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sgraph.js
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sgraph.js
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// SGraph - Create bitmap with autocorrelation colormap and optional graphics
/*
Copyright (c) 2019, Leonid M Tertitski (Leonid.M.Tertitski@gmail.com)
All rights reserved.
Redistribution and use in source and binary forms, without
modification, are permitted provided that the following conditions are met:
1. Redistributions of source code must retain the above copyright notice, this
list of conditions and the following disclaimer.
2. Redistributions in binary form must reproduce the above copyright notice,
this list of conditions and the following disclaimer in the documentation
and/or other materials provided with the distribution.
THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE
FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL
DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR
SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER
CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,
OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
*/
function sgraph()
{
/* following "var" must be on top of all other attributes definitions*/
let ind = 0;
var INDEX_OPEN = ind; ind++;
var INDEX_HIGH = ind; ind++;
var INDEX_LOW = ind; ind++;
var INDEX_CLOSE = ind; ind++;
var INDEX_ADJ_CLOSE = ind; ind++;
var INDEX_VOLUME = ind; ind++;
var INDEX_AVERAGE = ind; ind++;
var INDEX_PROFIT = ind; ind++;
var INDEX_ORDER = ind; ind++;
var INDEX_MAX_CORR = ind; ind++;
var INDEX_MAX_CORR_DT = ind; ind++;
var NDATA = ind;
ind = 0;
var INDEX_OPEN_FP = ind; ind++;
var INDEX_OPEN_SPREAD_FP = ind; ind++;
var INDEX_HIGH_FP = ind; ind++;
var INDEX_HIGH_SPREAD_FP = ind; ind++;
var INDEX_LOW_FP = ind; ind++;
var INDEX_LOW_SPREAD_FP = ind; ind++;
var INDEX_CLOSE_FP = ind; ind++;
var INDEX_CLOSE_SPREAD_FP = ind; ind++;
var INDEX_MAX_LOST_FP = ind; ind++;
var INDEX_DELTA_FP = ind; ind++;
var INDEX_DELTA2_FP = ind; ind++;
var NDATA_FP = ind;
ind = 0;
var eNoOptimization = ind; ind++;
var eStart1stOptimizationLoop = ind; ind++;
var eRun1stOptimizationLoop = ind; ind++;
var eStop1stOptimizationLoop = ind; ind++;
var eStart2ndOptimizationLoop = ind; ind++;
var eRun2ndOptimizationLoop = ind; ind++;
var eStop2ndOptimizationLoop = ind; ind++;
var eEndOfOptimization = ind; ind++;
var HIGHLIGHT = 35;
var MIN_LENGTH = 100;
var N_C = 10;
/* add new attributes below this line */
var dt1 = new Date();
var dt2 = new Date();
var dt3 = new Date();
var dt4 = new Date();
var dt5 = new Date();
var dt6 = new Date();
var dt7 = new Date();
var dt8 = new Date();
var onOptimizeEnd = null;
var onDrawEnd = null;
var m_colorMap = null;
var m_colorMapData = null;
var m_imageCanvas = null;
var m_imWidth = 0;
var m_imHeight = 0;
var m_corrWidth = 0;
var m_corrHeight = 0;
var m_Index0 = -1;
var m_Index1 = -1;
var m_Start = 0;
var m_Stop = 0;
var m_nData = 0;
var m_ranges = new Array(0);
var m_optimumProfit = 0.0;
var m_optimize = eNoOptimization;
var m_DateTime = new Array();
var progress = 0;
var m_xMouseDown = 0;
var m_yMouseDown = 0;
var m_data = new Array();
var m_dataFP = new Array();
var m_dataCorr = new Array();
var m_Corr = new Array();
var m_gName = new Array();
var m_gMin = new Array();
var m_gMax = new Array();
var m_gDraw = new Array();
var m_gColors = new Array();
var m_dMin = 0.0;
var m_dMax = 0.0;
var m_dMinPr = 0.0;
var m_dMaxPr = 0.0;
var m_optimizeTimeout = 0;
var m_optimum_OrderScale = 0;
var m_optimum_MaxLost = 0;
var m_optimum_ave = 0;
var m_optimum_ncorr = 0;
var m_profit = 0.0;
var m_maxCorr = 0.0;
var m_minCorr = 0.0;
zoom = function(iZoom)
{
if (m_nData > 0) {
let minLng = m_nData > MIN_LENGTH ? MIN_LENGTH : m_nData;
if (m_Stop > m_nData)
m_Stop = m_nData;
if (m_Start < 0)
m_Start = 0;
let n = Math.floor(m_Stop - m_Start);
if (n > m_nData)
n = m_nData;
let n1 = iZoom >= 0 ? n * 2 / 3 : n * 3 / 2;
if (n1 < minLng)
n1 = minLng;
if (n1 > m_nData)
n1 = m_nData;
if (m_Index0 >= m_Start && m_Index0 <= m_Stop) {
m_Start = m_Index0 - (m_Index0 - m_Start) * n1 / n;
m_Stop = m_Index0 + (m_Stop - m_Index0) * n1 / n;
}
else
m_Start = m_Stop - n1;
if (m_Start < 0) {
m_Start = 0;
m_Stop = m_Start + n1;
}
}
}
drawCandlestick = function(ix1, iww, openp, high, low, closep)
{
let closeOpenMax = Math.max(closep, openp);
let closeOpenMin = Math.min(closep, openp);
let iy = Math.floor(high);
let iy1 = Math.floor(closeOpenMax);
let iww2 = Math.floor(iww / 2);
let urRect = 0;
let ugRect = 255;
let ubRect = 0;
if (closep < openp)
{
urRect = 240;
ugRect = 100;
ubRect = 50;
}
sg_main.m_ctx.beginPath();
sg_main.m_ctx.moveTo(ix1, m_imHeight - 1 - iy);
sg_main.m_ctx.lineTo(ix1, m_imHeight - 1 - iy1);
sg_main.m_ctx.stroke();
iy = iy1;
iy1 = Math.floor(closeOpenMin);
sg_main.m_ctx.globalAlpha = 0.7;
sg_main.m_ctx.fillStyle = RGB2Hex(urRect, ugRect, ubRect);
sg_main.m_ctx.fillRect(ix1 - iww2, m_imHeight - 1 - iy, iww, iy - iy1 + 1);
sg_main.m_ctx.globalAlpha = 1.0;
sg_main.m_ctx.beginPath();
iy = iy1;
iy1 = Math.floor(low);
sg_main.m_ctx.moveTo(ix1, m_imHeight - 1 - iy);
sg_main.m_ctx.lineTo(ix1, m_imHeight - 1 - iy1);
sg_main.m_ctx.stroke();
}
calculateSumXY = function(iShift, nCorr)
{
// Calculate Sum(X*Y)
let s2 = 0.0;
let x0 = 0.0, x1;
let y0 = 0.0, y1;
let indx = (iShift+1) * NDATA;
let indy = NDATA;
let j = (iShift+1)*N_C+2;
for (let i = iShift+1; i < m_nData; i++, j += N_C, indx += NDATA, indy += NDATA)
{
x1 = m_data[indx + INDEX_HIGH];
y1 = m_data[indy + INDEX_HIGH];
x1 -= m_data[indx + INDEX_AVERAGE];
y1 -= m_data[indy + INDEX_AVERAGE];
s2 += x1*y1;
m_dataCorr[j] = s2 * nCorr;
}
}
calculateCorrelation = function(j, nCorr)
{
let iCorr = j * m_nData;
let iShift = j+nCorr;
calculateSumXY(iShift, nCorr);
let indCorr = iShift+nCorr+1;
if (indCorr < m_nData)
{
for (let i = 0; i < indCorr; i++)
m_Corr[iCorr+i] = 0.0;
}
else
iShift = iShift;
let indx = indCorr * N_C;
let indy = indx - iShift * N_C;
let indxs = indx - nCorr * N_C;
let indys = indy - nCorr * N_C;
for (let i = indCorr; i < m_nData; i++, indx += N_C, indy += N_C, indxs += N_C, indys += N_C)
{
let a = m_dataCorr[indx+2] - m_dataCorr[indxs+2];
let bx = m_dataCorr[indx] - m_dataCorr[indxs];
let by = m_dataCorr[indy] - m_dataCorr[indys];
let b = bx * by;
let cxx = m_dataCorr[indx+1] - m_dataCorr[indxs+1];
let cx = bx * bx ;
let cc = cxx - cx;
let dyy = m_dataCorr[indy+1] - m_dataCorr[indys+1];
let dy = by * by ;
let dd = dyy - dy;
let ee = cc * dd;
let corr = (ee > 0.0000000001) ? (a - b) / Math.sqrt(ee) : 0.0;
m_Corr[iCorr+i] = corr;
if (m_minCorr > corr)
m_minCorr = corr;
if (m_maxCorr < corr)
m_maxCorr = corr;
}
}
getInterpolatedValueInt = function (ind, width, start, stop) {
return (Math.floor((ind - start) * (width - 1) / (stop - start - 1)));
}
getInterpolatedValue = function (ind, width, start, stop) {
return ((ind - start) * (width - 1) / (stop - start - 1));
}
orderString = function()
{
let orderStr = "Not available";
let ind = m_nData;
if (ind > 0) {
if (sg_main.m_bKnownOrder)
orderStr = "'Known tomorrow price' order for next day (after " + m_DateTime[ind - 1] + "):\nSale limit = tomorrow High (-:)";
else {
let indy = m_data[(ind - 1) * NDATA + INDEX_MAX_CORR_DT];
if (indy >= 0 && indy < sg_main.MATRIX_Y) {
let corrInd = m_nData * indy + ind - 1;
let nCorr = sg_main.m_CorrLength * 2;
let corr = m_Corr[corrInd];
let dOrder = getOrder(corr, ind, nCorr, indy);
let openScale = 1.0 + sg_main.m_OrderScale * dOrder;
orderStr = sg_main.m_bFixedOrder ? "Fixed order " : "Calculated order ";
orderStr += "for next day (after " + m_DateTime[m_nData - 1] + "):\n";
orderStr += "Sale limit = Open x " + parseFloat(openScale).toFixed(3);
}
}
}
return orderStr;
}
getProfit = function()
{
let s = 0.0;
let dMin = 999999.0;
let dMax =-999999.0;
let dMinPr = 1e20;
let dMaxPr =-1e20;
let spread = sg_main.m_Spread;
let buyPrice = 0.0;
let bOrder = false;
let sellLimit = buyPrice;
let prof = 0.0;
let closep = 0.0;
let todayProfit = 0.0;
let nDaysOpenPos = 0;
let nDaysToKeepOpen = sg_main.m_nDaysToKeepOpen;
let iStart = Math.floor(m_Start);
let iStop = Math.floor(m_Stop);
if (iStart < 2)
iStart = 2;
if (iStop < m_nData)
iStop++;
for (let i = iStart, indData = iStart * NDATA_FP, outData = iStart * NDATA; i < iStop; i++, indData += NDATA_FP, outData += NDATA)
{
let openp = m_dataFP[indData + INDEX_OPEN_FP];
let highSpread = m_dataFP[indData + INDEX_HIGH_SPREAD_FP];
closep = m_dataFP[indData + INDEX_CLOSE_FP];
let dMaxLost = m_dataFP[indData + INDEX_MAX_LOST_FP];
let delta = m_dataFP[indData + INDEX_DELTA_FP];
todayProfit = 0.0;
if (!bOrder)
{
if (delta > spread)
{
buyPrice = openp + spread;
sellLimit = openp + delta;
bOrder = true;
nDaysOpenPos = 0;
}
}
if (bOrder)
{
if (dMaxLost != 0.0)
{
let openSpread = m_dataFP[indData + INDEX_OPEN_SPREAD_FP];
if (buyPrice - openSpread > dMaxLost)
{
todayProfit = openSpread - buyPrice;
bOrder = false;
}
else
{
if (sellLimit <= highSpread && openp > closep)
{
// Assume (if open > close) sell limit triggered before lost limit
}
else if(buyPrice - m_dataFP[indData + INDEX_LOW_SPREAD_FP] > dMaxLost)
{
todayProfit = -dMaxLost;
bOrder = false;
}
}
}
if (bOrder)
{
if (sellLimit <= highSpread)
{
todayProfit = sellLimit - buyPrice;
bOrder = false;
}
else
{
if (nDaysOpenPos < nDaysToKeepOpen)
{
nDaysOpenPos++;
}
else
{
prof = m_dataFP[indData + INDEX_CLOSE_SPREAD_FP] - buyPrice;
// close position at the end of the day
todayProfit = prof;
bOrder = false;
}
}
}
}
s += todayProfit;
m_data[outData + INDEX_PROFIT] = s;
if (dMin > delta)
dMin = delta;
if (dMax < delta)
dMax = delta;
if (dMinPr > s)
dMinPr = s;
if (dMaxPr < s)
dMaxPr = s;
}
if (iStop == m_nData && bOrder)
{
todayProfit = closep - spread - buyPrice;
s += todayProfit;
}
m_dMin = dMin;
m_dMax = dMax;
m_dMinPr = dMinPr;
m_dMaxPr = dMaxPr;
m_profit = s;
return s;
}
RGB2Hex = function(r, g, b) {
r = r.toString(16);
g = g.toString(16);
b = b.toString(16);
if (r.length == 1)
r = "0" + r;
if (g.length == 1)
g = "0" + g;
if (b.length == 1)
b = "0" + b;
return "#" + r + g + b;
}
drawGrpah = function(name, ind, r, g, b, dMin, dMax, bDraw)
{
m_gName[ind] = name;
m_gMin[ind] = dMin;
m_gMax[ind] = dMax;
m_gDraw[ind] = bDraw;
m_gColors[ind] = RGB2Hex(r, g, b);
if (!bDraw)
return;
let ix1;
let pt1x, pt2x, pt1y, pt2y;
let iStart = Math.floor(m_Start);
let iStop = Math.floor(m_Stop);
if (iStop < m_Stop)
iStop++;
if (iStop > m_nData)
iStop = m_nData;
if (iStop - iStart < 2)
return;
let iww = Math.floor((m_imWidth - 1) / (iStop - iStart - 1));
if (iww > 5)
iww = Math.floor(iww/3)*2+1;
iww = Math.floor((iww - 1) / 2) * 2 + 1;
let bShowCandlestick = false;
if (Math.abs(dMax - dMin) < 1e-10)
{
dMax += 1.0;
dMin -= 1.0;
}
let dScale = dMax - dMin;
if (dScale <= 0.0)
dScale = 1.0;
dScale = (m_imHeight-1) / dScale;
pt2x = getInterpolatedValue(iStart, m_imWidth, m_Start, m_Stop);
pt2y = (m_data[iStart*NDATA + ind] - dMin) * dScale;
if (ind == INDEX_OPEN)
bShowCandlestick = sg_main.m_bShowCandleStick;
let dataScale = 1.0;
if (ind == INDEX_ORDER)
dataScale = sg_main.m_OrderScale;
sg_main.m_ctx.strokeStyle = m_gColors[ind];
if (bShowCandlestick) {
sg_main.m_ctx.lineWidth = 1;
for (let i = iStart; i < iStop; i++)
{
let j = i*NDATA;
ix1 = getInterpolatedValueInt(i, m_imWidth, m_Start, m_Stop);
let openp = m_data[j + INDEX_OPEN];
let high = m_data[j + INDEX_HIGH];
let low = m_data[j + INDEX_LOW];
let closep = m_data[j + INDEX_CLOSE];
openp = ((openp - dMin) * dScale);
high = ((high - dMin) * dScale);
low = ((low - dMin) * dScale);
closep = ((closep - dMin) * dScale);
drawCandlestick(ix1, iww, openp, high, low, closep);
}
if (!sg_main.m_bShowOpen)
return;
}
sg_main.m_ctx.beginPath();
sg_main.m_ctx.lineWidth = 3;
for (let i = iStart; i < iStop; i++)
{
let j = i*NDATA;
let v;
if (ind == INDEX_ORDER)
v = m_data[j + ind] * dataScale * m_data[j + INDEX_HIGH];
else
v = (m_data[j + ind]) * dataScale;
pt1x = pt2x;
pt1y = pt2y;
pt2x = getInterpolatedValue(i, m_imWidth, m_Start, m_Stop);
pt2y = Math.floor((v - dMin) * dScale);
if (i == iStart)
sg_main.m_ctx.moveTo(pt2x, m_imHeight - 1 - pt2y);
else
sg_main.m_ctx.lineTo(pt2x, m_imHeight - 1 - pt2y);
}
sg_main.m_ctx.stroke();
}
getVolumeMinMax = function()
{
let dMin = 1e20;
let dMax = -1e20;
let iStart = Math.floor(m_Start);
let iStop = Math.floor(m_Stop);
for (let i = iStart, ii = iStart*NDATA; i < iStop; i++, ii += NDATA)
{
if (dMin > m_data[ii+INDEX_VOLUME])
dMin = m_data[ii+INDEX_VOLUME];
if (dMax < m_data[ii+INDEX_VOLUME])
dMax = m_data[ii+INDEX_VOLUME];
}
return { dMin:dMin, dMax:dMax };
}
getStockMinMax = function()
{
let dMin = 1e20;
let dMax = -1e20;
let iStart = Math.floor(m_Start);
let iStop = Math.floor(m_Stop);
for (let i = iStart, ii = iStart*NDATA; i < iStop; i++, ii += NDATA)
{
if (dMin > m_data[ii+INDEX_LOW])
dMin = m_data[ii+INDEX_LOW];
if (dMax < m_data[ii+INDEX_HIGH])
dMax = m_data[ii+INDEX_HIGH];
}
return { dMin: dMin, dMax: dMax };
}
highlightCorrIntervals = function(nCorr)
{
let iw = m_imWidth;
let ih = m_imHeight;
if (sg_main.m_bHighlightCorrIntervals)
{
sg_main.m_ctx.fillStyle = "rgba(255, 255, 255, 0.3)";
let ihx = [m_Index0 - nCorr, m_Index0, m_Index1 - nCorr, m_Index1];
for (let i = 0; i < 4; i += 2)
{
if (ihx[i] >= 0 && ihx[i+1] >= ihx[i])
{
let ix0 = getInterpolatedValueInt(ihx[i], iw, m_Start, m_Stop);
let ix1 = getInterpolatedValueInt(ihx[i + 1], iw, m_Start, m_Stop);
if (ix0 < 0)
ix0 = 0;
if (ix1 >= iw)
ix1 = iw - 1;
if (ix0 <= ix1) {
sg_main.m_ctx.fillRect(ix0, 0, ix1 - ix0 + 1, ih);
}
}
}
}
sg_main.m_ctx.lineWidth = 1;
sg_main.m_ctx.globalAlpha = 0.3;
sg_main.m_ctx.strokeStyle = "white";
let ix1 = getInterpolatedValueInt(m_Index0, iw, m_Start, m_Stop);
let iy1 = getInterpolatedValueInt(m_Index0 - m_Index1 - nCorr, ih, 0, sg_main.MATRIX_Y) - 1;
sg_main.m_ctx.beginPath();
if (ix1 >= 0 && ix1 < iw) {
sg_main.m_ctx.moveTo(ix1, 0);
sg_main.m_ctx.lineTo(ix1, ih);
sg_main.m_ctx.stroke();
sg_main.m_ctx.beginPath();
sg_main.m_ctx.moveTo(ix1-5, ih - 1 - iy1);
sg_main.m_ctx.lineTo(ix1 + 5, ih - 1 - iy1);
sg_main.m_ctx.stroke();
}
sg_main.m_ctx.globalAlpha = 1.0;
}
scaleColormapToImage = function (colormapData, width, height, w, h, dStart, dStop) {
let imageCanvas_data = m_imageCanvas.data;
let imgBytesPerPixel = 4;
let iwInp = w * imgBytesPerPixel;
let iwOut = width * imgBytesPerPixel;
let ddx = (dStop - 1.0 - dStart) / (width - 1);
let ddy = (h - 1) / (height - 1);
let dy = 0.0;
let dZoomOriginX = dStart;
for (let j = 0; j < height; j++) {
let dx = dZoomOriginX;
let jj = Math.floor(dy);
let yd = dy - jj;
let cOut = (height - 1 - j) * iwOut;
let cIn = jj * iwInp;
if (jj >= h)
break;
if (jj == h - 1)
iwInp = 0;
for (let i = 0; i < width; i++) {
let ii = Math.floor(dx);
if (ii >= w)
break; // Temporary... Cannot happen
let xd = dx - ii;
let cI1 = cIn + ii * imgBytesPerPixel;
let cI2 = cI1 + iwInp;
if (ii == w - 1) {
imageCanvas_data[cOut] = (colormapData[cI1] * (1.0 - yd) + colormapData[cI2] * yd);
imageCanvas_data[cOut + 1] = (colormapData[cI1 + 1] * (1.0 - yd) + colormapData[cI2 + 1] * yd);
imageCanvas_data[cOut + 2] = (colormapData[cI1 + 2] * (1.0 - yd) + colormapData[cI2 + 2] * yd);
imageCanvas_data[cOut + 3] = 255;
}
else {
imageCanvas_data[cOut] = ((colormapData[cI1] * (1.0 - xd) + colormapData[cI1 + imgBytesPerPixel] * xd) * (1 - yd) + (colormapData[cI2] * (1.0 - xd) + colormapData[cI2 + imgBytesPerPixel] * xd) * yd);
imageCanvas_data[cOut + 1] = ((colormapData[cI1 + 1] * (1.0 - xd) + colormapData[cI1 + (imgBytesPerPixel + 1)] * xd) * (1 - yd) + (colormapData[cI2 + 1] * (1.0 - xd) + colormapData[cI2 + (imgBytesPerPixel + 1)] * xd) * yd);
imageCanvas_data[cOut + 2] = ((colormapData[cI1 + 2] * (1.0 - xd) + colormapData[cI1 + (imgBytesPerPixel + 2)] * xd) * (1 - yd) + (colormapData[cI2 + 2] * (1.0 - xd) + colormapData[cI2 + (imgBytesPerPixel + 2)] * xd) * yd);
imageCanvas_data[cOut + 3] = 255;
}
cOut += imgBytesPerPixel;
dx += ddx;
}
dy += ddy;
}
}
fillBitmap = function()
{
let iw = m_imWidth;
let ih = m_imHeight;
let ind = INDEX_OPEN;
let r = 0;
let g = 255;
let b = 0;
let ix, iy;
let nCorr = sg_main.m_CorrLength * 2;
if (nCorr < 2)
nCorr = 2;
let iStart = Math.floor(m_Start);
let iStop = Math.floor(m_Stop);
if (iStop < m_Stop)
iStop++;
if (iStop > m_nData)
iStop = m_nData;
if (iStop - iStart < 2)
return 0;
let stockMinMax = getStockMinMax();
let volumeMinMax = getVolumeMinMax();
dMinA = stockMinMax.dMin;
dMaxA = stockMinMax.dMax;
setCorrelationMatrix();
sg_main.m_ctx.clearRect(0, 0, m_imWidth, m_imHeight);
scaleColormapToImage(m_colorMapData, iw, ih, m_colorMap.width, m_colorMap.height, m_Start, m_Stop);
sg_main.m_ctx.putImageData(m_imageCanvas, 0, 0);
drawGrpah("Open", ind, r, g, b, dMinA, dMaxA, sg_main.m_bShowOpen || sg_main.m_bShowCandleStick);
highlightCorrIntervals(nCorr);
getProfit();
let dd = m_dMax - m_dMin;
let dMin = m_dMin - dd * 0.5;
let dMax = m_dMax + dd * 0.5;
drawGrpah("Average", INDEX_AVERAGE, 200, 200, 200, dMinA, dMaxA, sg_main.m_bShowAverage);
drawGrpah("Volume", INDEX_VOLUME, 200, 200, 200, volumeMinMax.dMin, volumeMinMax.dMax, sg_main.m_bShowVolume);
drawGrpah("Order", INDEX_ORDER, 127, 127, 255, dMin, dMax, sg_main.m_bShowOrder);
drawGrpah("Profit", INDEX_PROFIT, 255, 255, 255, m_dMinPr, m_dMaxPr, sg_main.m_bShowProfit);
drawGrpah("Correlation", INDEX_MAX_CORR, 255, 127, 127, -1.0, 1.0, sg_main.m_bShowCorr);
drawGrpah("Maximum Correlation", INDEX_MAX_CORR_DT, 255, 0, 255, 0.0, sg_main.MATRIX_Y, sg_main.m_bShowCorrPos);
return 1;
}
calculateOrderDelta = function ()
{
let dOrderScale = sg_main.m_OrderScale;
for (let i = 0, indData = 0, outdData = 0; i < m_nData; i++, indData += NDATA, outdData += NDATA_FP)
{
let openRaw = m_data[indData + INDEX_OPEN];
let order = m_data[indData + INDEX_ORDER] * openRaw;
let delta = order * dOrderScale;
m_dataFP[outdData + INDEX_DELTA_FP] = delta;
}
}
calculateMaxLost = function()
{
let dMaxLostScale = sg_main.m_MaxLost * 0.01;
for (let i = 0, indData = 0, outdData = 0; i < m_nData; i++, indData += NDATA, outdData += NDATA_FP)
{
m_dataFP[outdData + INDEX_MAX_LOST_FP] = m_data[indData + INDEX_OPEN] * dMaxLostScale;
}
}
getAdjustedBySpreadOHLC = function()
{
let spread = sg_main.m_Spread;
for (let i = 0, indData = 0, outdData = 0; i < m_nData; i++, indData += NDATA, outdData += NDATA_FP)
{
let openp = m_data[indData + INDEX_OPEN];
let high = m_data[indData + INDEX_HIGH];
let low = m_data[indData + INDEX_LOW];
let closep = m_data[indData + INDEX_CLOSE];
let openSpread = openp - spread;
let highSpread = high - spread;
let lowSpread = low - spread;
let closeSpread = closep - spread;
m_dataFP[outdData + INDEX_OPEN_FP] = openp;
m_dataFP[outdData + INDEX_HIGH_FP] = high;
m_dataFP[outdData + INDEX_LOW_FP] = low;
m_dataFP[outdData + INDEX_CLOSE_FP] = closep;
m_dataFP[outdData + INDEX_OPEN_SPREAD_FP] = openSpread;
m_dataFP[outdData + INDEX_HIGH_SPREAD_FP] = highSpread;
m_dataFP[outdData + INDEX_LOW_SPREAD_FP] = lowSpread;
m_dataFP[outdData + INDEX_CLOSE_SPREAD_FP] = closeSpread;
}
}
calculateArraysForCorrelation = function()
{
getAdjustedBySpreadOHLC();
calculateMaxLost();
}
deleteCorrArrays = function()
{
m_Corr.length = null;
m_dataCorr.length = null;
}
getCorrelationMatrix = function()
{
if(m_dataCorr.length == 0)
{
let length = m_nData * N_C;
let nCorr = sg_main.m_CorrLength * 2;
if (nCorr < 2)
nCorr = 2;
let s0 = 0.0;
let s1 = 0.0;
let indx = NDATA;
let x;
// Calculate Sum(X), and Sum(X*X)
for (let i = 1, j = N_C; i < m_nData; i++, j += N_C, indx += NDATA)
{
x = m_data[indx + INDEX_HIGH] - m_data[indx + INDEX_AVERAGE];
s0 += x;
m_dataCorr[j] = s0;
s1 += x*x;
m_dataCorr[j + 1] = s1 * nCorr;
}
m_minCorr = 1e+17;
m_maxCorr = -1e+17;
for (let j = 0; j < sg_main.MATRIX_Y; j++)
{
calculateCorrelation(j, nCorr);
}
if (Math.abs(m_minCorr-m_maxCorr) < 0.0001)
{
m_minCorr = -1.0;
m_maxCorr = 1.0;
}
}
}
getAverage = function()
{
let dAve = 0;
let nCorrAve = sg_main.m_AverageLength * 2 + 1;
if (nCorrAve <= 0)
{
for (let i = 0, ii = 0; i < m_nData; i++, ii += NDATA)
m_data[ii + INDEX_AVERAGE] = 0.0;
}
else
{
dAve = m_data[INDEX_OPEN];
let d3 = (nCorrAve+1.0) / (sg_main.m_AverageLengthMax * 2.0 + 2.0);
d3 = 1.0 - d3;
for (let i = 0, ind = 0; i < m_nData; i++, ind += NDATA)
{
let v = m_data[ind + INDEX_OPEN];
let diff = Math.abs(v-dAve);
if (dAve > 0.0)
diff = diff * d3 / dAve;
dAve = diff < 1.0 ? dAve * (1.0 - diff) + v * diff : v;
m_data[ind + INDEX_AVERAGE] = dAve;
}
}
}
allocateImage = function(nx, ny)
{
if (m_colorMap == null || m_corrWidth != nx || m_corrHeight != ny) {
m_corrWidth = nx;
m_corrHeight = ny;
return sg_main.m_ctx.getImageData(0, 0, nx, ny);
}
return m_colorMap
}
setCorrelationMatrix = function()
{
m_colorMap = allocateImage(m_nData, sg_main.MATRIX_Y);
m_colorMapData = m_colorMap.data;
if (m_Corr.length == 0)
{
let nCorr = sg_main.m_CorrLength * 2;
if (nCorr < 2)
nCorr = 2;
getAverage();
getCorrelationMatrix();
m_prevMaxCorPos = -1;
for (let i = 1; i < m_nData; i++)
{
calcOneOrderAndColormapColumn(m_nData - i, nCorr);
}
m_data[INDEX_ORDER] = m_data[NDATA + INDEX_ORDER];
m_data[INDEX_ORDER + 1] = m_data[NDATA + INDEX_ORDER + 1];
m_data[INDEX_ORDER + 2] = m_data[NDATA + INDEX_ORDER + 2];
calculateOrderDelta();
}
}
getOrder = function (corr, i0, nCorr, indyCorr)
{
let i1Start = i0 - nCorr;
let iCorrMax = i1Start - indyCorr;
let ind = sg_main.m_bKnownOrder ? i0 : iCorrMax;
let indn = ind * NDATA;
let dOrder = 0.0;
if (iCorrMax >= 0 && ind >= 0 && ind < m_nData && i1Start - iCorrMax >= 0 && i1Start - iCorrMax < sg_main.MATRIX_Y) {
if (sg_main.m_bFixedOrder) {
dOrder = 0.05;
}
else {
if (sg_main.m_bKnownOrder) {
dOrder = m_data[indn + INDEX_HIGH] - m_data[indn + INDEX_OPEN];
dOrder -= sg_main.m_Spread;
dOrder = Math.abs(m_data[indn + INDEX_OPEN]) > 0.0 ? dOrder / m_data[indn + INDEX_OPEN] : 0.0;
}
else {
indn += NDATA;
dOrder = m_data[indn + INDEX_HIGH] - m_data[indn + INDEX_OPEN];
dOrder -= sg_main.m_Spread;
if (dOrder > 0.0) {
dOrder = (m_data[indn + INDEX_OPEN] > 0.0) ? 1.0 / m_data[indn + INDEX_OPEN] : 0.0;
if (m_maxCorr > m_minCorr)
dOrder = dOrder * (corr - m_minCorr) / (m_maxCorr - m_minCorr);
}
else
dOrder = 0.0;
}
}
}
return dOrder;
}
function setTo0colormap(i0) {
// Set column of colormapData to 0
let nbpl = 4;
let ih = m_colorMap.height;
let lw = m_colorMap.width * nbpl;
let c = i0 * nbpl;
for (let k = 0; k < ih; k++, c += lw) {
m_colorMapData[c] = 0;
m_colorMapData[c + 1] = 0;
m_colorMapData[c + 2] = 0;
}
}
function calcColormapColumn(i0, nCorr, i1Min, i1Max, dCorrScale) {
// Set column of colormapData
let nbpl = 4;
let ih = m_colorMap.height;
let lw = m_colorMap.width*nbpl;
let ig = HIGHLIGHT;
let c = i0 * nbpl;
let i1Start = i0 - nCorr;
for (let k = 0, mCorrInd = i0; k < ih; k++, mCorrInd += m_nData, c += lw) {
let i1 = i1Start - k;
if (i1 >= i1Min && i1 <= i1Max) {
let ir;
let ib;
let corrToDraw = m_Corr[mCorrInd - 1];
let ccorr = (corrToDraw - m_minCorr) * dCorrScale;
if (ccorr > 0.5) {
let rr = (ccorr - 0.5) * 510 + HIGHLIGHT;
ir = rr > 255.0 ? 255 : Math.floor(rr);
ib = 0;
}
else {
let bb = (0.5 - ccorr) * 510 + HIGHLIGHT;
ib = (bb > 255.0) ? 255 : Math.floor(bb);
ir = 0;
}
m_colorMapData[c] = ir;
m_colorMapData[c + 1] = ig;
m_colorMapData[c + 2] = ib;
}
else {
m_colorMapData[c] = 0;
m_colorMapData[c + 1] = 0;
m_colorMapData[c + 2] = 0;
}
}
}
calcOneOrderAndColormapColumn = function (i0, nCorr)
{
let index = i0 * NDATA;
m_data[index + INDEX_ORDER] = 0.0;
m_data[index + INDEX_MAX_CORR] = 0.0;
m_data[index + INDEX_MAX_CORR_DT] = 0.0;
let iXShift = 0;
if (i0 <= nCorr - 1 - iXShift || i0 >= m_nData - iXShift) {
setTo0colormap(i0, nCorr);
return 0.0;
}
let dCorrMax = -999999.0;
let iCorrMax = -1;
let dCorrScale = (m_maxCorr - m_minCorr) > 0.0 ? 1.0 / (m_maxCorr - m_minCorr) : 0.0;
let i1Start = i0 - nCorr;
let i1Min = nCorr - iXShift;
let i1Max = m_nData - iXShift - 1;
let kCorrMax = -1;
let sOrder = 0.0;
let sCorr = 0.0;
let yCorr = 0.0;
let dOrder = 0.0;
let ih = m_colorMap.height;
for (let k = 0, iCorrInd = i0; k < ih; k++, iCorrInd += m_nData) {
let ind = i1Start - k;
if (ind >= i1Min && ind <= i1Max) {
let corr = m_Corr[iCorrInd - 1];
if (corr > dCorrMax) {
dCorrMax = corr;
kCorrMax = k;
}
}
}
if (kCorrMax < 0) {
setTo0colormap(i0);
return 0.0;
}
calcColormapColumn(i0, nCorr, i1Min, i1Max, dCorrScale);
dOrder = getOrder(dCorrMax, i0, nCorr, kCorrMax);
m_data[index + INDEX_ORDER] = dOrder;
m_data[index + INDEX_MAX_CORR] = dCorrMax;
m_data[index + INDEX_MAX_CORR_DT] = kCorrMax;
return dOrder;
}
histDataToTable = function (str) {
if (localStorage != undefined) {
localStorage.setItem("sg_hist_data", str);
}
let histTable = document.getElementById("historical_data");
let allRows = str.split(/\r?\n|\r/);
let table = "<table id='historical_data_table'>";
let indData = 0;
m_nData = 0;
for (let singleRow = 0; singleRow < allRows.length; singleRow++) {
if (singleRow === 0) {
table += '<thead>';
table += '<tr>';
}
else {
table += '<tr>';
}
let rowCells = allRows[singleRow].split(',');
if (rowCells.length >= 5) {
for (let rowCell = 0; rowCell < rowCells.length; rowCell++) {
if (singleRow === 0) {
table += '<th>';
table += rowCells[rowCell];
table += '</th>';
}
else {
table += '<td>';
table += rowCells[rowCell];
table += '</td>';
}
if (singleRow != 0) {
if (rowCell == 0) {
m_DateTime[m_nData] = rowCells[rowCell];
m_nData++;
}
else
m_data[indData + rowCell - 1] = parseFloat(rowCells[rowCell]);
}
}
if (singleRow != 0) {
for (let fillRaw = rowCells.length - 1; fillRaw < NDATA; fillRaw++) {
m_data[indData + fillRaw] = 0.0;
}
indData += NDATA;
}
}
if (singleRow === 0) {
table += '</tr>';
table += '</thead>';
table += '<tbody>';
}
else {