package indicator import ( "math" "time" "github.com/c9s/bbgo/pkg/types" ) //go:generate callbackgen -type ATR type ATR struct { types.SeriesBase types.IntervalWindow PercentageVolatility types.Float64Slice PreviousClose float64 RMA *RMA EndTime time.Time UpdateCallbacks []func(value float64) } func (inc *ATR) Update(high, low, cloze float64) { if inc.Window <= 0 { panic("window must be greater than 0") } if inc.RMA == nil { inc.SeriesBase.Series = inc inc.RMA = &RMA{ IntervalWindow: types.IntervalWindow{Window: inc.Window}, Adjust: true, } inc.PreviousClose = cloze return } // calculate true range trueRange := high - low hc := math.Abs(high - inc.PreviousClose) lc := math.Abs(low - inc.PreviousClose) if trueRange < hc { trueRange = hc } if trueRange < lc { trueRange = lc } inc.PreviousClose = cloze // apply rolling moving average inc.RMA.Update(trueRange) atr := inc.RMA.Last() inc.PercentageVolatility.Push(atr / cloze) } func (inc *ATR) Last() float64 { if inc.RMA == nil { return 0 } return inc.RMA.Last() } func (inc *ATR) Index(i int) float64 { if inc.RMA == nil { return 0 } return inc.RMA.Index(i) } func (inc *ATR) Length() int { if inc.RMA == nil { return 0 } return inc.RMA.Length() } var _ types.SeriesExtend = &ATR{} func (inc *ATR) CalculateAndUpdate(kLines []types.KLine) { for _, k := range kLines { if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) { continue } inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64()) } inc.EmitUpdate(inc.Last()) inc.EndTime = kLines[len(kLines)-1].EndTime.Time() } func (inc *ATR) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.CalculateAndUpdate(window) } func (inc *ATR) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) }