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adjust ewma truncate size
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943105d678
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@ -3,7 +3,7 @@ package bbgo
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import "github.com/c9s/bbgo/pkg/types"
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const MaxNumOfKLines = 5_000
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const MaxNumOfKLinesTruncate = 1_000
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const MaxNumOfKLinesTruncate = 100
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// MarketDataStore receives and maintain the public market data
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//go:generate callbackgen -type MarketDataStore
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@ -56,7 +56,7 @@ func (store *MarketDataStore) AddKLine(kline types.KLine) {
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}
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if len(window) > MaxNumOfKLines {
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window = window[MaxNumOfKLinesTruncate:]
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window = window[MaxNumOfKLinesTruncate-1:]
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}
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store.KLineWindows[kline.Interval] = window
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@ -11,7 +11,7 @@ import (
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// These numbers should be aligned with bbgo MaxNumOfKLines and MaxNumOfKLinesTruncate
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const MaxNumOfEWMA = 5_000
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const MaxNumOfEWMATruncateSize = 1000
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const MaxNumOfEWMATruncateSize = 100
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//go:generate callbackgen -type EWMA
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type EWMA struct {
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@ -29,7 +29,7 @@ func (inc *EWMA) Update(value float64) {
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inc.Values.Push(value)
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return
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} else if len(inc.Values) > MaxNumOfEWMA {
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inc.Values = inc.Values[MaxNumOfEWMATruncateSize:]
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inc.Values = inc.Values[MaxNumOfEWMATruncateSize - 1:]
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}
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ema := (1-multiplier)*inc.Last() + multiplier*value
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@ -9,8 +9,8 @@ import (
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"github.com/c9s/bbgo/pkg/types"
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)
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const MaxNumOfSMA = 1_000
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const MaxNumOfSMATruncateSize = 500
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const MaxNumOfSMA = 5_000
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const MaxNumOfSMATruncateSize = 100
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var zeroTime time.Time
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@ -52,7 +52,7 @@ func (inc *SMA) calculateAndUpdate(kLines []types.KLine) {
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inc.Values.Push(sma)
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if len(inc.Values) > MaxNumOfSMA {
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inc.Values = inc.Values[MaxNumOfSMATruncateSize:]
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inc.Values = inc.Values[MaxNumOfSMATruncateSize - 1:]
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}
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inc.EndTime = kLines[index].EndTime
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