bbgo_origin/pkg/indicator/dmi.go

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package indicator
import (
"math"
"github.com/c9s/bbgo/pkg/types"
)
// Refer: https://www.investopedia.com/terms/d/dmi.asp
// Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/trend/adx.py
//
// Directional Movement Index
// an indicator developed by J. Welles Wilder in 1978 that identifies in which
// direction the price of an asset is moving.
//go:generate callbackgen -type DMI
type DMI struct {
types.IntervalWindow
ADXSmoothing int
atr *ATR
DMP types.UpdatableSeriesExtend
DMN types.UpdatableSeriesExtend
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DIPlus *types.Queue
DIMinus *types.Queue
ADX types.UpdatableSeriesExtend
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PrevHigh, PrevLow float64
UpdateCallbacks []func(diplus, diminus, adx float64)
}
func (inc *DMI) Update(high, low, cloze float64) {
if inc.DMP == nil || inc.DMN == nil {
inc.DMP = &RMA{IntervalWindow: inc.IntervalWindow, Adjust: true}
inc.DMN = &RMA{IntervalWindow: inc.IntervalWindow, Adjust: true}
inc.ADX = &RMA{IntervalWindow: types.IntervalWindow{Window: inc.ADXSmoothing}, Adjust: true}
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}
if inc.atr == nil {
inc.atr = &ATR{IntervalWindow: inc.IntervalWindow}
inc.atr.Update(high, low, cloze)
inc.PrevHigh = high
inc.PrevLow = low
inc.DIPlus = types.NewQueue(500)
inc.DIMinus = types.NewQueue(500)
return
}
inc.atr.Update(high, low, cloze)
up := high - inc.PrevHigh
dn := inc.PrevLow - low
inc.PrevHigh = high
inc.PrevLow = low
pos := 0.0
if up > dn && up > 0. {
pos = up
}
neg := 0.0
if dn > up && dn > 0. {
neg = dn
}
inc.DMP.Update(pos)
inc.DMN.Update(neg)
if inc.atr.Length() < inc.Window {
return
}
k := 100. / inc.atr.Last()
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dmp := inc.DMP.Last()
dmn := inc.DMN.Last()
inc.DIPlus.Update(k * dmp)
inc.DIMinus.Update(k * dmn)
dx := 100. * math.Abs(dmp-dmn) / (dmp + dmn)
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inc.ADX.Update(dx)
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}
func (inc *DMI) GetDIPlus() types.SeriesExtend {
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return inc.DIPlus
}
func (inc *DMI) GetDIMinus() types.SeriesExtend {
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return inc.DIMinus
}
func (inc *DMI) GetADX() types.SeriesExtend {
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return inc.ADX
}
func (inc *DMI) Length() int {
return inc.ADX.Length()
}
func (inc *DMI) calculateAndUpdate(allKLines []types.KLine) {
if inc.ADX == nil {
for _, k := range allKLines {
inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
inc.EmitUpdate(inc.DIPlus.Last(), inc.DIMinus.Last(), inc.ADX.Last())
}
} else {
k := allKLines[len(allKLines)-1]
inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
inc.EmitUpdate(inc.DIPlus.Last(), inc.DIMinus.Last(), inc.ADX.Last())
}
}
func (inc *DMI) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *DMI) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}