package indicator import ( "github.com/c9s/bbgo/pkg/types" "time" ) // Refer: Welles Wilder's Moving Average // Refer URL: http://fxcorporate.com/help/MS/NOTFIFO/i_WMA.html const MaxNumOfWWMA = 5_000 const MaxNumOfWWMATruncateSize = 100 //go:generate callbackgen -type WWMA type WWMA struct { types.IntervalWindow Values types.Float64Slice LastOpenTime time.Time UpdateCallbacks []func(value float64) } func (inc *WWMA) Update(value float64) { if len(inc.Values) == 0 { inc.Values.Push(value) return } else if len(inc.Values) > MaxNumOfWWMA { inc.Values = inc.Values[MaxNumOfWWMATruncateSize-1:] } last := inc.Last() wma := last + (value-last)/float64(inc.Window) inc.Values.Push(wma) } func (inc *WWMA) Last() float64 { if len(inc.Values) == 0 { return 0 } return inc.Values[len(inc.Values)-1] } func (inc *WWMA) Index(i int) float64 { if i >= len(inc.Values) { return 0 } return inc.Values[len(inc.Values)-1-i] } func (inc *WWMA) Length() int { return len(inc.Values) } func (inc *WWMA) calculateAndUpdate(allKLines []types.KLine) { if len(allKLines) < inc.Window { // we can't calculate return } doable := false for _, k := range allKLines { if !doable && k.StartTime.After(inc.LastOpenTime) { doable = true } if doable { inc.Update(k.Close.Float64()) inc.LastOpenTime = k.StartTime.Time() inc.EmitUpdate(inc.Last()) } } } func (inc *WWMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.calculateAndUpdate(window) } func (inc *WWMA) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) } var _ types.Series = &WWMA{}