indicator: add rolling moving average

pkg/indicator/rma.go

@@ -0,0 +1,76 @@
+package indicator
+
+import (
+	"time"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+//go:generate callbackgen -type RMA
+type RMA struct {
+	types.IntervalWindow
+	Values  types.Float64Slice
+	Sources types.Float64Slice
+
+	EndTime         time.Time
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *RMA) Update(x float64) {
+	inc.Sources.Push(x)
+
+	if len(inc.Sources) < inc.Window {
+		inc.Values.Push(0)
+		return
+	}
+
+	if len(inc.Sources) == inc.Window {
+		inc.Values.Push(inc.Sources.Mean())
+		return
+	}
+
+	lambda := 1 / float64(inc.Window)
+	rma := (1-lambda)*inc.Values.Last() + lambda*x
+	inc.Values.Push(rma)
+}
+
+func (inc *RMA) Last() float64 {
+	return inc.Values.Last()
+}
+
+func (inc *RMA) Index(i int) float64 {
+	length := len(inc.Values)
+	if length == 0 || length-i-1 < 0 {
+		return 0
+	}
+	return inc.Values[length-i-1]
+}
+
+func (inc *RMA) Length() int {
+	return len(inc.Values)
+}
+
+var _ types.Series = &RMA{}
+
+func (inc *RMA) calculateAndUpdate(kLines []types.KLine) {
+	for _, k := range kLines {
+		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
+			continue
+		}
+		inc.Update(k.Close.Float64())
+	}
+
+	inc.EmitUpdate(inc.Last())
+	inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
+}
+func (inc *RMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *RMA) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/indicator/rma_callbacks.go

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