mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-23 15:25:14 +00:00
78 lines
1.5 KiB
Go
78 lines
1.5 KiB
Go
package indicator
|
|
|
|
import (
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
// Refer: Running Moving Average
|
|
//go:generate callbackgen -type RMA
|
|
type RMA struct {
|
|
types.IntervalWindow
|
|
Values types.Float64Slice
|
|
Sources types.Float64Slice
|
|
|
|
EndTime time.Time
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *RMA) Update(x float64) {
|
|
inc.Sources.Push(x)
|
|
|
|
if len(inc.Sources) < inc.Window {
|
|
inc.Values.Push(0)
|
|
return
|
|
}
|
|
|
|
if len(inc.Sources) == inc.Window {
|
|
inc.Values.Push(inc.Sources.Mean())
|
|
return
|
|
}
|
|
|
|
lambda := 1 / float64(inc.Window)
|
|
rma := (1-lambda)*inc.Values.Last() + lambda*x
|
|
inc.Values.Push(rma)
|
|
}
|
|
|
|
func (inc *RMA) Last() float64 {
|
|
return inc.Values.Last()
|
|
}
|
|
|
|
func (inc *RMA) Index(i int) float64 {
|
|
length := len(inc.Values)
|
|
if length == 0 || length-i-1 < 0 {
|
|
return 0
|
|
}
|
|
return inc.Values[length-i-1]
|
|
}
|
|
|
|
func (inc *RMA) Length() int {
|
|
return len(inc.Values)
|
|
}
|
|
|
|
var _ types.Series = &RMA{}
|
|
|
|
func (inc *RMA) calculateAndUpdate(kLines []types.KLine) {
|
|
for _, k := range kLines {
|
|
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
|
|
continue
|
|
}
|
|
inc.Update(k.Close.Float64())
|
|
}
|
|
|
|
inc.EmitUpdate(inc.Last())
|
|
inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
|
|
}
|
|
func (inc *RMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.calculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *RMA) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|