package indicator import ( "fmt" "time" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/datatype/floats" "github.com/c9s/bbgo/pkg/types" ) //go:generate callbackgen -type Pivot type Pivot struct { types.IntervalWindow // Values Lows floats.Slice // higher low Highs floats.Slice // lower high EndTime time.Time updateCallbacks []func(valueLow, valueHigh float64) } func (inc *Pivot) LastLow() float64 { if len(inc.Lows) == 0 { return 0.0 } return inc.Lows[len(inc.Lows)-1] } func (inc *Pivot) LastHigh() float64 { if len(inc.Highs) == 0 { return 0.0 } return inc.Highs[len(inc.Highs)-1] } func (inc *Pivot) CalculateAndUpdate(klines []types.KLine) { if len(klines) < inc.Window { return } var end = len(klines) - 1 var lastKLine = klines[end] // skip old data if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) { return } recentT := klines[end-(inc.Window-1) : end+1] l, h, err := calculatePivot(recentT, inc.Window, types.KLineLowPriceMapper, types.KLineHighPriceMapper) if err != nil { log.WithError(err).Error("can not calculate pivots") return } if l > 0.0 { inc.Lows.Push(l) } if h > 0.0 { inc.Highs.Push(h) } if len(inc.Lows) > MaxNumOfVOL { inc.Lows = inc.Lows[MaxNumOfVOLTruncateSize-1:] } if len(inc.Highs) > MaxNumOfVOL { inc.Highs = inc.Highs[MaxNumOfVOLTruncateSize-1:] } inc.EndTime = klines[end].GetEndTime().Time() inc.EmitUpdate(l, h) } func (inc *Pivot) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.CalculateAndUpdate(window) } func (inc *Pivot) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) } func calculatePivot(klines []types.KLine, window int, valLow types.KLineValueMapper, valHigh types.KLineValueMapper) (float64, float64, error) { length := len(klines) if length == 0 || length < window { return 0., 0., fmt.Errorf("insufficient elements for calculating with window = %d", window) } var lows floats.Slice var highs floats.Slice for _, k := range klines { lows.Push(valLow(k)) highs.Push(valHigh(k)) } pl := 0. if lows.Min() == lows.Last(int(window/2.)-1) { pl = lows.Min() } ph := 0. if highs.Max() == highs.Last(int(window/2.)-1) { ph = highs.Max() } return pl, ph, nil }