package fmaker import ( "fmt" "time" "github.com/c9s/bbgo/pkg/datatype/floats" "github.com/c9s/bbgo/pkg/indicator" "github.com/c9s/bbgo/pkg/types" ) //go:generate callbackgen -type S4 type S4 struct { types.IntervalWindow // Values Values floats.Slice EndTime time.Time UpdateCallbacks []func(val float64) } func (inc *S4) Last(int) float64 { if len(inc.Values) == 0 { return 0.0 } return inc.Values[len(inc.Values)-1] } func (inc *S4) 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] val, err := calculateS4(recentT, types.KLineClosePriceMapper) if err != nil { log.WithError(err).Error("can not calculate") return } inc.Values.Push(val) if len(inc.Values) > indicator.MaxNumOfVOL { inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:] } inc.EndTime = klines[end].GetEndTime().Time() inc.EmitUpdate(val) } func (inc *S4) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.CalculateAndUpdate(window) } func (inc *S4) Bind(updater indicator.KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) } func calculateS4(klines []types.KLine, valClose KLineValueMapper) (float64, error) { window := 2 length := len(klines) if length == 0 || length < window { return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window) } var closes floats.Slice for _, k := range klines { closes.Push(valClose(k)) } currC := closes.Index(0) alpha := 1 / currC return alpha, nil }