Merge pull request #540 from narumiruna/indicator/update

indicator: make parameters of update method consistent
2024-11-10 09:11:55 +00:00 · 2022-04-20 11:53:06 +08:00 · 2022-04-20 11:53:06 +08:00 · 46015324e9
commit 46015324e9
parent 522e6b9aaf 1d363f65a9
7 changed files with 57 additions and 87 deletions
--- a/pkg/indicator/ad.go
+++ b/pkg/indicator/ad.go
@ -22,12 +22,7 @@ type AD struct {
 	UpdateCallbacks []func(value float64)
 }

-func (inc *AD) Update(kLine types.KLine) {
-	cloze := kLine.Close.Float64()
-	high := kLine.High.Float64()
-	low := kLine.Low.Float64()
-	volume := kLine.Volume.Float64()
-
+func (inc *AD) Update(high, low, cloze, volume float64) {
 	var moneyFlowVolume float64
 	if high == low {
 		moneyFlowVolume = 0
@ -65,7 +60,7 @@ func (inc *AD) calculateAndUpdate(kLines []types.KLine) {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k)
+		inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64(), k.Volume.Float64())
 	}

 	inc.EmitUpdate(inc.Last())
--- a/pkg/indicator/atr.go
+++ b/pkg/indicator/atr.go
@ -11,25 +11,26 @@ import (
 type ATR struct {
 	types.IntervalWindow
 	Values               types.Float64Slice
-	TrueRanges           types.Float64Slice
 	PercentageVolatility types.Float64Slice
+
 	PriviousClose float64
+	RMA           *RMA

 	EndTime         time.Time
 	UpdateCallbacks []func(value float64)
 }

-func (inc *ATR) Update(kLine types.KLine) {
+func (inc *ATR) Update(high, low, cloze float64) {
 	if inc.Window <= 0 {
 		panic("window must be greater than 0")
 	}

-	cloze := kLine.Close.Float64()
-	high := kLine.High.Float64()
-	low := kLine.Low.Float64()
+	if len(inc.Values) == 0 {
+		inc.RMA = &RMA{IntervalWindow: types.IntervalWindow{Window: inc.Window}}
+	}

 	if inc.PriviousClose == 0 {
-		inc.PriviousClose = kLine.Close.Float64()
+		inc.PriviousClose = cloze
 		return
 	}

@ -39,24 +40,12 @@ func (inc *ATR) Update(kLine types.KLine) {
 		math.Abs(high - inc.PriviousClose),
 		math.Abs(low - inc.PriviousClose),
 	}.Max()
-	inc.TrueRanges.Push(trueRange)

 	inc.PriviousClose = cloze

 	// apply rolling moving average
-	if len(inc.TrueRanges) < inc.Window {
-		return
-	}
-
-	if len(inc.TrueRanges) == inc.Window {
-		atr := inc.TrueRanges.Mean()
-		inc.Values.Push(atr)
-		inc.PercentageVolatility.Push(atr / cloze)
-		return
-	}
-
-	lambda := 1 / float64(inc.Window)
-	atr := inc.Values.Last()*(1-lambda) + inc.TrueRanges.Last()*lambda
+	inc.RMA.Update(trueRange)
+	atr := inc.RMA.Last()
 	inc.Values.Push(atr)
 	inc.PercentageVolatility.Push(atr / cloze)
 }
@ -87,7 +76,7 @@ func (inc *ATR) calculateAndUpdate(kLines []types.KLine) {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k)
+		inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
 	}

 	inc.EmitUpdate(inc.Last())
--- a/pkg/indicator/macd.go
+++ b/pkg/indicator/macd.go
@ -29,25 +29,16 @@ type MACD struct {
 	UpdateCallbacks []func(value float64)
 }

-func (inc *MACD) calculateMACD(kLines []types.KLine, priceF KLinePriceMapper) float64 {
-	for _, kline := range kLines {
-		inc.Update(kline, priceF)
-	}
-	return inc.Values[len(inc.Values)-1]
-}
-
-func (inc *MACD) Update(kLine types.KLine, priceF KLinePriceMapper) {
+func (inc *MACD) Update(x float64) {
 	if len(inc.Values) == 0 {
 		inc.FastEWMA = EWMA{IntervalWindow: types.IntervalWindow{Window: inc.ShortPeriod}}
 		inc.SlowEWMA = EWMA{IntervalWindow: types.IntervalWindow{Window: inc.LongPeriod}}
 		inc.SignalLine = EWMA{IntervalWindow: types.IntervalWindow{Window: inc.Window}}
 	}

-	price := priceF(kLine)
-
 	// update fast and slow ema
-	inc.FastEWMA.Update(price)
-	inc.SlowEWMA.Update(price)
+	inc.FastEWMA.Update(x)
+	inc.SlowEWMA.Update(x)

 	// update macd
 	macd := inc.FastEWMA.Last() - inc.SlowEWMA.Last()
@ -60,18 +51,23 @@ func (inc *MACD) Update(kLine types.KLine, priceF KLinePriceMapper) {
 	inc.Histogram.Push(macd - inc.SignalLine.Last())
 }

+func (inc *MACD) calculateMACD(kLines []types.KLine, priceF KLinePriceMapper) float64 {
+	for _, kline := range kLines {
+		inc.Update(kline.Close.Float64())
+	}
+	return inc.Values[len(inc.Values)-1]
+}
+
 func (inc *MACD) calculateAndUpdate(kLines []types.KLine) {
 	if len(kLines) == 0 {
 		return
 	}

-	var priceF = KLineClosePriceMapper
-
 	for _, k := range kLines {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k, priceF)
+		inc.Update(k.Close.Float64())
 	}

 	inc.EmitUpdate(inc.Values[len(inc.Values)-1])
--- a/pkg/indicator/obv.go
+++ b/pkg/indicator/obv.go
@ -22,10 +22,7 @@ type OBV struct {
 	UpdateCallbacks []func(value float64)
 }

-func (inc *OBV) Update(kLine types.KLine, priceF KLinePriceMapper) {
-	price := priceF(kLine)
-	volume := kLine.Volume.Float64()
-
+func (inc *OBV) Update(price, volume float64) {
 	if len(inc.Values) == 0 {
 		inc.PrePrice = price
 		inc.Values.Push(volume)
@ -47,17 +44,16 @@ func (inc *OBV) Last() float64 {
 }

 func (inc *OBV) calculateAndUpdate(kLines []types.KLine) {
-	var priceF = KLineClosePriceMapper
-
 	for _, k := range kLines {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k, priceF)
+		inc.Update(k.Close.Float64(), k.Volume.Float64())
 	}
 	inc.EmitUpdate(inc.Last())
 	inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
 }
+
 func (inc *OBV) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
 	if inc.Interval != interval {
 		return
--- a/pkg/indicator/rsi.go
+++ b/pkg/indicator/rsi.go
@ -24,8 +24,7 @@ type RSI struct {
 	UpdateCallbacks []func(value float64)
 }

-func (inc *RSI) Update(kline types.KLine, priceF KLinePriceMapper) {
-	price := priceF(kline)
+func (inc *RSI) Update(price float64) {
 	inc.Prices.Push(price)

 	if len(inc.Prices) < inc.Window+1 {
@ -78,13 +77,11 @@ func (inc *RSI) Length() int {
 var _ types.Series = &RSI{}

 func (inc *RSI) calculateAndUpdate(kLines []types.KLine) {
-	var priceF = KLineClosePriceMapper
-
 	for _, k := range kLines {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k, priceF)
+		inc.Update(k.Close.Float64())
 	}

 	inc.EmitUpdate(inc.Last())
--- a/pkg/indicator/stoch.go
+++ b/pkg/indicator/stoch.go
@ -20,21 +20,21 @@ type STOCH struct {
 	K types.Float64Slice
 	D types.Float64Slice

-	KLineWindow types.KLineWindow
+	HighValues types.Float64Slice
+	LowValues  types.Float64Slice

 	EndTime         time.Time
 	UpdateCallbacks []func(k float64, d float64)
 }

-func (inc *STOCH) update(kLine types.KLine) {
-	inc.KLineWindow.Add(kLine)
-	inc.KLineWindow.Truncate(inc.Window)
+func (inc *STOCH) Update(high, low, cloze float64) {
+	inc.HighValues.Push(high)
+	inc.LowValues.Push(low)

-	lowest := inc.KLineWindow.GetLow().Float64()
-	highest := inc.KLineWindow.GetHigh().Float64()
-	clos := kLine.Close.Float64()
+	lowest := inc.LowValues.Tail(inc.Window).Min()
+	highest := inc.HighValues.Tail(inc.Window).Max()

-	k := 100.0 * (clos - lowest) / (highest - lowest)
+	k := 100.0 * (cloze - lowest) / (highest - lowest)
 	inc.K.Push(k)

 	d := inc.K.Tail(DPeriod).Mean()
@ -64,7 +64,7 @@ func (inc *STOCH) calculateAndUpdate(kLines []types.KLine) {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.update(k)
+		inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
 	}

 	inc.EmitUpdate(inc.LastK(), inc.LastD())
--- a/pkg/indicator/vwap.go
+++ b/pkg/indicator/vwap.go
@ -28,6 +28,23 @@ type VWAP struct {
 	UpdateCallbacks []func(value float64)
 }

+func (inc *VWAP) Update(price, volume float64) {
+	inc.Prices.Push(price)
+	inc.Volumes.Push(volume)
+
+	if inc.Window != 0 && len(inc.Prices) > inc.Window {
+		popIndex := len(inc.Prices) - inc.Window - 1
+		inc.WeightedSum -= inc.Prices[popIndex] * inc.Volumes[popIndex]
+		inc.VolumeSum -= inc.Volumes[popIndex]
+	}
+
+	inc.WeightedSum += price * volume
+	inc.VolumeSum += volume
+
+	vwap := inc.WeightedSum / inc.VolumeSum
+	inc.Values.Push(vwap)
+}
+
 func (inc *VWAP) Last() float64 {
 	if len(inc.Values) == 0 {
 		return 0.0
@ -50,26 +67,6 @@ func (inc *VWAP) Length() int {

 var _ types.Series = &VWAP{}

-func (inc *VWAP) Update(kLine types.KLine, priceF KLinePriceMapper) {
-	price := priceF(kLine)
-	volume := kLine.Volume.Float64()
-
-	inc.Prices.Push(price)
-	inc.Volumes.Push(volume)
-
-	if inc.Window != 0 && len(inc.Prices) > inc.Window {
-		popIndex := len(inc.Prices) - inc.Window - 1
-		inc.WeightedSum -= inc.Prices[popIndex] * inc.Volumes[popIndex]
-		inc.VolumeSum -= inc.Volumes[popIndex]
-	}
-
-	inc.WeightedSum += price * volume
-	inc.VolumeSum += volume
-
-	vwap := inc.WeightedSum / inc.VolumeSum
-	inc.Values.Push(vwap)
-}
-
 func (inc *VWAP) calculateAndUpdate(kLines []types.KLine) {
 	var priceF = KLineTypicalPriceMapper

@ -77,7 +74,7 @@ func (inc *VWAP) calculateAndUpdate(kLines []types.KLine) {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k, priceF)
+		inc.Update(priceF(k), k.Volume.Float64())
 	}

 	inc.EmitUpdate(inc.Last())
@ -99,7 +96,7 @@ func (inc *VWAP) Bind(updater KLineWindowUpdater) {
 func CalculateVWAP(klines []types.KLine, priceF KLinePriceMapper, window int) float64 {
 	vwap := VWAP{IntervalWindow: types.IntervalWindow{Window: window}}
 	for _, k := range klines {
-		vwap.Update(k, priceF)
+		vwap.Update(priceF(k), k.Volume.Float64())
 	}
 	return vwap.Last()
 }