package harmonic import ( "math" "time" "github.com/c9s/bbgo/pkg/datatype/floats" "github.com/c9s/bbgo/pkg/indicator" "github.com/c9s/bbgo/pkg/types" ) var zeroTime time.Time //go:generate callbackgen -type SHARK type SHARK struct { types.IntervalWindow types.SeriesBase Lows floats.Slice Highs floats.Slice LongScores floats.Slice ShortScores floats.Slice Values floats.Slice EndTime time.Time updateCallbacks []func(value float64) } var _ types.SeriesExtend = &SHARK{} func (inc *SHARK) Update(high, low, price float64) { if inc.SeriesBase.Series == nil { inc.SeriesBase.Series = inc } inc.Highs.Update(high) inc.Lows.Update(low) if inc.Highs.Length() < inc.Window || inc.Lows.Length() < inc.Window { return } longScore := inc.SharkLong(inc.Highs, inc.Lows, price, inc.Window) shortScore := inc.SharkShort(inc.Highs, inc.Lows, price, inc.Window) inc.LongScores.Push(longScore) inc.ShortScores.Push(shortScore) inc.Values.Push(longScore - shortScore) } func (inc *SHARK) Last() float64 { if len(inc.Values) == 0 { return 0 } return inc.Values[len(inc.Values)-1] } func (inc *SHARK) Index(i int) float64 { if i >= len(inc.Values) { return 0 } return inc.Values[len(inc.Values)-1-i] } func (inc *SHARK) Length() int { return len(inc.Values) } func (inc *SHARK) BindK(target indicator.KLineClosedEmitter, symbol string, interval types.Interval) { target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK)) } func (inc *SHARK) PushK(k types.KLine) { if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) { return } inc.Update(indicator.KLineHighPriceMapper(k), indicator.KLineLowPriceMapper(k), indicator.KLineClosePriceMapper(k)) inc.EndTime = k.EndTime.Time() inc.EmitUpdate(inc.Last()) } func (inc *SHARK) LoadK(allKLines []types.KLine) { for _, k := range allKLines { inc.PushK(k) } inc.EmitUpdate(inc.Last()) } func (inc SHARK) SharkLong(highs, lows floats.Slice, p float64, lookback int) float64 { score := 0. for x := 5; x < lookback; x++ { if lows.Index(x-1) > lows.Index(x) && lows.Index(x) < lows.Index(x+1) { X := lows.Index(x) for a := 4; a < x; a++ { if highs.Index(a-1) < highs.Index(a) && highs.Index(a) > highs.Index(a+1) { A := highs.Index(a) XA := math.Abs(X - A) hB := A - 0.382*XA lB := A - 0.618*XA for b := 3; b < a; b++ { if lows.Index(b-1) > lows.Index(b) && lows.Index(b) < lows.Index(b+1) { B := lows.Index(b) if hB > B && B > lB { //log.Infof("got point B:%f", B) AB := math.Abs(A - B) hC := B + 1.618*AB lC := B + 1.13*AB for c := 2; c < b; c++ { if highs.Index(c-1) < highs.Index(c) && highs.Index(c) > highs.Index(c+1) { C := highs.Index(c) if hC > C && C > lC { //log.Infof("got point C:%f", C) XC := math.Abs(X - C) hD := C - 0.886*XC lD := C - 1.13*XC //for d := 1; d < c; d++ { //if lows.Index(d-1) > lows.Index(d) && lows.Index(d) < lows.Index(d+1) { D := p //lows.Index(d) if hD > D && D > lD { BC := math.Abs(B - C) hD2 := C - 1.618*BC lD2 := C - 2.24*BC if hD2 > D && D > lD2 { //log.Infof("got point D:%f", D) score++ } } //} //} } } } } } } } } } } return score } func (inc SHARK) SharkShort(highs, lows floats.Slice, p float64, lookback int) float64 { score := 0. for x := 5; x < lookback; x++ { if highs.Index(x-1) < highs.Index(x) && highs.Index(x) > highs.Index(x+1) { X := highs.Index(x) for a := 4; a < x; a++ { if lows.Index(a-1) > lows.Index(a) && lows.Index(a) < lows.Index(a+1) { A := lows.Index(a) XA := math.Abs(X - A) lB := A + 0.382*XA hB := A + 0.618*XA for b := 3; b < a; b++ { if highs.Index(b-1) > highs.Index(b) && highs.Index(b) < highs.Index(b+1) { B := highs.Index(b) if hB > B && B > lB { //log.Infof("got point B:%f", B) AB := math.Abs(A - B) lC := B - 1.618*AB hC := B - 1.13*AB for c := 2; c < b; c++ { if lows.Index(c-1) < lows.Index(c) && lows.Index(c) > lows.Index(c+1) { C := lows.Index(c) if hC > C && C > lC { //log.Infof("got point C:%f", C) XC := math.Abs(X - C) lD := C + 0.886*XC hD := C + 1.13*XC //for d := 1; d < c; d++ { //if lows.Index(d-1) > lows.Index(d) && lows.Index(d) < lows.Index(d+1) { D := p //lows.Index(d) if hD > D && D > lD { BC := math.Abs(B - C) lD2 := C + 1.618*BC hD2 := C + 2.24*BC if hD2 > D && D > lD2 { //log.Infof("got point D:%f", D) score++ } } //} //} } } } } } } } } } } return score }