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fix: window update in indicators. add: cumulative average, triangular…
… moving average
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Original file line number | Diff line number | Diff line change |
---|---|---|
@@ -0,0 +1,63 @@ | ||
package indicator | ||
|
||
import ( | ||
"github.com/c9s/bbgo/pkg/types" | ||
) | ||
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// Refer: Cumulative Moving Average, Cumulative Average | ||
// Refer: https://en.wikipedia.org/wiki/Moving_average | ||
//go:generate callbackgen -type CA | ||
type CA struct { | ||
Interval types.Interval | ||
Values types.Float64Slice | ||
length float64 | ||
UpdateCallbacks []func(value float64) | ||
} | ||
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func (inc *CA) Update(x float64) { | ||
newVal := (inc.Values.Last()*inc.length + x) / (inc.length + 1.) | ||
inc.length += 1 | ||
inc.Values.Push(newVal) | ||
if len(inc.Values) > MaxNumOfEWMA { | ||
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:] | ||
} | ||
} | ||
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||
func (inc *CA) Last() float64 { | ||
if len(inc.Values) == 0 { | ||
return 0 | ||
} | ||
return inc.Values[len(inc.Values)-1] | ||
} | ||
|
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func (inc *CA) Index(i int) float64 { | ||
if i >= len(inc.Values) { | ||
return 0 | ||
} | ||
return inc.Values[len(inc.Values)-1-i] | ||
} | ||
|
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func (inc *CA) Length() int { | ||
return len(inc.Values) | ||
} | ||
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var _ types.Series = &CA{} | ||
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func (inc *CA) calculateAndUpdate(allKLines []types.KLine) { | ||
for _, k := range allKLines { | ||
inc.Update(k.Close.Float64()) | ||
inc.EmitUpdate(inc.Last()) | ||
} | ||
} | ||
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func (inc *CA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { | ||
if inc.Interval != interval { | ||
return | ||
} | ||
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inc.calculateAndUpdate(window) | ||
} | ||
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func (inc *CA) Bind(updater KLineWindowUpdater) { | ||
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) | ||
} |
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Original file line number | Diff line number | Diff line change |
---|---|---|
@@ -0,0 +1,73 @@ | ||
package indicator | ||
|
||
import ( | ||
"github.com/c9s/bbgo/pkg/types" | ||
) | ||
|
||
// Refer: Triangular Moving Average | ||
// Refer URL: https://ja.wikipedia.org/wiki/移動平均 | ||
//go:generate callbackgen -type TMA | ||
type TMA struct { | ||
types.IntervalWindow | ||
s1 *SMA | ||
s2 *SMA | ||
UpdateCallbacks []func(value float64) | ||
} | ||
|
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func (inc *TMA) Update(value float64) { | ||
if inc.s1 == nil { | ||
w := (inc.Window + 1) / 2 | ||
inc.s1 = &SMA{IntervalWindow: types.IntervalWindow{inc.Interval, w}} | ||
inc.s2 = &SMA{IntervalWindow: types.IntervalWindow{inc.Interval, w}} | ||
} | ||
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inc.s1.Update(value) | ||
inc.s2.Update(inc.s1.Last()) | ||
} | ||
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func (inc *TMA) Last() float64 { | ||
if inc.s2 == nil { | ||
return 0 | ||
} | ||
return inc.s2.Last() | ||
} | ||
|
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func (inc *TMA) Index(i int) float64 { | ||
if inc.s2 == nil { | ||
return 0 | ||
} | ||
return inc.s2.Index(i) | ||
} | ||
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func (inc *TMA) Length() int { | ||
if inc.s2 == nil { | ||
return 0 | ||
} | ||
return inc.s2.Length() | ||
} | ||
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var _ types.Series = &TMA{} | ||
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func (inc *TMA) calculateAndUpdate(allKLines []types.KLine) { | ||
if inc.s1 == nil { | ||
for _, k := range allKLines { | ||
inc.Update(k.Close.Float64()) | ||
inc.EmitUpdate(inc.Last()) | ||
} | ||
} else { | ||
inc.Update(allKLines[len(allKLines)-1].Close.Float64()) | ||
inc.EmitUpdate(inc.Last()) | ||
} | ||
} | ||
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func (inc *TMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { | ||
if inc.Interval != interval { | ||
return | ||
} | ||
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inc.calculateAndUpdate(window) | ||
} | ||
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func (inc *TMA) Bind(updater KLineWindowUpdater) { | ||
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) | ||
} |
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