Log Price Transform

Install and import#

npm install fintech-algorithms

import { logPriceTransform } from "fintech-algorithms/technical-indicators/price-transforms/log-price-transform";

Signature#

logPriceTransform(input)

Takes the natural logarithm of each close and the first difference of those logs.

Parameters#

Returns#

TopicResult

series holds log_price, the natural log of close on every bar, and log_return, the difference between consecutive logs. latest carries the last element of each. log_return is null on the first bar only, which is the whole warm-up.

Warm-up#

The first 1 bar for `log_return`; none for `log_price` positions are null. ready_at is 0 because log_price is available immediately.

Errors#

• When any close is zero or negative — throws Error
• When a close is not a finite number — throws Error
• When bars is empty — throws Error

Complexity: time O(n), space O(n).

Worked example#

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input#

{
  "bars": [
    {
      "timestamp": "2024-01-02",
      "basis": "synthetic-unadjusted",
      "open": 100,
      "high": 101.45,
      "low": 98.695,
      "close": 100,
      "volume": 750000,
      "benchmark": 200
    },
    {
      "timestamp": "2024-01-03",
      "basis": "synthetic-unadjusted",
      "open": 101.49111452,
      "high": 103.38381693,
      "low": 100.05480022,
      "close": 101.78791214,
      "volume": 795117,
      "benchmark": 200.56326135
    },
    {
      "timestamp": "2024-01-04",
      "basis": "synthetic-unadjusted",
      "open": 102.45519048,
      "high": 104.6701838,
      "low": 100.91147007,
      "close": 102.9549389,
      "volume": 840234,
      "benchmark": 201.11020913
    }
  ],
  "parameters": {}
}

Call#

logPriceTransform(input)

Returns#

object with 9 fields: topic_id, title, state, ready, ready_at, series, latest, parameters, …

{
  "topic_id": "D07-F08-A06",
  "title": "Log Price Transform",
  "state": "calculated",
  "ready": true,
  "ready_at": 0,
  "series": {
    "log_price": [
      4.605170185988092,
      4.622891355808754,
      4.634291406096771,
      4.6369816208940655,
      4.633089782650425,
      4.627603917225904
    ],
    "log_return": [
      null,
      0.017721169820662297,
      0.011400050288016494,
      0.002690214797294921,
      -0.0038918382436401444,
      -0.005485865424521563
    ]
  },
  "latest": {
    "log_price": 4.605078326469135,
    "log_return": -0.0146799922919163
  },
  "parameters": {},
  "diagnostics": {
    "causal": true,
    "input_count": 96
  }
}

Diagrams#

Calculation flow#

flowchart LR
    A["finite, basis-consistent OHLC observations and any require"] --> B["Validate order, basis, and finite values"]
    B --> C["Apply the selected Log Price Transform convention"]
    C --> D["Emit value, readiness, and diagnostics"]
    D --> E["Interpret descriptively; test outcomes separately"]
    B -->|invalid or insufficient| X["Withhold output with a reason"]

stateDiagram-v2
    [*] --> Waiting
    Waiting --> Ready: enough valid causal observations
    Waiting --> Rejected: malformed or unsupported input
    Ready --> Calculated: selected formula applied
    Calculated --> Interpreted: diagnostic and limitation retained
    Interpreted --> Ready: next observation arrives
    Rejected --> Waiting: corrected input and deterministic reset

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

• TA-Lib function groups — see linked primary or authoritative record
• TA-Lib C/C++ API — see linked primary or authoritative record
• TA-Lib maintained source — see linked primary or authoritative record
• Evidence decision
• Level 1 evidence map

The rest of the Price Transforms family#

• Typical PriceAverages each bar's high, low and close into a single representative price.
• Median Price TransformTakes the midpoint of each bar's high and low.
• Weighted CloseAverages high, low and a double-weighted close so the settlement price dominates the bar.
• Average Price TransformAverages all four OHLC prices into one value per bar.
• Heikin-Ashi TransformRebuilds each bar as a Heikin-Ashi candle, averaging OHLC into the smoothed close and carrying the smoothed open forward from t…
• Price RelativeRebases the ratio of close to a benchmark level so the first bar equals base, producing a relative-strength line.
• Normalized Price TransformConverts close into a rolling z-score against its own moving average and standard deviation.