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45 lines
1.0 KiB
Go
45 lines
1.0 KiB
Go
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package scmaker
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import (
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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type IntensityStream struct {
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*indicator.Float64Series
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Buy, Sell *indicator.RMAStream
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window int
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}
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func Intensity(source indicator.KLineSubscription, window int) *IntensityStream {
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s := &IntensityStream{
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Float64Series: indicator.NewFloat64Series(),
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window: window,
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Buy: indicator.RMA2(indicator.NewFloat64Series(), window, false),
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Sell: indicator.RMA2(indicator.NewFloat64Series(), window, false),
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}
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threshold := fixedpoint.NewFromFloat(100.0)
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source.AddSubscriber(func(k types.KLine) {
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volume := k.Volume.Float64()
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// ignore zero volume events or <= 10usd events
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if volume == 0.0 || k.Close.Mul(k.Volume).Compare(threshold) <= 0 {
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return
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}
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c := k.Close.Compare(k.Open)
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if c > 0 {
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s.Buy.PushAndEmit(volume)
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} else if c < 0 {
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s.Sell.PushAndEmit(volume)
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}
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s.Float64Series.PushAndEmit(k.High.Sub(k.Low).Float64())
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})
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return s
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}
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