package indicator import ( "github.com/c9s/bbgo/pkg/types" ) const defaultVolumeFactor = 0.7 // Refer: Tillson T3 Moving Average // Refer URL: https://tradingpedia.com/forex-trading-indicator/t3-moving-average-indicator/ //go:generate callbackgen -type TILL type TILL struct { types.SeriesBase types.IntervalWindow VolumeFactor float64 e1 *EWMA e2 *EWMA e3 *EWMA e4 *EWMA e5 *EWMA e6 *EWMA c1 float64 c2 float64 c3 float64 c4 float64 updateCallbacks []func(value float64) } func (inc *TILL) Update(value float64) { if inc.e1 == nil || inc.e1.Length() == 0 { if inc.VolumeFactor == 0 { inc.VolumeFactor = defaultVolumeFactor } inc.SeriesBase.Series = inc inc.e1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}} inc.e2 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}} inc.e3 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}} inc.e4 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}} inc.e5 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}} inc.e6 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}} square := inc.VolumeFactor * inc.VolumeFactor cube := inc.VolumeFactor * square inc.c1 = -cube inc.c2 = 3.*square + 3.*cube inc.c3 = -6.*square - 3*inc.VolumeFactor - 3*cube inc.c4 = 1. + 3.*inc.VolumeFactor + cube + 3.*square } inc.e1.Update(value) inc.e2.Update(inc.e1.Last()) inc.e3.Update(inc.e2.Last()) inc.e4.Update(inc.e3.Last()) inc.e5.Update(inc.e4.Last()) inc.e6.Update(inc.e5.Last()) } func (inc *TILL) Last() float64 { if inc.e1 == nil || inc.e1.Length() == 0 { return 0 } e3 := inc.e3.Last() e4 := inc.e4.Last() e5 := inc.e5.Last() e6 := inc.e6.Last() return inc.c1*e6 + inc.c2*e5 + inc.c3*e4 + inc.c4*e3 } func (inc *TILL) Index(i int) float64 { if inc.e1 == nil || inc.e1.Length() <= i { return 0 } e3 := inc.e3.Index(i) e4 := inc.e4.Index(i) e5 := inc.e5.Index(i) e6 := inc.e6.Index(i) return inc.c1*e6 + inc.c2*e5 + inc.c3*e4 + inc.c4*e3 } func (inc *TILL) Length() int { if inc.e1 == nil { return 0 } return inc.e1.Length() } var _ types.Series = &TILL{} func (inc *TILL) PushK(k types.KLine) { if inc.e1 != nil && inc.e1.EndTime != zeroTime && k.EndTime.Before(inc.e1.EndTime) { return } inc.Update(k.Close.Float64()) inc.EmitUpdate(inc.Last()) } func (inc *TILL) LoadK(allKLines []types.KLine) { for _, k := range allKLines { inc.PushK(k) } } func (inc *TILL) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) { target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK)) } func (inc *TILL) CalculateAndUpdate(allKLines []types.KLine) { if inc.e1 == nil { for _, k := range allKLines { inc.PushK(k) } } else { end := len(allKLines) last := allKLines[end-1] inc.PushK(last) } } func (inc *TILL) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.CalculateAndUpdate(window) } func (inc *TILL) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) }