From e6c634690b6a6fab17ddcda74c8b5b46a30382e6 Mon Sep 17 00:00:00 2001
From: c9s <yoanlin93@gmail.com>
Date: Thu, 14 Jul 2022 09:29:54 +0800
Subject: [PATCH] indicator: clean up ewma's CalculateAndUpdate

---
 pkg/indicator/ewma.go | 92 +++++++++++++------------------------------
 1 file changed, 28 insertions(+), 64 deletions(-)

diff --git a/pkg/indicator/ewma.go b/pkg/indicator/ewma.go
index 11c071967..c09941534 100644
--- a/pkg/indicator/ewma.go
+++ b/pkg/indicator/ewma.go
@@ -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{}