Merge pull request #599 from zenixls2/feature/cci

feature: add cci indicator

pkg/indicator/cci.go

@@ -0,0 +1,105 @@
+package indicator
+
+import (
+	"math"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// Refer: Commodity Channel Index
+// Refer URL: http://www.andrewshamlet.net/2017/07/08/python-tutorial-cci
+// with modification of ddof=0 to let standard deviation to be divided by N instead of N-1
+//go:generate callbackgen -type CCI
+type CCI struct {
+	types.IntervalWindow
+	Input        types.Float64Slice
+	TypicalPrice types.Float64Slice
+	MA           types.Float64Slice
+	Values       types.Float64Slice
+
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *CCI) Update(value float64) {
+	if len(inc.TypicalPrice) == 0 {
+		inc.TypicalPrice.Push(value)
+		inc.Input.Push(value)
+		return
+	} else if len(inc.TypicalPrice) > MaxNumOfEWMA {
+		inc.TypicalPrice = inc.TypicalPrice[MaxNumOfEWMATruncateSize-1:]
+		inc.Input = inc.Input[MaxNumOfEWMATruncateSize-1:]
+	}
+
+	inc.Input.Push(value)
+	tp := inc.TypicalPrice.Last() - inc.Input.Index(inc.Window) + value
+	inc.TypicalPrice.Push(tp)
+	if len(inc.Input) < inc.Window {
+		return
+	}
+	ma := tp / float64(inc.Window)
+	inc.MA.Push(ma)
+	if len(inc.MA) > MaxNumOfEWMA {
+		inc.MA = inc.MA[MaxNumOfEWMATruncateSize-1:]
+	}
+	md := 0.
+	for i := 0; i < inc.Window; i++ {
+		diff := inc.Input.Index(i) - ma
+		md += diff * diff
+	}
+	md = math.Sqrt(md / float64(inc.Window))
+
+	cci := (value - ma) / (0.015 * md)
+
+	inc.Values.Push(cci)
+	if len(inc.Values) > MaxNumOfEWMA {
+		inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
+	}
+}
+
+func (inc *CCI) Last() float64 {
+	if len(inc.Values) == 0 {
+		return 0
+	}
+	return inc.Values[len(inc.Values)-1]
+}
+
+func (inc *CCI) Index(i int) float64 {
+	if i >= len(inc.Values) {
+		return 0
+	}
+	return inc.Values[len(inc.Values)-1-i]
+}
+
+func (inc *CCI) Length() int {
+	return len(inc.Values)
+}
+
+var _ types.Series = &CCI{}
+
+var three = fixedpoint.NewFromInt(3)
+
+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.EmitUpdate(inc.Last())
+		}
+	} else {
+		k := allKLines[len(allKLines)-1]
+		inc.Update(k.High.Add(k.Low).Add(k.Close).Div(three).Float64())
+		inc.EmitUpdate(inc.Last())
+	}
+}
+
+func (inc *CCI) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *CCI) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/indicator/cci_callbacks.go

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

pkg/indicator/cci_test.go

@@ -0,0 +1,37 @@
+package indicator
+
+import (
+	"encoding/json"
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/stretchr/testify/assert"
+)
+
+/*
+python:
+
+import pandas as pd
+s = pd.Series([0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9])
+cci = pd.Series((s - s.rolling(16).mean()) / (0.015 * s.rolling(16).std(ddof=0)), name="CCI")
+print(cci)
+*/
+func Test_CCI(t *testing.T) {
+	var randomPrices = []byte(`[0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9]`)
+	var input []float64
+	var Delta = 4.3e-2
+	if err := json.Unmarshal(randomPrices, &input); err != nil {
+		panic(err)
+	}
+	t.Run("random_case", func(t *testing.T) {
+		cci := CCI{IntervalWindow: types.IntervalWindow{Window: 16}}
+		for _, value := range input {
+			cci.Update(value)
+		}
+
+		last := cci.Last()
+		assert.InDelta(t, 93.250481, last, Delta)
+		assert.InDelta(t, 81.813449, cci.Index(1), Delta)
+		assert.Equal(t, 50-16+1, cci.Length())
+	})
+}

pkg/types/float_slice.go

@@ -127,7 +127,7 @@ func (a *Float64Slice) Last() float64 {
 
 func (a *Float64Slice) Index(i int) float64 {
 	length := len(*a)
-	if length-i < 0 || i < 0 {
+	if length-i <= 0 || i < 0 {
 		return 0.0
 	}
 	return (*a)[length-i-1]