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