indicator: implement bollinger indicator

pkg/indicator/v2_boll.go

@@ -0,0 +1,52 @@
+package indicator
+
+type BollStream struct {
+	// the band series
+	*Float64Series
+
+	UpBand, DownBand *Float64Series
+
+	window int
+	k      float64
+
+	SMA    *SMAStream
+	StdDev *StdDevStream
+}
+
+// BOOL2 is bollinger indicator
+// the data flow:
+//
+// priceSource ->
+//
+//	-> calculate SMA
+//	-> calculate stdDev -> calculate bandWidth -> get latest SMA -> upBand, downBand
+func BOLL2(source Float64Source, window int, k float64) *BollStream {
+	// bind these indicators before our main calculator
+	sma := SMA2(source, window)
+	stdDev := StdDev2(source, window)
+
+	s := &BollStream{
+		Float64Series: NewFloat64Series(),
+		UpBand:        NewFloat64Series(),
+		DownBand:      NewFloat64Series(),
+		window:        window,
+		k:             k,
+		SMA:           sma,
+		StdDev:        stdDev,
+	}
+	s.Bind(source, s)
+
+	// on band update
+	s.Float64Series.OnUpdate(func(band float64) {
+		mid := s.SMA.Last(0)
+		s.UpBand.PushAndEmit(mid + band)
+		s.DownBand.PushAndEmit(mid - band)
+	})
+	return s
+}
+
+func (s *BollStream) Calculate(v float64) float64 {
+	stdDev := s.StdDev.Last(0)
+	band := stdDev * s.k
+	return band
+}