bbgo_origin/pkg/indicator/cci.go

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package indicator
import (
"math"
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"github.com/c9s/bbgo/pkg/types"
)
// Refer: Commodity Channel Index
// Refer URL: http://www.andrewshamlet.net/2017/07/08/python-tutorial-cci
// with modification of ddof=0 to let standard deviation to be divided by N instead of N-1
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//go:generate callbackgen -type CCI
type CCI struct {
types.SeriesBase
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types.IntervalWindow
Input types.Float64Slice
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TypicalPrice types.Float64Slice
MA types.Float64Slice
Values types.Float64Slice
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UpdateCallbacks []func(value float64)
}
func (inc *CCI) Update(value float64) {
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if len(inc.TypicalPrice) == 0 {
inc.SeriesBase.Series = inc
inc.TypicalPrice.Push(value)
inc.Input.Push(value)
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return
} else if len(inc.TypicalPrice) > MaxNumOfEWMA {
inc.TypicalPrice = inc.TypicalPrice[MaxNumOfEWMATruncateSize-1:]
inc.Input = inc.Input[MaxNumOfEWMATruncateSize-1:]
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}
inc.Input.Push(value)
tp := inc.TypicalPrice.Last() - inc.Input.Index(inc.Window) + value
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inc.TypicalPrice.Push(tp)
if len(inc.Input) < inc.Window {
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return
}
ma := tp / float64(inc.Window)
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inc.MA.Push(ma)
if len(inc.MA) > MaxNumOfEWMA {
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inc.MA = inc.MA[MaxNumOfEWMATruncateSize-1:]
}
md := 0.
for i := 0; i < inc.Window; i++ {
diff := inc.Input.Index(i) - ma
md += diff * diff
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}
md = math.Sqrt(md / float64(inc.Window))
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cci := (value - ma) / (0.015 * md)
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inc.Values.Push(cci)
if len(inc.Values) > MaxNumOfEWMA {
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
}
}
func (inc *CCI) Last() float64 {
if len(inc.Values) == 0 {
return 0
}
return inc.Values[len(inc.Values)-1]
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}
func (inc *CCI) Index(i int) float64 {
if i >= len(inc.Values) {
return 0
}
return inc.Values[len(inc.Values)-1-i]
}
func (inc *CCI) Length() int {
return len(inc.Values)
}
var _ types.SeriesExtend = &CCI{}
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func (inc *CCI) PushK(k types.KLine) {
inc.Update(k.High.Add(k.Low).Add(k.Close).Div(three).Float64())
}
func (inc *CCI) CalculateAndUpdate(allKLines []types.KLine) {
if inc.TypicalPrice.Length() == 0 {
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for _, k := range allKLines {
inc.PushK(k)
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inc.EmitUpdate(inc.Last())
}
} else {
k := allKLines[len(allKLines)-1]
inc.PushK(k)
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inc.EmitUpdate(inc.Last())
}
}
func (inc *CCI) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.CalculateAndUpdate(window)
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}
func (inc *CCI) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}