all: add parameter index to the Last method

kauandotnet · May 31, 2023 · 5515f58 · 5515f58
1 parent 2a074ba
commit 5515f58
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Showing 142 changed files with 843 additions and 996 deletions.
diff --git a/pkg/bbgo/exit_lower_shadow_take_profit.go b/pkg/bbgo/exit_lower_shadow_take_profit.go
@@ -48,7 +48,7 @@ func (s *LowerShadowTakeProfit) Bind(session *ExchangeSession, orderExecutor *Ge
 		}
 
 		// skip close price higher than the ewma
-		if closePrice.Float64() > ewma.Last() {
+		if closePrice.Float64() > ewma.Last(0) {
 			return
 		}
 

diff --git a/pkg/bbgo/stop_ema.go b/pkg/bbgo/stop_ema.go
@@ -21,7 +21,7 @@ func (s *StopEMA) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExec
 }
 
 func (s *StopEMA) Allowed(closePrice fixedpoint.Value) bool {
-	ema := fixedpoint.NewFromFloat(s.stopEWMA.Last())
+	ema := fixedpoint.NewFromFloat(s.stopEWMA.Last(0))
 	if ema.IsZero() {
 		logrus.Infof("stopEMA protection: value is zero, skip")
 		return false

diff --git a/pkg/bbgo/trend_ema.go b/pkg/bbgo/trend_ema.go
@@ -29,12 +29,12 @@ func (s *TrendEMA) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExe
 		}
 
 		s.last = s.ewma.Values[s.ewma.Length()-2]
-		s.current = s.ewma.Last()
+		s.current = s.ewma.Last(0)
 	})
 
 	session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
 		s.last = s.current
-		s.current = s.ewma.Last()
+		s.current = s.ewma.Last(0)
 	}))
 }
 

diff --git a/pkg/datatype/floats/slice.go b/pkg/datatype/floats/slice.go
@@ -183,12 +183,12 @@ func (s Slice) Addr() *Slice {
 }
 
 // Last, Index, Length implements the types.Series interface
-func (s Slice) Last() float64 {
+func (s Slice) Last(i int) float64 {
 	length := len(s)
-	if length > 0 {
-		return s[length-1]
+	if i < 0 || length-1-i < 0 {
+		return 0.0
 	}
-	return 0.0
+	return s[length-1-i]
 }
 
 // Index fetches the element from the end of the slice

diff --git a/pkg/indicator/ad.go b/pkg/indicator/ad.go
@@ -35,15 +35,16 @@ func (inc *AD) Update(high, low, cloze, volume float64) {
 		moneyFlowVolume = ((2*cloze - high - low) / (high - low)) * volume
 	}
 
-	ad := inc.Last() + moneyFlowVolume
+	ad := inc.Last(0) + moneyFlowVolume
 	inc.Values.Push(ad)
 }
 
-func (inc *AD) Last() float64 {
-	if len(inc.Values) == 0 {
-		return 0.0
+func (inc *AD) Last(i int) float64 {
+	length := len(inc.Values)
+	if length == 0 || length-i-1 < 0 {
+		return 0
 	}
-	return inc.Values[len(inc.Values)-1]
+	return inc.Values[length-i-1]
 }
 
 func (inc *AD) Index(i int) float64 {
@@ -68,7 +69,7 @@ func (inc *AD) CalculateAndUpdate(kLines []types.KLine) {
 		inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64(), k.Volume.Float64())
 	}
 
-	inc.EmitUpdate(inc.Last())
+	inc.EmitUpdate(inc.Last(0))
 	inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
 }
 

diff --git a/pkg/indicator/alma.go b/pkg/indicator/alma.go
@@ -20,6 +20,7 @@ import (
 //
 // @param offset: Gaussian applied to the combo line. 1->ema, 0->sma
 // @param sigma: the standard deviation applied to the combo line. This makes the combo line sharper
+//
 //go:generate callbackgen -type ALMA
 type ALMA struct {
 	types.SeriesBase
@@ -64,11 +65,11 @@ func (inc *ALMA) Update(value float64) {
 	}
 }
 
-func (inc *ALMA) Last() float64 {
-	if len(inc.Values) == 0 {
+func (inc *ALMA) Last(i int) float64 {
+	if i >= len(inc.Values) {
 		return 0
 	}
-	return inc.Values[len(inc.Values)-1]
+	return inc.Values[len(inc.Values)-i-1]
 }
 
 func (inc *ALMA) Index(i int) float64 {
@@ -88,12 +89,12 @@ func (inc *ALMA) CalculateAndUpdate(allKLines []types.KLine) {
 	if inc.input == nil {
 		for _, k := range allKLines {
 			inc.Update(k.Close.Float64())
-			inc.EmitUpdate(inc.Last())
+			inc.EmitUpdate(inc.Last(0))
 		}
 		return
 	}
 	inc.Update(allKLines[len(allKLines)-1].Close.Float64())
-	inc.EmitUpdate(inc.Last())
+	inc.EmitUpdate(inc.Last(0))
 }
 
 func (inc *ALMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {

diff --git a/pkg/indicator/alma_test.go b/pkg/indicator/alma_test.go
@@ -53,7 +53,7 @@ func Test_ALMA(t *testing.T) {
 				Sigma:          6,
 			}
 			alma.CalculateAndUpdate(tt.kLines)
-			assert.InDelta(t, tt.want, alma.Last(), Delta)
+			assert.InDelta(t, tt.want, alma.Last(0), Delta)
 			assert.InDelta(t, tt.next, alma.Index(1), Delta)
 			assert.Equal(t, tt.all, alma.Length())
 		})

diff --git a/pkg/indicator/atr.go b/pkg/indicator/atr.go
@@ -74,18 +74,18 @@ func (inc *ATR) Update(high, low, cloze float64) {
 
 	// apply rolling moving average
 	inc.RMA.Update(trueRange)
-	atr := inc.RMA.Last()
+	atr := inc.RMA.Last(0)
 	inc.PercentageVolatility.Push(atr / cloze)
 	if len(inc.PercentageVolatility) > MaxNumOfATR {
 		inc.PercentageVolatility = inc.PercentageVolatility[MaxNumOfATRTruncateSize-1:]
 	}
 }
 
-func (inc *ATR) Last() float64 {
+func (inc *ATR) Last(i int) float64 {
 	if inc.RMA == nil {
 		return 0
 	}
-	return inc.RMA.Last()
+	return inc.RMA.Last(i)
 }
 
 func (inc *ATR) Index(i int) float64 {
@@ -110,5 +110,5 @@ func (inc *ATR) PushK(k types.KLine) {
 
 	inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
 	inc.EndTime = k.EndTime.Time()
-	inc.EmitUpdate(inc.Last())
+	inc.EmitUpdate(inc.Last(0))
 }
diff --git a/pkg/indicator/atr_test.go b/pkg/indicator/atr_test.go
@@ -65,7 +65,7 @@ func Test_calculateATR(t *testing.T) {
 				atr.PushK(k)
 			}
 
-			got := atr.Last()
+			got := atr.Last(0)
 			diff := math.Trunc((got-tt.want)*100) / 100
 			if diff != 0 {
 				t.Errorf("calculateATR() = %v, want %v", got, tt.want)

diff --git a/pkg/indicator/atrp.go b/pkg/indicator/atrp.go
@@ -21,7 +21,7 @@ import (
 //
 // Calculation:
 //
-//     ATRP = (Average True Range / Close) * 100
+//	ATRP = (Average True Range / Close) * 100
 //
 //go:generate callbackgen -type ATRP
 type ATRP struct {
@@ -69,15 +69,15 @@ func (inc *ATRP) Update(high, low, cloze float64) {
 
 	// apply rolling moving average
 	inc.RMA.Update(trueRange)
-	atr := inc.RMA.Last()
+	atr := inc.RMA.Last(0)
 	inc.PercentageVolatility.Push(atr / cloze)
 }
 
-func (inc *ATRP) Last() float64 {
+func (inc *ATRP) Last(i int) float64 {
 	if inc.RMA == nil {
 		return 0
 	}
-	return inc.RMA.Last()
+	return inc.RMA.Last(i)
 }
 
 func (inc *ATRP) Index(i int) float64 {
@@ -109,7 +109,7 @@ func (inc *ATRP) CalculateAndUpdate(kLines []types.KLine) {
 		inc.PushK(k)
 	}
 
-	inc.EmitUpdate(inc.Last())
+	inc.EmitUpdate(inc.Last(0))
 	inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
 }
 

diff --git a/pkg/indicator/boll.go b/pkg/indicator/boll.go
@@ -84,8 +84,8 @@ func (inc *BOLL) Update(value float64) {
 	inc.SMA.Update(value)
 	inc.StdDev.Update(value)
 
-	var sma = inc.SMA.Last()
-	var stdDev = inc.StdDev.Last()
+	var sma = inc.SMA.Last(0)
+	var stdDev = inc.StdDev.Last(0)
 	var band = inc.K * stdDev
 
 	var upBand = sma + band
@@ -105,15 +105,15 @@ func (inc *BOLL) PushK(k types.KLine) {
 	}
 	inc.Update(k.Close.Float64())
 	inc.EndTime = k.EndTime.Time()
-	inc.EmitUpdate(inc.SMA.Last(), inc.UpBand.Last(), inc.DownBand.Last())
+	inc.EmitUpdate(inc.SMA.Last(0), inc.UpBand.Last(0), inc.DownBand.Last(0))
 }
 
 func (inc *BOLL) LoadK(allKLines []types.KLine) {
 	for _, k := range allKLines {
 		inc.PushK(k)
 	}
 
-	inc.EmitUpdate(inc.SMA.Last(), inc.UpBand.Last(), inc.DownBand.Last())
+	inc.EmitUpdate(inc.SMA.Last(0), inc.UpBand.Last(0), inc.DownBand.Last(0))
 }
 
 func (inc *BOLL) CalculateAndUpdate(allKLines []types.KLine) {

diff --git a/pkg/indicator/boll_test.go b/pkg/indicator/boll_test.go
@@ -61,8 +61,8 @@ func TestBOLL(t *testing.T) {
 		t.Run(tt.name, func(t *testing.T) {
 			boll := BOLL{IntervalWindow: types.IntervalWindow{Window: tt.window}, K: tt.k}
 			boll.CalculateAndUpdate(tt.kLines)
-			assert.InDelta(t, tt.up, boll.UpBand.Last(), Delta)
-			assert.InDelta(t, tt.down, boll.DownBand.Last(), Delta)
+			assert.InDelta(t, tt.up, boll.UpBand.Last(0), Delta)
+			assert.InDelta(t, tt.down, boll.DownBand.Last(0), Delta)
 		})
 	}
 

diff --git a/pkg/indicator/cci.go b/pkg/indicator/cci.go
@@ -43,7 +43,7 @@ func (inc *CCI) Update(value float64) {
 	}
 
 	inc.Input.Push(value)
-	tp := inc.TypicalPrice.Last() - inc.Input.Index(inc.Window) + value
+	tp := inc.TypicalPrice.Last(0) - inc.Input.Index(inc.Window) + value
 	inc.TypicalPrice.Push(tp)
 	if len(inc.Input) < inc.Window {
 		return
@@ -55,7 +55,7 @@ func (inc *CCI) Update(value float64) {
 	}
 	md := 0.
 	for i := 0; i < inc.Window; i++ {
-		diff := inc.Input.Index(i) - ma
+		diff := inc.Input.Last(i) - ma
 		md += diff * diff
 	}
 	md = math.Sqrt(md / float64(inc.Window))
@@ -68,18 +68,12 @@ func (inc *CCI) Update(value float64) {
 	}
 }
 
-func (inc *CCI) Last() float64 {
-	if len(inc.Values) == 0 {
-		return 0
-	}
-	return inc.Values[len(inc.Values)-1]
+func (inc *CCI) Last(i int) float64 {
+	return inc.Values.Last(i)
 }
 
 func (inc *CCI) Index(i int) float64 {
-	if i >= len(inc.Values) {
-		return 0
-	}
-	return inc.Values[len(inc.Values)-1-i]
+	return inc.Last(i)
 }
 
 func (inc *CCI) Length() int {
@@ -96,12 +90,12 @@ func (inc *CCI) CalculateAndUpdate(allKLines []types.KLine) {
 	if inc.TypicalPrice.Length() == 0 {
 		for _, k := range allKLines {
 			inc.PushK(k)
-			inc.EmitUpdate(inc.Last())
+			inc.EmitUpdate(inc.Last(0))
 		}
 	} else {
 		k := allKLines[len(allKLines)-1]
 		inc.PushK(k)
-		inc.EmitUpdate(inc.Last())
+		inc.EmitUpdate(inc.Last(0))
 	}
 }
 

diff --git a/pkg/indicator/cci_test.go b/pkg/indicator/cci_test.go
@@ -29,7 +29,7 @@ func Test_CCI(t *testing.T) {
 			cci.Update(value)
 		}
 
-		last := cci.Last()
+		last := cci.Last(0)
 		assert.InDelta(t, 93.250481, last, Delta)
 		assert.InDelta(t, 81.813449, cci.Index(1), Delta)
 		assert.Equal(t, 50-16+1, cci.Length())

diff --git a/pkg/indicator/cma.go b/pkg/indicator/cma.go
@@ -7,20 +7,21 @@ import (
 
 // Refer: Cumulative Moving Average, Cumulative Average
 // Refer: https://en.wikipedia.org/wiki/Moving_average
+//
 //go:generate callbackgen -type CA
 type CA struct {
 	types.SeriesBase
-	Interval types.Interval
-	Values   floats.Slice
-	length   float64
+	Interval        types.Interval
+	Values          floats.Slice
+	length          float64
 	UpdateCallbacks []func(value float64)
 }
 
 func (inc *CA) Update(x float64) {
 	if len(inc.Values) == 0 {
 		inc.SeriesBase.Series = inc
 	}
-	newVal := (inc.Values.Last()*inc.length + x) / (inc.length + 1.)
+	newVal := (inc.Values.Last(0)*inc.length + x) / (inc.length + 1.)
 	inc.length += 1
 	inc.Values.Push(newVal)
 	if len(inc.Values) > MaxNumOfEWMA {
@@ -29,18 +30,12 @@ func (inc *CA) Update(x float64) {
 	}
 }
 
-func (inc *CA) Last() float64 {
-	if len(inc.Values) == 0 {
-		return 0
-	}
-	return inc.Values[len(inc.Values)-1]
+func (inc *CA) Last(i int) float64 {
+	return inc.Values.Last(i)
 }
 
 func (inc *CA) Index(i int) float64 {
-	if i >= len(inc.Values) {
-		return 0
-	}
-	return inc.Values[len(inc.Values)-1-i]
+	return inc.Last(i)
 }
 
 func (inc *CA) Length() int {
@@ -56,7 +51,7 @@ func (inc *CA) PushK(k types.KLine) {
 func (inc *CA) CalculateAndUpdate(allKLines []types.KLine) {
 	for _, k := range allKLines {
 		inc.PushK(k)
-		inc.EmitUpdate(inc.Last())
+		inc.EmitUpdate(inc.Last(0))
 	}
 }