fix: fix change, feature: implement vidya and till

pkg/indicator/hull.go

@@ -11,22 +11,22 @@ import (
 //go:generate callbackgen -type HULL
 type HULL struct {
 	types.IntervalWindow
-	ma1 *EWMA
+	ma1    *EWMA
-	ma2 *EWMA
+	ma2    *EWMA
 	result *EWMA
 
-        UpdateCallbacks []func(value float64)
+	UpdateCallbacks []func(value float64)
 }
 
 func (inc *HULL) Update(value float64) {
 	if inc.result.Length() == 0 {
-		inc.ma1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window/2}}
+		inc.ma1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window / 2}}
 		inc.ma2 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
 		inc.result = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, int(math.Sqrt(float64(inc.Window)))}}
 	}
 	inc.ma1.Update(value)
 	inc.ma2.Update(value)
-	inc.result.Update(2 * inc.ma1.Last() - inc.ma2.Last())
+	inc.result.Update(2*inc.ma1.Last() - inc.ma2.Last())
 }
 
 func (inc *HULL) Last() float64 {
@@ -49,7 +49,7 @@ func (inc *HULL) calculateAndUpdate(allKLines []types.KLine) {
 	if inc.ma1.Length() == 0 {
 		doable = true
 	}
-        for _, k := range allKLines {
+	for _, k := range allKLines {
 		if !doable && k.StartTime.After(inc.ma1.LastOpenTime) {
 			doable = true
 		}
@@ -57,17 +57,17 @@ func (inc *HULL) calculateAndUpdate(allKLines []types.KLine) {
 			inc.Update(k.Close.Float64())
 			inc.EmitUpdate(inc.Last())
 		}
-        }
+	}
 }
 
 func (inc *HULL) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
-        if inc.Interval != interval {
+	if inc.Interval != interval {
-                return
+		return
-        }
+	}
 
-        inc.calculateAndUpdate(window)
+	inc.calculateAndUpdate(window)
 }
 
 func (inc *HULL) Bind(updater KLineWindowUpdater) {
-        updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
 }

pkg/indicator/till.go

@@ -1 +1,109 @@
 package indicator
+
+import (
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+const defaultVolumeFactor = 0.7
+
+// Refer: Tillson T3 Moving Average
+// Refer URL: https://tradingpedia.com/forex-trading-indicator/t3-moving-average-indicator/
+//go:generate callbackgen -type TILL
+type TILL struct {
+	types.IntervalWindow
+	VolumeFactor    float64
+	e1              *EWMA
+	e2              *EWMA
+	e3              *EWMA
+	e4              *EWMA
+	e5              *EWMA
+	e6              *EWMA
+	c1              float64
+	c2              float64
+	c3              float64
+	c4              float64
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *TILL) Update(value float64) {
+	if inc.e1 == nil || inc.e1.Length() == 0 {
+		if inc.VolumeFactor == 0 {
+			inc.VolumeFactor = defaultVolumeFactor
+		}
+		inc.e1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
+		inc.e2 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
+		inc.e3 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
+		inc.e4 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
+		inc.e5 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
+		inc.e6 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
+		square := inc.VolumeFactor * inc.VolumeFactor
+		cube := inc.VolumeFactor * square
+		inc.c1 = -cube
+		inc.c2 = 3.*square + 3.*cube
+		inc.c3 = -6.*square - 3*inc.VolumeFactor - 3*cube
+		inc.c4 = 1 + 3*inc.VolumeFactor + cube + 3*square
+	}
+
+	inc.e1.Update(value)
+	inc.e2.Update(inc.e1.Last())
+	inc.e3.Update(inc.e2.Last())
+	inc.e4.Update(inc.e3.Last())
+	inc.e5.Update(inc.e4.Last())
+	inc.e6.Update(inc.e5.Last())
+}
+
+func (inc *TILL) Last() float64 {
+	if inc.e1.Length() == 0 {
+		return 0
+	}
+	e3 := inc.e3.Last()
+	e4 := inc.e4.Last()
+	e5 := inc.e5.Last()
+	e6 := inc.e6.Last()
+	return inc.c1*e6 + inc.c2*e5 + inc.c3*e4 + inc.c4*e3
+}
+
+func (inc *TILL) Index(i int) float64 {
+	if inc.e1.Length() <= i {
+		return 0
+	}
+	e3 := inc.e3.Index(i)
+	e4 := inc.e4.Index(i)
+	e5 := inc.e5.Index(i)
+	e6 := inc.e6.Index(i)
+	return inc.c1*e6 + inc.c2*e5 + inc.c3*e4 + inc.c4*e3
+}
+
+func (inc *TILL) Length() int {
+	return inc.e1.Length()
+}
+
+var _ types.Series = &TILL{}
+
+func (inc *TILL) calculateAndUpdate(allKLines []types.KLine) {
+	doable := false
+	if inc.e1.Length() == 0 {
+		doable = true
+	}
+	for _, k := range allKLines {
+		if !doable && k.StartTime.After(inc.e1.LastOpenTime) {
+			doable = true
+		}
+		if doable {
+			inc.Update(k.Close.Float64())
+			inc.EmitUpdate(inc.Last())
+		}
+	}
+}
+
+func (inc *TILL) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *TILL) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/indicator/till_callbacks.go

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

pkg/indicator/tsf.go

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

pkg/indicator/vidya.go

@@ -1 +1,86 @@
 package indicator
+
+import (
+	"math"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// Refer: Variable Index Dynamic Average
+// Refer URL: https://metatrader5.com/en/terminal/help/indicators/trend_indicators/vida
+//go:generate callbackgen -type VIDYA
+type VIDYA struct {
+	types.IntervalWindow
+	Values types.Float64Slice
+	input  types.Float64Slice
+
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *VIDYA) Update(value float64) {
+	if inc.Values.Length() == 0 {
+		inc.Values.Push(value)
+		inc.input.Push(value)
+		return
+	}
+	inc.input.Push(value)
+	if len(inc.input) > MaxNumOfEWMA {
+		inc.input = inc.input[MaxNumOfEWMATruncateSize-1:]
+	}
+	upsum := 0.
+	downsum := 0.
+	for i := 0; i < inc.Window; i++ {
+		if len(inc.input) <= i+1 {
+			break
+		}
+		diff := inc.input.Index(i) - inc.input.Index(i+1)
+		if diff > 0 {
+			upsum += diff
+		} else {
+			downsum += -diff
+		}
+
+	}
+	if upsum == 0 && downsum == 0 {
+		return
+	}
+	CMO := math.Abs((upsum - downsum) / (upsum + downsum))
+	alpha := 2. / float64(inc.Window+1)
+	inc.Values.Push(value*alpha*CMO + inc.Values.Last()*(1.-alpha*CMO))
+	if inc.Values.Length() > MaxNumOfEWMA {
+		inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
+	}
+}
+
+func (inc *VIDYA) Last() float64 {
+	return inc.Values.Last()
+}
+
+func (inc *VIDYA) Index(i int) float64 {
+	return inc.Values.Index(i)
+}
+
+func (inc *VIDYA) Length() int {
+	return inc.Values.Length()
+}
+
+var _ types.Series = &VIDYA{}
+
+func (inc *VIDYA) calculateAndUpdate(allKLines []types.KLine) {
+	for _, k := range allKLines {
+		inc.Update(k.Close.Float64())
+		inc.EmitUpdate(inc.Last())
+	}
+}
+
+func (inc *VIDYA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *VIDYA) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/indicator/vidya_callbacks.go

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

pkg/indicator/wwma.go

@@ -1,8 +1,8 @@
 package indicator
 
 import (
-	"time"
 	"github.com/c9s/bbgo/pkg/types"
+	"time"
 )
 
 // Refer: Welles Wilder's Moving Average

pkg/types/indicator.go

@@ -502,7 +502,7 @@ func (c *ChangeResult) Length() int {
 // offset: if not given, offset is 1.
 func Change(a Series, offset ...int) Series {
 	o := 1
-	if len(offset) == 0 {
+	if len(offset) > 0 {
 		o = offset[0]
 	}