package indicator import ( "time" "github.com/c9s/bbgo/pkg/types" ) // Running Moving Average // Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/overlap/rma.py#L5 // Refer: https://pandas.pydata.org/docs/reference/api/pandas.DataFrame.ewm.html#pandas-dataframe-ewm //go:generate callbackgen -type RMA type RMA struct { types.SeriesBase types.IntervalWindow Values types.Float64Slice EndTime time.Time counter int Adjust bool tmp float64 sum float64 updateCallbacks []func(value float64) } func (inc *RMA) Update(x float64) { lambda := 1 / float64(inc.Window) if inc.counter == 0 { inc.SeriesBase.Series = inc inc.sum = 1 inc.tmp = x } else { if inc.Adjust { inc.sum = inc.sum*(1-lambda) + 1 inc.tmp = inc.tmp + (x-inc.tmp)/inc.sum } else { inc.tmp = inc.tmp*(1-lambda) + x*lambda } } inc.counter++ if inc.counter < inc.Window { inc.Values.Push(0) return } inc.Values.Push(inc.tmp) } func (inc *RMA) Last() float64 { return inc.Values.Last() } func (inc *RMA) Index(i int) float64 { length := len(inc.Values) if length == 0 || length-i-1 < 0 { return 0 } return inc.Values[length-i-1] } func (inc *RMA) Length() int { return len(inc.Values) } var _ types.SeriesExtend = &RMA{} func (inc *RMA) PushK(k types.KLine) { inc.Update(k.Close.Float64()) } func (inc *RMA) CalculateAndUpdate(kLines []types.KLine) { last := kLines[len(kLines)-1] if len(inc.Values) == 0 { for _, k := range kLines { if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) { continue } inc.PushK(k) } } else { inc.PushK(last) } inc.EmitUpdate(inc.Last()) inc.EndTime = last.EndTime.Time() } func (inc *RMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.CalculateAndUpdate(window) } func (inc *RMA) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) }