feature: add tsi and klinger oscillator, fix wdrift div 0 issue

pkg/indicator/klingeroscillator.go

@@ -0,0 +1,118 @@
+package indicator
+
+import "github.com/c9s/bbgo/pkg/types"
+
+// Refer: Klinger Oscillator
+// Refer URL: https://www.investopedia.com/terms/k/klingeroscillator.asp
+// Explanation:
+// The Klinger Oscillator is a technical indicator that was developed by Stephen Klinger.
+// It is based on the assumption that there is a relationship between money flow and price movement in the stock market.
+// The Klinger Oscillator is calculated by taking the difference between a 34-period and 55-period moving average.
+// Usually the indicator is using together with a 9-period or 13-period of moving average as the signal line.
+// This indicator is often used to identify potential turning points in the market, as well as to confirm the strength of a trend.
+//go:generate callbackgen -type KlingerOscillator
+type KlingerOscillator struct {
+	types.SeriesBase
+	types.IntervalWindow
+	Fast *EWMA
+	Slow *EWMA
+	VF   VolumeForce
+
+	updateCallbacks []func(value float64)
+}
+
+func (inc *KlingerOscillator) Length() int {
+	if inc.Fast == nil || inc.Slow == nil {
+		return 0
+	}
+	return inc.Fast.Length()
+}
+
+func (inc *KlingerOscillator) Last() float64 {
+	if inc.Fast == nil || inc.Slow == nil {
+		return 0
+	}
+	return inc.Fast.Last() - inc.Slow.Last()
+}
+func (inc *KlingerOscillator) Index(i int) float64 {
+	if inc.Fast == nil || inc.Slow == nil {
+		return 0
+	}
+	return inc.Fast.Index(i) - inc.Slow.Index(i)
+}
+
+func (inc *KlingerOscillator) Update(high, low, cloze, volume float64) {
+	if inc.Fast == nil {
+		inc.SeriesBase.Series = inc
+		inc.Fast = &EWMA{IntervalWindow: types.IntervalWindow{Window: 34, Interval: inc.Interval}}
+		inc.Slow = &EWMA{IntervalWindow: types.IntervalWindow{Window: 55, Interval: inc.Interval}}
+	}
+	inc.VF.Update(high, low, cloze, volume)
+	inc.Fast.Update(inc.VF.Value)
+	inc.Slow.Update(inc.VF.Value)
+}
+
+var _ types.SeriesExtend = &KlingerOscillator{}
+
+func (inc *KlingerOscillator) PushK(k types.KLine) {
+	inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64(), k.Volume.Float64())
+}
+
+func (inc *KlingerOscillator) CalculateAndUpdate(allKLines []types.KLine) {
+	if inc.Fast == nil {
+		for _, k := range allKLines {
+			inc.PushK(k)
+			inc.EmitUpdate(inc.Last())
+		}
+	} else {
+		k := allKLines[len(allKLines)-1]
+		inc.PushK(k)
+		inc.EmitUpdate(inc.Last())
+	}
+}
+
+func (inc *KlingerOscillator) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.CalculateAndUpdate(window)
+}
+
+func (inc *KlingerOscillator) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}
+
+// Utility to hold the state of calculation
+type VolumeForce struct {
+	dm      float64
+	cm      float64
+	trend   float64
+	lastSum float64
+	Value   float64
+}
+
+func (inc *VolumeForce) Update(high, low, cloze, volume float64) {
+	if inc.Value == 0 {
+		inc.dm = high - low
+		inc.cm = inc.dm
+		inc.trend = 1.
+		inc.lastSum = high + low + cloze
+		inc.Value = volume * 100.
+		return
+	}
+	trend := 1.
+	if high+low+cloze <= inc.lastSum {
+		trend = -1.
+	}
+	dm := high - low
+	if inc.trend == trend {
+		inc.cm = inc.cm + dm
+	} else {
+		inc.cm = inc.dm + dm
+	}
+	inc.trend = trend
+	inc.lastSum = high + low + cloze
+	inc.dm = dm
+	inc.Value = volume * (2.*(inc.dm/inc.cm) - 1.) * trend * 100.
+}

pkg/indicator/klingeroscillator_callbacks.go

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

pkg/indicator/tsi.go

@@ -0,0 +1,107 @@
+package indicator
+
+import (
+	"math"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// Refer: True Strength Index
+// Refer URL: https://www.investopedia.com/terms/t/tsi.asp
+//go:generate callbackgen -type TSI
+type TSI struct {
+	types.SeriesBase
+	types.IntervalWindow
+	PrevValue       float64
+	Values          floats.Slice
+	Pcs             *EWMA
+	Pcds            *EWMA
+	Apcs            *EWMA
+	Apcds           *EWMA
+	updateCallbacks []func(value float64)
+}
+
+func (inc *TSI) Update(value float64) {
+	if inc.Pcs == nil {
+		inc.Pcs = &EWMA{
+			IntervalWindow: types.IntervalWindow{
+				Window:   25,
+				Interval: inc.Interval,
+			},
+		}
+		inc.Pcds = &EWMA{
+			IntervalWindow: types.IntervalWindow{
+				Window:   13,
+				Interval: inc.Interval,
+			},
+		}
+		inc.Apcs = &EWMA{
+			IntervalWindow: types.IntervalWindow{
+				Window:   25,
+				Interval: inc.Interval,
+			},
+		}
+		inc.Apcds = &EWMA{
+			IntervalWindow: types.IntervalWindow{
+				Window:   13,
+				Interval: inc.Interval,
+			},
+		}
+		inc.SeriesBase.Series = inc
+	}
+	if inc.PrevValue == 0 {
+		inc.PrevValue = value
+		return
+	}
+	pc := value - inc.PrevValue
+	inc.Pcs.Update(pc)
+	inc.Pcds.Update(inc.Pcs.Last())
+	apc := math.Abs(pc)
+	inc.Apcs.Update(apc)
+	inc.Apcds.Update(inc.Apcs.Last())
+	tsi := (inc.Pcds.Last() / inc.Apcds.Last()) * 100.
+	inc.Values.Push(tsi)
+	if inc.Values.Length() > MaxNumOfEWMA {
+		inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
+	}
+	inc.PrevValue = value
+}
+
+func (inc *TSI) Last() float64 {
+	return inc.Values.Last()
+}
+
+func (inc *TSI) Index(i int) float64 {
+	return inc.Values.Index(i)
+}
+
+func (inc *TSI) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
+
+var _ types.SeriesExtend = &TSI{}
+
+func (inc *TSI) CalculateAndUpdate(allKLines []types.KLine) {
+	if inc.PrevValue == 0 {
+		for _, k := range allKLines {
+			inc.PushK(k)
+			inc.EmitUpdate(inc.Last())
+		}
+	} else {
+		k := allKLines[len(allKLines)-1]
+		inc.PushK(k)
+		inc.EmitUpdate(inc.Last())
+	}
+}
+
+func (inc *TSI) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+	inc.CalculateAndUpdate(window)
+}
+
+func (inc *TSI) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/indicator/tsi_callbacks.go

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

pkg/indicator/tsi_test.go

@@ -0,0 +1 @@
+package indicator

pkg/indicator/wdrift.go

@@ -23,23 +23,23 @@ type WeightedDrift struct {
 }
 
 func (inc *WeightedDrift) Update(value float64, weight float64) {
-	win := 10
+	if weight == 0 {
-	if inc.Window > win {
+		inc.LastValue = value
-		win = inc.Window
+		return
 	}
 	if inc.chng == nil {
 		inc.SeriesBase.Series = inc
 		if inc.MA == nil {
 			inc.MA = &SMA{IntervalWindow: types.IntervalWindow{Interval: inc.Interval, Window: inc.Window}}
 		}
-		inc.Weight = types.NewQueue(win)
+		inc.Weight = types.NewQueue(inc.Window)
 		inc.chng = types.NewQueue(inc.Window)
 		inc.LastValue = value
 		inc.Weight.Update(weight)
 		return
 	}
 	inc.Weight.Update(weight)
-	base := inc.Weight.Lowest(win)
+	base := inc.Weight.Lowest(inc.Window)
 	multiplier := int(weight / base)
 	var chng float64
 	if value == 0 {