package fmaker import ( "fmt" "math" "time" "github.com/c9s/bbgo/pkg/datatype/floats" "github.com/c9s/bbgo/pkg/indicator" "github.com/c9s/bbgo/pkg/types" ) //go:generate callbackgen -type A3 type A3 struct { types.IntervalWindow // Values Values floats.Slice EndTime time.Time UpdateCallbacks []func(val float64) } func (inc *A3) Last(int) float64 { if len(inc.Values) == 0 { return 0.0 } return inc.Values[len(inc.Values)-1] } func (inc *A3) 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 := calculateA3(recentT, KLineLowPriceMapper, KLineHighPriceMapper, types.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 *A3) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.CalculateAndUpdate(window) } func (inc *A3) Bind(updater indicator.KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) } // SUM((CLOSE = DELAY(CLOSE, 1)?0:CLOSE-(CLOSE>DELAY(CLOSE, 1)?MIN(LOW, DELAY(CLOSE, 1)):MAX(HIGH, DELAY(CLOSE, 1)))), 6) func calculateA3(klines []types.KLine, valLow KLineValueMapper, valHigh KLineValueMapper, valClose KLineValueMapper) (float64, error) { window := 6 + 2 length := len(klines) if length == 0 || length < window { return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window) } var lows floats.Slice var highs floats.Slice var closes floats.Slice for _, k := range klines { lows.Push(valLow(k)) highs.Push(valHigh(k)) closes.Push(valClose(k)) } a := 0. sumA := 0. for i := 1; i <= 6; i++ { if closes.Index(len(closes)-i) == closes.Index(len(closes)-i-1) { a = 0. } else { if closes.Index(len(closes)-i) > closes.Index(1) { a = closes.Index(len(closes)-i) - math.Min(lows.Index(len(lows)-i), closes.Index(len(closes)-i-1)) } else { a = closes.Index(len(closes)-i) - math.Max(highs.Index(len(highs)-i), closes.Index(len(closes)-i-1)) } } sumA += a } alpha := sumA // sum(a, 6 interval) return alpha, nil }