indicator: clean up and update calculator method names

pkg/bbgo/session.go

@@ -43,7 +43,7 @@ type StandardIndicatorSet struct {
 	ewma       map[types.IntervalWindow]*indicator.EWMA
 	boll       map[types.IntervalWindowBandWidth]*indicator.BOLL
 	stoch      map[types.IntervalWindow]*indicator.STOCH
-	volatility map[types.IntervalWindow]*indicator.VOLATILITY
+	volatility map[types.IntervalWindow]*indicator.Volatility
 
 	store *MarketDataStore
 }
@@ -55,7 +55,7 @@ func NewStandardIndicatorSet(symbol string, store *MarketDataStore) *StandardInd
 		ewma:       make(map[types.IntervalWindow]*indicator.EWMA),
 		boll:       make(map[types.IntervalWindowBandWidth]*indicator.BOLL),
 		stoch:      make(map[types.IntervalWindow]*indicator.STOCH),
-		volatility: make(map[types.IntervalWindow]*indicator.VOLATILITY),
+		volatility: make(map[types.IntervalWindow]*indicator.Volatility),
 		store:      store,
 	}
 
@@ -146,10 +146,10 @@ func (set *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH
 }
 
 // VOLATILITY returns the volatility(stddev) indicator of the given interval and the window size.
-func (set *StandardIndicatorSet) VOLATILITY(iw types.IntervalWindow) *indicator.VOLATILITY {
+func (set *StandardIndicatorSet) VOLATILITY(iw types.IntervalWindow) *indicator.Volatility {
 	inc, ok := set.volatility[iw]
 	if !ok {
-		inc = &indicator.VOLATILITY{IntervalWindow: iw}
+		inc = &indicator.Volatility{IntervalWindow: iw}
 		inc.Bind(set.store)
 		set.volatility[iw] = inc
 	}

pkg/indicator/cci.go

@@ -3,7 +3,6 @@ package indicator
 import (
 	"math"
 
-	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -79,17 +78,20 @@ func (inc *CCI) Length() int {
 
 var _ types.SeriesExtend = &CCI{}
 
-var three = fixedpoint.NewFromInt(3)
 
-func (inc *CCI) calculateAndUpdate(allKLines []types.KLine) {
+func (inc *CCI) PushK(k types.KLine) {
+	inc.Update(k.High.Add(k.Low).Add(k.Close).Div(three).Float64())
+}
+
+func (inc *CCI) CalculateAndUpdate(allKLines []types.KLine) {
 	if inc.TypicalPrice.Length() == 0 {
 		for _, k := range allKLines {
-			inc.Update(k.High.Add(k.Low).Add(k.Close).Div(three).Float64())
+			inc.PushK(k)
 			inc.EmitUpdate(inc.Last())
 		}
 	} else {
 		k := allKLines[len(allKLines)-1]
-		inc.Update(k.High.Add(k.Low).Add(k.Close).Div(three).Float64())
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }
@@ -99,7 +101,7 @@ func (inc *CCI) handleKLineWindowUpdate(interval types.Interval, window types.KL
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *CCI) Bind(updater KLineWindowUpdater) {

pkg/indicator/cma.go

@@ -48,9 +48,13 @@ func (inc *CA) Length() int {
 
 var _ types.SeriesExtend = &CA{}
 
-func (inc *CA) calculateAndUpdate(allKLines []types.KLine) {
+func (inc *CA) PushK(k types.KLine) {
-	for _, k := range allKLines {
 	inc.Update(k.Close.Float64())
+}
+
+func (inc *CA) CalculateAndUpdate(allKLines []types.KLine) {
+	for _, k := range allKLines {
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }
@@ -60,7 +64,7 @@ func (inc *CA) handleKLineWindowUpdate(interval types.Interval, window types.KLi
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *CA) Bind(updater KLineWindowUpdater) {

pkg/indicator/const.go

@@ -0,0 +1,12 @@
+package indicator
+
+import (
+	"time"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+var three = fixedpoint.NewFromInt(3)
+
+var zeroTime = time.Time{}
+

pkg/indicator/dema.go

@@ -50,14 +50,20 @@ func (inc *DEMA) Length() int {
 
 var _ types.SeriesExtend = &DEMA{}
 
+func (inc *DEMA) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
 func (inc *DEMA) calculateAndUpdate(allKLines []types.KLine) {
 	if inc.a1 == nil {
 		for _, k := range allKLines {
-			inc.Update(k.Close.Float64())
+			inc.PushK(k)
 			inc.EmitUpdate(inc.Last())
 		}
 	} else {
-		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
+		// last k
+		k := allKLines[len(allKLines)-1]
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }

pkg/indicator/drift.go

@@ -68,14 +68,19 @@ func (inc *Drift) Length() int {
 
 var _ types.SeriesExtend = &Drift{}
 
-func (inc *Drift) calculateAndUpdate(allKLines []types.KLine) {
+func (inc *Drift) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
+func (inc *Drift) CalculateAndUpdate(allKLines []types.KLine) {
 	if inc.chng == nil {
 		for _, k := range allKLines {
-			inc.Update(k.Close.Float64())
+			inc.PushK(k)
 			inc.EmitUpdate(inc.Last())
 		}
 	} else {
-		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
+		k := allKLines[len(allKLines)-1]
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }
@@ -85,7 +90,7 @@ func (inc *Drift) handleKLineWindowUpdate(interval types.Interval, window types.
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *Drift) Bind(updater KLineWindowUpdater) {

pkg/indicator/drift_test.go

@@ -30,7 +30,7 @@ func Test_Drift(t *testing.T) {
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
 			drift := Drift{IntervalWindow: types.IntervalWindow{Window: 3}}
-			drift.calculateAndUpdate(tt.kLines)
+			drift.CalculateAndUpdate(tt.kLines)
 			assert.Equal(t, drift.Length(), tt.all)
 			for _, v := range drift.Values {
 				assert.LessOrEqual(t, v, 1.0)

pkg/indicator/emv.go

@@ -63,17 +63,21 @@ func (inc *EMV) Length() int {
 
 var _ types.SeriesExtend = &EMV{}
 
-func (inc *EMV) calculateAndUpdate(allKLines []types.KLine) {
+func (inc *EMV) PushK(k types.KLine) {
+	inc.Update(k.High.Float64(), k.Low.Float64(), k.Volume.Float64())
+}
+
+func (inc *EMV) CalculateAndUpdate(allKLines []types.KLine) {
 	if inc.Values == nil {
 		for _, k := range allKLines {
-			inc.Update(k.High.Float64(), k.Low.Float64(), k.Volume.Float64())
+			inc.PushK(k)
 			if inc.Length() > 0 {
 				inc.EmitUpdate(inc.Last())
 			}
 		}
 	} else {
 		k := allKLines[len(allKLines)-1]
-		inc.Update(k.High.Float64(), k.Low.Float64(), k.Volume.Float64())
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }
@@ -82,7 +86,7 @@ func (inc *EMV) handleKLineWindowUpdate(interval types.Interval, window types.KL
 	if inc.Interval != interval {
 		return
 	}
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *EMV) Bind(updater KLineWindowUpdater) {

pkg/indicator/inf.go

@@ -9,3 +9,13 @@ type KLineWindowUpdater interface {
 type KLineCloseHandler interface {
 	OnKLineClosed(func(k types.KLine))
 }
+
+// KLinePusher provides an interface for API user to push kline value to the indicator.
+// The indicator implements its own way to calculate the value from the given kline object.
+type KLinePusher interface {
+	PushK(k types.KLine)
+}
+
+type KLineCalculator interface {
+	CalculateAndUpdate(allKLines []types.KLine)
+}

pkg/indicator/line.go

@@ -22,11 +22,12 @@ type Line struct {
 	Interval    types.Interval
 }
 
-func (l *Line) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+func (l *Line) handleKLineWindowUpdate(interval types.Interval, allKLines types.KLineWindow) {
 	if interval != l.Interval {
 		return
 	}
-	newTime := window.Last().EndTime.Time()
+
+	newTime := allKLines.Last().EndTime.Time()
 	delta := int(newTime.Sub(l.currentTime).Minutes()) / l.Interval.Minutes()
 	l.startIndex += delta
 	l.endIndex += delta

pkg/indicator/macd.go

@@ -51,14 +51,20 @@ func (inc *MACD) Update(x float64) {
 	inc.Histogram.Push(macd - inc.SignalLine.Last())
 }
 
+// Deprecated -- this function is not used ??? ask @narumi
 func (inc *MACD) calculateMACD(kLines []types.KLine, priceF KLinePriceMapper) float64 {
-	for _, kline := range kLines {
+	for _, k := range kLines {
-		inc.Update(kline.Close.Float64())
+		inc.PushK(k)
 	}
+
 	return inc.Values[len(inc.Values)-1]
 }
 
-func (inc *MACD) calculateAndUpdate(kLines []types.KLine) {
+func (inc *MACD) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
+func (inc *MACD) CalculateAndUpdate(kLines []types.KLine) {
 	if len(kLines) == 0 {
 		return
 	}
@@ -67,7 +73,8 @@ func (inc *MACD) calculateAndUpdate(kLines []types.KLine) {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k.Close.Float64())
+
+		inc.PushK(k)
 	}
 
 	inc.EmitUpdate(inc.Values[len(inc.Values)-1])
@@ -79,7 +86,7 @@ func (inc *MACD) handleKLineWindowUpdate(interval types.Interval, window types.K
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *MACD) Bind(updater KLineWindowUpdater) {

pkg/indicator/mapper.go

@@ -0,0 +1,33 @@
+package indicator
+
+import "github.com/c9s/bbgo/pkg/types"
+
+type KLinePriceMapper func(k types.KLine) float64
+
+func KLineOpenPriceMapper(k types.KLine) float64 {
+	return k.Open.Float64()
+}
+
+func KLineClosePriceMapper(k types.KLine) float64 {
+	return k.Close.Float64()
+}
+
+func KLineTypicalPriceMapper(k types.KLine) float64 {
+	return (k.High.Float64() + k.Low.Float64() + k.Close.Float64()) / 3.
+}
+
+func KLinePriceVolumeMapper(k types.KLine) float64 {
+	return k.Close.Mul(k.Volume).Float64()
+}
+
+func KLineVolumeMapper(k types.KLine) float64 {
+	return k.Volume.Float64()
+}
+
+func MapKLinePrice(kLines []types.KLine, f KLinePriceMapper) (prices []float64) {
+	for _, k := range kLines {
+		prices = append(prices, f(k))
+	}
+
+	return prices
+}

pkg/indicator/obv.go

@@ -54,13 +54,19 @@ func (inc *OBV) Index(i int) float64 {
 
 var _ types.SeriesExtend = &OBV{}
 
-func (inc *OBV) calculateAndUpdate(kLines []types.KLine) {
+func (inc *OBV) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64(), k.Volume.Float64())
+}
+
+func (inc *OBV) CalculateAndUpdate(kLines []types.KLine) {
 	for _, k := range kLines {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k.Close.Float64(), k.Volume.Float64())
+
+		inc.PushK(k)
 	}
+
 	inc.EmitUpdate(inc.Last())
 	inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
 }
@@ -70,7 +76,7 @@ func (inc *OBV) handleKLineWindowUpdate(interval types.Interval, window types.KL
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *OBV) Bind(updater KLineWindowUpdater) {

pkg/indicator/obv_test.go

@@ -51,7 +51,7 @@ func Test_calculateOBV(t *testing.T) {
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
 			obv := OBV{IntervalWindow: types.IntervalWindow{Window: tt.window}}
-			obv.calculateAndUpdate(tt.kLines)
+			obv.CalculateAndUpdate(tt.kLines)
 			assert.Equal(t, len(obv.Values), len(tt.want))
 			for i, v := range obv.Values {
 				assert.InDelta(t, v, tt.want[i], Delta)

pkg/indicator/pivot.go

@@ -38,7 +38,7 @@ func (inc *Pivot) LastHigh() float64 {
 	return inc.Highs[len(inc.Highs)-1]
 }
 
-func (inc *Pivot) Update(klines []types.KLine) {
+func (inc *Pivot) CalculateAndUpdate(klines []types.KLine) {
 	if len(klines) < inc.Window {
 		return
 	}
@@ -84,7 +84,7 @@ func (inc *Pivot) handleKLineWindowUpdate(interval types.Interval, window types.
 		return
 	}
 
-	inc.Update(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *Pivot) Bind(updater KLineWindowUpdater) {

pkg/indicator/rma.go

@@ -64,12 +64,17 @@ func (inc *RMA) Length() int {
 
 var _ types.SeriesExtend = &RMA{}
 
+func (inc *RMA) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
 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.PushK(k)
 	}
 
 	inc.EmitUpdate(inc.Last())

pkg/indicator/rsi.go

@@ -80,12 +80,17 @@ func (inc *RSI) Length() int {
 
 var _ types.SeriesExtend = &RSI{}
 
-func (inc *RSI) calculateAndUpdate(kLines []types.KLine) {
+func (inc *RSI) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
+func (inc *RSI) CalculateAndUpdate(kLines []types.KLine) {
 	for _, k := range kLines {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k.Close.Float64())
+
+		inc.PushK(k)
 	}
 
 	inc.EmitUpdate(inc.Last())
@@ -97,7 +102,7 @@ func (inc *RSI) handleKLineWindowUpdate(interval types.Interval, window types.KL
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *RSI) Bind(updater KLineWindowUpdater) {

pkg/indicator/rsi_test.go

@@ -59,7 +59,7 @@ func Test_calculateRSI(t *testing.T) {
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
 			rsi := RSI{IntervalWindow: types.IntervalWindow{Window: tt.window}}
-			rsi.calculateAndUpdate(tt.kLines)
+			rsi.CalculateAndUpdate(tt.kLines)
 			assert.Equal(t, len(rsi.Values), len(tt.want))
 			for i, v := range rsi.Values {
 				assert.InDelta(t, v, tt.want[i], Delta)

pkg/indicator/sma.go

@@ -10,8 +10,6 @@ import (
 const MaxNumOfSMA = 5_000
 const MaxNumOfSMATruncateSize = 100
 
-var zeroTime time.Time
-
 //go:generate callbackgen -type SMA
 type SMA struct {
 	types.SeriesBase
@@ -59,20 +57,25 @@ func (inc *SMA) Update(value float64) {
 	}
 }
 
-func (inc *SMA) calculateAndUpdate(kLines []types.KLine) {
+func (inc *SMA) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
+func (inc *SMA) CalculateAndUpdate(kLines []types.KLine) {
 	var index = len(kLines) - 1
 	var kline = kLines[index]
 	if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
 		return
 	}
+
 	if inc.Cache == nil {
 		for _, k := range kLines {
-			inc.Update(KLineClosePriceMapper(k))
+			inc.PushK(k)
 			inc.EndTime = k.EndTime.Time()
 			inc.EmitUpdate(inc.Values.Last())
 		}
 	} else {
-		inc.Update(KLineClosePriceMapper(kline))
+		inc.PushK(kline)
 		inc.EndTime = kline.EndTime.Time()
 		inc.EmitUpdate(inc.Values.Last())
 	}
@@ -83,7 +86,7 @@ func (inc *SMA) handleKLineWindowUpdate(interval types.Interval, window types.KL
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *SMA) Bind(updater KLineWindowUpdater) {

pkg/indicator/sma_test.go

@@ -52,7 +52,7 @@ func Test_SMA(t *testing.T) {
 			sma := SMA{
 				IntervalWindow: types.IntervalWindow{Window: 5},
 			}
-			sma.calculateAndUpdate(tt.kLines)
+			sma.CalculateAndUpdate(tt.kLines)
 			assert.InDelta(t, tt.want, sma.Last(), Delta)
 			assert.InDelta(t, tt.next, sma.Index(1), Delta)
 			sma.Update(tt.update)

pkg/indicator/ssf.go

@@ -93,14 +93,19 @@ func (inc *SSF) Last() float64 {
 
 var _ types.SeriesExtend = &SSF{}
 
-func (inc *SSF) calculateAndUpdate(allKLines []types.KLine) {
+func (inc *SSF) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
+func (inc *SSF) CalculateAndUpdate(allKLines []types.KLine) {
 	if inc.Values != nil {
-		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
+		k := allKLines[len(allKLines)-1]
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 		return
 	}
 	for _, k := range allKLines {
-		inc.Update(k.Close.Float64())
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }
@@ -109,7 +114,7 @@ func (inc *SSF) handleKLineWindowUpdate(interval types.Interval, window types.KL
 	if inc.Interval != interval {
 		return
 	}
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *SSF) Bind(updater KLineWindowUpdater) {

pkg/indicator/ssf_test.go

@@ -62,7 +62,7 @@ func Test_SSF(t *testing.T) {
 				IntervalWindow: types.IntervalWindow{Window: 5},
 				Poles:          tt.poles,
 			}
-			ssf.calculateAndUpdate(tt.kLines)
+			ssf.CalculateAndUpdate(tt.kLines)
 			assert.InDelta(t, tt.want, ssf.Last(), Delta)
 			assert.InDelta(t, tt.next, ssf.Index(1), Delta)
 			assert.Equal(t, tt.all, ssf.Length())

pkg/indicator/stoch.go

@@ -59,7 +59,11 @@ func (inc *STOCH) LastD() float64 {
 	return inc.D[len(inc.D)-1]
 }
 
-func (inc *STOCH) calculateAndUpdate(kLines []types.KLine) {
+func (inc *STOCH) PushK(k types.KLine) {
+	inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+}
+
+func (inc *STOCH) CalculateAndUpdate(kLines []types.KLine) {
 	if len(kLines) < inc.Window || len(kLines) < DPeriod {
 		return
 	}
@@ -68,7 +72,8 @@ func (inc *STOCH) calculateAndUpdate(kLines []types.KLine) {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+
+		inc.PushK(k)
 	}
 
 	inc.EmitUpdate(inc.LastK(), inc.LastD())
@@ -80,7 +85,7 @@ func (inc *STOCH) handleKLineWindowUpdate(interval types.Interval, window types.
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *STOCH) Bind(updater KLineWindowUpdater) {

pkg/indicator/stoch_test.go

@@ -56,7 +56,7 @@ func TestSTOCH_update(t *testing.T) {
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
 			kd := STOCH{IntervalWindow: types.IntervalWindow{Window: tt.window}}
-			kd.calculateAndUpdate(tt.kLines)
+			kd.CalculateAndUpdate(tt.kLines)
 
 			got_k := kd.LastK()
 			diff_k := math.Trunc((got_k-tt.want_k)*100) / 100

pkg/indicator/tema.go

@@ -55,14 +55,19 @@ func (inc *TEMA) Length() int {
 
 var _ types.SeriesExtend = &TEMA{}
 
-func (inc *TEMA) calculateAndUpdate(allKLines []types.KLine) {
+func (inc *TEMA) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
+func (inc *TEMA) CalculateAndUpdate(allKLines []types.KLine) {
 	if inc.A1 == nil {
 		for _, k := range allKLines {
-			inc.Update(k.Close.Float64())
+			inc.PushK(k)
 			inc.EmitUpdate(inc.Last())
 		}
 	} else {
-		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
+		k := allKLines[len(allKLines)-1]
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }
@@ -72,7 +77,7 @@ func (inc *TEMA) handleKLineWindowUpdate(interval types.Interval, window types.K
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *TEMA) Bind(updater KLineWindowUpdater) {

pkg/indicator/tema_test.go

@@ -46,7 +46,7 @@ func Test_TEMA(t *testing.T) {
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
 			tema := TEMA{IntervalWindow: types.IntervalWindow{Window: 16}}
-			tema.calculateAndUpdate(tt.kLines)
+			tema.CalculateAndUpdate(tt.kLines)
 			last := tema.Last()
 			assert.InDelta(t, tt.want, last, Delta)
 			assert.InDelta(t, tt.next, tema.Index(1), Delta)

pkg/indicator/till.go

@@ -23,7 +23,8 @@ type TILL struct {
 	c2           float64
 	c3           float64
 	c4           float64
-	UpdateCallbacks []func(value float64)
+
+	updateCallbacks []func(value float64)
 }
 
 func (inc *TILL) Update(value float64) {
@@ -85,7 +86,11 @@ func (inc *TILL) Length() int {
 
 var _ types.Series = &TILL{}
 
-func (inc *TILL) calculateAndUpdate(allKLines []types.KLine) {
+func (inc *TILL) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
+func (inc *TILL) CalculateAndUpdate(allKLines []types.KLine) {
 	doable := false
 	if inc.e1 == nil {
 		doable = true
@@ -94,8 +99,9 @@ func (inc *TILL) calculateAndUpdate(allKLines []types.KLine) {
 		if !doable && k.StartTime.After(inc.e1.LastOpenTime) {
 			doable = true
 		}
+
 		if doable {
-			inc.Update(k.Close.Float64())
+			inc.PushK(k)
 			inc.EmitUpdate(inc.Last())
 		}
 	}
@@ -106,7 +112,7 @@ func (inc *TILL) handleKLineWindowUpdate(interval types.Interval, window types.K
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *TILL) Bind(updater KLineWindowUpdater) {

pkg/indicator/till_callbacks.go

@@ -5,11 +5,11 @@ package indicator
 import ()
 
 func (inc *TILL) OnUpdate(cb func(value float64)) {
-	inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
+	inc.updateCallbacks = append(inc.updateCallbacks, cb)
 }
 
 func (inc *TILL) EmitUpdate(value float64) {
-	for _, cb := range inc.UpdateCallbacks {
+	for _, cb := range inc.updateCallbacks {
 		cb(value)
 	}
 }

pkg/indicator/till_test.go

@@ -4,9 +4,10 @@ import (
 	"encoding/json"
 	"testing"
 
+	"github.com/stretchr/testify/assert"
+
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/stretchr/testify/assert"
 )
 
 /*
@@ -55,7 +56,7 @@ func Test_TILL(t *testing.T) {
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
 			till := TILL{IntervalWindow: types.IntervalWindow{Window: 16}}
-			till.calculateAndUpdate(tt.kLines)
+			till.CalculateAndUpdate(tt.kLines)
 			last := till.Last()
 			assert.InDelta(t, tt.want, last, Delta)
 			assert.InDelta(t, tt.next, till.Index(1), Delta)

pkg/indicator/tma.go

@@ -50,14 +50,19 @@ func (inc *TMA) Length() int {
 
 var _ types.SeriesExtend = &TMA{}
 
-func (inc *TMA) calculateAndUpdate(allKLines []types.KLine) {
+func (inc *TMA) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
+func (inc *TMA) CalculateAndUpdate(allKLines []types.KLine) {
 	if inc.s1 == nil {
 		for _, k := range allKLines {
-			inc.Update(k.Close.Float64())
+			inc.PushK(k)
 			inc.EmitUpdate(inc.Last())
 		}
 	} else {
-		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
+		k := allKLines[len(allKLines)-1]
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }
@@ -67,7 +72,7 @@ func (inc *TMA) handleKLineWindowUpdate(interval types.Interval, window types.KL
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *TMA) Bind(updater KLineWindowUpdater) {

pkg/indicator/util.go

@@ -1,26 +1,2 @@
 package indicator
 
-import "github.com/c9s/bbgo/pkg/types"
-
-type KLinePriceMapper func(k types.KLine) float64
-
-func KLineOpenPriceMapper(k types.KLine) float64 {
-	return k.Open.Float64()
-}
-
-func KLineClosePriceMapper(k types.KLine) float64 {
-	return k.Close.Float64()
-}
-
-func KLineTypicalPriceMapper(k types.KLine) float64 {
-	return (k.High.Float64() + k.Low.Float64() + k.Close.Float64()) / 3.
-}
-
-func MapKLinePrice(kLines []types.KLine, f KLinePriceMapper) (prices []float64) {
-	for _, k := range kLines {
-		prices = append(prices, f(k))
-	}
-
-	return prices
-}
-

pkg/indicator/vidya.go

@@ -15,7 +15,7 @@ type VIDYA struct {
 	Values types.Float64Slice
 	input  types.Float64Slice
 
-	UpdateCallbacks []func(value float64)
+	updateCallbacks []func(value float64)
 }
 
 func (inc *VIDYA) Update(value float64) {
@@ -70,14 +70,19 @@ func (inc *VIDYA) Length() int {
 
 var _ types.SeriesExtend = &VIDYA{}
 
+func (inc *VIDYA) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
 func (inc *VIDYA) calculateAndUpdate(allKLines []types.KLine) {
 	if inc.input.Length() == 0 {
 		for _, k := range allKLines {
-			inc.Update(k.Close.Float64())
+			inc.PushK(k)
 			inc.EmitUpdate(inc.Last())
 		}
 	} else {
-		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
+		k := allKLines[len(allKLines)-1]
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }

pkg/indicator/vidya_callbacks.go

@@ -5,11 +5,11 @@ package indicator
 import ()
 
 func (inc *VIDYA) OnUpdate(cb func(value float64)) {
-	inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
+	inc.updateCallbacks = append(inc.updateCallbacks, cb)
 }
 
 func (inc *VIDYA) EmitUpdate(value float64) {
-	for _, cb := range inc.UpdateCallbacks {
+	for _, cb := range inc.updateCallbacks {
 		cb(value)
 	}
 }

pkg/indicator/volatility.go

@@ -13,10 +13,10 @@ import (
 const MaxNumOfVOL = 5_000
 const MaxNumOfVOLTruncateSize = 100
 
-//var zeroTime time.Time
+// var zeroTime time.Time
 
-//go:generate callbackgen -type VOLATILITY
+//go:generate callbackgen -type Volatility
-type VOLATILITY struct {
+type Volatility struct {
 	types.SeriesBase
 	types.IntervalWindow
 	Values  types.Float64Slice
@@ -25,42 +25,43 @@ type VOLATILITY struct {
 	UpdateCallbacks []func(value float64)
 }
 
-func (inc *VOLATILITY) Last() float64 {
+func (inc *Volatility) Last() float64 {
 	if len(inc.Values) == 0 {
 		return 0.0
 	}
 	return inc.Values[len(inc.Values)-1]
 }
 
-func (inc *VOLATILITY) Index(i int) float64 {
+func (inc *Volatility) Index(i int) float64 {
 	if len(inc.Values)-i <= 0 {
 		return 0.0
 	}
 	return inc.Values[len(inc.Values)-i-1]
 }
 
-func (inc *VOLATILITY) Length() int {
+func (inc *Volatility) Length() int {
 	return len(inc.Values)
 }
 
-var _ types.SeriesExtend = &VOLATILITY{}
+var _ types.SeriesExtend = &Volatility{}
 
-func (inc *VOLATILITY) calculateAndUpdate(klines []types.KLine) {
+func (inc *Volatility) CalculateAndUpdate(allKLines []types.KLine) {
-	if len(klines) < inc.Window {
+	if len(allKLines) < inc.Window {
 		return
 	}
 
-	var end = len(klines) - 1
+	var end = len(allKLines) - 1
-	var lastKLine = klines[end]
+	var lastKLine = allKLines[end]
 
 	if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
 		return
 	}
+
 	if len(inc.Values) == 0 {
 		inc.SeriesBase.Series = inc
 	}
 
-	var recentT = klines[end-(inc.Window-1) : end+1]
+	var recentT = allKLines[end-(inc.Window-1) : end+1]
 
 	volatility, err := calculateVOLATILITY(recentT, inc.Window, KLineClosePriceMapper)
 	if err != nil {
@@ -73,20 +74,20 @@ func (inc *VOLATILITY) calculateAndUpdate(klines []types.KLine) {
 		inc.Values = inc.Values[MaxNumOfVOLTruncateSize-1:]
 	}
 
-	inc.EndTime = klines[end].GetEndTime().Time()
+	inc.EndTime = allKLines[end].GetEndTime().Time()
 
 	inc.EmitUpdate(volatility)
 }
 
-func (inc *VOLATILITY) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+func (inc *Volatility) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
 	if inc.Interval != interval {
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
-func (inc *VOLATILITY) Bind(updater KLineWindowUpdater) {
+func (inc *Volatility) Bind(updater KLineWindowUpdater) {
 	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
 }
 

pkg/indicator/volatility_callbacks.go

@@ -1,14 +1,14 @@
-// Code generated by "callbackgen -type VOLATILITY"; DO NOT EDIT.
+// Code generated by "callbackgen -type Volatility"; DO NOT EDIT.
 
 package indicator
 
 import ()
 
-func (inc *VOLATILITY) OnUpdate(cb func(value float64)) {
+func (inc *Volatility) OnUpdate(cb func(value float64)) {
 	inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
 }
 
-func (inc *VOLATILITY) EmitUpdate(value float64) {
+func (inc *Volatility) EmitUpdate(value float64) {
 	for _, cb := range inc.UpdateCallbacks {
 		cb(value)
 	}

pkg/indicator/vwap.go

@@ -71,18 +71,21 @@ func (inc *VWAP) Length() int {
 
 var _ types.SeriesExtend = &VWAP{}
 
-func (inc *VWAP) calculateAndUpdate(kLines []types.KLine) {
+func (inc *VWAP) PushK(k types.KLine) {
-	var priceF = KLineTypicalPriceMapper
+	inc.Update(KLineTypicalPriceMapper(k), k.Volume.Float64())
+}
 
-	for _, k := range kLines {
+func (inc *VWAP) CalculateAndUpdate(allKLines []types.KLine) {
+	for _, k := range allKLines {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(priceF(k), k.Volume.Float64())
+
+		inc.PushK(k)
 	}
 
 	inc.EmitUpdate(inc.Last())
-	inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
+	inc.EndTime = allKLines[len(allKLines)-1].EndTime.Time()
 }
 
 func (inc *VWAP) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
@@ -90,14 +93,14 @@ func (inc *VWAP) handleKLineWindowUpdate(interval types.Interval, window types.K
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *VWAP) Bind(updater KLineWindowUpdater) {
 	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
 }
 
-func CalculateVWAP(klines []types.KLine, priceF KLinePriceMapper, window int) float64 {
+func calculateVWAP(klines []types.KLine, priceF KLinePriceMapper, window int) float64 {
 	vwap := VWAP{IntervalWindow: types.IntervalWindow{Window: window}}
 	for _, k := range klines {
 		vwap.Update(priceF(k), k.Volume.Float64())

pkg/indicator/vwap_callbacks.go

@@ -4,12 +4,12 @@ package indicator
 
 import ()
 
-func (V *VWAP) OnUpdate(cb func(value float64)) {
+func (inc *VWAP) OnUpdate(cb func(value float64)) {
-	V.UpdateCallbacks = append(V.UpdateCallbacks, cb)
+	inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
 }
 
-func (V *VWAP) EmitUpdate(value float64) {
+func (inc *VWAP) EmitUpdate(value float64) {
-	for _, cb := range V.UpdateCallbacks {
+	for _, cb := range inc.UpdateCallbacks {
 		cb(value)
 	}
 }

pkg/indicator/vwap_test.go

@@ -64,7 +64,7 @@ func Test_calculateVWAP(t *testing.T) {
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
 			priceF := KLineTypicalPriceMapper
-			got := CalculateVWAP(tt.kLines, priceF, tt.window)
+			got := calculateVWAP(tt.kLines, priceF, tt.window)
 			diff := math.Trunc((got-tt.want)*100) / 100
 			if diff != 0 {
 				t.Errorf("calculateVWAP() = %v, want %v", got, tt.want)

pkg/indicator/vwma.go

@@ -49,27 +49,20 @@ func (inc *VWMA) Length() int {
 
 var _ types.SeriesExtend = &VWMA{}
 
-func KLinePriceVolumeMapper(k types.KLine) float64 {
-	return k.Close.Mul(k.Volume).Float64()
-}
 
-func KLineVolumeMapper(k types.KLine) float64 {
+func (inc *VWMA) CalculateAndUpdate(allKLines []types.KLine) {
-	return k.Volume.Float64()
+	if len(allKLines) < inc.Window {
-}
-
-func (inc *VWMA) calculateAndUpdate(kLines []types.KLine) {
-	if len(kLines) < inc.Window {
 		return
 	}
 
-	var index = len(kLines) - 1
+	var index = len(allKLines) - 1
-	var kline = kLines[index]
+	var kline = allKLines[index]
 
 	if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
 		return
 	}
 
-	var recentK = kLines[index-(inc.Window-1) : index+1]
+	var recentK = allKLines[index-(inc.Window-1) : index+1]
 
 	pv, err := calculateSMA(recentK, inc.Window, KLinePriceVolumeMapper)
 	if err != nil {
@@ -93,7 +86,7 @@ func (inc *VWMA) calculateAndUpdate(kLines []types.KLine) {
 		inc.Values = inc.Values[MaxNumOfSMATruncateSize-1:]
 	}
 
-	inc.EndTime = kLines[index].EndTime.Time()
+	inc.EndTime = allKLines[index].EndTime.Time()
 
 	inc.EmitUpdate(vwma)
 }
@@ -103,7 +96,7 @@ func (inc *VWMA) handleKLineWindowUpdate(interval types.Interval, window types.K
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *VWMA) Bind(updater KLineWindowUpdater) {

pkg/indicator/wwma.go

@@ -1,8 +1,9 @@
 package indicator
 
 import (
-	"github.com/c9s/bbgo/pkg/types"
 	"time"
+
+	"github.com/c9s/bbgo/pkg/types"
 )
 
 // Refer: Welles Wilder's Moving Average
@@ -56,7 +57,11 @@ func (inc *WWMA) Length() int {
 	return len(inc.Values)
 }
 
-func (inc *WWMA) calculateAndUpdate(allKLines []types.KLine) {
+func (inc *WWMA) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
+func (inc *WWMA) CalculateAndUpdate(allKLines []types.KLine) {
 	if len(allKLines) < inc.Window {
 		// we can't calculate
 		return
@@ -68,7 +73,7 @@ func (inc *WWMA) calculateAndUpdate(allKLines []types.KLine) {
 			doable = true
 		}
 		if doable {
-			inc.Update(k.Close.Float64())
+			inc.PushK(k)
 			inc.LastOpenTime = k.StartTime.Time()
 			inc.EmitUpdate(inc.Last())
 		}
@@ -80,7 +85,7 @@ func (inc *WWMA) handleKLineWindowUpdate(interval types.Interval, window types.K
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *WWMA) Bind(updater KLineWindowUpdater) {

pkg/indicator/zlema.go

@@ -16,7 +16,7 @@ type ZLEMA struct {
 	zlema *EWMA
 	lag   int
 
-	UpdateCallbacks []func(value float64)
+	updateCallbacks []func(value float64)
 }
 
 func (inc *ZLEMA) Index(i int) float64 {
@@ -59,14 +59,19 @@ func (inc *ZLEMA) Update(value float64) {
 
 var _ types.SeriesExtend = &ZLEMA{}
 
-func (inc *ZLEMA) calculateAndUpdate(allKLines []types.KLine) {
+func (inc *ZLEMA) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
+func (inc *ZLEMA) CalculateAndUpdate(allKLines []types.KLine) {
 	if inc.zlema == nil {
 		for _, k := range allKLines {
-			inc.Update(k.Close.Float64())
+			inc.PushK(k)
 			inc.EmitUpdate(inc.Last())
 		}
 	} else {
-		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
+		k := allKLines[len(allKLines)-1]
+		inc.PushK(k)
 		inc.EmitUpdate(inc.Last())
 	}
 }
@@ -76,7 +81,7 @@ func (inc *ZLEMA) handleKLineWindowUpdate(interval types.Interval, window types.
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *ZLEMA) Bind(updater KLineWindowUpdater) {

pkg/indicator/zlema_callbacks.go

@@ -5,11 +5,11 @@ package indicator
 import ()
 
 func (inc *ZLEMA) OnUpdate(cb func(value float64)) {
-	inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
+	inc.updateCallbacks = append(inc.updateCallbacks, cb)
 }
 
 func (inc *ZLEMA) EmitUpdate(value float64) {
-	for _, cb := range inc.UpdateCallbacks {
+	for _, cb := range inc.updateCallbacks {
 		cb(value)
 	}
 }

pkg/indicator/zlema_test.go

@@ -45,7 +45,7 @@ func Test_ZLEMA(t *testing.T) {
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
 			zlema := ZLEMA{IntervalWindow: types.IntervalWindow{Window: 16}}
-			zlema.calculateAndUpdate(tt.kLines)
+			zlema.CalculateAndUpdate(tt.kLines)
 			last := zlema.Last()
 			assert.InDelta(t, tt.want, last, Delta)
 			assert.InDelta(t, tt.next, zlema.Index(1), Delta)

pkg/strategy/pivotshort/strategy.go

@@ -296,7 +296,7 @@ func preloadPivot(pivot *indicator.Pivot, store *bbgo.MarketDataStore) *types.KL
 	log.Debugf("updating pivot indicator: %d klines", len(*klines))
 
 	for i := pivot.Window; i < len(*klines); i++ {
-		pivot.Update((*klines)[0 : i+1])
+		pivot.CalculateAndUpdate((*klines)[0 : i+1])
 	}
 
 	log.Debugf("found %v previous lows: %v", pivot.IntervalWindow, pivot.Lows)