Tape speed heat

// How fast the tape printed at each price, as a heat behind the candles: the rows where the crowd
// hit fastest, which are often not where the dollars were. Each value is carried into later bars
// and fades, so a fast level stays lit while price moves on. Taker orders count an order once at
// each price it filled at. Against the last hour divides by the last hour's prints a bar, so a quiet
// session's bursts light up as brightly as a busy one's. By side draws each row in its faster side's colour.
indicator('Tape speed heat', { overlay: true, shortName: 'Tape speed' });

// These inputs' ids (in0, in1, in2) and values stay as they are: the chart's built-in Tape speed keeps them.
// The heat's label says what it counts, so the legend's name leaves the inputs out.
const count = input.choice('Count', 'prints', ['prints', 'orders'], { labels: { prints: 'Prints', orders: 'Taker orders' }, legend: false });
const against = input.choice('Against', 'none', ['none', 'lastHour'], { labels: { none: 'Nothing', lastHour: 'Last hour' }, legend: false });
const bySide = input.bool('By side', false);

const chart = bars();
const tape = trades();
const what = `${count === 'orders' ? 'Taker orders' : 'Prints'}${against === 'lastHour' ? ' against the last hour' : ''}`;
const heat = bySide
  ? plot.heat('Tape speed', {
    sides: [
      { id: 'sells', label: `${what}, sellers`, color: color.down },
      { id: 'buys', label: `${what}, buyers`, color: color.up },
    ],
    measure: 'count',
    combine: 'larger',
  })
  : plot.heat('Tape speed', { label: what, measure: 'count' });

// The last hour's pace: what each bar counted, averaged over an hour of bars.
const perBar = tally();
const pace = ta.sma(Math.max(1, Math.round(3_600_000 / chart.interval.ms)));
// The price the previous fill printed at: an order's next fill at the same price is the same order there.
const lastPrice = state.live<number>(0);

tape.onTrade((t) => {
  const counted = count === 'prints' || !t.sameOrder || t.price !== lastPrice.value;
  lastPrice.value = t.price;
  if (!counted) return;
  perBar.add(1);
  let amount = 1;
  if (against === 'lastHour') {
    const normal = pace.confirmed;
    if (isNa(normal) || normal <= 0) return;
    amount = 1 / normal;
  }
  if (bySide) heat.add(t.side === 'sell' ? 'sells' : 'buys', t.price, amount);
  else heat.add(t.price, amount);
});

chart.onClose(() => {
  pace.update(perBar.count);
});