package indicator import ( "time" log "github.com/sirupsen/logrus" "gonum.org/v1/gonum/stat" "github.com/c9s/bbgo/pkg/types" ) /* boll implements the bollinger indicator: The Basics of Bollinger Bands - https://www.investopedia.com/articles/technical/102201.asp Bollinger Bands - https://www.investopedia.com/terms/b/bollingerbands.asp Bollinger Bands Technical indicator guide: - https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/bollinger-bands */ //go:generate callbackgen -type BOLL type BOLL struct { types.IntervalWindow // times of Std, generally it's 2 K float64 SMA types.Float64Slice StdDev types.Float64Slice UpBand types.Float64Slice DownBand types.Float64Slice EndTime time.Time updateCallbacks []func(sma, upBand, downBand float64) } type BandType int func (inc *BOLL) GetUpBand() types.Series { return &inc.UpBand } func (inc *BOLL) GetDownBand() types.Series { return &inc.DownBand } func (inc *BOLL) GetSMA() types.Series { return &inc.SMA } func (inc *BOLL) GetStdDev() types.Series { return &inc.StdDev } func (inc *BOLL) LastUpBand() float64 { if len(inc.UpBand) == 0 { return 0.0 } return inc.UpBand[len(inc.UpBand)-1] } func (inc *BOLL) LastDownBand() float64 { if len(inc.DownBand) == 0 { return 0.0 } return inc.DownBand[len(inc.DownBand)-1] } func (inc *BOLL) LastStdDev() float64 { if len(inc.StdDev) == 0 { return 0.0 } return inc.StdDev[len(inc.StdDev)-1] } func (inc *BOLL) LastSMA() float64 { if len(inc.SMA) > 0 { return inc.SMA[len(inc.SMA)-1] } return 0.0 } func (inc *BOLL) Update(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.SMA.Push(sma) var prices []float64 for _, k := range recentK { prices = append(prices, k.Close.Float64()) } var std = stat.StdDev(prices, nil) inc.StdDev.Push(std) var band = inc.K * std var upBand = sma + band inc.UpBand.Push(upBand) var downBand = sma - band inc.DownBand.Push(downBand) // update end time inc.EndTime = kLines[index].EndTime.Time() // log.Infof("update boll: sma=%f, up=%f, down=%f", sma, upBand, downBand) inc.EmitUpdate(sma, upBand, downBand) } func (inc *BOLL) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } if inc.EndTime != zeroTime && inc.EndTime.Before(inc.EndTime) { return } inc.Update(window) } func (inc *BOLL) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) }