factorzoo: add correlation indicator

pkg/strategy/factorzoo/correlation.go

@@ -0,0 +1,103 @@
+package factorzoo
+
+import (
+	"fmt"
+	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/c9s/bbgo/pkg/types"
+	"math"
+	"time"
+)
+
+var zeroTime time.Time
+
+//var zeroTime time.Time
+type KLineValueMapper func(k types.KLine) float64
+
+//go:generate callbackgen -type CORRELATION
+type CORRELATION struct {
+	types.IntervalWindow
+	Values  types.Float64Slice
+	EndTime time.Time
+
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *CORRELATION) Last() float64 {
+	if len(inc.Values) == 0 {
+		return 0.0
+	}
+	return inc.Values[len(inc.Values)-1]
+}
+
+func (inc *CORRELATION) calculateAndUpdate(klines []types.KLine) {
+	if len(klines) < inc.Window {
+		return
+	}
+
+	var end = len(klines) - 1
+	var lastKLine = klines[end]
+
+	if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
+		return
+	}
+
+	var recentT = klines[end-(inc.Window-1) : end+1]
+
+	correlation, err := calculateCORRELATION(recentT, inc.Window, KLineAmplitudeMapper, indicator.KLineVolumeMapper)
+	if err != nil {
+		log.WithError(err).Error("can not calculate correlation")
+		return
+	}
+	inc.Values.Push(correlation)
+
+	if len(inc.Values) > indicator.MaxNumOfVOL {
+		inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
+	}
+
+	inc.EndTime = klines[end].GetEndTime().Time()
+
+	inc.EmitUpdate(correlation)
+}
+
+func (inc *CORRELATION) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *CORRELATION) Bind(updater indicator.KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}
+
+func calculateCORRELATION(klines []types.KLine, window int, valA KLineValueMapper, valB KLineValueMapper) (float64, error) {
+	length := len(klines)
+	if length == 0 || length < window {
+		return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
+	}
+
+	sumA, sumB, sumAB, squareSumA, squareSumB := 0., 0., 0., 0., 0.
+	for _, k := range klines {
+		// sum of elements of array A
+		sumA += valA(k)
+		// sum of elements of array B
+		sumB += valA(k)
+
+		// sum of A[i] * B[i].
+		sumAB = sumAB + valA(k)*valB(k)
+
+		// sum of square of array elements.
+		squareSumA = squareSumA + valA(k)*valA(k)
+		squareSumB = squareSumB + valB(k)*valB(k)
+	}
+	// use formula for calculating correlation coefficient.
+	corr := (float64(window)*sumAB - sumA*sumB) /
+		math.Sqrt((float64(window)*squareSumA-sumA*sumA)*(float64(window)*squareSumB-sumB*sumB))
+
+	return corr, nil
+}
+
+func KLineAmplitudeMapper(k types.KLine) float64 {
+	return k.High.Div(k.Low).Float64()
+}

pkg/strategy/factorzoo/correlation_callbacks.go

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