feature: add dmi indicator

This commit is contained in:
zenix 2022-06-16 12:56:47 +09:00
parent df8918350e
commit 0a4379eec9
3 changed files with 129 additions and 0 deletions

109
pkg/indicator/dmi.go Normal file
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@ -0,0 +1,109 @@
package indicator
import (
"math"
"github.com/c9s/bbgo/pkg/types"
)
// Refer: https://www.investopedia.com/terms/d/dmi.asp
// Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/trend/adx.py
//
// Directional Movement Index
// an indicator developed by J. Welles Wilder in 1978 that identifies in which
// direction the price of an asset is moving.
//go:generate callbackgen -type DMI
type DMI struct {
types.IntervalWindow
ADXSmoothing int
atr *ATR
DMP types.UpdatableSeries
DMN types.UpdatableSeries
DIPlus *types.Queue
DIMinus *types.Queue
ADX types.UpdatableSeries
PrevHigh, PrevLow float64
UpdateCallbacks []func(diplus, diminus, adx float64)
}
func (inc *DMI) Update(high, low, cloze float64) {
if inc.DMP == nil || inc.DMN == nil {
inc.DMP = &RMA{IntervalWindow: inc.IntervalWindow}
inc.DMN = &RMA{IntervalWindow: inc.IntervalWindow}
inc.ADX = &RMA{IntervalWindow: types.IntervalWindow{Window: inc.ADXSmoothing}}
}
if inc.atr == nil {
inc.atr = &ATR{IntervalWindow: inc.IntervalWindow}
inc.atr.Update(high, low, cloze)
inc.PrevHigh = high
inc.PrevLow = low
inc.DIPlus = types.NewQueue(500)
inc.DIMinus = types.NewQueue(500)
return
}
inc.atr.Update(high, low, cloze)
up := high - inc.PrevHigh
dn := inc.PrevLow - low
inc.PrevHigh = high
inc.PrevLow = low
pos := 0.0
if up > dn && up > 0. {
pos = up
}
neg := 0.0
if dn > up && dn > 0. {
neg = dn
}
k := 100. / inc.atr.Last()
inc.DMP.Update(pos)
inc.DMN.Update(neg)
dmp := inc.DMP.Last()
dmn := inc.DMN.Last()
inc.DIPlus.Update(k * dmp)
inc.DIMinus.Update(k * dmn)
dx := 100. * k * math.Abs(dmp-dmn) / (dmp + dmn)
inc.ADX.Update(dx)
}
func (inc *DMI) GetDIPlus() types.Series {
return inc.DIPlus
}
func (inc *DMI) GetDIMinus() types.Series {
return inc.DIMinus
}
func (inc *DMI) GetADX() types.Series {
return inc.ADX
}
func (inc *DMI) Length() int {
return inc.ADX.Length()
}
func (inc *DMI) calculateAndUpdate(allKLines []types.KLine) {
if inc.ADX == nil {
for _, k := range allKLines {
inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
inc.EmitUpdate(inc.DIPlus.Last(), inc.DIMinus.Last(), inc.ADX.Last())
}
} else {
k := allKLines[len(allKLines)-1]
inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
inc.EmitUpdate(inc.DIPlus.Last(), inc.DIMinus.Last(), inc.ADX.Last())
}
}
func (inc *DMI) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *DMI) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}

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

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@ -63,6 +63,11 @@ type Series interface {
Length() int
}
type UpdatableSeries interface {
Series
Update(float64)
}
// The interface maps to pinescript basic type `series` for bool type
// Access the internal historical data from the latest to the oldest
// Index(0) always maps to Last()