bbgo_origin/pkg/indicator/rma2.go

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2023-05-30 03:35:24 +00:00
package indicator
import (
"github.com/c9s/bbgo/pkg/types"
)
type RMAStream struct {
// embedded structs
Float64Updater
types.SeriesBase
// config fields
types.IntervalWindow
Adjust bool
counter int
sum, tmp float64
}
func RMA2(source Float64Source, iw types.IntervalWindow) *RMAStream {
s := &RMAStream{
IntervalWindow: iw,
}
s.SeriesBase.Series = s.slice
if sub, ok := source.(Float64Subscription); ok {
sub.AddSubscriber(s.calculateAndPush)
} else {
source.OnUpdate(s.calculateAndPush)
}
return s
}
func (s *RMAStream) calculateAndPush(v float64) {
v2 := s.calculate(v)
s.slice.Push(v2)
s.EmitUpdate(v2)
}
func (s *RMAStream) calculate(x float64) float64 {
lambda := 1 / float64(s.Window)
if s.counter == 0 {
s.sum = 1
s.tmp = x
} else {
if s.Adjust {
s.sum = s.sum*(1-lambda) + 1
s.tmp = s.tmp + (x-s.tmp)/s.sum
} else {
s.tmp = s.tmp*(1-lambda) + x*lambda
}
}
s.counter++
if s.counter < s.Window {
s.slice.Push(0)
}
s.slice.Push(s.tmp)
if len(s.slice) > MaxNumOfRMA {
s.slice = s.slice[MaxNumOfRMATruncateSize-1:]
}
return s.tmp
}