package indicator import ( "github.com/c9s/bbgo/pkg/types" ) // Refer: Zero Lag Exponential Moving Average // Refer URL: https://en.wikipedia.org/wiki/Zero_lag_exponential_moving_average //go:generate callbackgen -type ZLEMA type ZLEMA struct { types.SeriesBase types.IntervalWindow data types.Float64Slice zlema *EWMA lag int UpdateCallbacks []func(value float64) } func (inc *ZLEMA) Index(i int) float64 { if inc.zlema == nil { return 0 } return inc.zlema.Index(i) } func (inc *ZLEMA) Last() float64 { if inc.zlema == nil { return 0 } return inc.zlema.Last() } func (inc *ZLEMA) Length() int { if inc.zlema == nil { return 0 } return inc.zlema.Length() } func (inc *ZLEMA) Update(value float64) { if inc.lag == 0 || inc.zlema == nil { inc.SeriesBase.Series = inc inc.zlema = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}} inc.lag = int((float64(inc.Window)-1.)/2. + 0.5) } inc.data.Push(value) if len(inc.data) > MaxNumOfEWMA { inc.data = inc.data[MaxNumOfEWMATruncateSize-1:] } if inc.lag >= inc.data.Length() { return } emaData := 2.*value - inc.data[len(inc.data)-1-inc.lag] inc.zlema.Update(emaData) } var _ types.SeriesExtend = &ZLEMA{} func (inc *ZLEMA) calculateAndUpdate(allKLines []types.KLine) { if inc.zlema == nil { for _, k := range allKLines { inc.Update(k.Close.Float64()) inc.EmitUpdate(inc.Last()) } } else { inc.Update(allKLines[len(allKLines)-1].Close.Float64()) inc.EmitUpdate(inc.Last()) } } func (inc *ZLEMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.calculateAndUpdate(window) } func (inc *ZLEMA) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) }