Method: TechnicalAnalysis::Obv.calculate

Defined in:
lib/technical_analysis/indicators/obv.rb

.calculate(data) ⇒ Array<ObvValue>

Calculates the on-balance volume (OBV) for the data over the given period en.wikipedia.org/wiki/On-balance_volume

Parameters:

  • data (Array) —

    Array of hashes with keys (:date_time, :close, :volume)

Returns:

  • (Array<ObvValue>) —

    An array of ObvValue instances



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# File 'lib/technical_analysis/indicators/obv.rb', line 52

def self.calculate(data)
  Validation.validate_numeric_data(data, :close, :volume)
  Validation.validate_length(data, min_data_size({}))
  Validation.validate_date_time_key(data)

  data = data.sort_by { |row| row[:date_time] }

  current_obv = 0
  output = []
  prior_close = nil
  prior_volume = nil

  data.each do |v|
    volume = v[:volume]
    close = v[:close]

    unless prior_close.nil?
      current_obv += volume if close > prior_close
      current_obv -= volume if close < prior_close
    end

    output << ObvValue.new(date_time: v[:date_time], obv: current_obv)

    prior_volume = volume
    prior_close = close
  end

  output.sort_by(&:date_time).reverse
end