fix ewma calculation

rahulmr · Dec 5, 2020 · b188901 · b188901
1 parent 535e07c
commit b188901
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Showing 2 changed files with 24 additions and 19 deletions.
diff --git a/pkg/indicator/ewma.go b/pkg/indicator/ewma.go
@@ -27,28 +27,27 @@ func (inc *EWMA) calculateAndUpdate(kLines []types.KLine) {
 
 	var index = len(kLines) - 1
 	var lastK = kLines[index]
-
-	// see https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
-	var multiplier = 2.0 / float64(inc.Window+1)
-
 	if inc.EndTime != zeroTime && lastK.EndTime.Before(inc.EndTime) {
 		return
 	}
 
-	inc.EndTime = kLines[index].EndTime
-
 	var recentK = kLines[index-(inc.Window-1) : index+1]
-	if len(inc.Values) > 0 {
-		var previousEWMA = inc.Values[len(inc.Values)-1]
-		var ewma = lastK.Close*multiplier + previousEWMA*(1-multiplier)
-		inc.Values.Push(ewma)
-		inc.EmitUpdate(ewma)
-	} else {
-		// The first EWMA is actually SMA
-		var sma = calculateSMA(recentK)
-		inc.Values.Push(sma)
-		inc.EmitUpdate(sma)
+	var multiplier = 2.0 / float64(inc.Window+1)
+	var val = calculateEWMA(recentK, multiplier)
+	// val = calculateSMA(recentK)
+	inc.Values.Push(val)
+	inc.EndTime = lastK.EndTime
+	inc.EmitUpdate(val)
+}
+
+// see https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
+func calculateEWMA(kLines []types.KLine, multiplier float64) float64 {
+	var end = len(kLines) - 1
+	if end == 0 {
+		return kLines[0].Close
 	}
+
+	return kLines[end].Close*multiplier + (1-multiplier)*calculateEWMA(kLines[:end-1], multiplier)
 }
 
 type KLineWindowUpdater interface {

diff --git a/pkg/strategy/movingstop/strategy.go b/pkg/strategy/movingstop/strategy.go
@@ -30,6 +30,10 @@ func init() {
 type Strategy struct {
 	*bbgo.Graceful
 
+	// The notification system will be injected into the strategy automatically.
+	// This field will be injected automatically since it's a single exchange strategy.
+	*bbgo.Notifiability
+
 	SourceExchangeName string `json:"sourceExchange"`
 
 	TargetExchangeName string `json:"targetExchange"`
@@ -196,11 +200,9 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
 
 	}
 
-	lastPrice, _ := session.LastPrice(s.Symbol)
-	s.place(ctx, &orderExecutor, session, indicator, lastPrice)
-
 	session.Stream.OnOrderUpdate(s.handleOrderUpdate)
 
+
 	// session.Stream.OnKLineClosed
 	sourceSession.Stream.OnKLineClosed(func(kline types.KLine) {
 		// skip k-lines from other symbols
@@ -225,5 +227,9 @@ func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, se
 		s.clear(ctx, session)
 	})
 
+	if lastPrice, ok := session.LastPrice(s.Symbol) ; ok {
+		s.place(ctx, &orderExecutor, session, indicator, lastPrice)
+	}
+
 	return nil
 }