Streaming Technical Indicators

High performance for you trading application

The main feature of these indicators is their continuous operation, which means that you can use them both for real trading and for teaching trading strategies on history, since this is a passage from the beginning to the end of the stream of candles. This approach allows you to reduce the number of necessary calculations by tens of times and is the most optimal in terms of performance.

Features

High performance
Easy to use with candles streaming
Minimal state for calculation
Moment value (possible to calculate every tick)
Typescript
Unit Tested / Cross SDK Validated

Available Indicators

Accelerator Oscillator (AO).
Average True Range (ATR)
Awesome Oscillator (AC).
Average Directional Index (ADX).
Bollinger Bands (BB).
Chaikin Oscillator
Commodity Channel Index (CCI).
Connor's RSI (CRSI)
Donchian channels (DC).
Exponential Moving Average (EMA).
Exponential Weighted Moving Average (EWMA).
Linearly weighted moving average (LWMA).
Moving Average Convergence Divergence (MACD).
Pivot Point Levels (classic / woodie /camarilla / fibonacci).
Rate of Change (ROC).
Relative Strength Index (RSI).
Simple Moving Average (SMA).
Smoothed Moving Average (SMMA).
SuperTrend MTF (ST MTF).
Stochastic Oscillator (KD)
Wilder's Smoothed Moving Average (WEMA)
Welles Wilder's Smoothing Average (WWS)
Weighted moving average (WMA)
Parabolic Stop And Reverse (PSAR)
Volume Profile

Candles

Heiken Ashi.

Utils

Standard Deviation (SD).
Correlation.
Circullar buffer. This is simple streaming array for pop and push (performance optimized).
Sampler. This is sample creator, for indicators like SMA, for easy getting SMA(SMA(SMA(SMA())) some sampled x-times values.
UniLevel. Dynamic levels for single number value 0 balanced (values between -N and +N).

Next value (indicator.nextValue)

This method allows you to get the current value of the indicator, usually performed according to the data of a closed candle. The method call affects all subsequent calculations of the indicator readings.

Moment value (indicator.momentValue)

The method of calculating the instantaneous value of the indicator allows you to obtain information about the indicator readings in real time, without affecting future readings. This allows you to work with the indicator inside the candle.

Download

Releases are available under Node Package Manager (npm):

npm install @debut/indicators

Example with Simple Moving Average

import { SMA } from '@debut/indicators';
const sma = new SMA(4); // Create SMA with 4 period

// SMA workflow
//=> [ '2.50', '3.50', '4.50', '5.50', '6.50', '7.50' ]
//=>   │       │       │       │       │       └─(6+7+8+9)/4
//=>   │       │       │       │       └─(5+6+7+8)/4
//=>   │       │       │       └─(4+5+6+7)/4
//=>   │       │       └─(3+4+5+6)/4
//=>   │       └─(2+3+4+5)/4
//=>   └─(1+2+3+4)/4

sma.nextValue(1); // undefined
sma.nextValue(2); // undefined
sma.nextValue(3); // undefined
sma.nextValue(4); // 2.50
sma.nextValue(5); // 3.50
sma.nextValue(6); // 4.50
sma.nextValue(7); // 5.50
sma.momentValue(8); // 6.50
sma.nextValue(8); // 6.50
sma.momentValue(9); // 7.50
sma.nextValue(9); // 7.50

Extra custom indicators

MOVE (direction move with power no less than p)
WAVE (directional move with bearish or bullish candle series and power p)

Benchmarks

Indicator	@debut/indicators (ops/sec)	technicalindicators (ops/sec)	trading-signals (ops/sec)	ta.js (ops/sec)
AwesomeOscillator	458,936	13,517	732	x
ATR	720,049	85,709	1,400	x
Bollinger Bands	273,562	6,588	62.93	x
CCI	235,552	9,268	x	x
EMA	2,451,966	322,287	4.90	740,489
MACD	1,146,681	48,323	2.10	x
ROC	2,256,411	49,253	617	x
RSI	1,207,454	21,272	148	x
SMA	2,034,006	45,479	1,506	1,670
Stochastic	189,514	20,914	197	x
WEMA	937,491	296,787	x	x
PSAR	1,084,123	166,158	x	x
ADX	356,637	26,581	x	x
WMA	97,807	22,617	x	x

jffernandez/Indicators