package fmaker import ( "fmt" "github.com/c9s/bbgo/pkg/indicator" "github.com/c9s/bbgo/pkg/types" "time" ) var zeroTime time.Time type KLineValueMapper func(k types.KLine) float64 //go:generate callbackgen -type R type R struct { types.IntervalWindow // Values Values types.Float64Slice EndTime time.Time UpdateCallbacks []func(val float64) } func (inc *R) Last() float64 { if len(inc.Values) == 0 { return 0.0 } return inc.Values[len(inc.Values)-1] } func (inc *R) 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 := calculateR(recentT, indicator.KLineOpenPriceMapper, indicator.KLineClosePriceMapper) if err != nil { log.WithError(err).Error("can not calculate pivots") 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 *R) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.calculateAndUpdate(window) } func (inc *R) Bind(updater indicator.KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) } func calculateR(klines []types.KLine, valOpen KLineValueMapper, valClose KLineValueMapper) (float64, error) { window := 1 length := len(klines) if length == 0 || length < window { return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window) } var opens types.Float64Slice var closes types.Float64Slice for _, k := range klines { opens.Push(valOpen(k)) closes.Push(valClose(k)) } ret := opens.Index(0)/closes.Index(0) - 1 // delta(1 interval) return ret, nil }