Merge pull request #226 from narumiruna/feature/add-obc-indicator

pkg/indicator/obv.go

@@ -0,0 +1,76 @@
+package indicator
+
+import (
+	"time"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+/*
+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
+	Values   Float64Slice
+	PrePrice float64
+
+	EndTime         time.Time
+	UpdateCallbacks []func(value float64)
+}
+
+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
+	}
+	obv := inc.Last() + sign*volume
+	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
+	}
+
+}
+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)
+}

pkg/indicator/obv_callbacks.go

@@ -0,0 +1,15 @@
+// Code generated by "callbackgen -type OBV"; DO NOT EDIT.
+
+package indicator
+
+import ()
+
+func (inc *OBV) OnUpdate(cb func(value float64)) {
+	inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
+}
+
+func (inc *OBV) EmitUpdate(value float64) {
+	for _, cb := range inc.UpdateCallbacks {
+		cb(value)
+	}
+}

pkg/indicator/obv_test.go

@@ -0,0 +1,47 @@
+package indicator
+
+import (
+	"reflect"
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func Test_calculateOBV(t *testing.T) {
+	buildKLines := func(prices, volumes []float64) (kLines []types.KLine) {
+		for i, p := range prices {
+			kLines = append(kLines, types.KLine{High: p, Low: p, Close: p, Volume: volumes[i]})
+		}
+		return kLines
+	}
+
+	tests := []struct {
+		name   string
+		kLines []types.KLine
+		window int
+		want   Float64Slice
+	}{
+		{
+			name:   "trivial_case",
+			kLines: buildKLines([]float64{0}, []float64{1}),
+			window: 0,
+			want:   Float64Slice{1.0},
+		},
+		{
+			name:   "easy_case",
+			kLines: buildKLines([]float64{3, 2, 1, 4}, []float64{3, 2, 2, 6}),
+			window: 0,
+			want:   Float64Slice{3, 1, -1, 5},
+		},
+	}
+
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			obv := OBV{IntervalWindow: types.IntervalWindow{Window: tt.window}}
+			obv.calculateAndUpdate(tt.kLines)
+			if !reflect.DeepEqual(obv.Values, tt.want) {
+				t.Errorf("calculateAndUpdate() = %v, want %v", obv.Values, tt.want)
+			}
+		})
+	}
+}