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indicator: clean up ewma's CalculateAndUpdate

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c9s 2022-07-14 09:29:54 +08:00
parent 8d8d9a7c59
commit e6c634690b
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1 changed files with 28 additions and 64 deletions
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92
pkg/indicator/ewma.go
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@ -1,11 +1,8 @@
package indicator
import (
"math"
"time"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/types"
)
@ -17,12 +14,15 @@ const MaxNumOfEWMATruncateSize = 100
type EWMA struct {
types.IntervalWindow
types.SeriesBase
Values types.Float64Slice
LastOpenTime time.Time
updateCallbacks []func(value float64)
}
var _ types.SeriesExtend = &EWMA{}
func (inc *EWMA) Update(value float64) {
var multiplier = 2.0 / float64(1+inc.Window)
@ -58,57 +58,35 @@ func (inc *EWMA) Length() int {
return len(inc.Values)
}
func (inc *EWMA) calculateAndUpdate(allKLines []types.KLine) {
if len(allKLines) < inc.Window {
// we can't calculate
func (inc *EWMA) PushK(k types.KLine) {
inc.Update(k.Close.Float64())
inc.LastOpenTime = k.StartTime.Time()
}
func (inc *EWMA) CalculateAndUpdate(allKLines []types.KLine) {
if len(inc.Values) == 0 {
for _, k := range allKLines {
inc.PushK(k)
}
inc.EmitUpdate(inc.Last())
} else {
k := allKLines[len(allKLines)-1]
inc.PushK(k)
inc.EmitUpdate(inc.Last())
}
}
func (inc *EWMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
var priceF = KLineClosePriceMapper
var dataLen = len(allKLines)
var multiplier = 2.0 / (float64(inc.Window) + 1)
inc.CalculateAndUpdate(window)
}
// init the values fromNthK the kline data
var fromNthK = 1
if len(inc.Values) == 0 {
// for the first value, we should use the close price
inc.Values = []float64{priceF(allKLines[0])}
} else {
if len(inc.Values) >= MaxNumOfEWMA {
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
}
fromNthK = len(inc.Values)
// update ewma with the existing values
for i := dataLen - 1; i > 0; i-- {
var k = allKLines[i]
if k.StartTime.After(inc.LastOpenTime) {
fromNthK = i
} else {
break
}
}
}
for i := fromNthK; i < dataLen; i++ {
var k = allKLines[i]
var ewma = priceF(k)*multiplier + (1-multiplier)*inc.Values[i-1]
inc.Values.Push(ewma)
inc.LastOpenTime = k.StartTime.Time()
inc.EmitUpdate(ewma)
}
if len(inc.Values) != dataLen {
// check error
log.Warnf("%s EMA (%d) value length (%d) != kline window length (%d)", inc.Interval, inc.Window, len(inc.Values), dataLen)
}
v1 := math.Floor(inc.Values[len(inc.Values)-1]*100.0) / 100.0
v2 := math.Floor(CalculateKLinesEMA(allKLines, priceF, inc.Window)*100.0) / 100.0
if v1 != v2 {
log.Warnf("ACCUMULATED %s EMA (%d) %f != EMA %f", inc.Interval, inc.Window, v1, v2)
}
func (inc *EWMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func CalculateKLinesEMA(allKLines []types.KLine, priceF KLinePriceMapper, window int) float64 {
@ -125,17 +103,3 @@ func ewma(prices []float64, multiplier float64) float64 {
return prices[end]*multiplier + (1-multiplier)*ewma(prices[:end], multiplier)
}
func (inc *EWMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *EWMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
var _ types.SeriesExtend = &EWMA{}