feature: add basic implementation of alma indicator

pkg/indicator/alma.go

@@ -0,0 +1,95 @@
+package indicator
+
+import (
+	"math"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// Refer: Arnaud Legoux Moving Average
+// Refer: https://capital.com/arnaud-legoux-moving-average
+// Also check https://github.com/DaveSkender/Stock.Indicators/blob/main/src/a-d/Alma/Alma.cs
+// @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.IntervalWindow
+	Offset float64
+	Sigma int
+	Weight []float64
+	Sum float64
+	input []float64
+	Values types.Float64Slice
+	UpdateCallbacks []func(value float64)
+}
+
+const MaxNumOfALMA = 5_000
+const MaxNumOfALMATruncateSize = 100
+
+func (inc *ALMA) Update(value float64) {
+	if inc.Weight == nil {
+		inc.Weight = make([]float64, inc.Window)
+		m := inc.Offset * (float64(inc.Window) - 1.)
+		s := float64(inc.Window) / float64(inc.Sigma)
+		inc.Sum = 0.
+		for i := 0; i < inc.Window; i++ {
+			diff := float64(i) - m
+			wt := math.Exp(-diff*diff/2./s/s)
+			inc.Sum += wt
+			inc.Weight[i] = wt
+		}
+	}
+	inc.input = append(inc.input, value)
+	if len(inc.input) >= inc.Window {
+		weightedSum := 0.0
+		inc.input = inc.input[len(inc.input) - inc.Window:]
+		for i := 0; i < inc.Window; i++ {
+			weightedSum += inc.Weight[i] * inc.input[i]
+		}
+		inc.Values.Push(weightedSum / inc.Sum)
+		if len(inc.Values) > MaxNumOfALMA {
+			inc.Values = inc.Values[MaxNumOfALMATruncateSize-1:]
+		}
+	}
+}
+
+func (inc *ALMA) Last() float64 {
+	if len(inc.Values)  == 0 {
+		return 0
+	}
+	return inc.Values[len(inc.Values)-1]
+}
+
+func (inc *ALMA) Index(i int) float64 {
+	if i >= len(inc.Values) {
+		return 0
+	}
+	return inc.Values[len(inc.Values)-i-1]
+}
+
+func (inc *ALMA) Length() int {
+	return len(inc.Values)
+}
+
+func (inc *ALMA) calculateAndUpdate(allKLines []types.KLine) {
+	if inc.input == nil {
+		for _, k := range allKLines {
+			inc.Update(k.Close.Float64())
+			inc.EmitUpdate(inc.Last())
+		}
+		return
+	}
+	inc.Update(allKLines[len(allKLines)-1].Close.Float64())
+	inc.EmitUpdate(inc.Last())
+}
+
+func (inc *ALMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *ALMA) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}