / sumTr
VIminus = sumVm / sumTr
}
//push
rs.push({
time: arr[i][kTime],
VIplus,
VIminus,
VIdiff: VIplus - VIminus,
VIsum: VIplus + VIminus,
})
}
// console.log('rs', rs)
return rs
}
let caVortexs = (arr, opt = {}) => {
//rrs
let rrs = []
each(kp, (len, period) => {
//caVortex
let rs = caVortex(arr, len, opt)
//push
rrs.push({
period,
len,
vs: rs,
})
// console.log('rrs', rrs)
})
return rrs
}
let calcVortex = 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 }
//caVortexs
let rs = caVortexs(arr, opt)
return rs
}
return calcVortex
})()
export default calcVortex