fix: window update in indicators. add: cumulative average, triangular moving average

pkg/indicator/ca_callbacks.go

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

pkg/indicator/cma.go

@@ -0,0 +1,63 @@
+package indicator
+
+import (
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// Refer: Cumulative Moving Average, Cumulative Average
+// Refer: https://en.wikipedia.org/wiki/Moving_average
+//go:generate callbackgen -type CA
+type CA struct {
+	Interval        types.Interval
+	Values          types.Float64Slice
+	length          float64
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *CA) Update(x float64) {
+	newVal := (inc.Values.Last()*inc.length + x) / (inc.length + 1.)
+	inc.length += 1
+	inc.Values.Push(newVal)
+	if len(inc.Values) > MaxNumOfEWMA {
+		inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
+	}
+}
+
+func (inc *CA) Last() float64 {
+	if len(inc.Values) == 0 {
+		return 0
+	}
+	return inc.Values[len(inc.Values)-1]
+}
+
+func (inc *CA) Index(i int) float64 {
+	if i >= len(inc.Values) {
+		return 0
+	}
+	return inc.Values[len(inc.Values)-1-i]
+}
+
+func (inc *CA) Length() int {
+	return len(inc.Values)
+}
+
+var _ types.Series = &CA{}
+
+func (inc *CA) calculateAndUpdate(allKLines []types.KLine) {
+	for _, k := range allKLines {
+		inc.Update(k.Close.Float64())
+		inc.EmitUpdate(inc.Last())
+	}
+}
+
+func (inc *CA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *CA) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/indicator/dema.go

@@ -49,8 +49,13 @@ func (inc *DEMA) Length() int {
 var _ types.Series = &DEMA{}
 
 func (inc *DEMA) calculateAndUpdate(allKLines []types.KLine) {
-	for _, k := range allKLines {
+	if inc.a1 == nil {
-		inc.Update(k.Close.Float64())
+		for _, k := range allKLines {
+			inc.Update(k.Close.Float64())
+			inc.EmitUpdate(inc.Last())
+		}
+	} else {
+		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
 		inc.EmitUpdate(inc.Last())
 	}
 }

pkg/indicator/hull.go

@@ -30,14 +30,23 @@ func (inc *HULL) Update(value float64) {
 }
 
 func (inc *HULL) Last() float64 {
+	if inc.result == nil {
+		return 0
+	}
 	return inc.result.Last()
 }
 
 func (inc *HULL) Index(i int) float64 {
+	if inc.result == nil {
+		return 0
+	}
 	return inc.result.Index(i)
 }
 
 func (inc *HULL) Length() int {
+	if inc.result == nil {
+		return 0
+	}
 	return inc.result.Length()
 }
 

pkg/indicator/rma.go

@@ -6,6 +6,7 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+// Refer: Running Moving Average
 //go:generate callbackgen -type RMA
 type RMA struct {
 	types.IntervalWindow

pkg/indicator/tema.go

@@ -54,8 +54,13 @@ func (inc *TEMA) Length() int {
 var _ types.Series = &TEMA{}
 
 func (inc *TEMA) calculateAndUpdate(allKLines []types.KLine) {
-	for _, k := range allKLines {
+	if inc.A1 == nil {
-		inc.Update(k.Close.Float64())
+		for _, k := range allKLines {
+			inc.Update(k.Close.Float64())
+			inc.EmitUpdate(inc.Last())
+		}
+	} else {
+		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
 		inc.EmitUpdate(inc.Last())
 	}
 }

pkg/indicator/till.go

@@ -53,7 +53,7 @@ func (inc *TILL) Update(value float64) {
 }
 
 func (inc *TILL) Last() float64 {
-	if inc.e1.Length() == 0 {
+	if inc.e1 == nil || inc.e1.Length() == 0 {
 		return 0
 	}
 	e3 := inc.e3.Last()
@@ -64,7 +64,7 @@ func (inc *TILL) Last() float64 {
 }
 
 func (inc *TILL) Index(i int) float64 {
-	if inc.e1.Length() <= i {
+	if inc.e1 == nil || inc.e1.Length() <= i {
 		return 0
 	}
 	e3 := inc.e3.Index(i)
@@ -75,6 +75,9 @@ func (inc *TILL) Index(i int) float64 {
 }
 
 func (inc *TILL) Length() int {
+	if inc.e1 == nil {
+		return 0
+	}
 	return inc.e1.Length()
 }
 

pkg/indicator/tma.go

@@ -0,0 +1,73 @@
+package indicator
+
+import (
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// Refer: Triangular Moving Average
+// Refer URL: https://ja.wikipedia.org/wiki/移動平均
+//go:generate callbackgen -type TMA
+type TMA struct {
+	types.IntervalWindow
+	s1              *SMA
+	s2              *SMA
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *TMA) Update(value float64) {
+	if inc.s1 == nil {
+		w := (inc.Window + 1) / 2
+		inc.s1 = &SMA{IntervalWindow: types.IntervalWindow{inc.Interval, w}}
+		inc.s2 = &SMA{IntervalWindow: types.IntervalWindow{inc.Interval, w}}
+	}
+
+	inc.s1.Update(value)
+	inc.s2.Update(inc.s1.Last())
+}
+
+func (inc *TMA) Last() float64 {
+	if inc.s2 == nil {
+		return 0
+	}
+	return inc.s2.Last()
+}
+
+func (inc *TMA) Index(i int) float64 {
+	if inc.s2 == nil {
+		return 0
+	}
+	return inc.s2.Index(i)
+}
+
+func (inc *TMA) Length() int {
+	if inc.s2 == nil {
+		return 0
+	}
+	return inc.s2.Length()
+}
+
+var _ types.Series = &TMA{}
+
+func (inc *TMA) calculateAndUpdate(allKLines []types.KLine) {
+	if inc.s1 == nil {
+		for _, k := range allKLines {
+			inc.Update(k.Close.Float64())
+			inc.EmitUpdate(inc.Last())
+		}
+	} else {
+		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
+		inc.EmitUpdate(inc.Last())
+	}
+}
+
+func (inc *TMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *TMA) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/indicator/tma_callbacks.go

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

pkg/indicator/vidya.go

@@ -69,8 +69,13 @@ func (inc *VIDYA) Length() int {
 var _ types.Series = &VIDYA{}
 
 func (inc *VIDYA) calculateAndUpdate(allKLines []types.KLine) {
-	for _, k := range allKLines {
+	if inc.input.Length() == 0 {
-		inc.Update(k.Close.Float64())
+		for _, k := range allKLines {
+			inc.Update(k.Close.Float64())
+			inc.EmitUpdate(inc.Last())
+		}
+	} else {
+		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
 		inc.EmitUpdate(inc.Last())
 	}
 }

pkg/indicator/wwma.go

@@ -7,6 +7,7 @@ import (
 
 // Refer: Welles Wilder's Moving Average
 // Refer URL: http://fxcorporate.com/help/MS/NOTFIFO/i_WMA.html
+// TODO: Cannot see any difference between RMA and this
 
 const MaxNumOfWWMA = 5_000
 const MaxNumOfWWMATruncateSize = 100

pkg/indicator/zlema.go

@@ -19,14 +19,23 @@ type ZLEMA struct {
 }
 
 func (inc *ZLEMA) Index(i int) float64 {
+	if inc.zlema == nil {
+		return 0
+	}
 	return inc.zlema.Index(i)
 }
 
 func (inc *ZLEMA) Last() float64 {
+	if inc.zlema == nil {
+		return 0
+	}
 	return inc.zlema.Last()
 }
 
 func (inc *ZLEMA) Length() int {
+	if inc.zlema == nil {
+		return 0
+	}
 	return inc.zlema.Length()
 }
 
@@ -49,8 +58,13 @@ func (inc *ZLEMA) Update(value float64) {
 var _ types.Series = &ZLEMA{}
 
 func (inc *ZLEMA) calculateAndUpdate(allKLines []types.KLine) {
-	for _, k := range allKLines {
+	if inc.zlema == nil {
-		inc.Update(k.Close.Float64())
+		for _, k := range allKLines {
+			inc.Update(k.Close.Float64())
+			inc.EmitUpdate(inc.Last())
+		}
+	} else {
+		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
 		inc.EmitUpdate(inc.Last())
 	}
 }