trading-platform-backend-v2/src/modules/trading/services/indicators.service.ts

/**
 * Technical Indicators Service
 * Calculates common technical analysis indicators
 */

import { marketService } from './market.service';
import type { Interval } from './binance.service';

// ============================================================================
// Types
// ============================================================================

export interface OHLCV {
  time: number;
  open: number;
  high: number;
  low: number;
  close: number;
  volume: number;
}

export interface SMAResult {
  time: number;
  value: number;
}

export interface EMAResult {
  time: number;
  value: number;
}

export interface RSIResult {
  time: number;
  value: number;
}

export interface MACDResult {
  time: number;
  macd: number;
  signal: number;
  histogram: number;
}

export interface StochasticResult {
  time: number;
  k: number;
  d: number;
}

export interface BollingerBandsResult {
  time: number;
  upper: number;
  middle: number;
  lower: number;
  bandwidth: number;
}

export interface ATRResult {
  time: number;
  value: number;
}

export interface VWAPResult {
  time: number;
  value: number;
}

export interface IchimokuResult {
  time: number;
  tenkanSen: number;
  kijunSen: number;
  senkouSpanA: number;
  senkouSpanB: number;
  chikouSpan: number;
}

export interface IndicatorParams {
  symbol: string;
  interval: Interval;
  period?: number;
  limit?: number;
}

export interface MACDParams extends IndicatorParams {
  fastPeriod?: number;
  slowPeriod?: number;
  signalPeriod?: number;
}

export interface BollingerParams extends IndicatorParams {
  stdDev?: number;
}

export interface StochasticParams extends IndicatorParams {
  kPeriod?: number;
  dPeriod?: number;
  smoothK?: number;
}

// ============================================================================
// Indicators Service
// ============================================================================

class IndicatorsService {
  /**
   * Convert klines to OHLCV format
   * CandlestickData already has numeric values
   */
  private klinesToOHLCV(klines: unknown[]): OHLCV[] {
    return (klines as Record<string, unknown>[]).map((k) => ({
      time: k.time as number,
      open: k.open as number,
      high: k.high as number,
      low: k.low as number,
      close: k.close as number,
      volume: k.volume as number,
    }));
  }

  /**
   * Fetch OHLCV data for calculations
   */
  private async getOHLCV(symbol: string, interval: Interval, limit: number): Promise<OHLCV[]> {
    const klines = await marketService.getKlines(symbol, interval, { limit });
    return this.klinesToOHLCV(klines);
  }

  // ==========================================================================
  // Moving Averages
  // ==========================================================================

  /**
   * Calculate Simple Moving Average (SMA)
   */
  async getSMA(params: IndicatorParams): Promise<SMAResult[]> {
    const { symbol, interval, period = 20, limit = 100 } = params;
    const ohlcv = await this.getOHLCV(symbol, interval, limit + period);
    return this.calculateSMA(ohlcv, period);
  }

  private calculateSMA(data: OHLCV[], period: number): SMAResult[] {
    const result: SMAResult[] = [];
    for (let i = period - 1; i < data.length; i++) {
      let sum = 0;
      for (let j = 0; j < period; j++) {
        sum += data[i - j].close;
      }
      result.push({
        time: data[i].time,
        value: sum / period,
      });
    }
    return result;
  }

  /**
   * Calculate Exponential Moving Average (EMA)
   */
  async getEMA(params: IndicatorParams): Promise<EMAResult[]> {
    const { symbol, interval, period = 20, limit = 100 } = params;
    const ohlcv = await this.getOHLCV(symbol, interval, limit + period);
    return this.calculateEMA(ohlcv, period);
  }

  private calculateEMA(data: OHLCV[], period: number): EMAResult[] {
    const result: EMAResult[] = [];
    const multiplier = 2 / (period + 1);

    // Start with SMA for first EMA value
    let sum = 0;
    for (let i = 0; i < period; i++) {
      sum += data[i].close;
    }
    let ema = sum / period;
    result.push({ time: data[period - 1].time, value: ema });

    // Calculate EMA for remaining data
    for (let i = period; i < data.length; i++) {
      ema = (data[i].close - ema) * multiplier + ema;
      result.push({ time: data[i].time, value: ema });
    }

    return result;
  }

  // ==========================================================================
  // Oscillators
  // ==========================================================================

  /**
   * Calculate Relative Strength Index (RSI)
   */
  async getRSI(params: IndicatorParams): Promise<RSIResult[]> {
    const { symbol, interval, period = 14, limit = 100 } = params;
    const ohlcv = await this.getOHLCV(symbol, interval, limit + period + 1);
    return this.calculateRSI(ohlcv, period);
  }

  private calculateRSI(data: OHLCV[], period: number): RSIResult[] {
    const result: RSIResult[] = [];
    const changes: number[] = [];

    // Calculate price changes
    for (let i = 1; i < data.length; i++) {
      changes.push(data[i].close - data[i - 1].close);
    }

    // Calculate initial average gains and losses
    let avgGain = 0;
    let avgLoss = 0;
    for (let i = 0; i < period; i++) {
      if (changes[i] > 0) {
        avgGain += changes[i];
      } else {
        avgLoss += Math.abs(changes[i]);
      }
    }
    avgGain /= period;
    avgLoss /= period;

    // First RSI value
    let rs = avgLoss === 0 ? 100 : avgGain / avgLoss;
    let rsi = 100 - 100 / (1 + rs);
    result.push({ time: data[period].time, value: rsi });

    // Calculate RSI for remaining data using Wilder's smoothing
    for (let i = period; i < changes.length; i++) {
      const change = changes[i];
      const gain = change > 0 ? change : 0;
      const loss = change < 0 ? Math.abs(change) : 0;

      avgGain = (avgGain * (period - 1) + gain) / period;
      avgLoss = (avgLoss * (period - 1) + loss) / period;

      rs = avgLoss === 0 ? 100 : avgGain / avgLoss;
      rsi = 100 - 100 / (1 + rs);
      result.push({ time: data[i + 1].time, value: rsi });
    }

    return result;
  }

  /**
   * Calculate MACD (Moving Average Convergence Divergence)
   */
  async getMACD(params: MACDParams): Promise<MACDResult[]> {
    const {
      symbol,
      interval,
      fastPeriod = 12,
      slowPeriod = 26,
      signalPeriod = 9,
      limit = 100,
    } = params;

    const ohlcv = await this.getOHLCV(symbol, interval, limit + slowPeriod + signalPeriod);
    return this.calculateMACD(ohlcv, fastPeriod, slowPeriod, signalPeriod);
  }

  private calculateMACD(
    data: OHLCV[],
    fastPeriod: number,
    slowPeriod: number,
    signalPeriod: number
  ): MACDResult[] {
    const result: MACDResult[] = [];

    // Calculate EMAs
    const fastEMA = this.calculateEMAFromClose(data.map((d) => d.close), fastPeriod);
    const slowEMA = this.calculateEMAFromClose(data.map((d) => d.close), slowPeriod);

    // Calculate MACD line
    const macdLine: number[] = [];
    const startIndex = slowPeriod - 1;
    for (let i = startIndex; i < data.length; i++) {
      const fastIndex = i - (slowPeriod - fastPeriod);
      if (fastIndex >= 0 && fastIndex < fastEMA.length) {
        macdLine.push(fastEMA[fastIndex] - slowEMA[i - startIndex]);
      }
    }

    // Calculate signal line (EMA of MACD)
    const signalLine = this.calculateEMAFromClose(macdLine, signalPeriod);

    // Build result
    for (let i = signalPeriod - 1; i < macdLine.length; i++) {
      const dataIndex = startIndex + i;
      const macd = macdLine[i];
      const signal = signalLine[i - (signalPeriod - 1)];
      result.push({
        time: data[dataIndex].time,
        macd,
        signal,
        histogram: macd - signal,
      });
    }

    return result;
  }

  private calculateEMAFromClose(closes: number[], period: number): number[] {
    const result: number[] = [];
    const multiplier = 2 / (period + 1);

    let sum = 0;
    for (let i = 0; i < period; i++) {
      sum += closes[i];
    }
    let ema = sum / period;
    result.push(ema);

    for (let i = period; i < closes.length; i++) {
      ema = (closes[i] - ema) * multiplier + ema;
      result.push(ema);
    }

    return result;
  }

  /**
   * Calculate Stochastic Oscillator
   */
  async getStochastic(params: StochasticParams): Promise<StochasticResult[]> {
    const { symbol, interval, kPeriod = 14, dPeriod = 3, smoothK = 3, limit = 100 } = params;
    const ohlcv = await this.getOHLCV(symbol, interval, limit + kPeriod + smoothK + dPeriod);
    return this.calculateStochastic(ohlcv, kPeriod, dPeriod, smoothK);
  }

  private calculateStochastic(
    data: OHLCV[],
    kPeriod: number,
    dPeriod: number,
    smoothK: number
  ): StochasticResult[] {
    const result: StochasticResult[] = [];
    const rawK: number[] = [];

    // Calculate raw %K
    for (let i = kPeriod - 1; i < data.length; i++) {
      let highest = -Infinity;
      let lowest = Infinity;
      for (let j = 0; j < kPeriod; j++) {
        highest = Math.max(highest, data[i - j].high);
        lowest = Math.min(lowest, data[i - j].low);
      }
      const k = highest === lowest ? 50 : ((data[i].close - lowest) / (highest - lowest)) * 100;
      rawK.push(k);
    }

    // Smooth %K
    const smoothedK = this.calculateSMAFromValues(rawK, smoothK);

    // Calculate %D (SMA of smoothed %K)
    const percentD = this.calculateSMAFromValues(smoothedK, dPeriod);

    // Build result
    const resultStart = kPeriod + smoothK + dPeriod - 3;
    for (let i = 0; i < percentD.length; i++) {
      const dataIndex = resultStart + i;
      result.push({
        time: data[dataIndex].time,
        k: smoothedK[i + dPeriod - 1],
        d: percentD[i],
      });
    }

    return result;
  }

  private calculateSMAFromValues(values: number[], period: number): number[] {
    const result: number[] = [];
    for (let i = period - 1; i < values.length; i++) {
      let sum = 0;
      for (let j = 0; j < period; j++) {
        sum += values[i - j];
      }
      result.push(sum / period);
    }
    return result;
  }

  // ==========================================================================
  // Volatility Indicators
  // ==========================================================================

  /**
   * Calculate Bollinger Bands
   */
  async getBollingerBands(params: BollingerParams): Promise<BollingerBandsResult[]> {
    const { symbol, interval, period = 20, stdDev = 2, limit = 100 } = params;
    const ohlcv = await this.getOHLCV(symbol, interval, limit + period);
    return this.calculateBollingerBands(ohlcv, period, stdDev);
  }

  private calculateBollingerBands(data: OHLCV[], period: number, stdDev: number): BollingerBandsResult[] {
    const result: BollingerBandsResult[] = [];

    for (let i = period - 1; i < data.length; i++) {
      const closes: number[] = [];
      for (let j = 0; j < period; j++) {
        closes.push(data[i - j].close);
      }

      // Calculate SMA (middle band)
      const middle = closes.reduce((a, b) => a + b, 0) / period;

      // Calculate standard deviation
      const squaredDiffs = closes.map((c) => Math.pow(c - middle, 2));
      const variance = squaredDiffs.reduce((a, b) => a + b, 0) / period;
      const sd = Math.sqrt(variance);

      // Calculate bands
      const upper = middle + stdDev * sd;
      const lower = middle - stdDev * sd;
      const bandwidth = ((upper - lower) / middle) * 100;

      result.push({
        time: data[i].time,
        upper,
        middle,
        lower,
        bandwidth,
      });
    }

    return result;
  }

  /**
   * Calculate Average True Range (ATR)
   */
  async getATR(params: IndicatorParams): Promise<ATRResult[]> {
    const { symbol, interval, period = 14, limit = 100 } = params;
    const ohlcv = await this.getOHLCV(symbol, interval, limit + period + 1);
    return this.calculateATR(ohlcv, period);
  }

  private calculateATR(data: OHLCV[], period: number): ATRResult[] {
    const result: ATRResult[] = [];
    const trueRanges: number[] = [];

    // Calculate True Range
    for (let i = 1; i < data.length; i++) {
      const high = data[i].high;
      const low = data[i].low;
      const prevClose = data[i - 1].close;

      const tr = Math.max(high - low, Math.abs(high - prevClose), Math.abs(low - prevClose));
      trueRanges.push(tr);
    }

    // Calculate initial ATR (simple average)
    let atr = 0;
    for (let i = 0; i < period; i++) {
      atr += trueRanges[i];
    }
    atr /= period;
    result.push({ time: data[period].time, value: atr });

    // Calculate ATR using Wilder's smoothing
    for (let i = period; i < trueRanges.length; i++) {
      atr = (atr * (period - 1) + trueRanges[i]) / period;
      result.push({ time: data[i + 1].time, value: atr });
    }

    return result;
  }

  // ==========================================================================
  // Volume Indicators
  // ==========================================================================

  /**
   * Calculate Volume Weighted Average Price (VWAP)
   */
  async getVWAP(params: IndicatorParams): Promise<VWAPResult[]> {
    const { symbol, interval, limit = 100 } = params;
    const ohlcv = await this.getOHLCV(symbol, interval, limit);
    return this.calculateVWAP(ohlcv);
  }

  private calculateVWAP(data: OHLCV[]): VWAPResult[] {
    const result: VWAPResult[] = [];
    let cumulativeTPV = 0;
    let cumulativeVolume = 0;

    for (const candle of data) {
      const typicalPrice = (candle.high + candle.low + candle.close) / 3;
      cumulativeTPV += typicalPrice * candle.volume;
      cumulativeVolume += candle.volume;

      const vwap = cumulativeVolume > 0 ? cumulativeTPV / cumulativeVolume : typicalPrice;
      result.push({ time: candle.time, value: vwap });
    }

    return result;
  }

  // ==========================================================================
  // All-in-One
  // ==========================================================================

  /**
   * Get multiple indicators for a symbol
   */
  async getAllIndicators(
    symbol: string,
    interval: Interval,
    limit: number = 100
  ): Promise<{
    sma20: SMAResult[];
    sma50: SMAResult[];
    ema12: EMAResult[];
    ema26: EMAResult[];
    rsi: RSIResult[];
    macd: MACDResult[];
    bollinger: BollingerBandsResult[];
    atr: ATRResult[];
  }> {
    // Fetch all data needed (max period is 50 for SMA + limit)
    const ohlcv = await this.getOHLCV(symbol, interval, limit + 60);

    const [sma20, sma50, ema12, ema26, rsi, macd, bollinger, atr] = await Promise.all([
      Promise.resolve(this.calculateSMA(ohlcv, 20)),
      Promise.resolve(this.calculateSMA(ohlcv, 50)),
      Promise.resolve(this.calculateEMA(ohlcv, 12)),
      Promise.resolve(this.calculateEMA(ohlcv, 26)),
      Promise.resolve(this.calculateRSI(ohlcv, 14)),
      Promise.resolve(this.calculateMACD(ohlcv, 12, 26, 9)),
      Promise.resolve(this.calculateBollingerBands(ohlcv, 20, 2)),
      Promise.resolve(this.calculateATR(ohlcv, 14)),
    ]);

    return { sma20, sma50, ema12, ema26, rsi, macd, bollinger, atr };
  }
}

export const indicatorsService = new IndicatorsService();