Removes brick/math, uses BCMath directly

kenshodigital · Aug 9, 2024 · 26cc057 · 26cc057
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commit 26cc057
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diff --git a/README.md b/README.md
@@ -6,7 +6,7 @@ Calculates [indicators][1] for [technical chart analysis][2] in [PHP][3].
 
 - [PHP 8.3][4]
 - Minimal dependencies. 
-- Uses [brick/math][5] for arbitrary precision numbers.
+- Uses [BCMath][5] for arbitrary precision calculations.
 - Avoids redundant calculations and keeps the overall complexity low.
 - Unit- and integration tested against [other libraries][6] and [real-world data][7].
 
@@ -169,15 +169,15 @@ $result    = $chart->getTrend($SMAPeriod, $EMAPeriod);
 
 #### Why are numeric values represented as strings?
 
-> Note about floating-point values: instantiating from a float might be unsafe, as floating-point values are imprecise by design, and could result in a loss of information. Always prefer instantiating from a string, which supports an unlimited number of digits.
+> Floating point numbers have limited precision. [...] So never trust floating number results to the last digit, and do not compare floating point numbers directly for equality. If higher precision is necessary, the arbitrary precision math functions are available.
 >
-> — [brick/math][5]
+> — [php.net][15]
 
  [1]: https://en.wikipedia.org/wiki/Technical_indicator
  [2]: https://en.wikipedia.org/wiki/Technical_analysis
  [3]: https://www.php.net
  [4]: https://www.php.net/releases/8.3/en.php
- [5]: https://github.com/brick/math
+ [5]: https://www.php.net/manual/en/book.bc.php
  [6]: https://github.com/bennycode/trading-signals
  [7]: https://www.alphavantage.co
  [8]: #prepare-chart
@@ -187,3 +187,4 @@ $result    = $chart->getTrend($SMAPeriod, $EMAPeriod);
 [12]: #ema-exponential-moving-average
 [13]: #di---di-positive---negative-directional-indicator
 [14]: #adx-average-directional-index
+[15]: https://www.php.net/manual/en/language.types.float.php
diff --git a/composer.json b/composer.json
@@ -47,8 +47,7 @@
     "require":
     {
         "php":        "^8.3",
-        "ext-bcmath": "*",
-        "brick/math": "^0.12"
+        "ext-bcmath": "*"
     },
     "require-dev":
     {

diff --git a/src/Candle/Candle.php b/src/Candle/Candle.php
@@ -2,9 +2,8 @@
 
 namespace Kensho\Chart\Candle;
 
-use Brick\Math\BigDecimal;
-use Brick\Math\BigInteger;
 use DomainException;
+use Kensho\Chart\Number;
 
 /**
  * Open price, high price, low price, close price, volume,
@@ -13,14 +12,14 @@
 final readonly class Candle
 {
     public function __construct(
-        public BigDecimal $open,
-        public BigDecimal $high,
-        public BigDecimal $low,
-        public BigDecimal $close,
-        public BigInteger $volume,
-        public BigDecimal $TR,
-        public BigDecimal $DMp,
-        public BigDecimal $DMm,
+        public Number $open,
+        public Number $high,
+        public Number $low,
+        public Number $close,
+        public Number $volume,
+        public Number $TR,
+        public Number $DMp,
+        public Number $DMm,
     ) {
         if ($open->isNegative()) {
             throw new DomainException(

diff --git a/src/Candle/CandleFactory.php b/src/Candle/CandleFactory.php
@@ -2,15 +2,10 @@
 
 namespace Kensho\Chart\Candle;
 
-use Brick\Math\BigDecimal;
-use Brick\Math\BigInteger;
-use Brick\Math\Exception\MathException;
+use Kensho\Chart\Number;
 
 final readonly class CandleFactory implements CandleFactoryInterface
 {
-    /**
-     * @throws MathException
-     */
     public static function create(
         string      $open,
         string      $high,
@@ -19,27 +14,33 @@ public static function create(
         string      $volume,
         Candle|null $previous,
     ): Candle {
-        $open    = BigDecimal::of($open);
-        $high    = BigDecimal::of($high);
-        $low     = BigDecimal::of($low);
-        $close   = BigDecimal::of($close);
-        $volume  = BigInteger::of($volume);
+        $open    = new Number($open);
+        $high    = new Number($high);
+        $low     = new Number($low);
+        $close   = new Number($close);
+        $volume  = new Number($volume);
         $highLow = $high->minus($low);
         $TR      = $highLow;
-        $DMp     = BigDecimal::zero();
-        $DMm     = BigDecimal::zero();
+        $DMp     = new Number(0);
+        $DMm     = new Number(0);
 
         if ($previous !== null) {
 
             /*
              * Calculates true range (TR).
              */
 
-            $highClose     = $high->minus($previous->close);
-            $absHighClose  = $highClose->abs();
-            $lowClose      = $low->minus($previous->close);
-            $absLowClose   = $lowClose->abs();
-            $TR            = BigDecimal::max($highLow, $absHighClose, $absLowClose);
+            $highClose    = $high->minus($previous->close);
+            $absHighClose = $highClose->abs();
+            $lowClose     = $low->minus($previous->close);
+            $absLowClose  = $lowClose->abs();
+
+            if ($absHighClose->isGreaterThan($TR)) {
+                $TR = $absHighClose;
+            }
+            if ($absLowClose->isGreaterThan($TR)) {
+                $TR = $absLowClose;
+            }
 
             /*
              * Calculates directional movements (+DM & -DM).

diff --git a/src/Chart/Chart.php b/src/Chart/Chart.php
@@ -2,9 +2,6 @@
 
 namespace Kensho\Chart\Chart;
 
-use Brick\Math\BigDecimal;
-use Brick\Math\Exception\RoundingNecessaryException;
-use Brick\Math\RoundingMode;
 use Kensho\Chart\Candle\Candle;
 use Kensho\Chart\DI;
 use Kensho\Chart\Indicator\ADX\ADXFactoryInterface;
@@ -15,8 +12,7 @@
 
 final readonly class Chart implements ChartInterface
 {
-    private const ROUNDING_MODE = RoundingMode::HALF_UP;
-    private const SCALE         = 4;
+    private const SCALE = 4;
 
     /**
      * @param array<string, Candle> $candles
@@ -29,9 +25,6 @@ public function __construct(
         private ADXFactoryInterface $ADXFactory,
     ) {}
 
-    /**
-     * @throws RoundingNecessaryException
-     */
     public function getSMA(int $period): array
     {
         $SMA    = $this->SMAFactory::create($period);
@@ -40,14 +33,11 @@ public function getSMA(int $period): array
         foreach ($this->candles as $date => $candle) {
             $close         = $candle->close;
             $SMAResult     = $SMA->calculate($close);
-            $result[$date] = $this->round($SMAResult);
+            $result[$date] = $SMAResult?->round(self::SCALE);
         }
         return $result;
     }
 
-    /**
-     * @throws RoundingNecessaryException
-     */
     public function getEMA(int $period): array
     {
         $EMA    = $this->EMAFactory::create($period);
@@ -56,14 +46,11 @@ public function getEMA(int $period): array
         foreach ($this->candles as $date => $candle) {
             $close         = $candle->close;
             $EMAResult     = $EMA->calculate($close);
-            $result[$date] = $this->round($EMAResult);
+            $result[$date] = $EMAResult?->round(self::SCALE);
         }
         return $result;
     }
 
-    /**
-     * @throws RoundingNecessaryException
-     */
     public function getDI(int $period): array
     {
         $DI     = $this->DIFactory::create($period);
@@ -75,17 +62,14 @@ public function getDI(int $period): array
             $TR            = $candle->TR;
             $DIResult      = $DI->calculate($DMp, $DMm, $TR);
             $DIpResult     = $DIResult->DIp;
-            $DIpRounded    = $this->round($DIpResult);
+            $DIpRounded    = $DIpResult?->round(self::SCALE);
             $DImResult     = $DIResult->DIm;
-            $DImRounded    = $this->round($DImResult);
+            $DImRounded    = $DImResult?->round(self::SCALE);
             $result[$date] = new DI($DIpRounded, $DImRounded);
         }
         return $result;
     }
 
-    /**
-     * @throws RoundingNecessaryException
-     */
     public function getADX(int $period): array
     {
         $DI     = $this->DIFactory::create($period);
@@ -102,17 +86,14 @@ public function getADX(int $period): array
 
             if ($DIpResult !== null && $DImResult !== null) {
                 $ADXResult     = $ADX->calculate($DIpResult, $DImResult);
-                $result[$date] = $this->round($ADXResult);
+                $result[$date] = $ADXResult?->round(self::SCALE);
             } else {
                 $result[$date] = null;
             }
         }
         return $result;
     }
 
-    /**
-     * @throws RoundingNecessaryException
-     */
     public function getTrend(int $SMAPeriod, int $EMAPeriod): array
     {
         $SMA    = $this->SMAFactory::create($SMAPeriod);
@@ -123,24 +104,24 @@ public function getTrend(int $SMAPeriod, int $EMAPeriod): array
 
         foreach ($this->candles as $date => $candle) {
             $close        = $candle->close;
-            $closeRounded = $this->round($close);
+            $closeRounded = $close->round(self::SCALE);
             $SMAResult    = $SMA->calculate($close);
-            $SMARounded   = $this->round($SMAResult);
+            $SMARounded   = $SMAResult?->round(self::SCALE);
             $EMAResult    = $EMA->calculate($close);
-            $EMARounded   = $this->round($EMAResult);
+            $EMARounded   = $EMAResult?->round(self::SCALE);
             $DMp          = $candle->DMp;
             $DMm          = $candle->DMm;
             $TR           = $candle->TR;
             $DIResult     = $DI->calculate($DMp, $DMm, $TR);
             $DIpResult    = $DIResult->DIp;
-            $DIpRounded   = $this->round($DIpResult);
+            $DIpRounded   = $DIpResult?->round(self::SCALE);
             $DImResult    = $DIResult->DIm;
-            $DImRounded   = $this->round($DImResult);
+            $DImRounded   = $DImResult?->round(self::SCALE);
             $ADXRounded   = null;
 
             if ($DIpResult !== null && $DImResult !== null) {
                 $ADXResult  = $ADX->calculate($DIpResult, $DImResult);
-                $ADXRounded = $this->round($ADXResult);
+                $ADXRounded = $ADXResult?->round(self::SCALE);
             }
 
             $result[$date] = new Trend(
@@ -154,12 +135,4 @@ public function getTrend(int $SMAPeriod, int $EMAPeriod): array
         }
         return $result;
     }
-
-    /**
-     * @throws RoundingNecessaryException
-     */
-    private function round(BigDecimal|null $value): string|null
-    {
-        return $value?->toScale(self::SCALE, self::ROUNDING_MODE)->__toString();
-    }
 }
diff --git a/src/Indicator/ADX/ADX.php b/src/Indicator/ADX/ADX.php
@@ -2,23 +2,16 @@
 
 namespace Kensho\Chart\Indicator\ADX;
 
-use Brick\Math\BigDecimal;
-use Brick\Math\Exception\MathException;
-use Kensho\Chart\Indicator\PrecisionTrait;
 use Kensho\Chart\Indicator\WSMA\WSMAInterface;
+use Kensho\Chart\Number;
 
 final readonly class ADX implements ADXInterface
 {
-    use PrecisionTrait;
-
     public function __construct(
         private WSMAInterface $WSMA,
     ) {}
 
-    /**
-     * @throws MathException
-     */
-    public function calculate(BigDecimal $DIp, BigDecimal $DIm): BigDecimal|null
+    public function calculate(Number $DIp, Number $DIm): Number|null
     {
         /*
          * Calculates the directional movement index (DI).
@@ -28,9 +21,9 @@ public function calculate(BigDecimal $DIp, BigDecimal $DIm): BigDecimal|null
         $denominator = $DIp->plus($DIm);
 
         if ($denominator->isZero()) {
-            $DX = BigDecimal::zero();
+            $DX = new Number(0);
         } else {
-            $DX = $numerator->dividedBy($denominator, self::SCALE, self::ROUNDING_MODE)->multipliedBy(100);
+            $DX = $numerator->dividedBy($denominator)->multipliedBy(100);
         }
 
         /*

diff --git a/src/Indicator/ADX/ADXInterface.php b/src/Indicator/ADX/ADXInterface.php
@@ -2,12 +2,12 @@
 
 namespace Kensho\Chart\Indicator\ADX;
 
-use Brick\Math\BigDecimal;
+use Kensho\Chart\Number;
 
 /**
  * Calculates the average directional movement index (ADX).
  */
 interface ADXInterface
 {
-    public function calculate(BigDecimal $DIp, BigDecimal $DIm): BigDecimal|null;
+    public function calculate(Number $DIp, Number $DIm): Number|null;
 }
diff --git a/src/Indicator/DI/DI.php b/src/Indicator/DI/DI.php
@@ -2,25 +2,18 @@
 
 namespace Kensho\Chart\Indicator\DI;
 
-use Brick\Math\BigDecimal;
-use Brick\Math\Exception\MathException;
-use Kensho\Chart\Indicator\PrecisionTrait;
 use Kensho\Chart\Indicator\WSMA\WSMAInterface;
+use Kensho\Chart\Number;
 
 final readonly class DI implements DIInterface
 {
-    use PrecisionTrait;
-
     public function __construct(
         private WSMAInterface $DMpSMA,
         private WSMAInterface $DMmSMA,
         private WSMAInterface $ATR,
     ) {}
 
-    /**
-     * @throws MathException
-     */
-    public function calculate(BigDecimal $DMp, BigDecimal $DMm, BigDecimal $TR): DIResult
+    public function calculate(Number $DMp, Number $DMm, Number $TR): DIResult
     {
         /*
          * Calculates the smoothed moving averages
@@ -45,11 +38,11 @@ public function calculate(BigDecimal $DMp, BigDecimal $DMm, BigDecimal $TR): DIR
              */
 
             if ($ATR->isZero()) {
-                $DIp = BigDecimal::zero();
-                $DIm = BigDecimal::zero();
+                $DIp = new Number(0);
+                $DIm = new Number(0);
             } else {
-                $DIp = $DMpSMA->dividedBy($ATR, self::SCALE, self::ROUNDING_MODE)->multipliedBy(100);
-                $DIm = $DMmSMA->dividedBy($ATR, self::SCALE, self::ROUNDING_MODE)->multipliedBy(100);
+                $DIp = $DMpSMA->dividedBy($ATR)->multipliedBy(100);
+                $DIm = $DMmSMA->dividedBy($ATR)->multipliedBy(100);
             }
         }
         return new DIResult(

diff --git a/src/Indicator/DI/DIInterface.php b/src/Indicator/DI/DIInterface.php
@@ -2,12 +2,12 @@
 
 namespace Kensho\Chart\Indicator\DI;
 
-use Brick\Math\BigDecimal;
+use Kensho\Chart\Number;
 
 /**
  * Calculates the directional indicators (+DI & -DI).
  */
 interface DIInterface
 {
-    public function calculate(BigDecimal $DMp, BigDecimal $DMm, BigDecimal $TR): DIResult;
+    public function calculate(Number $DMp, Number $DMm, Number $TR): DIResult;
 }