Normalized Price Transform

Install and import#

npm install fintech-algorithms

import { normalizedPriceTransform } from "fintech-algorithms/technical-indicators/price-transforms/normalized-price-transform";

Signature#

normalizedPriceTransform(input)

Converts close into a rolling z-score against its own moving average and standard deviation.

Parameters#

Returns#

TopicResult

series holds value, the z-score, alongside the mean and std it was built from; latest carries the last element of each. std is the population standard deviation over the window, and a window whose std is 0 yields a null value while still reporting mean and std. The warm-up is the window.

Warm-up#

The first `period` - 1 bars (19 with the default 20) positions are null. ready_at is 19 on default parameters, set by mean and std becoming available on the same index as value.

Errors#

• When period is not an integer of at least 2 — throws Error
• When a close is not a finite number — throws Error
• When fewer than one bar is supplied — 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#

normalizedPriceTransform(input)

Returns#

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

{
  "topic_id": "D07-F08-A08",
  "title": "Normalized Price Transform",
  "state": "calculated",
  "ready": true,
  "ready_at": 19,
  "series": {
    "value": [null, null, null, null, null, null],
    "mean": [null, null, null, null, null, null],
    "std": [null, null, null, null, null, null]
  },
  "latest": {
    "value": -1.9447777278294258,
    "mean": 104.20055051999998,
    "std": 2.164636086561151
  },
  "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 Normalized 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…
• Log Price TransformTakes the natural logarithm of each close and the first difference of those logs.
• Price RelativeRebases the ratio of close to a benchmark level so the first bar equals base, producing a relative-strength line.