bbgo_origin/pkg/indicator/v2/rma.go
2023-10-24 16:37:44 +08:00

64 lines
1.1 KiB
Go

package indicatorv2
import (
"github.com/c9s/bbgo/pkg/types"
)
const MaxNumOfRMA = 1000
const MaxNumOfRMATruncateSize = 500
type RMAStream struct {
// embedded structs
*types.Float64Series
// config fields
Adjust bool
window int
counter int
sum, previous float64
}
func RMA2(source types.Float64Source, window int, adjust bool) *RMAStream {
checkWindow(window)
s := &RMAStream{
Float64Series: types.NewFloat64Series(),
window: window,
Adjust: adjust,
}
s.Bind(source, s)
return s
}
func (s *RMAStream) Calculate(x float64) float64 {
lambda := 1 / float64(s.window)
if s.counter == 0 {
s.sum = 1
s.previous = x
} else {
if s.Adjust {
s.sum = s.sum*(1-lambda) + 1
s.previous = s.previous + (x-s.previous)/s.sum
} else {
s.previous = s.previous*(1-lambda) + x*lambda
}
}
s.counter++
return s.previous
}
func (s *RMAStream) Truncate() {
if len(s.Slice) > MaxNumOfRMA {
s.Slice = s.Slice[MaxNumOfRMATruncateSize-1:]
}
}
func checkWindow(window int) {
if window == 0 {
panic("window can not be zero")
}
}