package indicator import ( "fmt" "time" "github.com/c9s/bbgo/pkg/types" ) const MaxNumOfSMA = 5_000 const MaxNumOfSMATruncateSize = 100 var zeroTime time.Time //go:generate callbackgen -type SMA type SMA struct { types.SeriesBase types.IntervalWindow Values types.Float64Slice Cache *types.Queue EndTime time.Time UpdateCallbacks []func(value float64) } func (inc *SMA) Last() float64 { if inc.Values.Length() == 0 { return 0.0 } return inc.Values.Last() } func (inc *SMA) Index(i int) float64 { if i >= inc.Values.Length() { return 0.0 } return inc.Values.Index(i) } func (inc *SMA) Length() int { return inc.Values.Length() } var _ types.SeriesExtend = &SMA{} func (inc *SMA) Update(value float64) { if inc.Cache == nil { inc.Cache = types.NewQueue(inc.Window) inc.SeriesBase.Series = inc } inc.Cache.Update(value) if inc.Cache.Length() < inc.Window { return } inc.Values.Push(types.Mean(inc.Cache)) if inc.Values.Length() > MaxNumOfSMA { inc.Values = inc.Values[MaxNumOfSMATruncateSize-1:] } } func (inc *SMA) calculateAndUpdate(kLines []types.KLine) { var index = len(kLines) - 1 var kline = kLines[index] if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) { return } if inc.Cache == nil { for _, k := range kLines { inc.Update(KLineClosePriceMapper(k)) inc.EndTime = k.EndTime.Time() inc.EmitUpdate(inc.Values.Last()) } } else { inc.Update(KLineClosePriceMapper(kline)) inc.EndTime = kline.EndTime.Time() inc.EmitUpdate(inc.Values.Last()) } } func (inc *SMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.calculateAndUpdate(window) } func (inc *SMA) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) } func calculateSMA(kLines []types.KLine, window int, priceF KLinePriceMapper) (float64, error) { length := len(kLines) if length == 0 || length < window { return 0.0, fmt.Errorf("insufficient elements for calculating SMA with window = %d", window) } if length != window { return 0.0, fmt.Errorf("too much klines passed in, requires only %d klines", window) } sum := 0.0 for _, k := range kLines { sum += priceF(k) } avg := sum / float64(window) return avg, nil }