-
Notifications
You must be signed in to change notification settings - Fork 0
/
atr.go
135 lines (110 loc) · 2.62 KB
/
atr.go
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
package indicator
import (
"math"
"time"
"github.com/c9s/bbgo/pkg/types"
)
//go:generate callbackgen -type ATR
type ATR struct {
types.SeriesBase
types.IntervalWindow
PercentageVolatility types.Float64Slice
PreviousClose float64
RMA *RMA
EndTime time.Time
UpdateCallbacks []func(value float64)
}
var _ types.SeriesExtend = &ATR{}
func (inc *ATR) Clone() *ATR {
out := &ATR{
IntervalWindow: inc.IntervalWindow,
PercentageVolatility: inc.PercentageVolatility[:],
PreviousClose: inc.PreviousClose,
RMA: inc.RMA.Clone().(*RMA),
EndTime: inc.EndTime,
}
out.SeriesBase.Series = out
return out
}
func (inc *ATR) TestUpdate(high, low, cloze float64) *ATR {
c := inc.Clone()
c.Update(high, low, cloze)
return c
}
func (inc *ATR) Update(high, low, cloze float64) {
if inc.Window <= 0 {
panic("window must be greater than 0")
}
if inc.RMA == nil {
inc.SeriesBase.Series = inc
inc.RMA = &RMA{
IntervalWindow: types.IntervalWindow{Window: inc.Window},
Adjust: true,
}
inc.PreviousClose = cloze
return
}
// calculate true range
trueRange := high - low
hc := math.Abs(high - inc.PreviousClose)
lc := math.Abs(low - inc.PreviousClose)
if trueRange < hc {
trueRange = hc
}
if trueRange < lc {
trueRange = lc
}
inc.PreviousClose = cloze
// apply rolling moving average
inc.RMA.Update(trueRange)
atr := inc.RMA.Last()
inc.PercentageVolatility.Push(atr / cloze)
}
func (inc *ATR) Last() float64 {
if inc.RMA == nil {
return 0
}
return inc.RMA.Last()
}
func (inc *ATR) Index(i int) float64 {
if inc.RMA == nil {
return 0
}
return inc.RMA.Index(i)
}
func (inc *ATR) Length() int {
if inc.RMA == nil {
return 0
}
return inc.RMA.Length()
}
func (inc *ATR) PushK(k types.KLine) {
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
return
}
inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
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)
}