bbgo: add ATR, ATRP, EMV to the standard indicator set

narumiruna · Jul 26, 2022 · f5e64e8 · f5e64e8
1 parent 1d6b1de
commit f5e64e8
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Showing 4 changed files with 18 additions and 65 deletions.
diff --git a/pkg/bbgo/standard_indicator_set.go b/pkg/bbgo/standard_indicator_set.go
@@ -82,6 +82,21 @@ func (s *StandardIndicatorSet) PivotLow(iw types.IntervalWindow) *indicator.Pivo
 	return inc.(*indicator.PivotLow)
 }
 
+func (s *StandardIndicatorSet) ATR(iw types.IntervalWindow) *indicator.ATR {
+	inc := s.allocateSimpleIndicator(&indicator.ATR{IntervalWindow: iw}, iw)
+	return inc.(*indicator.ATR)
+}
+
+func (s *StandardIndicatorSet) ATRP(iw types.IntervalWindow) *indicator.ATRP {
+	inc := s.allocateSimpleIndicator(&indicator.ATRP{IntervalWindow: iw}, iw)
+	return inc.(*indicator.ATRP)
+}
+
+func (s *StandardIndicatorSet) EMV(iw types.IntervalWindow) *indicator.EMV {
+	inc := s.allocateSimpleIndicator(&indicator.ATRP{IntervalWindow: iw}, iw)
+	return inc.(*indicator.EMV)
+}
+
 func (s *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH {
 	inc, ok := s.stoch[iw]
 	if !ok {

diff --git a/pkg/indicator/atr.go b/pkg/indicator/atr.go
@@ -87,31 +87,3 @@ func (inc *ATR) PushK(k types.KLine) {
 	inc.EndTime = k.EndTime.Time()
 	inc.EmitUpdate(inc.Last())
 }
-
-func (inc *ATR) LoadK(allKlines []types.KLine) {
-	for _, k := range allKlines {
-		inc.PushK(k)
-	}
-}
-
-func (inc *ATR) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
-	target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
-}
-
-func (inc *ATR) CalculateAndUpdate(kLines []types.KLine) {
-	for _, k := range kLines {
-		inc.PushK(k)
-	}
-}
-
-func (inc *ATR) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
-	if inc.Interval != interval {
-		return
-	}
-
-	inc.CalculateAndUpdate(window)
-}
-
-func (inc *ATR) Bind(updater KLineWindowUpdater) {
-	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
-}
diff --git a/pkg/indicator/emv.go b/pkg/indicator/emv.go
@@ -11,6 +11,7 @@ import (
 type EMV struct {
 	types.SeriesBase
 	types.IntervalWindow
+
 	prevH    float64
 	prevL    float64
 	Values   *SMA
@@ -25,13 +26,15 @@ func (inc *EMV) Update(high, low, vol float64) {
 	if inc.EMVScale == 0 {
 		inc.EMVScale = DefaultEMVScale
 	}
+
 	if inc.prevH == 0 || inc.Values == nil {
 		inc.SeriesBase.Series = inc
 		inc.prevH = high
 		inc.prevL = low
 		inc.Values = &SMA{IntervalWindow: inc.IntervalWindow}
 		return
 	}
+
 	distanceMoved := (high+low)/2. - (inc.prevH+inc.prevL)/2.
 	boxRatio := vol / inc.EMVScale / (high - low)
 	result := distanceMoved / boxRatio
@@ -66,29 +69,3 @@ var _ types.SeriesExtend = &EMV{}
 func (inc *EMV) PushK(k types.KLine) {
 	inc.Update(k.High.Float64(), k.Low.Float64(), k.Volume.Float64())
 }
-
-func (inc *EMV) CalculateAndUpdate(allKLines []types.KLine) {
-	if inc.Values == nil {
-		for _, k := range allKLines {
-			inc.PushK(k)
-			if inc.Length() > 0 {
-				inc.EmitUpdate(inc.Last())
-			}
-		}
-	} else {
-		k := allKLines[len(allKLines)-1]
-		inc.PushK(k)
-		inc.EmitUpdate(inc.Last())
-	}
-}
-
-func (inc *EMV) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
-	if inc.Interval != interval {
-		return
-	}
-	inc.CalculateAndUpdate(window)
-}
-
-func (inc *EMV) Bind(updater KLineWindowUpdater) {
-	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
-}
diff --git a/pkg/indicator/ewma.go b/pkg/indicator/ewma.go
@@ -58,10 +58,6 @@ func (inc *EWMA) Length() int {
 	return len(inc.Values)
 }
 
-func (inc *EWMA) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
-	target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
-}
-
 func (inc *EWMA) PushK(k types.KLine) {
 	if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
 		return
@@ -72,13 +68,6 @@ func (inc *EWMA) PushK(k types.KLine) {
 	inc.EmitUpdate(inc.Last())
 }
 
-func (inc *EWMA) LoadK(allKLines []types.KLine) {
-	for _, k := range allKLines {
-		inc.PushK(k)
-	}
-	inc.EmitUpdate(inc.Last())
-}
-
 func CalculateKLinesEMA(allKLines []types.KLine, priceF KLinePriceMapper, window int) float64 {
 	var multiplier = 2.0 / (float64(window) + 1)
 	return ewma(MapKLinePrice(allKLines, priceF), multiplier)