foorbar / bfx-hf-indicators

HF Indicators

This repo contains a collection of trading indicators implemented to support incremental updates, both from trade and candle data (depending on the indicator). All indicators provide the same set of base methods:

• reset() - clears indicator values
• update(value or candle) - updates the current indicator value with a different data point
• add(value or candle) - adds a new data point/value to the indicator
• l() - returns the number of available indicator values
• v() - returns the current indicator value
• prev(n = 1) - returns the nth previous indicator value

Indicator Seeding

All indicators have a seed period which should be respected before valid data can be obtained, which can be read via i.getSeedPeriod()

Indicator Data Types

To query which type of data an indicator requires, getDataType() and getDataKey() are available. The data type can be either 'trade', 'candle', or '*' to signal that both are acceptable. For candle data, the data key will be either 'open', 'high', 'low', or 'close'.

Indicator Metadata

All indicators provide a set of meta values describing how they should be rendered on a chart. Specifically:

• Indicator.args - an array describing the indicator arguments, with objects of the form { label, default }
• Indicator.ui - an object describing how to render the indicator, details below
• Indicator.id - the internal unique identifier for the indicator
• Indicator.label - the short, uppercase label for the indicator
• Indicator.humanLabel - the complete descriptive indicator label

As an example, here is the metadata for bollinger bands:

BollingerBands.id = 'bbands'
BollingerBands.label = 'BB'
BollingerBands.humanLabel = 'Bollinger Bands'
BollingerBands.ui = {
  position: 'overlay',
  type: 'bbands'
}

BollingerBands.args = [{
  label: 'Period',
  default: 20,
}, {
  label: 'Multiplier',
  default: 2,
}]

Indicator Rendering

For each indicator, the Indicator.ui field contains an object describing how it should render on a chart, with position and type keys. Two positions are possible, 'external' to be shown below a chart and 'overlay' to be shown on top of candle data. Supported types are 'line', 'lines', 'bbands', 'rsi', and 'macd', with indicators of type 'lines' having an extra lines: [...] field naming the indicator values that should be plotted.

For indicators with multiple values on each data point, such as Envelope, the lines keys should correspond to the keys on the indicator data points:

Envelope.ui = {
  position: 'overlay',
  type: 'lines',
  lines: ['upper', 'basis', 'lower']
}

Example Usage

const { RSI } = require('bfx-hf-indicators')

const rsi = new RSI([14])

rsi.add(14000)
rsi.add(14010)
rsi.add(14025)
rsi.add(14035)
// ...
// 8 more data points
// ...
rsi.add(13998)
rsi.add(13952)

const v = rsi.v() // query current RSI(14) value

Available Indicators

• Absolute True Range
• Acceleration
• Accumulation/Distribution
• Accumulative Swing Index
• Arnoud Legoux Moving Average
• Aroon
• Average Directional Index
• Awesome Oscillator
• Balance of Power
• Bollinger Bands
• Chaikin Money Flow
• Chaikin Oscillator
• Chande Momentum Oscillator
• Coppock Curve
• Detrended Price Oscillator
• Donchian Channels
• Ease of Movement
• Envelope
• Exponential Moving Average
• EMA Volume
• Know Sure Thing
• MACD
• Mass Index
• Momentum
• Net Volume
• On Balance Volume
• Price Channel
• Price Oscillator
• Price Volume Trend
• RSI
• Rate of Change
• Relative Vigor Index
• Relative Volatility Index
• Simple Moving Average
• Standard Deviation
• Stochastic
• Stochastic RSI
• TRIX
• True Strength Index
• VWAP
• Volume Oscillator
• Volume Weighted Moving Average
• Weighted Moving Average
• Williams %R