indicator: truncate values if length exceeded

rahulmr · Jun 28, 2021 · 4ccbb82 · 4ccbb82
1 parent a804870
commit 4ccbb82
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Showing 2 changed files with 13 additions and 0 deletions.
diff --git a/pkg/indicator/ewma.go b/pkg/indicator/ewma.go
@@ -9,6 +9,9 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+const MaxEWMAValues = 1_000
+const EWMAValueTruncateSize = 500
+
 //go:generate callbackgen -type EWMA
 type EWMA struct {
 	types.IntervalWindow
@@ -24,6 +27,8 @@ func (inc *EWMA) Update(value float64) {
 	if len(inc.Values) == 0 {
 		inc.Values.Push(value)
 		return
+	} else if len(inc.Values) > MaxEWMAValues {
+		inc.Values = inc.Values[EWMAValueTruncateSize:]
 	}
 
 	ema := (1-multiplier)*inc.Last() + multiplier*value

diff --git a/pkg/indicator/sma.go b/pkg/indicator/sma.go
@@ -9,6 +9,9 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+const MaxSMAValues = 1_000
+const SMAValueTruncateSize = 500
+
 var zeroTime time.Time
 
 //go:generate callbackgen -type SMA
@@ -44,6 +47,11 @@ func (inc *SMA) calculateAndUpdate(kLines []types.KLine) {
 		return
 	}
 	inc.Values.Push(sma)
+
+	if len(inc.Values) > MaxSMAValues {
+		inc.Values = inc.Values[SMAValueTruncateSize:]
+	}
+
 	inc.EndTime = kLines[index].EndTime
 
 	inc.EmitUpdate(sma)