支撐壓力線計算-使用 Volume Profile 找過去一日一分鐘最大量區-10跳間隔

sup_pres_calculator.js

const okex_api = require('../../libs/okex-api')
const constant = require('../../libs/constants')
const request = require('request')
const numgrid = 100
var marketinfo = {}

const fetch_market_info = async () => {
    let _mkt = await okex_api.fetch_perp_symbols(mode='all')
    _mkt.forEach((inst) => {
        marketinfo[inst.instrument_id] = inst
    })
}

// 返回最小跳動單位 * n 
const snap_min_tick_size_mult = (inst1,price,numTick) =>{
    let tick_size = parseFloat(marketinfo[inst1].tick_size)
    let tick_decimal = 0
    let ticke_decimal_spl = marketinfo[inst1].tick_size.toString().split('.')
    if(ticke_decimal_spl.length>1){
        tick_decimal = ticke_decimal_spl[1].length
    }
    let mult = parseInt(price/tick_size)
    return (mult*tick_size).toFixed(tick_decimal*numTick)
}

// price grouping
// 目前統一到 marketinfo 最小單位 * 10(10跳)
const snap_value_by_yd_grid = (symb,ydc,curval) => {
    let single_sec = ydc / numgrid
    let numsec_curval = parseInt(curval / single_sec)
    return snap_min_tick_size(symb,numsec_curval*single_sec)
}


/**
 * Volume Profile 過去一日一分鐘最大量區
*/
const fetch_candle_1M = async (symbol,since) => {
    return new Promise((resolve,reject) => {
        let requrl = `${okex_api.baseurl}/api/v5/market/history-candles?instId=${symbol}&bar=1m&after=${since}&limit=1440`
        if(!(Number.isInteger(since))){
            resolve(`end`)
        }else{
            request(requrl ,{ json: true }, async (err, res, body) => {
                if (err) { return console.log(err) }
                if(res.statusCode === 200){
                    resolve(res.body.data)
                }
            })
        }
    })
}

const collect_history_candles_1m = async (symbol) => {
    return new Promise(async (resolve, reject)=>{
        const day_1m_count = 1440
        let collector = new Promise(async (resolve, reject)=>{
            let now = Date.now()
            let lastbartime = now

            let allKLines = [];
            (function loopIt() {
            setTimeout(async()=>{
                    
                    let kldata = await fetch_candle_1M(symbol,lastbartime-1)
                    if(allKLines.length > day_1m_count){
                        resolve(allKLines)
                    }else{
                        allKLines = allKLines.concat(kldata)
                        let _lasttime = parseInt(kldata[kldata.length-1])
                        lastbartime = _lasttime
                        loopIt()
                    }
                }, 1000)
            })()
        })
        collector.then((klines_1min_day) => {
            let price_vol = {}
            let numtick = 2
            klines_1min_day.forEach((kline) => {
                let vol =  parseFloat(kline[5])
                let price = ( parseFloat(kline[2]) + parseFloat(kline[3]) )*0.5
                price = snap_min_tick_size_mult(symbol,price,numtick)
                if(!(price in price_vol)){
                    price_vol[price] = {price,volume:vol}
                }else{
                    price_vol[price][`volume`] += vol
                }
            })
            klines_1min_day_sorted = Object.values(price_vol).sort(function(a,b){return b.volume - a.volume})
            
            let gridlines = [
                parseFloat(klines_1min_day_sorted[0].price) ,
                parseFloat(klines_1min_day_sorted[1].price),
                parseFloat(klines_1min_day_sorted[2].price),
                parseFloat(klines_1min_day_sorted[3].price),
                parseFloat(klines_1min_day_sorted[4].price),
            ]

            resolve(gridlines)
        })
    })
}

const fetch_volume_profile_by_symbol = async (symbol) => {
    await fetch_market_info()
    return await collect_history_candles_1m(symbol)
}


/**
 *  3分鐘k 21 ma
*/
const fetch_candle_3M = async (symbol,since,limit) => {
    return new Promise((resolve,reject) => {
        let requrl = `${okex_api.baseurl}/api/v5/market/history-candles?instId=${symbol}&bar=3m&after=${since}&limit=${limit}`
        if(!(Number.isInteger(since))){
            resolve(`end`)
        }else{
            request(requrl ,{ json: true }, async (err, res, body) => {
                if (err) { return console.log(err) }
                if(res.statusCode === 200){
                    resolve(res.body.data)
                }
            })
        }
    })
}
const getMean = (array) => {
    const n = array.length
    return array.reduce((a, b) => a + b) / n
}
const getStandardDeviation = (array) => {
    const n = array.length
    const mean = array.reduce((a, b) => a + b) / n
    return Math.sqrt(array.map(x => Math.pow(x - mean, 2)).reduce((a, b) => a + b) / n)
}

const fetch_boll_3m = async (symbol) => {
    const ma_count = 20
    const numtick = 2
    return new Promise(async (resolve, reject)=>{
        let now = Date.now()
        let kldata = await fetch_candle_3M(symbol,now,ma_count)
        let closearr = kldata.map((kl) => parseFloat(kl[4]))
        let std = getStandardDeviation(closearr)
        let mean = getMean(closearr)
        upband = snap_min_tick_size_mult(symbol,mean+std*2,numtick)
        lowband = snap_min_tick_size_mult(symbol,mean-std*2,numtick)
        resolve( [
            parseFloat(upband),
            parseFloat(lowband),
        ] )
    })
}



/**
 *  關卡價關鍵價
*/
const fetch_grids = async (symb) => {
    let grids = await fetch_volume_profile_by_symbol(symb)
    let bo_3m_20 = await fetch_boll_3m(symb)
    grids = grids.concat(bo_3m_20)
    grids_sorted = grids.sort((a,b) => {return (a-b)})
    return grids_sorted
}

module.exports = {
    fetch_volume_profile_by_symbol,
    fetch_boll_3m,
    fetch_grids,
    
}