/**
* Volume Delta Analysis
* calculateCumulativeVolumeDelta function
*/
/**
* Calculate Cumulative Volume Delta (CVD)
* CVD measures cumulative difference between buyer and seller market orders
*/
export function calculateCumulativeVolumeDelta(historicalData, currentPrice) {
if (!historicalData || historicalData.length < 20 || !currentPrice || currentPrice <= 0) {
return null;
}
let cvdBuyer = 0; // Cumulative buy volume
let cvdSeller = 0; // Cumulative sell volume
const cvdHistory = []; // Track CVD over time for trend analysis
// Estimate buy/sell volume from each candle
// If close > open = bullish candle = more buy volume
// If close < open = bearish candle = more sell volume
for (let i = 0; i < historicalData.length; i++) {
const candle = historicalData[i];
const open = candle.open;
const close = candle.close;
const high = candle.high;
const low = candle.low;
const volume = candle.volume || 0;
if (volume <= 0 || open <= 0)
continue;
// Estimate buy vs sell volume based on candle direction and body size
const bodySize = Math.abs(close - open);
const totalRange = high - low;
if (totalRange > 0) {
// Bullish candle: close > open
if (close > open) {
// More volume attributed to buyers
const buyRatio = bodySize / totalRange;
const buyVolume = volume * (0.5 + buyRatio * 0.5); // 50-100% buy volume
const sellVolume = volume - buyVolume;
cvdBuyer += buyVolume;
cvdSeller += sellVolume;
}
else if (close < open) {
// Bearish candle: close < open
// More volume attributed to sellers
const sellRatio = bodySize / totalRange;
const sellVolume = volume * (0.5 + sellRatio * 0.5); // 50-100% sell volume
const buyVolume = volume - sellVolume;
cvdBuyer += buyVolume;
cvdSeller += sellVolume;
}
else {
// Doji: equal buy/sell volume
cvdBuyer += volume * 0.5;
cvdSeller += volume * 0.5;
}
}
else {
// No range: equal distribution
cvdBuyer += volume * 0.5;
cvdSeller += volume * 0.5;
}
// Track CVD history for trend analysis
const cvdDelta = cvdBuyer - cvdSeller;
cvdHistory.push({
timestamp: candle.time || Date.now(),
cvdBuyer: cvdBuyer,
cvdSeller: cvdSeller,
cvdDelta: cvdDelta
});
}
// Calculate CVD delta
const cvdDelta = cvdBuyer - cvdSeller;
// Determine CVD trend (rising = bullish, falling = bearish)
let cvdTrend = 'neutral';
if (cvdHistory.length >= 10) {
const recentCVD = cvdHistory.slice(-10);
const olderCVD = cvdHistory.length >= 20 ? cvdHistory.slice(-20, -10) : cvdHistory.slice(0, 10);
const recentAvg = recentCVD.reduce((sum, v) => sum + v.cvdDelta, 0) / recentCVD.length;
const olderAvg = olderCVD.reduce((sum, v) => sum + v.cvdDelta, 0) / olderCVD.length;
if (recentAvg > olderAvg * 1.1) {
cvdTrend = 'rising'; // Bullish: buyers more aggressive
}
else if (recentAvg < olderAvg * 0.9) {
cvdTrend = 'falling'; // Bearish: sellers more aggressive
}
}
// Detect divergence: price vs CVD
// Bullish divergence: price down but CVD up = hidden buying pressure
// Bearish divergence: price up but CVD down = hidden selling pressure
let divergence = 'none';
if (cvdHistory.length >= 20 && historicalData.length >= 20) {
const recentPrices = historicalData.slice(-10).map(d => d.close);
const olderPrices = historicalData.slice(-20, -10).map(d => d.close);
const recentPriceAvg = recentPrices.reduce((sum, p) => sum + p, 0) / recentPrices.length;
const olderPriceAvg = olderPrices.reduce((sum, p) => sum + p, 0) / olderPrices.length;
// CRITICAL FIX: Check for division by zero - olderPriceAvg can be 0
const priceChange = olderPriceAvg > 0 ? (recentPriceAvg - olderPriceAvg) / olderPriceAvg : 0;
const recentCVD = cvdHistory.slice(-10);
const olderCVD = cvdHistory.slice(-20, -10);
const recentCVDAvg = recentCVD.reduce((sum, v) => sum + v.cvdDelta, 0) / recentCVD.length;
const olderCVDAvg = olderCVD.reduce((sum, v) => sum + v.cvdDelta, 0) / olderCVD.length;
// CRITICAL FIX: Check for division by zero - olderCVDAvg can be 0
const cvdChange = Math.abs(olderCVDAvg) > 0 ? (recentCVDAvg - olderCVDAvg) / Math.abs(olderCVDAvg) : 0;
// Bullish divergence: price falling but CVD rising
if (priceChange < -0.02 && cvdChange > 0.1) {
divergence = 'bullish';
}
// Bearish divergence: price rising but CVD falling
else if (priceChange > 0.02 && cvdChange < -0.1) {
divergence = 'bearish';
}
}
// Calculate strength (0-100)
// Based on absolute CVD delta and trend consistency
const totalVolume = cvdBuyer + cvdSeller;
const strength = totalVolume > 0
? Math.min(100, Math.abs(cvdDelta) / totalVolume * 200) // Normalize to 0-100
: 0;
return {
cvdBuyer: cvdBuyer, // Cumulative buy volume
cvdSeller: cvdSeller, // Cumulative sell volume
cvdDelta: cvdDelta, // CVD Buyer - CVD Seller
cvdTrend: cvdTrend, // 'rising' | 'falling' | 'neutral'
divergence: divergence, // 'bullish' | 'bearish' | 'none'
strength: strength, // 0-100
cvdHistory: cvdHistory.slice(-50), // Last 50 data points for analysis
timestamp: Date.now()
};
}
