bbgo_origin/pkg/indicator/obv.go

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package indicator
import (
"time"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/fixedpoint"
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)
/*
obv implements on-balance volume indicator
On-Balance Volume (OBV) Definition
- https://www.investopedia.com/terms/o/onbalancevolume.asp
*/
//go:generate callbackgen -type OBV
type OBV struct {
types.IntervalWindow
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Values types.Float64Slice
PrePrice fixedpoint.Value
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EndTime time.Time
UpdateCallbacks []func(value fixedpoint.Value)
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}
func (inc *OBV) update(kLine types.KLine, priceF KLinePriceMapper) {
price := priceF(kLine)
volume := kLine.Volume
if len(inc.Values) == 0 {
inc.PrePrice = price
inc.Values.Push(volume)
return
}
var sign float64 = 0.0
if volume > inc.PrePrice {
sign = 1.0
} else if volume < inc.PrePrice {
sign = -1.0
}
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obv := inc.Last() + sign*volume
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inc.Values.Push(obv)
}
func (inc *OBV) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *OBV) calculateAndUpdate(kLines []types.KLine) {
var priceF = KLineClosePriceMapper
for i, k := range kLines {
if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
continue
}
inc.update(k, priceF)
inc.EmitUpdate(inc.Last())
inc.EndTime = kLines[i].EndTime.Time()
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}
}
func (inc *OBV) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *OBV) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}