feature: extend indicators, extend seriesbase methods

pkg/indicator/ad.go

@@ -14,6 +14,7 @@ Accumulation/Distribution Indicator (A/D)
 */
 //go:generate callbackgen -type AD
 type AD struct {
+	types.SeriesBase
 	types.IntervalWindow
 	Values   types.Float64Slice
 	PrePrice float64
@@ -23,6 +24,9 @@ type AD struct {
 }
 
 func (inc *AD) Update(high, low, cloze, volume float64) {
+	if len(inc.Values) == 0 {
+		inc.SeriesBase.Series = inc
+	}
 	var moneyFlowVolume float64
 	if high == low {
 		moneyFlowVolume = 0
@@ -53,7 +57,7 @@ func (inc *AD) Length() int {
 	return len(inc.Values)
 }
 
-var _ types.Series = &AD{}
+var _ types.SeriesExtend = &AD{}
 
 func (inc *AD) calculateAndUpdate(kLines []types.KLine) {
 	for _, k := range kLines {

pkg/indicator/alma.go

@@ -13,11 +13,12 @@ import (
 // @param sigma: the standard deviation applied to the combo line. This makes the combo line sharper
 //go:generate callbackgen -type ALMA
 type ALMA struct {
+	types.SeriesBase
 	types.IntervalWindow         // required
 	Offset               float64 // required: recommend to be 5
 	Sigma                int     // required: recommend to be 0.5
-	Weight               []float64
-	Sum                  float64
+	weight               []float64
+	sum                  float64
 	input                []float64
 	Values               types.Float64Slice
 	UpdateCallbacks      []func(value float64)
@@ -27,26 +28,27 @@ const MaxNumOfALMA = 5_000
 const MaxNumOfALMATruncateSize = 100
 
 func (inc *ALMA) Update(value float64) {
-	if inc.Weight == nil {
-		inc.Weight = make([]float64, inc.Window)
+	if inc.weight == nil {
+		inc.SeriesBase.Series = inc
+		inc.weight = make([]float64, inc.Window)
 		m := inc.Offset * (float64(inc.Window) - 1.)
 		s := float64(inc.Window) / float64(inc.Sigma)
-		inc.Sum = 0.
+		inc.sum = 0.
 		for i := 0; i < inc.Window; i++ {
 			diff := float64(i) - m
 			wt := math.Exp(-diff * diff / 2. / s / s)
-			inc.Sum += wt
-			inc.Weight[i] = wt
+			inc.sum += wt
+			inc.weight[i] = wt
 		}
 	}
 	inc.input = append(inc.input, value)
 	if len(inc.input) >= inc.Window {
 		weightedSum := 0.0
 		inc.input = inc.input[len(inc.input)-inc.Window:]
 		for i := 0; i < inc.Window; i++ {
-			weightedSum += inc.Weight[inc.Window-i-1] * inc.input[i]
+			weightedSum += inc.weight[inc.Window-i-1] * inc.input[i]
 		}
-		inc.Values.Push(weightedSum / inc.Sum)
+		inc.Values.Push(weightedSum / inc.sum)
 		if len(inc.Values) > MaxNumOfALMA {
 			inc.Values = inc.Values[MaxNumOfALMATruncateSize-1:]
 		}
@@ -71,6 +73,8 @@ func (inc *ALMA) Length() int {
 	return len(inc.Values)
 }
 
+var _ types.SeriesExtend = &ALMA{}
+
 func (inc *ALMA) calculateAndUpdate(allKLines []types.KLine) {
 	if inc.input == nil {
 		for _, k := range allKLines {

pkg/indicator/atr.go

@@ -9,6 +9,7 @@ import (
 
 //go:generate callbackgen -type ATR
 type ATR struct {
+	types.SeriesBase
 	types.IntervalWindow
 	PercentageVolatility types.Float64Slice
 
@@ -25,6 +26,7 @@ func (inc *ATR) Update(high, low, cloze float64) {
 	}
 
 	if inc.RMA == nil {
+		inc.SeriesBase.Series = inc
 		inc.RMA = &RMA{
 			IntervalWindow: types.IntervalWindow{Window: inc.Window},
 			Adjust:         true,
@@ -73,7 +75,7 @@ func (inc *ATR) Length() int {
 	return inc.RMA.Length()
 }
 
-var _ types.Series = &ATR{}
+var _ types.SeriesExtend = &ATR{}
 
 func (inc *ATR) CalculateAndUpdate(kLines []types.KLine) {
 	for _, k := range kLines {

pkg/indicator/boll.go

@@ -41,20 +41,20 @@ type BOLL struct {
 
 type BandType int
 
-func (inc *BOLL) GetUpBand() types.Series {
-	return &inc.UpBand
+func (inc *BOLL) GetUpBand() types.SeriesExtend {
+	return types.NewSeries(&inc.UpBand)
 }
 
-func (inc *BOLL) GetDownBand() types.Series {
-	return &inc.DownBand
+func (inc *BOLL) GetDownBand() types.SeriesExtend {
+	return types.NewSeries(&inc.DownBand)
 }
 
-func (inc *BOLL) GetSMA() types.Series {
-	return &inc.SMA
+func (inc *BOLL) GetSMA() types.SeriesExtend {
+	return types.NewSeries(&inc.SMA)
 }
 
-func (inc *BOLL) GetStdDev() types.Series {
-	return &inc.StdDev
+func (inc *BOLL) GetStdDev() types.SeriesExtend {
+	return types.NewSeries(&inc.StdDev)
 }
 
 func (inc *BOLL) LastUpBand() float64 {

pkg/indicator/cci.go

@@ -12,6 +12,7 @@ import (
 // with modification of ddof=0 to let standard deviation to be divided by N instead of N-1
 //go:generate callbackgen -type CCI
 type CCI struct {
+	types.SeriesBase
 	types.IntervalWindow
 	Input        types.Float64Slice
 	TypicalPrice types.Float64Slice
@@ -23,6 +24,7 @@ type CCI struct {
 
 func (inc *CCI) Update(value float64) {
 	if len(inc.TypicalPrice) == 0 {
+		inc.SeriesBase.Series = inc
 		inc.TypicalPrice.Push(value)
 		inc.Input.Push(value)
 		return
@@ -75,7 +77,7 @@ func (inc *CCI) Length() int {
 	return len(inc.Values)
 }
 
-var _ types.Series = &CCI{}
+var _ types.SeriesExtend = &CCI{}
 
 var three = fixedpoint.NewFromInt(3)
 

pkg/indicator/cma.go

@@ -8,18 +8,23 @@ import (
 // Refer: https://en.wikipedia.org/wiki/Moving_average
 //go:generate callbackgen -type CA
 type CA struct {
+	types.SeriesBase
 	Interval        types.Interval
 	Values          types.Float64Slice
 	length          float64
 	UpdateCallbacks []func(value float64)
 }
 
 func (inc *CA) Update(x float64) {
+	if len(inc.Values) == 0 {
+		inc.SeriesBase.Series = inc
+	}
 	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:]
+		inc.length = float64(len(inc.Values))
 	}
 }
 
@@ -41,7 +46,7 @@ func (inc *CA) Length() int {
 	return len(inc.Values)
 }
 
-var _ types.Series = &CA{}
+var _ types.SeriesExtend = &CA{}
 
 func (inc *CA) calculateAndUpdate(allKLines []types.KLine) {
 	for _, k := range allKLines {

pkg/indicator/dema.go

@@ -10,6 +10,7 @@ import (
 //go:generate callbackgen -type DEMA
 type DEMA struct {
 	types.IntervalWindow
+	types.SeriesBase
 	Values types.Float64Slice
 	a1     *EWMA
 	a2     *EWMA
@@ -19,6 +20,7 @@ type DEMA struct {
 
 func (inc *DEMA) Update(value float64) {
 	if len(inc.Values) == 0 {
+		inc.SeriesBase.Series = inc
 		inc.a1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
 		inc.a2 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
 	}
@@ -46,7 +48,7 @@ func (inc *DEMA) Length() int {
 	return len(inc.Values)
 }
 
-var _ types.Series = &DEMA{}
+var _ types.SeriesExtend = &DEMA{}
 
 func (inc *DEMA) calculateAndUpdate(allKLines []types.KLine) {
 	if inc.a1 == nil {

pkg/indicator/dmi.go

@@ -17,11 +17,11 @@ type DMI struct {
 	types.IntervalWindow
 	ADXSmoothing      int
 	atr               *ATR
-	DMP               types.UpdatableSeries
-	DMN               types.UpdatableSeries
+	DMP               types.UpdatableSeriesExtend
+	DMN               types.UpdatableSeriesExtend
 	DIPlus            *types.Queue
 	DIMinus           *types.Queue
-	ADX               types.UpdatableSeries
+	ADX               types.UpdatableSeriesExtend
 	PrevHigh, PrevLow float64
 	UpdateCallbacks   []func(diplus, diminus, adx float64)
 }
@@ -71,15 +71,15 @@ func (inc *DMI) Update(high, low, cloze float64) {
 
 }
 
-func (inc *DMI) GetDIPlus() types.Series {
+func (inc *DMI) GetDIPlus() types.SeriesExtend {
 	return inc.DIPlus
 }
 
-func (inc *DMI) GetDIMinus() types.Series {
+func (inc *DMI) GetDIMinus() types.SeriesExtend {
 	return inc.DIMinus
 }
 
-func (inc *DMI) GetADX() types.Series {
+func (inc *DMI) GetADX() types.SeriesExtend {
 	return inc.ADX
 }
 

pkg/indicator/drift.go

@@ -11,6 +11,7 @@ import (
 // could be used in Monte Carlo Simulations
 //go:generate callbackgen -type Drift
 type Drift struct {
+	types.SeriesBase
 	types.IntervalWindow
 	chng      *types.Queue
 	Values    types.Float64Slice
@@ -22,6 +23,7 @@ type Drift struct {
 
 func (inc *Drift) Update(value float64) {
 	if inc.chng == nil {
+		inc.SeriesBase.Series = inc
 		inc.SMA = &SMA{IntervalWindow: types.IntervalWindow{Interval: inc.Interval, Window: inc.Window}}
 		inc.chng = types.NewQueue(inc.Window)
 		inc.LastValue = value
@@ -64,7 +66,7 @@ func (inc *Drift) Length() int {
 	return inc.Values.Length()
 }
 
-var _ types.Series = &Drift{}
+var _ types.SeriesExtend = &Drift{}
 
 func (inc *Drift) calculateAndUpdate(allKLines []types.KLine) {
 	if inc.chng == nil {

pkg/indicator/emv.go

@@ -9,6 +9,7 @@ import (
 
 //go:generate callbackgen -type EMV
 type EMV struct {
+	types.SeriesBase
 	types.IntervalWindow
 	prevH    float64
 	prevL    float64
@@ -25,6 +26,7 @@ func (inc *EMV) Update(high, low, vol float64) {
 		inc.EMVScale = DefaultEMVScale
 	}
 	if inc.prevH == 0 || inc.Values == nil {
+		inc.SeriesBase.Series = inc
 		inc.prevH = high
 		inc.prevL = low
 		inc.Values = &SMA{IntervalWindow: inc.IntervalWindow}
@@ -59,7 +61,7 @@ func (inc *EMV) Length() int {
 	return inc.Values.Length()
 }
 
-var _ types.Series = &EMV{}
+var _ types.SeriesExtend = &EMV{}
 
 func (inc *EMV) calculateAndUpdate(allKLines []types.KLine) {
 	if inc.Values == nil {

pkg/indicator/ewma.go

@@ -16,6 +16,7 @@ const MaxNumOfEWMATruncateSize = 100
 //go:generate callbackgen -type EWMA
 type EWMA struct {
 	types.IntervalWindow
+	types.SeriesBase
 	Values       types.Float64Slice
 	LastOpenTime time.Time
 
@@ -26,6 +27,7 @@ func (inc *EWMA) Update(value float64) {
 	var multiplier = 2.0 / float64(1+inc.Window)
 
 	if len(inc.Values) == 0 {
+		inc.SeriesBase.Series = inc
 		inc.Values.Push(value)
 		return
 	} else if len(inc.Values) > MaxNumOfEWMA {
@@ -136,4 +138,4 @@ func (inc *EWMA) Bind(updater KLineWindowUpdater) {
 	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
 }
 
-var _ types.Series = &EWMA{}
+var _ types.SeriesExtend = &EWMA{}

pkg/indicator/hull.go

@@ -10,6 +10,7 @@ import (
 // Refer URL: https://fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/hull-moving-average
 //go:generate callbackgen -type HULL
 type HULL struct {
+	types.SeriesBase
 	types.IntervalWindow
 	ma1    *EWMA
 	ma2    *EWMA
@@ -20,6 +21,7 @@ type HULL struct {
 
 func (inc *HULL) Update(value float64) {
 	if inc.result == nil {
+		inc.SeriesBase.Series = inc
 		inc.ma1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window / 2}}
 		inc.ma2 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
 		inc.result = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, int(math.Sqrt(float64(inc.Window)))}}
@@ -50,7 +52,7 @@ func (inc *HULL) Length() int {
 	return inc.result.Length()
 }
 
-var _ types.Series = &HULL{}
+var _ types.SeriesExtend = &HULL{}
 
 // TODO: should we just ignore the possible overlapping?
 func (inc *HULL) calculateAndUpdate(allKLines []types.KLine) {

pkg/indicator/line.go

@@ -12,6 +12,7 @@ import (
 // 3. resistance
 // of the market data, defined with series interface
 type Line struct {
+	types.SeriesBase
 	types.IntervalWindow
 	start       float64
 	end         float64
@@ -63,14 +64,16 @@ func (l *Line) SetXY2(index int, value float64) {
 }
 
 func NewLine(startIndex int, startValue float64, endIndex int, endValue float64, interval types.Interval) *Line {
-	return &Line{
+	line := &Line{
 		start:       startValue,
 		end:         endValue,
 		startIndex:  startIndex,
 		endIndex:    endIndex,
 		currentTime: time.Time{},
 		Interval:    interval,
 	}
+	line.SeriesBase.Series = line
+	return line
 }
 
-var _ types.Series = &Line{}
+var _ types.SeriesExtend = &Line{}