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Technical indicators for cryptocurrencies, stocks and forex. To work with historical and real price data. One of the most efficient Javascript library implementations. The library has such indicators as: Relative Strength Index (RSI), Moving Average C / D (MACD), Average Directional Index (ADX), Stochastic Oscillator, Bollinger Bands, Average Tr…

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Streaming Technical Indicators

High performance for you trading application

The main feature of these indicators is their continuous operation, which means that you can use them both for real trading and for teaching trading strategies on history, since this is a passage from the beginning to the end of the stream of candles. This approach allows you to reduce the number of necessary calculations by tens of times and is the most optimal in terms of performance.

Features

  • High performance
  • Easy to use with candles streaming
  • Minimal state for calculation
  • Moment value (possible to calculate every tick)
  • Typescript
  • Unit Tested / Cross SDK Validated

Available Indicators

Candles

  • Heiken Ashi.

Utils

  • Standard Deviation (SD).
  • Correlation.
  • Circullar buffer. This is simple streaming array for pop and push (performance optimized).
  • Sampler. This is sample creator, for indicators like SMA, for easy getting SMA(SMA(SMA(SMA())) some sampled x-times values.
  • UniLevel. Dynamic levels for single number value 0 balanced (values between -N and +N).

Next value (indicator.nextValue)

This method allows you to get the current value of the indicator, usually performed according to the data of a closed candle. The method call affects all subsequent calculations of the indicator readings.

Moment value (indicator.momentValue)

The method of calculating the instantaneous value of the indicator allows you to obtain information about the indicator readings in real time, without affecting future readings. This allows you to work with the indicator inside the candle.

Download

Releases are available under Node Package Manager (npm):

npm install @debut/indicators

Example with Simple Moving Average

import { SMA } from '@debut/indicators';
const sma = new SMA(4); // Create SMA with 4 period

// SMA workflow
//=> [ '2.50', '3.50', '4.50', '5.50', '6.50', '7.50' ]
//=>   │       │       │       │       │       └─(6+7+8+9)/4
//=>   │       │       │       │       └─(5+6+7+8)/4
//=>   │       │       │       └─(4+5+6+7)/4
//=>   │       │       └─(3+4+5+6)/4
//=>   │       └─(2+3+4+5)/4
//=>   └─(1+2+3+4)/4

sma.nextValue(1); // undefined
sma.nextValue(2); // undefined
sma.nextValue(3); // undefined
sma.nextValue(4); // 2.50
sma.nextValue(5); // 3.50
sma.nextValue(6); // 4.50
sma.nextValue(7); // 5.50
sma.momentValue(8); // 6.50
sma.nextValue(8); // 6.50
sma.momentValue(9); // 7.50
sma.nextValue(9); // 7.50

Extra custom indicators

  • MOVE (direction move with power no less than p)
  • WAVE (directional move with bearish or bullish candle series and power p)

Benchmarks

Apple M1 Pro, Node v16.14.0. Tested on dateset with 100k elements.

Indicator name @debut/indicators (ops/sec) technicalindicators (ops/sec) indicatorts (ops/sec)
AwesomeOscillator 318 23 158
ADX 358 42 x
ATR 613 136 95
Bollinger Bands 347 9 219
CCI 151 12 158
DC 474 x 74
PSAR 1,453 278 666
EMA 1,720 452 1,537
MACD 1,417 90 467
ROC 3,625 64 x
RSI 1,239 38 315
SMA 678 65 645
WEMA 1,462 455 x
WMA 287 41 x
Stochastic 340 25 67

Benchmarks results is autogenerated by https://github.com/coin-unknown/indicators-benchmark

About

Technical indicators for cryptocurrencies, stocks and forex. To work with historical and real price data. One of the most efficient Javascript library implementations. The library has such indicators as: Relative Strength Index (RSI), Moving Average C / D (MACD), Average Directional Index (ADX), Stochastic Oscillator, Bollinger Bands, Average Tr…

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