feature: add dmi indicator

pkg/indicator/dmi.go

@@ -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)
+}

pkg/indicator/dmi_callbacks.go

@@ -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)
+	}
+}

pkg/types/indicator.go

@@ -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()