Merge pull request #645 from zenixls2/feature/emv

feature: add emv indicator, fix: sma

pkg/indicator/emv.go

@@ -0,0 +1,88 @@
+package indicator
+
+import (
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// Refer: Ease of Movement
+// Refer URL: https://www.investopedia.com/terms/e/easeofmovement.asp
+
+//go:generate callbackgen -type EMV
+type EMV struct {
+	types.IntervalWindow
+	prevH    float64
+	prevL    float64
+	Values   *SMA
+	EMVScale float64
+
+	UpdateCallbacks []func(value float64)
+}
+
+const DefaultEMVScale float64 = 100000000.
+
+func (inc *EMV) Update(high, low, vol float64) {
+	if inc.EMVScale == 0 {
+		inc.EMVScale = DefaultEMVScale
+	}
+	if inc.prevH == 0 || inc.Values == nil {
+		inc.prevH = high
+		inc.prevL = low
+		inc.Values = &SMA{IntervalWindow: inc.IntervalWindow}
+		return
+	}
+	distanceMoved := (high+low)/2. - (inc.prevH+inc.prevL)/2.
+	boxRatio := vol / inc.EMVScale / (high - low)
+	result := distanceMoved / boxRatio
+	inc.prevH = high
+	inc.prevL = low
+	inc.Values.Update(result)
+}
+
+func (inc *EMV) Index(i int) float64 {
+	if inc.Values == nil {
+		return 0
+	}
+	return inc.Values.Index(i)
+}
+
+func (inc *EMV) Last() float64 {
+	if inc.Values == nil {
+		return 0
+	}
+	return inc.Values.Last()
+}
+
+func (inc *EMV) Length() int {
+	if inc.Values == nil {
+		return 0
+	}
+	return inc.Values.Length()
+}
+
+var _ types.Series = &EMV{}
+
+func (inc *EMV) calculateAndUpdate(allKLines []types.KLine) {
+	if inc.Values == nil {
+		for _, k := range allKLines {
+			inc.Update(k.High.Float64(), k.Low.Float64(), k.Volume.Float64())
+			if inc.Length() > 0 {
+				inc.EmitUpdate(inc.Last())
+			}
+		}
+	} else {
+		k := allKLines[len(allKLines)-1]
+		inc.Update(k.High.Float64(), k.Low.Float64(), k.Volume.Float64())
+		inc.EmitUpdate(inc.Last())
+	}
+}
+
+func (inc *EMV) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *EMV) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/indicator/emv_callbacks.go

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

pkg/indicator/emv_test.go

@@ -0,0 +1,34 @@
+package indicator
+
+import (
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/stretchr/testify/assert"
+)
+
+// data from https://school.stockcharts.com/doku.php?id=technical_indicators:ease_of_movement_emv
+func Test_EMV(t *testing.T) {
+	var Delta = 0.01
+	emv := &EMV{
+		EMVScale:       100000000,
+		IntervalWindow: types.IntervalWindow{Window: 14},
+	}
+	emv.Update(63.74, 62.63, 32178836)
+	emv.Update(64.51, 63.85, 36461672)
+	assert.InDelta(t, 1.8, emv.Values.Cache.Last(), Delta)
+	emv.Update(64.57, 63.81, 51372680)
+	emv.Update(64.31, 62.62, 42476356)
+	emv.Update(63.43, 62.73, 29504176)
+	emv.Update(62.85, 61.95, 33098600)
+	emv.Update(62.70, 62.06, 30577960)
+	emv.Update(63.18, 62.69, 35693928)
+	emv.Update(62.47, 61.54, 49768136)
+	emv.Update(64.16, 63.21, 44759968)
+	emv.Update(64.38, 63.87, 33425504)
+	emv.Update(64.89, 64.29, 15895085)
+	emv.Update(65.25, 64.48, 37015388)
+	emv.Update(64.69, 63.65, 40672116)
+	emv.Update(64.26, 63.68, 35627200)
+	assert.InDelta(t, -0.03, emv.Last(), Delta)
+}

pkg/indicator/sma.go

@@ -18,6 +18,7 @@ var zeroTime time.Time
 type SMA struct {
 	types.IntervalWindow
 	Values  types.Float64Slice
+	Cache   types.Float64Slice
 	EndTime time.Time
 
 	UpdateCallbacks []func(value float64)
@@ -46,11 +47,15 @@ func (inc *SMA) Length() int {
 var _ types.Series = &SMA{}
 
 func (inc *SMA) Update(value float64) {
-	length := len(inc.Values)
-	if length == 0 {
-		inc.Values = append(inc.Values, value)
+	if len(inc.Cache) < inc.Window {
+		inc.Cache = append(inc.Cache, value)
+		if len(inc.Cache) == inc.Window {
+			inc.Values = append(inc.Values, types.Mean(&inc.Cache))
+		}
 		return
+
 	}
+	length := len(inc.Values)
 	newVal := (inc.Values[length-1]*float64(inc.Window-1) + value) / float64(inc.Window)
 	inc.Values = append(inc.Values, newVal)
 }