indicator: clean up and update calculator method names

pkg/bbgo/session.go

@@ -43,7 +43,7 @@ type StandardIndicatorSet struct {
 	ewma       map[types.IntervalWindow]*indicator.EWMA
 	boll       map[types.IntervalWindowBandWidth]*indicator.BOLL
 	stoch      map[types.IntervalWindow]*indicator.STOCH
-	volatility map[types.IntervalWindow]*indicator.VOLATILITY
+	volatility map[types.IntervalWindow]*indicator.Volatility
 
 	store *MarketDataStore
 }
@@ -55,7 +55,7 @@ func NewStandardIndicatorSet(symbol string, store *MarketDataStore) *StandardInd
 		ewma:       make(map[types.IntervalWindow]*indicator.EWMA),
 		boll:       make(map[types.IntervalWindowBandWidth]*indicator.BOLL),
 		stoch:      make(map[types.IntervalWindow]*indicator.STOCH),
-		volatility: make(map[types.IntervalWindow]*indicator.VOLATILITY),
+		volatility: make(map[types.IntervalWindow]*indicator.Volatility),
 		store:      store,
 	}
 
@@ -146,10 +146,10 @@ func (set *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH
 }
 
 // VOLATILITY returns the volatility(stddev) indicator of the given interval and the window size.
-func (set *StandardIndicatorSet) VOLATILITY(iw types.IntervalWindow) *indicator.VOLATILITY {
+func (set *StandardIndicatorSet) VOLATILITY(iw types.IntervalWindow) *indicator.Volatility {
 	inc, ok := set.volatility[iw]
 	if !ok {
-		inc = &indicator.VOLATILITY{IntervalWindow: iw}
+		inc = &indicator.Volatility{IntervalWindow: iw}
 		inc.Bind(set.store)
 		set.volatility[iw] = inc
 	}

pkg/indicator/cci.go

@@ -3,7 +3,6 @@ package indicator
 import (
 	"math"
 
-	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -79,17 +78,20 @@ func (inc *CCI) Length() int {
 
 var _ types.SeriesExtend = &CCI{}
 
-var three = fixedpoint.NewFromInt(3)
 
-func (inc *CCI) calculateAndUpdate(allKLines []types.KLine) {
+func (inc *CCI) PushK(k types.KLine) {
+	inc.Update(k.High.Add(k.Low).Add(k.Close).Div(three).Float64())
+}
+
+func (inc *CCI) CalculateAndUpdate(allKLines []types.KLine) {
 	if inc.TypicalPrice.Length() == 0 {
 		for _, k := range allKLines {
-			inc.Update(k.High.Add(k.Low).Add(k.Close).Div(three).Float64())
+			inc.PushK(k)
 			inc.EmitUpdate(inc.Last())
 		}
 	} else {
 		k := allKLines[len(allKLines)-1]
-		inc.Update(k.High.Add(k.Low).Add(k.Close).Div(three).Float64())
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }
@@ -99,7 +101,7 @@ func (inc *CCI) handleKLineWindowUpdate(interval types.Interval, window types.KL
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *CCI) Bind(updater KLineWindowUpdater) {

pkg/indicator/cma.go

@@ -48,9 +48,13 @@ func (inc *CA) Length() int {
 
 var _ types.SeriesExtend = &CA{}
 
-func (inc *CA) calculateAndUpdate(allKLines []types.KLine) {
+func (inc *CA) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
+func (inc *CA) CalculateAndUpdate(allKLines []types.KLine) {
 	for _, k := range allKLines {
-		inc.Update(k.Close.Float64())
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }
@@ -60,7 +64,7 @@ func (inc *CA) handleKLineWindowUpdate(interval types.Interval, window types.KLi
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *CA) Bind(updater KLineWindowUpdater) {

pkg/indicator/const.go

@@ -0,0 +1,12 @@
+package indicator
+
+import (
+	"time"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+var three = fixedpoint.NewFromInt(3)
+
+var zeroTime = time.Time{}
+

pkg/indicator/dema.go

@@ -50,14 +50,20 @@ func (inc *DEMA) Length() int {
 
 var _ types.SeriesExtend = &DEMA{}
 
+func (inc *DEMA) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
 func (inc *DEMA) calculateAndUpdate(allKLines []types.KLine) {
 	if inc.a1 == nil {
 		for _, k := range allKLines {
-			inc.Update(k.Close.Float64())
+			inc.PushK(k)
 			inc.EmitUpdate(inc.Last())
 		}
 	} else {
-		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
+		// last k
+		k := allKLines[len(allKLines)-1]
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }

pkg/indicator/drift.go

@@ -68,14 +68,19 @@ func (inc *Drift) Length() int {
 
 var _ types.SeriesExtend = &Drift{}
 
-func (inc *Drift) calculateAndUpdate(allKLines []types.KLine) {
+func (inc *Drift) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
+func (inc *Drift) CalculateAndUpdate(allKLines []types.KLine) {
 	if inc.chng == nil {
 		for _, k := range allKLines {
-			inc.Update(k.Close.Float64())
+			inc.PushK(k)
 			inc.EmitUpdate(inc.Last())
 		}
 	} else {
-		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
+		k := allKLines[len(allKLines)-1]
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }
@@ -85,7 +90,7 @@ func (inc *Drift) handleKLineWindowUpdate(interval types.Interval, window types.
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *Drift) Bind(updater KLineWindowUpdater) {

pkg/indicator/drift_test.go

@@ -30,7 +30,7 @@ func Test_Drift(t *testing.T) {
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
 			drift := Drift{IntervalWindow: types.IntervalWindow{Window: 3}}
-			drift.calculateAndUpdate(tt.kLines)
+			drift.CalculateAndUpdate(tt.kLines)
 			assert.Equal(t, drift.Length(), tt.all)
 			for _, v := range drift.Values {
 				assert.LessOrEqual(t, v, 1.0)

pkg/indicator/emv.go

@@ -63,17 +63,21 @@ func (inc *EMV) Length() int {
 
 var _ types.SeriesExtend = &EMV{}
 
-func (inc *EMV) calculateAndUpdate(allKLines []types.KLine) {
+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.Update(k.High.Float64(), k.Low.Float64(), k.Volume.Float64())
+			inc.PushK(k)
 			if inc.Length() > 0 {
 				inc.EmitUpdate(inc.Last())
 			}
 		}
 	} else {
 		k := allKLines[len(allKLines)-1]
-		inc.Update(k.High.Float64(), k.Low.Float64(), k.Volume.Float64())
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }
@@ -82,7 +86,7 @@ func (inc *EMV) handleKLineWindowUpdate(interval types.Interval, window types.KL
 	if inc.Interval != interval {
 		return
 	}
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *EMV) Bind(updater KLineWindowUpdater) {

pkg/indicator/inf.go

@@ -9,3 +9,13 @@ type KLineWindowUpdater interface {
 type KLineCloseHandler interface {
 	OnKLineClosed(func(k types.KLine))
 }
+
+// KLinePusher provides an interface for API user to push kline value to the indicator.
+// The indicator implements its own way to calculate the value from the given kline object.
+type KLinePusher interface {
+	PushK(k types.KLine)
+}
+
+type KLineCalculator interface {
+	CalculateAndUpdate(allKLines []types.KLine)
+}

pkg/indicator/line.go

@@ -22,11 +22,12 @@ type Line struct {
 	Interval    types.Interval
 }
 
-func (l *Line) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+func (l *Line) handleKLineWindowUpdate(interval types.Interval, allKLines types.KLineWindow) {
 	if interval != l.Interval {
 		return
 	}
-	newTime := window.Last().EndTime.Time()
+
+	newTime := allKLines.Last().EndTime.Time()
 	delta := int(newTime.Sub(l.currentTime).Minutes()) / l.Interval.Minutes()
 	l.startIndex += delta
 	l.endIndex += delta

pkg/indicator/macd.go

@@ -51,14 +51,20 @@ func (inc *MACD) Update(x float64) {
 	inc.Histogram.Push(macd - inc.SignalLine.Last())
 }
 
+// Deprecated -- this function is not used ??? ask @narumi
 func (inc *MACD) calculateMACD(kLines []types.KLine, priceF KLinePriceMapper) float64 {
-	for _, kline := range kLines {
-		inc.Update(kline.Close.Float64())
+	for _, k := range kLines {
+		inc.PushK(k)
 	}
+
 	return inc.Values[len(inc.Values)-1]
 }
 
-func (inc *MACD) calculateAndUpdate(kLines []types.KLine) {
+func (inc *MACD) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
+func (inc *MACD) CalculateAndUpdate(kLines []types.KLine) {
 	if len(kLines) == 0 {
 		return
 	}
@@ -67,7 +73,8 @@ func (inc *MACD) calculateAndUpdate(kLines []types.KLine) {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k.Close.Float64())
+
+		inc.PushK(k)
 	}
 
 	inc.EmitUpdate(inc.Values[len(inc.Values)-1])
@@ -79,7 +86,7 @@ func (inc *MACD) handleKLineWindowUpdate(interval types.Interval, window types.K
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *MACD) Bind(updater KLineWindowUpdater) {

pkg/indicator/mapper.go

@@ -0,0 +1,33 @@
+package indicator
+
+import "github.com/c9s/bbgo/pkg/types"
+
+type KLinePriceMapper func(k types.KLine) float64
+
+func KLineOpenPriceMapper(k types.KLine) float64 {
+	return k.Open.Float64()
+}
+
+func KLineClosePriceMapper(k types.KLine) float64 {
+	return k.Close.Float64()
+}
+
+func KLineTypicalPriceMapper(k types.KLine) float64 {
+	return (k.High.Float64() + k.Low.Float64() + k.Close.Float64()) / 3.
+}
+
+func KLinePriceVolumeMapper(k types.KLine) float64 {
+	return k.Close.Mul(k.Volume).Float64()
+}
+
+func KLineVolumeMapper(k types.KLine) float64 {
+	return k.Volume.Float64()
+}
+
+func MapKLinePrice(kLines []types.KLine, f KLinePriceMapper) (prices []float64) {
+	for _, k := range kLines {
+		prices = append(prices, f(k))
+	}
+
+	return prices
+}

pkg/indicator/obv.go

@@ -54,13 +54,19 @@ func (inc *OBV) Index(i int) float64 {
 
 var _ types.SeriesExtend = &OBV{}
 
-func (inc *OBV) calculateAndUpdate(kLines []types.KLine) {
+func (inc *OBV) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64(), k.Volume.Float64())
+}
+
+func (inc *OBV) CalculateAndUpdate(kLines []types.KLine) {
 	for _, k := range kLines {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k.Close.Float64(), k.Volume.Float64())
+
+		inc.PushK(k)
 	}
+
 	inc.EmitUpdate(inc.Last())
 	inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
 }
@@ -70,7 +76,7 @@ func (inc *OBV) handleKLineWindowUpdate(interval types.Interval, window types.KL
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *OBV) Bind(updater KLineWindowUpdater) {

pkg/indicator/obv_test.go

@@ -51,7 +51,7 @@ func Test_calculateOBV(t *testing.T) {
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
 			obv := OBV{IntervalWindow: types.IntervalWindow{Window: tt.window}}
-			obv.calculateAndUpdate(tt.kLines)
+			obv.CalculateAndUpdate(tt.kLines)
 			assert.Equal(t, len(obv.Values), len(tt.want))
 			for i, v := range obv.Values {
 				assert.InDelta(t, v, tt.want[i], Delta)

pkg/indicator/pivot.go

@@ -38,7 +38,7 @@ func (inc *Pivot) LastHigh() float64 {
 	return inc.Highs[len(inc.Highs)-1]
 }
 
-func (inc *Pivot) Update(klines []types.KLine) {
+func (inc *Pivot) CalculateAndUpdate(klines []types.KLine) {
 	if len(klines) < inc.Window {
 		return
 	}
@@ -84,7 +84,7 @@ func (inc *Pivot) handleKLineWindowUpdate(interval types.Interval, window types.
 		return
 	}
 
-	inc.Update(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *Pivot) Bind(updater KLineWindowUpdater) {

pkg/indicator/rma.go

@@ -64,12 +64,17 @@ func (inc *RMA) Length() int {
 
 var _ types.SeriesExtend = &RMA{}
 
+func (inc *RMA) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
 func (inc *RMA) calculateAndUpdate(kLines []types.KLine) {
 	for _, k := range kLines {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k.Close.Float64())
+
+		inc.PushK(k)
 	}
 
 	inc.EmitUpdate(inc.Last())