Add stochastic oscillator indicator

pkg/indicator/kd.go

@@ -0,0 +1,83 @@
+package indicator
+
+import (
+	"time"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+const DPeriod int = 3
+
+/*
+kd implements stochastic oscillator indicator
+
+Stochastic Oscillator
+- https://www.investopedia.com/terms/s/stochasticoscillator.asp
+*/
+//go:generate callbackgen -type KD
+type KD struct {
+	types.IntervalWindow
+	K Float64Slice
+	D Float64Slice
+
+	KLineWindow types.KLineWindow
+
+	EndTime         time.Time
+	UpdateCallbacks []func(k float64, d float64)
+}
+
+func (inc *KD) update(kLine types.KLine) {
+	inc.KLineWindow.Add(kLine)
+	inc.KLineWindow.Truncate(inc.Window)
+
+	lowest := inc.KLineWindow.GetLow()
+	highest := inc.KLineWindow.GetHigh()
+
+	k := 100.0 * (kLine.Close - lowest) / (highest - lowest)
+	inc.K.Push(k)
+
+	d := inc.K.Tail(DPeriod).Mean()
+	inc.D.Push(d)
+}
+
+func (inc *KD) LastK() float64 {
+	if len(inc.K) == 0 {
+		return 0.0
+	}
+	return inc.K[len(inc.K)-1]
+}
+
+func (inc *KD) LastD() float64 {
+	if len(inc.K) == 0 {
+		return 0.0
+	}
+	return inc.D[len(inc.D)-1]
+}
+
+func (inc *KD) calculateAndUpdate(kLines []types.KLine) {
+	if len(kLines) < inc.Window || len(kLines) < DPeriod {
+		return
+	}
+
+	for i, k := range kLines {
+		if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
+			continue
+		}
+
+		inc.update(k)
+		inc.EmitUpdate(inc.LastK(), inc.LastD())
+		inc.EndTime = kLines[i].EndTime
+	}
+}
+
+func (inc *KD) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *KD) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/indicator/kd_callbacks.go

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