bbgo/pkg/strategy/fmaker/S6.go

101 lines
2.1 KiB
Go

package fmaker
import (
"fmt"
"time"
"git.qtrade.icu/lychiyu/bbgo/pkg/datatype/floats"
"git.qtrade.icu/lychiyu/bbgo/pkg/indicator"
"git.qtrade.icu/lychiyu/bbgo/pkg/types"
)
//go:generate callbackgen -type S6
type S6 struct {
types.IntervalWindow
// Values
Values floats.Slice
EndTime time.Time
UpdateCallbacks []func(val float64)
}
func (inc *S6) Last(int) float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *S6) CalculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
val, err := calculateS6(recentT, types.KLineHighPriceMapper, types.KLineLowPriceMapper, types.KLineClosePriceMapper, types.KLineVolumeMapper)
if err != nil {
log.WithError(err).Error("can not calculate")
return
}
inc.Values.Push(val)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(val)
}
func (inc *S6) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.CalculateAndUpdate(window)
}
func (inc *S6) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculateS6(klines []types.KLine, valHigh KLineValueMapper, valLow KLineValueMapper, valClose KLineValueMapper, valVolume KLineValueMapper) (float64, error) {
window := 2
length := len(klines)
if length == 0 || length < window {
return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
}
var highs floats.Slice
var lows floats.Slice
var closes floats.Slice
var volumes floats.Slice
for _, k := range klines {
highs.Push(valHigh(k))
lows.Push(valLow(k))
closes.Push(valClose(k))
volumes.Push(valVolume(k))
}
H := highs.Last(0)
L := lows.Last(0)
C := closes.Last(0)
V := volumes.Last(0)
alpha := (H + L + C) / 3 * V
return alpha, nil
}