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73 lines
1.6 KiB
Go
73 lines
1.6 KiB
Go
package indicatorv2
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import (
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"math"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type ADXStream struct {
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*RMAStream
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Plus, Minus *types.Float64Series
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window int
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prevHigh, prevLow fixedpoint.Value
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}
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func ADX(source KLineSubscription, window int) *ADXStream {
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var (
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atr = ATR2(source, window)
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dmp = types.NewFloat64Series()
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dmn = types.NewFloat64Series()
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adx = types.NewFloat64Series()
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sdmp = RMA2(dmp, window, true)
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sdmn = RMA2(dmn, window, true)
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s = &ADXStream{
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window: window,
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Plus: types.NewFloat64Series(),
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Minus: types.NewFloat64Series(),
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prevHigh: fixedpoint.Zero,
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prevLow: fixedpoint.Zero,
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RMAStream: RMA2(adx, window, true),
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}
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)
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source.AddSubscriber(func(k types.KLine) {
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if s.prevHigh.IsZero() || s.prevLow.IsZero() {
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s.prevHigh, s.prevLow = k.High, k.Low
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return
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}
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up, dn := k.High.Sub(s.prevHigh), s.prevLow.Sub(k.Low)
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if up.Compare(dn) > 0 && up.Float64() > 0 {
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dmp.PushAndEmit(up.Float64())
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} else {
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dmp.PushAndEmit(0.0)
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}
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if dn.Compare(up) > 0 && dn.Float64() > 0 {
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dmn.PushAndEmit(dn.Float64())
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} else {
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dmn.PushAndEmit(0.0)
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}
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s.Plus.PushAndEmit(sdmp.Last(0) * 100 / atr.Last(0))
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s.Minus.PushAndEmit(sdmn.Last(0) * 100 / atr.Last(0))
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dx := math.Abs(s.Plus.Last(0)-s.Minus.Last(0)) / (s.Plus.Last(0) + s.Minus.Last(0))
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if !math.IsNaN(dx) {
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adx.PushAndEmit(dx * 100.0)
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} else {
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adx.PushAndEmit(0.0)
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}
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s.prevHigh, s.prevLow = k.High, k.Low
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s.Truncate()
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})
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return s
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}
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func (s *ADXStream) Truncate() {
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s.Slice = s.Slice.Truncate(MaxNumOfRMA)
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}
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