add kvo logic

and sample code to interact with yahoo

Cargo.toml

@@ -13,9 +13,11 @@ categories = ["finance"]
 itertools = "0.13.0"
 
 [dev-dependencies]
+chrono = "0.4.38"
 criterion = "0.5.1"
 serde = { version = "1.0.203", features = ["derive"] }
-serde_json = "1.0.117"
+serde_json = "1.0.120"
+ureq = { version = "2.9.7", features = ["json"] }
 
 [[bench]]
 name = "traquer"

examples/yahoo.rs

@@ -0,0 +1,60 @@
+use chrono::{NaiveDateTime, Utc};
+use serde::{Deserialize, Serialize};
+
+use traquer::*;
+
+#[derive(Deserialize, Serialize, Debug)]
+struct SecStats {
+    high: Vec<f64>,
+    low: Vec<f64>,
+    open: Vec<f64>,
+    close: Vec<f64>,
+    volume: Vec<f64>,
+}
+
+fn get_prices(ticker: &str) -> SecStats {
+    const USER_AGENT: &str = "Mozilla/5.0 (Macintosh; Intel Mac OS X 10_10_1) \
+    AppleWebKit/537.36 (KHTML, like Gecko) \
+    Chrome/39.0.2171.95 Safari/537.36";
+
+    let res = ureq::get(&format!(
+        "https://query2.finance.yahoo.com/v8/finance/chart/{ticker}"
+    ))
+    .set("User-Agent", USER_AGENT)
+    .query_pairs(vec![
+        ("interval", "1d"),
+        ("events", "capitalGain|div|split"),
+        (
+            "period1",
+            &NaiveDateTime::parse_from_str("2023-01-01 00:00:00", "%Y-%m-%d %H:%M:%S")
+                .unwrap()
+                .and_utc()
+                .timestamp()
+                .to_string(),
+        ),
+        ("period2", &Utc::now().timestamp().to_string()),
+    ])
+    .call()
+    .unwrap();
+
+    serde_json::from_value::<SecStats>(
+        res.into_json::<serde_json::Value>().unwrap()["chart"]["result"][0]["indicators"]["quote"]
+            [0]
+        .clone(),
+    )
+    .unwrap()
+}
+
+fn main() {
+    let stats = get_prices("SPY");
+    dbg!(volume::kvo(
+        &stats.high,
+        &stats.low,
+        &stats.close,
+        &stats.volume,
+        18,
+        30,
+        Some(false)
+    )
+    .collect::<Vec<_>>());
+}

src/volume.rs

@@ -14,6 +14,29 @@ fn vforce<'a>(
     low: &'a [f64],
     close: &'a [f64],
     volume: &'a [f64],
+) -> impl Iterator<Item = f64> + 'a {
+    izip!(&high[1..], &low[1..], &close[1..], &volume[1..]).scan(
+        (high[0], low[0], close[0], 0.0, 0.0, 0.0),
+        |state, (h, l, c, v)| {
+            // state = (h, l, c, trend, cm, dm)
+            let trend = ((h + l + c) - (state.0 + state.1 + state.2)).signum();
+            let dm = h - l;
+            let cm = if trend == state.3 {
+                state.4 + dm
+            } else {
+                state.5 + dm
+            };
+            *state = (*h, *l, *c, trend, cm, dm);
+            Some(v * (2.0 * ((dm / cm) - 1.0)) * trend * 100.0)
+        },
+    )
+}
+
+fn vforce_alt<'a>(
+    high: &'a [f64],
+    low: &'a [f64],
+    close: &'a [f64],
+    volume: &'a [f64],
 ) -> impl Iterator<Item = f64> + 'a {
     izip!(&high[1..], &low[1..], &close[1..], &volume[1..]).scan(
         (high[0], low[0], close[0], 0.0),
@@ -30,8 +53,8 @@ fn vforce<'a>(
 /// Developed by Stephen Klinger. It helps determine the long-term trend of money flow
 /// while remaining sensitive enough to detect short-term fluctuations.
 ///
-/// Note: This is different from formula defined in source. The vforce value is simply
-/// volume * trend
+/// An alt algorithm is available which computes the vforce value as simply
+/// volume * trend. This behaviour matches some existing popular tools.
 ///
 /// ## Usage
 ///
@@ -51,7 +74,7 @@ fn vforce<'a>(
 ///     &vec![1.0,2.0,3.0,4.0,5.0,6.0,4.0,5.0],
 ///     &vec![1.0,2.0,3.0,4.0,5.0,6.0,4.0,5.0],
 ///     &vec![1.0,2.0,3.0,4.0,5.0,6.0,4.0,5.0],
-///     3, 6).collect::<Vec<f64>>();
+///     3, 6, None).collect::<Vec<f64>>();
 ///
 /// ```
 pub fn kvo<'a>(
@@ -61,8 +84,14 @@ pub fn kvo<'a>(
     volume: &'a [f64],
     short: usize,
     long: usize,
+    alt: Option<bool>,
 ) -> impl Iterator<Item = f64> + 'a {
-    let vf = vforce(high, low, close, volume).collect::<Vec<f64>>();
+    let alt = alt.unwrap_or(true);
+    let vf = if alt {
+        vforce_alt(high, low, close, volume).collect::<Vec<f64>>()
+    } else {
+        vforce(high, low, close, volume).collect::<Vec<f64>>()
+    };
     let short_ma = smooth::ewma(&vf, short);
     let long_ma = smooth::ewma(&vf, long);
     iter::once(f64::NAN).chain(

tests/volume_test.rs

@@ -36,8 +36,55 @@ fn test_twiggs() {
 #[test]
 fn test_kvo() {
     let stats = common::test_data();
-    let result = volume::kvo(&stats.high, &stats.low, &stats.close, &stats.volume, 10, 16)
-        .collect::<Vec<_>>();
+    let result = volume::kvo(
+        &stats.high,
+        &stats.low,
+        &stats.close,
+        &stats.volume,
+        10,
+        16,
+        Some(false),
+    )
+    .collect::<Vec<_>>();
+    assert_eq!(stats.close.len(), result.len());
+    assert_eq!(
+        vec![
+            -47653124.52312139,
+            -38871537.60795313,
+            -56551756.57617685,
+            -80719127.50187302,
+            -91381485.15827936,
+            -102487748.59386584,
+            -103133145.86686252,
+            -76544074.74621749,
+            -76362373.25709169,
+            -84632468.62962747,
+            -54766782.00020293,
+            -53496835.81130403,
+            -60063221.578486785,
+            -36156452.68826012,
+            -39470196.1311378,
+            -81568025.19964269,
+            -163166676.59742773,
+            -90486708.71792603
+        ],
+        result[16..]
+    );
+}
+
+#[test]
+fn test_kvo_alt() {
+    let stats = common::test_data();
+    let result = volume::kvo(
+        &stats.high,
+        &stats.low,
+        &stats.close,
+        &stats.volume,
+        10,
+        16,
+        None,
+    )
+    .collect::<Vec<_>>();
     assert_eq!(stats.close.len(), result.len());
     assert_eq!(
         vec![