refactor: move indicators to libs (#22)

@libs/index.ts

@@ -1,3 +1,20 @@
-export * from "@hooks";
 export * from "./constants/products";
+export * from "./indicators/ATR";
+export * from "./indicators/BOLL";
+export * from "./indicators/CCI";
+export * from "./indicators/EMA";
+export * from "./indicators/HP-Filter";
+export * from "./indicators/HV";
+export * from "./indicators/KDJ";
+export * from "./indicators/MACD";
+export * from "./indicators/MAX";
+export * from "./indicators/MIN";
+export * from "./indicators/PROD";
+export * from "./indicators/RANGE";
+export * from "./indicators/RANK";
+export * from "./indicators/RSI";
+export * from "./indicators/SAR";
+export * from "./indicators/SMA";
+export * from "./indicators/STD";
+export * from "./indicators/SUM";
 export * from "./utils";

@hooks/indicators/ATR.ts → @libs/indicators/ATR.ts

@@ -28,5 +28,5 @@ export const useATR = (
     ATR.tags.display = "line";
     ATR.tags.chart = "new";
   }, []);
-  return ATR;
+  return { ATR, TR };
 };

@libs/indicators/ZIGZAG.ts

@@ -0,0 +1,122 @@
+import { useMAX, useMIN } from "@libs";
+
+const LOW_TYPE = 0;
+const HIGH_TYPE = 1;
+
+export const useZigZag = (high: Series, low: Series, period: number) => {
+  const lastHighPeak = useSeries("lastHighPeak", high, { display: "line" });
+  // add second paramenter {"type": "Line", "panel": "main"} to plot in the graph, e.g.
+  //   const lastHighPeak = useOutputSeries("lastHighPeak", {"type": "Line", "panel": "main"});
+  const lastLowPeak = useSeries("lastLowPeak", high);
+  const zigzagValue = useSeries("zigzagValue", high);
+
+  const currentZigzagValue = useSeries("currentZigzagValue", high);
+  const lastZigzagValue = useSeries("lastZigzagValue", high);
+  const secondLastZigzagValue = useSeries("secondLastZigzagValue", high);
+
+  const sourceMax = useMAX(high, period);
+  const sourceMin = useMIN(low, period);
+
+  const lastHigh = useRef(0);
+  const lastLow = useRef(0);
+  const lastHighIdx = useRef(0);
+  const lastLowIdx = useRef(0);
+  const zigzagValueList = useRef<number[]>([]);
+
+  useEffect(() => {
+    for (
+      let i = Math.max(0, lastLowPeak.length) - 1;
+      i < high.length - 1;
+      i++
+    ) {
+      if (i <= 0) {
+        lastHighPeak[0] = high[0];
+        lastLowPeak[0] = low[0];
+        lastHighIdx.current = 0;
+        lastLowIdx.current = 0;
+        lastHigh.current = high[0];
+        lastLow.current = low[0];
+        zigzagValue[0] = NaN;
+        zigzagValueList.current = [];
+      } else {
+        lastLowPeak[i] = lastLowPeak[i - 1];
+        lastHighPeak[i] = lastHighPeak[i - 1];
+        zigzagValue[i] = NaN;
+
+        if (isPeriodHighest(i)) {
+          if (
+            getLastPeakType() == LOW_TYPE ||
+            (getLastPeakType() == HIGH_TYPE && high[i] > lastHigh.current)
+          ) {
+            lastHighPeak[i] = high[i];
+
+            zigzagValue[i] = high[i];
+            if (getLastPeakType() == HIGH_TYPE) {
+              zigzagValue[lastHighIdx.current] = NaN;
+              zigzagValueList.current.pop();
+            }
+
+            zigzagValueList.current.push(high[i]);
+            lastHighIdx.current = i;
+            lastHigh.current = high[i];
+          }
+        } else if (isPeriodLowest(i)) {
+          if (
+            getLastPeakType() == HIGH_TYPE ||
+            (getLastPeakType() == LOW_TYPE && low[i] < lastLow.current)
+          ) {
+            lastLowPeak[i] = low[i];
+
+            zigzagValue[i] = low[i];
+            if (getLastPeakType() == LOW_TYPE) {
+              zigzagValue[lastLowIdx.current] = NaN;
+              zigzagValueList.current.pop();
+            }
+
+            zigzagValueList.current.push(low[i]);
+            lastLowIdx.current = i;
+            lastLow.current = low[i];
+          }
+        }
+      }
+
+      const zigzagLength = zigzagValueList.current.length;
+      if (zigzagLength == 0) {
+        currentZigzagValue[i] = NaN;
+        lastZigzagValue[i] = NaN;
+        secondLastZigzagValue[i] = NaN;
+      } else if (zigzagLength == 1) {
+        currentZigzagValue[i] = zigzagValueList.current[zigzagLength - 1];
+        lastZigzagValue[i] = NaN;
+        secondLastZigzagValue[i] = NaN;
+      } else if (zigzagLength == 2) {
+        currentZigzagValue[i] = zigzagValueList.current[zigzagLength - 1];
+        lastZigzagValue[i] = zigzagValueList.current[zigzagLength - 2];
+        secondLastZigzagValue[i] = NaN;
+      } else {
+        currentZigzagValue[i] = zigzagValueList.current[zigzagLength - 1];
+        lastZigzagValue[i] = zigzagValueList.current[zigzagLength - 2];
+        secondLastZigzagValue[i] = zigzagValueList.current[zigzagLength - 3];
+      }
+    }
+    if (high.length >= 1) {
+      lastHighPeak[high.length - 1] = NaN;
+      lastLowPeak[high.length - 1] = NaN;
+      currentZigzagValue[high.length - 1] = NaN;
+      lastZigzagValue[high.length - 1] = NaN;
+      secondLastZigzagValue[high.length - 1] = NaN;
+    }
+  });
+
+  function getLastPeakType() {
+    return lastHighIdx.current >= lastLowIdx.current ? HIGH_TYPE : LOW_TYPE;
+  }
+
+  function isPeriodHighest(curIndex: number) {
+    return high[curIndex] == sourceMax[curIndex];
+  }
+
+  function isPeriodLowest(curIndex: number) {
+    return low[curIndex] == sourceMin[curIndex];
+  }
+};

@models/super-trend.ts

@@ -11,7 +11,7 @@ import { useATR, useSeriesMap } from "@libs";
 export default () => {
   const { product_id, close, open, high, low } = useParamOHLC("SomeKey");
   const A = useParamNumber("A", 2);
-  const atr = useATR(high, low, close, 14);
+  const { ATR: atr } = useATR(high, low, close, 14);
 
   const idx = close.length - 2;
   const pL = useSinglePosition(product_id, PositionVariant.LONG);

@models/turtle-long.ts

@@ -12,7 +12,7 @@ export default () => {
   const LL = useMIN(low, N);
 
   const pL = useSinglePosition(product_id, PositionVariant.LONG);
-  const atr = useATR(high, low, close, 14);
+  const { ATR: atr } = useATR(high, low, close, 14);
   const price_break = useRef(0);
   useEffect(() => {
     const idx = close.length - 2;