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62 lines
1.6 KiB
Go
62 lines
1.6 KiB
Go
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package indicatorv2
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import (
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"github.com/c9s/bbgo/pkg/types"
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)
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type KeltnerStream struct {
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types.SeriesBase
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window, atrLength int
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EWMA *EWMAStream
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StdDev *StdDevStream
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ATR *ATRStream
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highPrices, lowPrices, closePrices *PriceStream
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Mid *types.Float64Series
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FirstUpperBand, FirstLowerBand *types.Float64Series
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SecondUpperBand, SecondLowerBand *types.Float64Series
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ThirdUpperBand, ThirdLowerBand *types.Float64Series
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}
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func Keltner(source KLineSubscription, window, atrLength int) *KeltnerStream {
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atr := ATR2(source, atrLength)
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highPrices := HighPrices(source)
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lowPrices := LowPrices(source)
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closePrices := ClosePrices(source)
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ewma := EWMA2(closePrices, window)
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s := &KeltnerStream{
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window: window,
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atrLength: atrLength,
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highPrices: highPrices,
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lowPrices: lowPrices,
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closePrices: closePrices,
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ATR: atr,
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EWMA: ewma,
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Mid: types.NewFloat64Series(),
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FirstUpperBand: types.NewFloat64Series(),
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FirstLowerBand: types.NewFloat64Series(),
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SecondUpperBand: types.NewFloat64Series(),
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SecondLowerBand: types.NewFloat64Series(),
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ThirdUpperBand: types.NewFloat64Series(),
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ThirdLowerBand: types.NewFloat64Series(),
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}
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source.AddSubscriber(func(kLine types.KLine) {
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mid := s.EWMA.Last(0)
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atr := s.ATR.Last(0)
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s.Mid.PushAndEmit(mid)
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s.FirstUpperBand.PushAndEmit(mid + atr)
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s.FirstLowerBand.PushAndEmit(mid - atr)
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s.SecondUpperBand.PushAndEmit(mid + 2*atr)
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s.SecondLowerBand.PushAndEmit(mid - 2*atr)
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s.ThirdUpperBand.PushAndEmit(mid + 3*atr)
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s.ThirdLowerBand.PushAndEmit(mid - 3*atr)
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})
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return s
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}
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