Published
Edited
Apr 23, 2020
getData = (data) => {
const o = data.map(v => +v.open)
const h = data.map(v => +v.high)
const c = data.map(v => +v.close)
const l = data.map(v => +v.low)
const v = data.map(v => +v.quoteAssetVolume)
const t = data.map(v => +v.trades)
return {o, h, c, l, v, t}
}
zscore = (data, n=6) => {
n = n - 1
const windows = data.map((v, i) => {
if(i > n){
return data.slice(i - n, i + 1)
}
return 0
})
return windows.map((v, i) => {
if(v){
let mean = d3.mean(v)
let std = d3.deviation(v)
// return data[i]
return (data[i] - mean) / std || 0
}
return 0
})
}
scaleWindows = (arr) => {
const windows = arr.map((v, i) => {
return sigmoid(zscore(arr.slice(i - 5, i + 1), 5).slice(-1)[0]) || 0
})
return windows.slice(6)
}
function average(arr){
return arr.reduce((p, n) => p + n, 0) / arr.length
}
function standardDeviation(values){
var avg = average(values);
var squareDiffs = values.map(function(value){
var diff = value - avg;
var sqrDiff = diff * diff;
return sqrDiff;
});
var avgSquareDiff = average(squareDiffs);
var stdDev = Math.sqrt(avgSquareDiff);
return stdDev;
}
test1 = {
const data = getData(btcRawData)
const close = data.c
const high = data.h
const low = data.l
const vol = data.v
const cum = (array) => array.reduce((a, x, i) => [...a, a.length > 0 ? x + a[i-1] : x], [])
const cumulative = array => {
return array.map((n, i, arr) => {
let j = i - 24 + 1
if(j > 0){
return arr.slice(j, i + 1).reduce((a, x, i) => [...a, a.length > 0 ? x + a[i-1] : x], []).slice(-1)[0]
}
return n
})
}
const VP = close.map((_, i) => {
const avgP = (high[i] + low[i] + close[i]) / 3
return (avgP * vol[i])
})
const cumVol = cumulative(vol)
const cumP = cumulative(VP)
const VWAP = cumP.map((c, i) => c / cumVol[i])
const VWAP_O = VWAP.map((n, i, arr) => {
let j = i - 24 + 1
if(j > 0){
let window = arr.slice(j, i + 1)
let mean = average(window)
let std = standardDeviation(window)
return [(VWAP[i] - mean) / std || 0, VWAP[i], close[i]]
}
return 0
})
return VWAP_O
}
Purpose-built for displays of data
Observable is your go-to platform for exploring data and creating expressive data visualizations. Use reactive JavaScript notebooks for prototyping and a collaborative canvas for visual data exploration and dashboard creation.
