adjust ewma truncate size

narumiruna · Nov 21, 2021 · 540722e · 540722e
1 parent 943105d
commit 540722e
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Showing 3 changed files with 7 additions and 7 deletions.
diff --git a/pkg/bbgo/marketdatastore.go b/pkg/bbgo/marketdatastore.go
@@ -3,7 +3,7 @@ package bbgo
 import "github.com/c9s/bbgo/pkg/types"
 
 const MaxNumOfKLines = 5_000
-const MaxNumOfKLinesTruncate = 1_000
+const MaxNumOfKLinesTruncate = 100
 
 // MarketDataStore receives and maintain the public market data
 //go:generate callbackgen -type MarketDataStore
@@ -56,7 +56,7 @@ func (store *MarketDataStore) AddKLine(kline types.KLine) {
 	}
 
 	if len(window) > MaxNumOfKLines {
-		window = window[MaxNumOfKLinesTruncate:]
+		window = window[MaxNumOfKLinesTruncate-1:]
 	}
 
 	store.KLineWindows[kline.Interval] = window

diff --git a/pkg/indicator/ewma.go b/pkg/indicator/ewma.go
@@ -11,7 +11,7 @@ import (
 
 // These numbers should be aligned with bbgo MaxNumOfKLines and MaxNumOfKLinesTruncate
 const MaxNumOfEWMA = 5_000
-const MaxNumOfEWMATruncateSize = 1000
+const MaxNumOfEWMATruncateSize = 100
 
 //go:generate callbackgen -type EWMA
 type EWMA struct {
@@ -29,7 +29,7 @@ func (inc *EWMA) Update(value float64) {
 		inc.Values.Push(value)
 		return
 	} else if len(inc.Values) > MaxNumOfEWMA {
-		inc.Values = inc.Values[MaxNumOfEWMATruncateSize:]
+		inc.Values = inc.Values[MaxNumOfEWMATruncateSize - 1:]
 	}
 
 	ema := (1-multiplier)*inc.Last() + multiplier*value

diff --git a/pkg/indicator/sma.go b/pkg/indicator/sma.go
@@ -9,8 +9,8 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
-const MaxNumOfSMA = 1_000
-const MaxNumOfSMATruncateSize = 500
+const MaxNumOfSMA = 5_000
+const MaxNumOfSMATruncateSize = 100
 
 var zeroTime time.Time
 
@@ -52,7 +52,7 @@ func (inc *SMA) calculateAndUpdate(kLines []types.KLine) {
 	inc.Values.Push(sma)
 
 	if len(inc.Values) > MaxNumOfSMA {
-		inc.Values = inc.Values[MaxNumOfSMATruncateSize:]
+		inc.Values = inc.Values[MaxNumOfSMATruncateSize - 1:]
 	}
 
 	inc.EndTime = kLines[index].EndTime