turingtrader.js/dist/data/index.js

A backtesting engine for Node.js

"use strict";

Object.defineProperty(exports, "__esModule", {
  value: true
});
exports.loadAsset = void 0;

var _indicators = require("../indicators");

var _yahoo = require("./yahoo");

//==============================================================================
// Name:        data/index
// Project:     TuringTrader.js
// Description: data source wrapper.
// History:     FUB, 2021iv30, created
//==============================================================================
var loadAsset = function loadAsset(sim, name, customLoaderFn) {
  var id = "loadAsset(".concat(name, ",").concat(sim.startDate.getTime(), ",").concat(sim.endDate.getTime(), ")");

  var loadData = function loadData() {
    var dataLoaderFn = customLoaderFn !== null && customLoaderFn !== void 0 ? customLoaderFn : _yahoo.loadAssetFromYahoo;
    var data = dataLoaderFn(sim, name).then(function (rawData) {
      // simulator timestamps
      var st = sim.tradingCalendar.tradingDays; // setup resampled data

      var data = {
        meta: rawData.meta,
        t: st,
        o: [],
        h: [],
        l: [],
        c: [],
        v: []
      }; // BUGBUG: this code will fail, if there are no data
      // within the requested range

      var ri = -1; // ri is the index of the last *consumed* bar

      st.forEach(function (t) {
        // advance raw data to catch up with simulator
        var ri0 = ri;

        while (ri < rawData.t.length - 1 && rawData.t[ri + 1] <= t) {
          ri++;
        }

        var consumedData = ri0 !== ri;

        if (t < rawData.t[0]) {
          // simulator timestamp before start of raw data
          // => fill OHLCV w/ first open
          data.o.push(rawData.o[0]);
          data.h.push(rawData.o[0]);
          data.l.push(rawData.o[0]);
          data.c.push(rawData.o[0]);
          data.v.push(0.0);
        } else if (consumedData === true) {
          // consumed data
          // => fill OHLCV w/ resampled bar
          data.o.push(rawData.o[ri]);
          data.h.push(rawData.h[ri]);
          data.l.push(rawData.l[ri]);
          data.c.push(rawData.c[ri]);
          data.v.push(rawData.v[ri]);
          if (ri === 0) data.meta.firstT = t;
          if (ri === rawData.t.length - 1) data.meta.lastT = t;
        } else {
          // consumed no data
          // => fill OHLCV w/ previous close
          data.o.push(rawData.c[ri]);
          data.h.push(rawData.c[ri]);
          data.l.push(rawData.c[ri]);
          data.c.push(rawData.c[ri]);
          data.v.push(0.0);
        }
      });
      return data;
    });
    return data;
  };

  return sim.cache(id, function () {
    return (0, _indicators.IndicatorsBar)(sim, id, loadData());
  });
}; //==============================================================================
// end of file


exports.loadAsset = loadAsset;