package indicator import ( "fmt" "time" log "github.com/sirupsen/logrus" "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.IntervalWindow Values types.Float64Slice Cache types.Float64Slice EndTime time.Time UpdateCallbacks []func(value float64) } func (inc *SMA) Last() float64 { if len(inc.Values) == 0 { return 0.0 } return inc.Values[len(inc.Values)-1] } func (inc *SMA) Index(i int) float64 { length := len(inc.Values) if length == 0 || length-i-1 < 0 { return 0.0 } return inc.Values[length-i-1] } func (inc *SMA) Length() int { return len(inc.Values) } var _ types.Series = &SMA{} func (inc *SMA) Update(value float64) { if len(inc.Cache) < inc.Window { inc.Cache = append(inc.Cache, value) if len(inc.Cache) == inc.Window { inc.Values = append(inc.Values, types.Mean(&inc.Cache)) } return } length := len(inc.Values) newVal := (inc.Values[length-1]*float64(inc.Window-1) + value) / float64(inc.Window) inc.Values = append(inc.Values, newVal) } func (inc *SMA) calculateAndUpdate(kLines []types.KLine) { if len(kLines) < inc.Window { return } var index = len(kLines) - 1 var kline = kLines[index] if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) { return } var recentK = kLines[index-(inc.Window-1) : index+1] sma, err := calculateSMA(recentK, inc.Window, KLineClosePriceMapper) if err != nil { log.WithError(err).Error("SMA error") return } inc.Values.Push(sma) if len(inc.Values) > MaxNumOfSMA { inc.Values = inc.Values[MaxNumOfSMATruncateSize-1:] } inc.EndTime = kLines[index].EndTime.Time() inc.EmitUpdate(sma) } 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) } sum := 0.0 for _, k := range kLines { sum += priceF(k) } avg := sum / float64(window) return avg, nil }