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indicator: rewrite VWMA calculator

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This commit is contained in:
c9s 2022-07-14 15:57:17 +08:00
parent 2ef8ecf3d9
commit dd3bd6a325
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GPG Key ID: 7385E7E464CB0A54
4 changed files with 49 additions and 37 deletions
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6
pkg/indicator/inf.go
View File

@ -6,6 +6,12 @@ type KLineWindowUpdater interface {
OnKLineWindowUpdate(func(interval types.Interval, window types.KLineWindow))
}
type KLineClosedBinder interface {
BindK(target KLineClosedEmitter, symbol string, interval types.Interval)
}
// KLineClosedEmitter is currently applied to the market data stream
// the market data stream emits the KLine closed event to the listeners.
type KLineClosedEmitter interface {
OnKLineClosed(func(k types.KLine))
}

4
pkg/indicator/sma.go
View File

@ -86,6 +86,10 @@ func (inc *SMA) handleKLineWindowUpdate(interval types.Interval, window types.KL
inc.CalculateAndUpdate(window)
}
func (inc *SMA) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
}
func (inc *SMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}

62
pkg/indicator/vwma.go
View File

@ -3,8 +3,6 @@ package indicator
import (
"time"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/types"
)
@ -22,10 +20,14 @@ Volume Weighted Moving Average
type VWMA struct {
types.SeriesBase
types.IntervalWindow
Values types.Float64Slice
PriceVolumeSMA *SMA
VolumeSMA *SMA
EndTime time.Time
UpdateCallbacks []func(value float64)
updateCallbacks []func(value float64)
}
func (inc *VWMA) Last() float64 {
@ -49,46 +51,46 @@ func (inc *VWMA) Length() int {
var _ types.SeriesExtend = &VWMA{}
func (inc *VWMA) Update(price, volume float64) {
if inc.PriceVolumeSMA == nil {
inc.PriceVolumeSMA = &SMA{IntervalWindow: inc.IntervalWindow}
inc.SeriesBase.Series = inc
}
if inc.VolumeSMA == nil {
inc.VolumeSMA = &SMA{IntervalWindow: inc.IntervalWindow}
}
inc.PriceVolumeSMA.Update(price * volume)
inc.VolumeSMA.Update(volume)
pv := inc.PriceVolumeSMA.Last()
v := inc.VolumeSMA.Last()
vwma := pv / v
inc.Values.Push(vwma)
}
func (inc *VWMA) CalculateAndUpdate(allKLines []types.KLine) {
if len(allKLines) < inc.Window {
return
}
var index = len(allKLines) - 1
var kline = allKLines[index]
var last = allKLines[len(allKLines)-1]
if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
if inc.VolumeSMA == nil {
for _, k := range allKLines {
if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
return
}
var recentK = allKLines[index-(inc.Window-1) : index+1]
pv, err := calculateSMA(recentK, inc.Window, KLinePriceVolumeMapper)
if err != nil {
log.WithError(err).Error("price x volume SMA error")
return
inc.Update(k.Close.Float64(), k.Volume.Float64())
}
v, err := calculateSMA(recentK, inc.Window, KLineVolumeMapper)
if err != nil {
log.WithError(err).Error("volume SMA error")
return
} else {
inc.Update(last.Close.Float64(), last.Volume.Float64())
}
if len(inc.Values) == 0 {
inc.SeriesBase.Series = inc
}
vwma := pv / v
inc.Values.Push(vwma)
if len(inc.Values) > MaxNumOfSMA {
inc.Values = inc.Values[MaxNumOfSMATruncateSize-1:]
}
inc.EndTime = allKLines[index].EndTime.Time()
inc.EmitUpdate(vwma)
inc.EndTime = last.EndTime.Time()
inc.EmitUpdate(inc.Values.Last())
}
func (inc *VWMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {

4
pkg/indicator/vwma_callbacks.go
View File

@ -5,11 +5,11 @@ package indicator
import ()
func (inc *VWMA) OnUpdate(cb func(value float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
inc.updateCallbacks = append(inc.updateCallbacks, cb)
}
func (inc *VWMA) EmitUpdate(value float64) {
for _, cb := range inc.UpdateCallbacks {
for _, cb := range inc.updateCallbacks {
cb(value)
}
}