fast-technical-indicators/lib/volume/volume-profile.js

High-performance technical indicators with zero dependencies - compatible with technicalindicators package

// Helper function to check if two ranges overlap (exactly like technicalindicators)
function priceFallsBetweenBarRange(low, high, low1, high1) {
    return (low <= low1 && high >= low1) || (low1 <= low && high1 >= low);
}
export function volumeprofile(input) {
    const { open, high, low, close, volume, noOfBars = 14 } = input;
    if (!open || !high || !low || !close || !volume ||
        open.length !== high.length ||
        high.length !== low.length ||
        low.length !== close.length ||
        close.length !== volume.length ||
        close.length === 0) {
        return [];
    }
    const result = [];
    // Find price range across all OHLC data (exactly like reference)
    const max = Math.max(...high, ...low, ...close, ...open);
    const min = Math.min(...high, ...low, ...close, ...open);
    const barRange = (max - min) / noOfBars;
    let lastEnd = min;
    // Create each volume profile bar
    for (let i = 0; i < noOfBars; i++) {
        const rangeStart = lastEnd;
        const rangeEnd = rangeStart + barRange;
        lastEnd = rangeEnd;
        let bullishVolume = 0;
        let bearishVolume = 0;
        let totalVolume = 0;
        // Check each price bar (candle) against this volume profile bar
        for (let priceBar = 0; priceBar < high.length; priceBar++) {
            const priceBarStart = low[priceBar];
            const priceBarEnd = high[priceBar];
            const priceBarOpen = open[priceBar];
            const priceBarClose = close[priceBar];
            const priceBarVolume = volume[priceBar];
            // Check if this candle's range overlaps with current volume profile bar range
            if (priceFallsBetweenBarRange(rangeStart, rangeEnd, priceBarStart, priceBarEnd)) {
                totalVolume = totalVolume + priceBarVolume;
                // Note: Reference uses open > close for bearish (opposite of what I initially thought)
                if (priceBarOpen > priceBarClose) {
                    bearishVolume = bearishVolume + priceBarVolume;
                }
                else {
                    bullishVolume = bullishVolume + priceBarVolume;
                }
            }
        }
        // Always include all bars (even with 0 volume) - but we'll filter them out later if needed
        result.push({
            rangeStart,
            rangeEnd,
            bullishVolume,
            bearishVolume,
            totalVolume
        });
    }
    return result;
}
export class VolumeProfile {
    constructor(input) {
        this.openValues = [];
        this.highValues = [];
        this.lowValues = [];
        this.closeValues = [];
        this.volumeValues = [];
        this.noOfBars = input.noOfBars || 14;
        if (input.open?.length && input.high?.length && input.low?.length &&
            input.close?.length && input.volume?.length) {
            const minLength = Math.min(input.open.length, input.high.length, input.low.length, input.close.length, input.volume.length);
            for (let i = 0; i < minLength; i++) {
                this.nextValue(input.open[i], input.high[i], input.low[i], input.close[i], input.volume[i]);
            }
        }
    }
    nextValue(open, high, low, close, volume) {
        this.openValues.push(open);
        this.highValues.push(high);
        this.lowValues.push(low);
        this.closeValues.push(close);
        this.volumeValues.push(volume);
    }
    getResult() {
        return volumeprofile({
            open: this.openValues,
            high: this.highValues,
            low: this.lowValues,
            close: this.closeValues,
            volume: this.volumeValues,
            noOfBars: this.noOfBars
        });
    }
}
VolumeProfile.calculate = volumeprofile;