108 lines
2.4 KiB
Go
108 lines
2.4 KiB
Go
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package factorzoo
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import (
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"fmt"
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"time"
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"git.qtrade.icu/lychiyu/bbgo/pkg/datatype/floats"
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"git.qtrade.icu/lychiyu/bbgo/pkg/indicator"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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// quarterly volume momentum
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// assume that the quotient of volume SMA over latest volume will dynamically revert into one.
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// so this fraction value is our alpha, PMR
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//go:generate callbackgen -type VMOM
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type VMOM struct {
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types.SeriesBase
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types.IntervalWindow
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// Values
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Values floats.Slice
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LastValue float64
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volumes *types.Queue
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EndTime time.Time
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UpdateCallbacks []func(val float64)
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}
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func (inc *VMOM) Index(i int) float64 {
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return inc.Last(i)
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}
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func (inc *VMOM) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *VMOM) Length() int {
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return inc.Values.Length()
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}
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var _ types.SeriesExtend = &VMOM{}
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func (inc *VMOM) Update(volume float64) {
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if inc.SeriesBase.Series == nil {
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inc.SeriesBase.Series = inc
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inc.volumes = types.NewQueue(inc.Window)
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}
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inc.volumes.Update(volume)
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if inc.volumes.Length() >= inc.Window {
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v := inc.volumes.Last(0) / inc.volumes.Mean()
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inc.Values.Push(v)
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}
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}
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func (inc *VMOM) CalculateAndUpdate(allKLines []types.KLine) {
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if len(inc.Values) == 0 {
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for _, k := range allKLines {
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.Last(0))
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} else {
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(inc.Last(0))
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}
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}
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func (inc *VMOM) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if inc.Interval != interval {
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return
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}
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inc.CalculateAndUpdate(window)
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}
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func (inc *VMOM) Bind(updater indicator.KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func (inc *VMOM) PushK(k types.KLine) {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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return
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}
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inc.Update(k.Volume.Float64())
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.Last(0))
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}
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func calculateVolumeMomentum(klines []types.KLine, window int, valV KLineValueMapper, valP KLineValueMapper) (float64, error) {
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length := len(klines)
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if length == 0 || length < window {
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return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
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}
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vma := 0.
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for _, p := range klines[length-window : length-1] {
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vma += valV(p)
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}
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vma /= float64(window)
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momentum := valV(klines[length-1]) / vma // * (valP(klines[length-1-2]) / valP(klines[length-1]))
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return momentum, nil
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}
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