ATR.js

ATR.js

var Heap = require("collections/heap");

var Indicator = function(windowLength, len_out=20) {
	this.input = 'candle';
	this.len_in = windowLength;
	this.candle_list = [];
	this.result = 0;
    this.heap_count = 0;
    this.price_heap = new Heap([]);
    this.len_out = len_out;
}

function get_real_price(candle_now, candle_last){
	return (candle_last.close>candle_now.high ? candle_last.close : candle_now.high) -
							(candle_last.close<candle_now.low ? candle_last.close : candle_now.low);
}

Indicator.prototype.update = function(candle) {
    this.candle_list.unshift(candle);
    if(this.candle_list.length == 1){
        return candle.high - candle.low;
    }
    this.price_heap.push(this.candle_list[0].high);
    this.price_heap.push(this.candle_list[0].low);
    this.price_heap.push(this.candle_list[1].close);
    this.heap_count += 1;
	if(this.heap_count > this.len_in){
        this.price_heap.delete(this.candle_list[this.heap_count-1].high);
        this.price_heap.delete(this.candle_list[this.heap_count-1].low);
        this.price_heap.delete(this.candle_list[this.heap_count].close);
        this.heap_count -= 1;
    }
    this.candle_list[0].real_price = this.price_heap.max() - this.price_heap.min();
    this.max = this.price_heap.max();
    this.min = this.price_heap.min();
    var sum = 0;
    var c = 0;
    for(var i=0;i<this.len_out;i++){
        if(this.len_in*i >= this.candle_list.length){
            break;
        }
        sum += this.candle_list[this.len_in*i].real_price;
        c += 1;
    }
    this.result = sum / c;
}

module.exports = Indicator;