package factorzoo import ( "fmt" "time" "github.com/c9s/bbgo/pkg/indicator" "github.com/c9s/bbgo/pkg/types" log "github.com/sirupsen/logrus" ) //go:generate callbackgen -type MOM type MOM struct { types.SeriesBase types.IntervalWindow // Values Values types.Float64Slice LastValue float64 EndTime time.Time UpdateCallbacks []func(val float64) } func (inc *MOM) Index(i int) float64 { if inc.Values == nil { return 0 } return inc.Values.Index(i) } func (inc *MOM) Last() float64 { if inc.Values.Length() == 0 { return 0 } return inc.Values.Last() } func (inc *MOM) Length() int { if inc.Values == nil { return 0 } return inc.Values.Length() } //var _ types.SeriesExtend = &MOM{} func (inc *MOM) Update(klines []types.KLine) { if inc.Values == nil { inc.SeriesBase.Series = inc } 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 := calculateMomentum(recentT, inc.Window, indicator.KLineOpenPriceMapper, indicator.KLineClosePriceMapper) if err != nil { log.WithError(err).Error("can not calculate") return } inc.Values.Push(val) inc.LastValue = 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 *MOM) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.Update(window) } func (inc *MOM) Bind(updater indicator.KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) } func calculateMomentum(klines []types.KLine, window int, valA KLineValueMapper, valB KLineValueMapper) (float64, error) { length := len(klines) if length == 0 || length < window { return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window) } momentum := (1 - valA(klines[length-1])/valB(klines[length-1])) * -1 return momentum, nil }