package indicator import ( "fmt" "math" "time" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/types" ) type Float64Slice []float64 func (s *Float64Slice) Push(v float64) { *s = append(*s, v) } func (s *Float64Slice) Pop(i int64) (v float64) { v = (*s)[i] *s = append((*s)[:i], (*s)[i+1:]...) return v } func (s Float64Slice) Max() float64 { m := -math.MaxFloat64 for _, v := range s { m = math.Max(m, v) } return m } func (s Float64Slice) Min() float64 { m := math.MaxFloat64 for _, v := range s { m = math.Min(m, v) } return m } func (s Float64Slice) Sum() (sum float64) { for _, v := range s { sum += v } return sum } func (s Float64Slice) Mean() (mean float64) { return s.Sum() / float64(len(s)) } func (s Float64Slice) Tail(size int) Float64Slice { length := len(s) if length <= size { win := make(Float64Slice, length) copy(win, s) return win } win := make(Float64Slice, size) copy(win, s[length-size:]) return win } var zeroTime time.Time //go:generate callbackgen -type SMA type SMA struct { types.IntervalWindow Values Float64Slice EndTime time.Time UpdateCallbacks []func(value float64) } func (inc *SMA) Last() float64 { return inc.Values[len(inc.Values)-1] } func (inc *SMA) calculateAndUpdate(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.Values.Push(sma) inc.EndTime = kLines[index].EndTime inc.EmitUpdate(sma) } func (inc *SMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.calculateAndUpdate(window) } func (inc *SMA) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) } func calculateSMA(kLines []types.KLine, window int, priceF KLinePriceMapper) (float64, error) { length := len(kLines) if length == 0 || length < window { return 0.0, fmt.Errorf("insufficient elements for calculating SMA with window = %d", window) } sum := 0.0 for _, k := range kLines { sum += priceF(k) } avg := sum / float64(window) return avg, nil }