bbgo_origin/pkg/indicator/alma.go

package indicator

import (
	"math"

	"github.com/c9s/bbgo/pkg/types"
)

// Refer: Arnaud Legoux Moving Average
// Refer: https://capital.com/arnaud-legoux-moving-average
// Also check https://github.com/DaveSkender/Stock.Indicators/blob/main/src/a-d/Alma/Alma.cs
// @param offset: Gaussian applied to the combo line. 1->ema, 0->sma
// @param sigma: the standard deviation applied to the combo line. This makes the combo line sharper
//go:generate callbackgen -type ALMA
type ALMA struct {
	types.IntervalWindow
	Offset float64
	Sigma int
	Weight []float64
	Sum float64
	input []float64
	Values types.Float64Slice
	UpdateCallbacks []func(value float64)
}

const MaxNumOfALMA = 5_000
const MaxNumOfALMATruncateSize = 100

func (inc *ALMA) Update(value float64) {
	if inc.Weight == nil {
		inc.Weight = make([]float64, inc.Window)
		m := inc.Offset * (float64(inc.Window) - 1.)
		s := float64(inc.Window) / float64(inc.Sigma)
		inc.Sum = 0.
		for i := 0; i < inc.Window; i++ {
			diff := float64(i) - m
			wt := math.Exp(-diff*diff/2./s/s)
			inc.Sum += wt
			inc.Weight[i] = wt
		}
	}
	inc.input = append(inc.input, value)
	if len(inc.input) >= inc.Window {
		weightedSum := 0.0
		inc.input = inc.input[len(inc.input) - inc.Window:]
		for i := 0; i < inc.Window; i++ {
			weightedSum += inc.Weight[i] * inc.input[i]
		}
		inc.Values.Push(weightedSum / inc.Sum)
		if len(inc.Values) > MaxNumOfALMA {
			inc.Values = inc.Values[MaxNumOfALMATruncateSize-1:]
		}
	}
}

func (inc *ALMA) Last() float64 {
	if len(inc.Values)  == 0 {
		return 0
	}
	return inc.Values[len(inc.Values)-1]
}

func (inc *ALMA) Index(i int) float64 {
	if i >= len(inc.Values) {
		return 0
	}
	return inc.Values[len(inc.Values)-i-1]
}

func (inc *ALMA) Length() int {
	return len(inc.Values)
}

func (inc *ALMA) calculateAndUpdate(allKLines []types.KLine) {
	if inc.input == nil {
		for _, k := range allKLines {
			inc.Update(k.Close.Float64())
			inc.EmitUpdate(inc.Last())
		}
		return
	}
	inc.Update(allKLines[len(allKLines)-1].Close.Float64())
	inc.EmitUpdate(inc.Last())
}

func (inc *ALMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
	if inc.Interval != interval {
		return
	}
	inc.calculateAndUpdate(window)
}

func (inc *ALMA) Bind(updater KLineWindowUpdater) {
	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}