bbgo_origin/pkg/indicator/atr.go

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package indicator
import (
"math"
"time"
"github.com/c9s/bbgo/pkg/datatype/floats"
"github.com/c9s/bbgo/pkg/types"
)
const MaxNumOfATR = 1000
const MaxNumOfATRTruncateSize = 500
//go:generate callbackgen -type ATR
type ATR struct {
types.SeriesBase
types.IntervalWindow
PercentageVolatility floats.Slice
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PreviousClose float64
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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
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inc.RMA.Update(trueRange)
atr := inc.RMA.Last(0)
inc.PercentageVolatility.Push(atr / cloze)
if len(inc.PercentageVolatility) > MaxNumOfATR {
inc.PercentageVolatility = inc.PercentageVolatility[MaxNumOfATRTruncateSize-1:]
}
}
func (inc *ATR) Last(i int) float64 {
if inc.RMA == nil {
return 0
}
return inc.RMA.Last(i)
}
func (inc *ATR) Index(i int) float64 {
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return inc.Last(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(0))
}