meridianalgo-js/dist/volume.d.ts

Advanced algorithmic trading library for Node.js & TypeScript with 100+ technical indicators, pattern recognition, and risk management tools.

/**
 * Volume-based Technical Indicators
 *
 * This module provides volume-based technical analysis indicators including
 * VWAP, Volume Profile, Money Flow Index, and other volume-related metrics.
 *
 * @fileoverview Volume indicators for technical analysis
 * @author MeridianAlgo
 * @version 1.0.0
 */
/**
 * Volume Weighted Average Price (VWAP) calculation
 *
 * VWAP is a trading benchmark that gives the average price a security has traded
 * at throughout the day, based on both volume and price. It is important because
 * it provides traders with insight into both the trend and value of a security.
 *
 * @param high - Array of high prices
 * @param low - Array of low prices
 * @param close - Array of closing prices
 * @param volume - Array of volume values
 * @param period - Number of periods for calculation (optional, calculates for entire dataset if not provided)
 * @returns Array of VWAP values
 *
 * @example
 * ```typescript
 * const high = [100, 101, 102, 103, 104];
 * const low = [99, 100, 101, 102, 103];
 * const close = [99.5, 100.5, 101.5, 102.5, 103.5];
 * const volume = [1000, 1200, 1100, 1300, 1400];
 * const vwap = VolumeIndicators.vwap(high, low, close, volume);
 * ```
 */
export declare function vwap(high: number[], low: number[], close: number[], volume: number[], period?: number): number[];
/**
 * Volume Weighted Moving Average (VWMA)
 *
 * VWMA is similar to VWAP but calculated over a specific period rather than
 * cumulatively. It gives more weight to periods with higher volume.
 *
 * @param prices - Array of price data
 * @param volume - Array of volume values
 * @param period - Number of periods for calculation
 * @returns Array of VWMA values
 */
export declare function vwma(prices: number[], volume: number[], period: number): number[];
/**
 * Money Flow Index (MFI)
 *
 * The Money Flow Index is a momentum oscillator that uses both price and volume
 * to identify overbought or oversold conditions. It ranges from 0 to 100.
 *
 * @param high - Array of high prices
 * @param low - Array of low prices
 * @param close - Array of closing prices
 * @param volume - Array of volume values
 * @param period - Number of periods for calculation (default: 14)
 * @returns Array of MFI values
 */
export declare function mfi(high: number[], low: number[], close: number[], volume: number[], period?: number): number[];
/**
 * Chaikin Money Flow (CMF)
 *
 * CMF measures the amount of money flow volume over a specific period.
 * It oscillates around zero and can be used to identify buying and selling pressure.
 *
 * @param high - Array of high prices
 * @param low - Array of low prices
 * @param close - Array of closing prices
 * @param volume - Array of volume values
 * @param period - Number of periods for calculation (default: 20)
 * @returns Array of CMF values
 */
export declare function cmf(high: number[], low: number[], close: number[], volume: number[], period?: number): number[];
/**
 * Volume Price Trend (VPT)
 *
 * VPT is a cumulative indicator that uses volume and price to determine
 * the strength of a price trend.
 *
 * @param close - Array of closing prices
 * @param volume - Array of volume values
 * @returns Array of VPT values
 */
export declare function vpt(close: number[], volume: number[]): number[];
/**
 * Negative Volume Index (NVI)
 *
 * NVI tracks price changes only on days when volume decreases from the previous day.
 * It's used to identify bull markets and can be compared with PVI.
 *
 * @param close - Array of closing prices
 * @param volume - Array of volume values
 * @returns Array of NVI values
 */
export declare function nvi(close: number[], volume: number[]): number[];
/**
 * Positive Volume Index (PVI)
 *
 * PVI tracks price changes only on days when volume increases from the previous day.
 * It's used to identify bull markets and can be compared with NVI.
 *
 * @param close - Array of closing prices
 * @param volume - Array of volume values
 * @returns Array of PVI values
 */
export declare function pvi(close: number[], volume: number[]): number[];
/**
 * Ease of Movement (EMV)
 *
 * EMV measures the relationship between volume and price change. It shows how much
 * volume is required to move prices.
 *
 * @param high - Array of high prices
 * @param low - Array of low prices
 * @param volume - Array of volume values
 * @param period - Number of periods for smoothing (default: 14)
 * @returns Array of EMV values
 */
export declare function emv(high: number[], low: number[], volume: number[], period?: number): number[];
/**
 * Volume Oscillator
 *
 * The Volume Oscillator shows the relationship between two volume moving averages.
 * It helps identify volume trends and potential reversals.
 *
 * @param volume - Array of volume values
 * @param shortPeriod - Short period for moving average (default: 5)
 * @param longPeriod - Long period for moving average (default: 10)
 * @returns Array of volume oscillator values
 */
export declare function volumeOscillator(volume: number[], shortPeriod?: number, longPeriod?: number): number[];
/**
 * Collection of volume-based technical indicators
 */
export declare const VolumeIndicators: {
    vwap: typeof vwap;
    vwma: typeof vwma;
    mfi: typeof mfi;
    cmf: typeof cmf;
    vpt: typeof vpt;
    nvi: typeof nvi;
    pvi: typeof pvi;
    emv: typeof emv;
    volumeOscillator: typeof volumeOscillator;
};
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