indicator: refactor move pivot

pkg/indicator/pivot.go

@@ -0,0 +1,117 @@
+package indicator
+
+import (
+	"fmt"
+	log "github.com/sirupsen/logrus"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type KLineValueMapper func(k types.KLine) float64
+
+//go:generate callbackgen -type Pivot
+type Pivot struct {
+	types.IntervalWindow
+
+	// Values
+	Lows  types.Float64Slice // higher low
+	Highs types.Float64Slice // lower high
+
+	EndTime time.Time
+
+	UpdateCallbacks []func(valueLow, valueHigh float64)
+}
+
+func (inc *Pivot) LastLow() float64 {
+	if len(inc.Lows) == 0 {
+		return 0.0
+	}
+	return inc.Lows[len(inc.Lows)-1]
+}
+
+func (inc *Pivot) LastHigh() float64 {
+	if len(inc.Highs) == 0 {
+		return 0.0
+	}
+	return inc.Highs[len(inc.Highs)-1]
+}
+
+func (inc *Pivot) calculateAndUpdate(klines []types.KLine) {
+	if len(klines) < inc.Window {
+		return
+	}
+
+	var end = len(klines) - 1
+	var lastKLine = klines[end]
+
+	if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
+		return
+	}
+
+	var recentT = klines[end-(inc.Window-1) : end+1]
+
+	l, h, err := calculatePivot(recentT, inc.Window, KLineLowPriceMapper, KLineHighPriceMapper)
+	if err != nil {
+		log.WithError(err).Error("can not calculate pivots")
+		return
+	}
+	inc.Lows.Push(l)
+	inc.Highs.Push(h)
+
+	if len(inc.Lows) > MaxNumOfVOL {
+		inc.Lows = inc.Lows[MaxNumOfVOLTruncateSize-1:]
+	}
+	if len(inc.Highs) > MaxNumOfVOL {
+		inc.Highs = inc.Highs[MaxNumOfVOLTruncateSize-1:]
+	}
+
+	inc.EndTime = klines[end].GetEndTime().Time()
+
+	inc.EmitUpdate(l, h)
+
+}
+
+func (inc *Pivot) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *Pivot) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}
+
+func calculatePivot(klines []types.KLine, window int, valLow KLineValueMapper, valHigh KLineValueMapper) (float64, float64, error) {
+	length := len(klines)
+	if length == 0 || length < window {
+		return 0., 0., fmt.Errorf("insufficient elements for calculating  with window = %d", window)
+	}
+	var lows types.Float64Slice
+	var highs types.Float64Slice
+	for _, k := range klines {
+		lows.Push(valLow(k))
+		highs.Push(valHigh(k))
+	}
+
+	pl := 0.
+	if lows.Min() == lows.Index(int(window/2.)-1) {
+		pl = lows.Min()
+	}
+	ph := 0.
+	if highs.Max() == highs.Index(int(window/2.)-1) {
+		ph = highs.Max()
+	}
+
+	return pl, ph, nil
+}
+
+func KLineLowPriceMapper(k types.KLine) float64 {
+	return k.Low.Float64()
+}
+
+func KLineHighPriceMapper(k types.KLine) float64 {
+	return k.High.Float64()
+}

pkg/indicator/pivot_callbacks.go

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