Merge pull request #373 from narumiruna/vwma

feature: add volume weighted moving average indicator

pkg/indicator/vwma.go

@@ -0,0 +1,92 @@
+package indicator
+
+import (
+	"time"
+
+	log "github.com/sirupsen/logrus"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+/*
+vwma implements the volume weighted moving average (VWMA) indicator:
+
+Calculation:
+	pv = element-wise multiplication of close prices and volumes
+	VWMA = SMA(pv, window) / SMA(volumes, window)
+
+Volume Weighted Moving Average
+- https://www.motivewave.com/studies/volume_weighted_moving_average.htm
+*/
+//go:generate callbackgen -type VWMA
+type VWMA struct {
+	types.IntervalWindow
+	Values  types.Float64Slice
+	EndTime time.Time
+
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *VWMA) Last() float64 {
+	if len(inc.Values) == 0 {
+		return 0.0
+	}
+	return inc.Values[len(inc.Values)-1]
+}
+
+func KLinePriceVolumeMapper(k types.KLine) float64 {
+	return k.Close * k.Volume
+}
+
+func KLineVolumeMapper(k types.KLine) float64 {
+	return k.Volume
+}
+
+func (inc *VWMA) calculateAndUpdate(kLines []types.KLine) {
+	if len(kLines) < inc.Window {
+		return
+	}
+
+	var index = len(kLines) - 1
+	var kline = kLines[index]
+
+	if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
+		return
+	}
+
+	var recentK = kLines[index-(inc.Window-1) : index+1]
+
+	pv, err := calculateSMA(recentK, inc.Window, KLinePriceVolumeMapper)
+	if err != nil {
+		log.WithError(err).Error("price x volume SMA error")
+		return
+	}
+	v, err := calculateSMA(recentK, inc.Window, KLineVolumeMapper)
+	if err != nil {
+		log.WithError(err).Error("volume SMA error")
+		return
+	}
+
+	vwma := pv / v
+	inc.Values.Push(vwma)
+
+	if len(inc.Values) > MaxNumOfSMA {
+		inc.Values = inc.Values[MaxNumOfSMATruncateSize-1:]
+	}
+
+	inc.EndTime = kLines[index].EndTime.Time()
+
+	inc.EmitUpdate(vwma)
+}
+
+func (inc *VWMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *VWMA) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/indicator/vwma_callbacks.go

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