indicator-auto-avwap-et

simplified js port of electrifiedtrading's Auto AVWAP (Anchored-VWAP)

for now, assumes k_mode == EMA and useHiLow == true

includes some additional fields for signals

not affiliated with/supported by electrifiedtrading, experimental, use at your own risk

users of version 0.0.0111: note the slightly different interface as of version 0.0.2

Installation

npm i indicator-auto-avwap-et

Usage

var avwap = require('indicator-auto-avwap-et').autoAVWAP;
//autoAVWAP(candles, useHighLow=true /*else use hlc3*/, lengthRSI=64, lengthStoch=48, smoothK=4, smoothD=4, lowerBand=20, upperBand=80, lowerReversal=20, upperReversal=80)

avwap(candles); //works in-place. adds avwap field to candles.

console.log(candles.slice(-1)[0]);

// {
//     date: '2022-12-02T20:00:00.000Z',
//     open: 146.9572,
//     high: 147.96,
//     low: 146.91,
//     close: 147.96,
//     bid: 146.95,
//     ask: 146.96,
//     volume: 4031053,
//     nSrcCandles: 17,
//     avwap: {
//             hiAVWAP: 148.0051308002347,
//             midAVWAP: 146.24017138078906,
//             loAVWAP: 144.47521196134343,
//             hiAVWAP_ub: 148.8876105099575,
//             loAVWAP_lb: 143.59273225162062,
//             hiAVWAP_next: 147.8450881893403,
//             loAVWAP_next: 146.07056426189445
//             slopeLo: 0.045448547481584,       //slope of lo line, dollars per period
//             slopeMid: 0.02261289206151673,
//             slopeHi: -0.0002227633585505373,  //slope of hi line, dollars per period
//             buysideIsBullish: true, //true if slopeLo positive, and price above lo
//             sellsideIsBearish: false //true if slopeHi negative, and price below hi
//             longSignal: false, //candle.avwap.buysideIsBullish && !candle.avwap.sellsideIsBearish
//             shortSignal: false // !candle.avwap.buysideIsBullish && candle.avwap.sellsideIsBearish
//             longSignalMid: true, //candle.avwap.slopeMid > 0 && candle.close > candle.avwap.midAVWAP
//             shortSignalMid: false // candle.avwap.slopeMid < 0 && candle.close < candle.avwap.midAVWAP
//     }

// }


//the rest of the code is just for charting...

var {drawChartForCandles,saveChartForCandles} = require('ohlc-chart-simple');

candles = candles.map(function(candle,index){
    candle.indicators = {
        "hiAVWAP": candle.avwap.hiAVWAP,
        "hiAVWAP_color": [128,0,0],
        "hiAVWAP_thickness": candle.avwap.sellsideIsBearish ? (candle.avwap.shortSignal ? 3 : 1) : 0,
        "midAVWAP": candle.avwap.midAVWAP,
        "midAVWAP_color": [128,128,128],//candle.avwap.longSignalMid ? [0,128,0] : (candle.avwap.shortSignalMid ? [128,0,0] : [128,128,128]),
        "midAVWAP_thickness": 0,//(candle.avwap.longSignalMid || candle.avwap.shortSignalMid) ? 1 : 0,
        "loAVWAP": candle.avwap.loAVWAP,
        "loAVWAP_color": [0,128,0],
        "loAVWAP_thickness": candle.avwap.buysideIsBullish ? (candle.avwap.longSignal ? 3 : 1) : 0,

        //upper, lower bands are like 25% padding on the full ribbon

        "hiAVWAPub": candle.avwap.hiAVWAP_ub,
        "hiAVWAPub_color": [200,200,200],//candle.avwap.longSignalMid ? [0,128,0] : (candle.avwap.shortSignalMid ? [128,0,0] : [128,128,128]),
        "hiAVWAPub_thickness": 0,//(candle.avwap.longSignalMid || candle.avwap.shortSignalMid) ? 1 : 0,

        "loAVWAPlb": candle.avwap.loAVWAP_lb,
        "loAVWAPlb_color": [200,200,200],//candle.avwap.longSignalMid ? [0,128,0] : (candle.avwap.shortSignalMid ? [128,0,0] : [128,128,128]),
        "loAVWAPlb_thickness": 0,//(candle.avwap.longSignalMid || candle.avwap.shortSignalMid) ? 1 : 0,

        // "hiAVWAP_next": candle.avwap.hiAVWAP_next,
        // "hiAVWAP_next_color": [0,128,0],
        // "hiAVWAP_next_thickness": 0,
        // "loAVWAP_next": candle.avwap.loAVWAP_next,
        // "loAVWAP_next_color": [128,0,0],
        // "loAVWAP_next_thickness": 0
    }
    return candle;
});

var config = {
    w: Math.floor(1024/2),
    h: Math.floor(700/2),
    profileBucketsTotal: 64,
    profileBucketsWidth: 16,
    volumeBarsHeight: 64,
    bgColor: [255,255,255],

    //alternative to volume profile: arbitrary kernel density histogram
    kdePrices: candles.map(c=>[c.low, 1]), //[value, weight]
    // kdeBandwidthDollars: 0.01,
    kdeBandwidthPercent: 1.00,
    kdeIsGaussian: true, //false == kernel is triangular
    kdeColor: [0,0,255],

    skipDrawOhlcBars: false,
    skipDrawIndicators: false,
    skipDrawLegend: false,
    expandLegendText: false,
    expandTitle: false,
    expandPrice: false,
    skipDrawDate: true,
    skipDrawPrice: false,
    skipDrawPriceBars: false,
    title: "AAPL",
    filename: "./candlestick-chart.png",
}

saveChartForCandles(candles, config);