bbgo_origin/pkg/indicator/ewma.go

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package indicator
import (
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"math"
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"time"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/types"
)
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//go:generate callbackgen -type EWMA
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type EWMA struct {
types.IntervalWindow
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Values Float64Slice
LastOpenTime time.Time
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UpdateCallbacks []func(value float64)
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}
func (inc *EWMA) Last() float64 {
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if len(inc.Values) == 0 {
return 0
}
return inc.Values[len(inc.Values)-1]
}
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func (inc *EWMA) calculateAndUpdate(allKLines []types.KLine) {
if len(allKLines) < inc.Window {
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// we can't calculate
return
}
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var priceF = KLineClosePriceMapper
var dataLen = len(allKLines)
var multiplier = 2.0 / (float64(inc.Window) + 1)
// init the values from the kline data
var from = 1
if len(inc.Values) == 0 {
// for the first value, we should use the close price
inc.Values = []float64{priceF(allKLines[0])}
} else {
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// from = len(inc.Values)
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// update ewma with the existing values
for i := dataLen - 1; i > 0; i-- {
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var k = allKLines[i]
if k.StartTime.After(inc.LastOpenTime) {
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from = i
} else {
break
}
}
}
for i := from; i < dataLen; i++ {
var k = allKLines[i]
var ewma = priceF(k)*multiplier + (1-multiplier)*inc.Values[i-1]
inc.Values.Push(ewma)
inc.LastOpenTime = k.StartTime
inc.EmitUpdate(ewma)
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}
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if len(inc.Values) != dataLen {
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log.Warnf("%s EMA (%d) value length (%d) != all kline data length (%d)", inc.Interval, inc.Window, len(inc.Values), dataLen)
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}
v1 := math.Floor(inc.Values[len(inc.Values)-1]*100.0) / 100.0
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v2 := math.Floor(CalculateKLinesEMA(allKLines, priceF, inc.Window)*100.0) / 100.0
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if v1 != v2 {
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log.Warnf("ACCUMULATED %s EMA (%d) %f != EMA %f", inc.Interval, inc.Window, v1, v2)
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}
}
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func CalculateKLinesEMA(allKLines []types.KLine, priceF KLinePriceMapper, window int) float64 {
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var multiplier = 2.0 / (float64(window) + 1)
return ewma(MapKLinePrice(allKLines, priceF), multiplier)
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}
// see https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
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func ewma(prices []float64, multiplier float64) float64 {
var end = len(prices) - 1
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if end == 0 {
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return prices[0]
}
return prices[end]*multiplier + (1-multiplier)*ewma(prices[:end], multiplier)
}
type KLinePriceMapper func(k types.KLine) float64
func KLineOpenPriceMapper(k types.KLine) float64 {
return k.Open
}
func KLineClosePriceMapper(k types.KLine) float64 {
return k.Close
}
func MapKLinePrice(kLines []types.KLine, f KLinePriceMapper) (prices []float64) {
for _, k := range kLines {
prices = append(prices, f(k))
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}
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return prices
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}
type KLineWindowUpdater interface {
OnKLineWindowUpdate(func(interval types.Interval, window types.KLineWindow))
}
func (inc *EWMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
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func (inc *EWMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}