[add] 新增NR和CCI指标

go.mod

@@ -4,8 +4,6 @@ module git.qtrade.icu/lychiyu/bbgo
 
 go 1.22.4
 
-toolchain go1.23.0
-
 require (
 	github.com/DATA-DOG/go-sqlmock v1.5.2
 	github.com/Masterminds/squirrel v1.5.4
@@ -50,9 +48,12 @@ require (
 	github.com/stretchr/testify v1.9.0
 	github.com/valyala/fastjson v1.6.4
 	github.com/wcharczuk/go-chart/v2 v2.1.1
+	github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90
 	github.com/x-cray/logrus-prefixed-formatter v0.5.2
+	github.com/zserge/lorca v0.1.10
 	go.uber.org/mock v0.4.0
 	go.uber.org/multierr v1.11.0
+	golang.org/x/oauth2 v0.21.0
 	golang.org/x/sync v0.7.0
 	golang.org/x/time v0.5.0
 	gonum.org/v1/gonum v0.15.0
@@ -79,6 +80,7 @@ require (
 	github.com/cloudwego/base64x v0.1.4 // indirect
 	github.com/cloudwego/iasm v0.2.0 // indirect
 	github.com/cockroachdb/apd v1.1.0 // indirect
+	github.com/cpuguy83/go-md2man/v2 v2.0.4 // indirect
 	github.com/davecgh/go-spew v1.1.2-0.20180830191138-d8f796af33cc // indirect
 	github.com/denisenkom/go-mssqldb v0.12.3 // indirect
 	github.com/dgryski/go-rendezvous v0.0.0-20200823014737-9f7001d12a5f // indirect
@@ -126,6 +128,7 @@ require (
 	github.com/prometheus/procfs v0.12.0 // indirect
 	github.com/rivo/uniseg v0.4.4 // indirect
 	github.com/rollbar/rollbar-go v1.0.2 // indirect
+	github.com/russross/blackfriday/v2 v2.1.0 // indirect
 	github.com/sagikazarmark/locafero v0.4.0 // indirect
 	github.com/sagikazarmark/slog-shim v0.1.0 // indirect
 	github.com/shopspring/decimal v0.0.0-20180709203117-cd690d0c9e24 // indirect
@@ -147,7 +150,6 @@ require (
 	golang.org/x/image v0.14.0 // indirect
 	golang.org/x/mod v0.17.0 // indirect
 	golang.org/x/net v0.26.0 // indirect
-	golang.org/x/oauth2 v0.21.0 // indirect
 	golang.org/x/sys v0.21.0 // indirect
 	golang.org/x/term v0.21.0 // indirect
 	golang.org/x/text v0.16.0 // indirect

pkg/bbgo/indicator_set.go

@@ -112,3 +112,10 @@ func (i *IndicatorSet) ATRP(interval types.Interval, window int) *indicatorv2.AT
 func (i *IndicatorSet) ADX(interval types.Interval, window int) *indicatorv2.ADXStream {
 	return indicatorv2.ADX(i.KLines(interval), window)
 }
+func (i *IndicatorSet) NR(interval types.Interval, nrCount int, strictMode bool) *indicatorv2.NRStrean {
+	return indicatorv2.NR(i.KLines(interval), nrCount, strictMode)
+}
+
+func (i *IndicatorSet) CCI(interval types.Interval, window int) *indicatorv2.CCIStream {
+	return indicatorv2.CCI(indicatorv2.HLC3(i.KLines(interval)), window)
+}

pkg/indicator/v2/cci.go

@@ -44,7 +44,7 @@ func CCI(source types.Float64Source, window int) *CCIStream {
 	return s
 }
 
-func (s *CCIStream) Calculate(value float64) float64 {
+func (s *CCIStream) Calculate1(value float64) float64 {
 	var tp = value
 	if s.TypicalPrice.Length() > 0 {
 		tp = s.TypicalPrice.Last(0) - s.source.Last(s.window) + value
@@ -63,3 +63,20 @@ func (s *CCIStream) Calculate(value float64) float64 {
 	cci := (value - ma) / (0.015 * md)
 	return cci
 }
+
+func (s *CCIStream) Calculate(value float64) float64 {
+	ma := 0.
+	for i := 0; i < s.window; i++ {
+		ma += s.source.Last(i)
+	}
+	ma = ma / float64(s.window)
+
+	md := 0.
+	for i := 0; i < s.window; i++ {
+		md += math.Abs(s.source.Last(i) - ma)
+	}
+
+	md = md / float64(s.window)
+	cci := (value - ma) / (0.015 * md)
+	return cci
+}

pkg/indicator/v2/nr.go

@@ -0,0 +1,70 @@
+package indicatorv2
+
+import (
+	"git.qtrade.icu/lychiyu/bbgo/pkg/types"
+)
+
+type NRStrean struct {
+	*types.Float64Series
+	nrCount int
+
+	kLines     []types.KLine
+	strictMode bool
+	NrKLine    types.KLine
+}
+
+func NR(source KLineSubscription, nrCount int, strictMode bool) *NRStrean {
+
+	s := &NRStrean{
+		nrCount:       nrCount,
+		Float64Series: types.NewFloat64Series(),
+	}
+	source.AddSubscriber(func(k types.KLine) {
+		s.calculateAndPush(k)
+	})
+	return s
+}
+
+func (s *NRStrean) calculateAndPush(k types.KLine) {
+
+	s.kLines = append(s.kLines, k)
+	if len(s.kLines) < s.nrCount {
+		return
+	}
+
+	nr := s.kLines[len(s.kLines)-1]
+	preNr := s.kLines[len(s.kLines)-2]
+	isNR := true
+
+	if preNr.High < nr.High || preNr.Low > nr.Low {
+		isNR = false
+		return
+	}
+
+	for i := len(s.kLines) - s.nrCount; i < len(s.kLines); i++ {
+		// 这种是所有的kline都要高于nr
+		//if s.CalKLines[i].High > nr.High || s.CalKLines[i].Low < nr.Low {
+		//	isNR = false
+		//	break
+		//}
+		if s.strictMode {
+			if s.kLines[i].High-s.kLines[i].Low < nr.High-nr.Low {
+				isNR = false
+				break
+			}
+		} else {
+			if (s.kLines[i].High-s.kLines[i].Low)/s.kLines[i].Low < (nr.High-nr.Low)/nr.Low {
+				isNR = false
+				break
+			}
+		}
+
+	}
+
+	if isNR {
+		s.NrKLine = nr
+		s.PushAndEmit(nr.High.Float64())
+	}
+
+	return
+}