series-processing/src/study-builder/true-range.js

Time-series processing for forex, market analysis, including MA, EMA,...

/**
 * True range
 * tr = max(high - low, high - lowPrev, low - closePrev)
 *
 * <output series> = max(<high series>, <low series>, <close series>)
 */
export const truerange = (outputKey, inputKey1, inputKey2, inputKey3) => (lastPoint, dataStream) => {
  const previousPoint = dataStream.getPrevious();

  if (typeof lastPoint === 'undefined' || lastPoint === null
    || typeof lastPoint[inputKey1] === 'undefined' || typeof lastPoint[inputKey2] === 'undefined'
    || typeof previousPoint === 'undefined' || previousPoint === null
    || typeof previousPoint[inputKey2] === 'undefined' || typeof previousPoint[inputKey3] === 'undefined') {
    return null;
  }

  const t = Math.max(
    lastPoint[inputKey1] - lastPoint[inputKey2],
    lastPoint[inputKey1] - previousPoint[inputKey2],
    lastPoint[inputKey2] - previousPoint[inputKey3]
  );

  return { [outputKey] : t };
};