import { NormalizedCandle, NormalizedMacdPoint, NormalizedRsiPoint } from "../providers/types.js";
function ema(values: number[], period: number): Array<number | null> {
if (values.length < period) {
return [];
}
const multiplier = 2 / (period + 1);
const output: Array<number | null> = new Array(values.length).fill(null);
let previous = values.slice(0, period).reduce((sum, item) => sum + item, 0) / period;
output[period - 1] = previous;
for (let i = period; i < values.length; i += 1) {
previous = (values[i] - previous) * multiplier + previous;
output[i] = previous;
}
return output;
}
export function calculateRsiFromCandles(
candles: NormalizedCandle[],
period = 14,
): NormalizedRsiPoint[] {
if (candles.length <= period) {
return [];
}
const closes = candles.map((candle) => candle.close);
const gains: number[] = [];
const losses: number[] = [];
for (let i = 1; i < closes.length; i += 1) {
const delta = closes[i] - closes[i - 1];
gains.push(Math.max(delta, 0));
losses.push(Math.max(-delta, 0));
}
let avgGain = gains.slice(0, period).reduce((sum, value) => sum + value, 0) / period;
let avgLoss = losses.slice(0, period).reduce((sum, value) => sum + value, 0) / period;
const points: NormalizedRsiPoint[] = [];
for (let i = period; i < gains.length; i += 1) {
avgGain = (avgGain * (period - 1) + gains[i]) / period;
avgLoss = (avgLoss * (period - 1) + losses[i]) / period;
const rs = avgLoss === 0 ? 100 : avgGain / avgLoss;
const rsi = avgLoss === 0 ? 100 : 100 - 100 / (1 + rs);
points.push({
timestamp: candles[i + 1].timestamp,
value: rsi,
});
}
return points;
}
export function calculateMacdFromCandles(
candles: NormalizedCandle[],
fastPeriod = 12,
slowPeriod = 26,
signalPeriod = 9,
): NormalizedMacdPoint[] {
if (candles.length < slowPeriod + signalPeriod) {
return [];
}
const closes = candles.map((candle) => candle.close);
const fast = ema(closes, fastPeriod);
const slow = ema(closes, slowPeriod);
const macdLine: Array<number | null> = closes.map((_, index) => {
if (fast[index] === null || slow[index] === null) {
return null;
}
return (fast[index] as number) - (slow[index] as number);
});
const cleanMacd = macdLine.filter((value): value is number => value !== null);
const signalRaw = ema(cleanMacd, signalPeriod);
if (!signalRaw.length) {
return [];
}
const output: NormalizedMacdPoint[] = [];
let signalCursor = 0;
for (let i = 0; i < macdLine.length; i += 1) {
const macd = macdLine[i];
if (macd === null) {
continue;
}
const signal = signalRaw[signalCursor];
signalCursor += 1;
if (signal === null || signal === undefined) {
continue;
}
output.push({
timestamp: candles[i].timestamp,
macd,
signal,
histogram: macd - signal,
});
}
return output;
}
