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117 lines
2.3 KiB
Go
117 lines
2.3 KiB
Go
package indicator
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import (
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"time"
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"github.com/c9s/bbgo/pkg/types"
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)
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const DPeriod int = 3
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/*
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stoch implements stochastic oscillator indicator
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Stochastic Oscillator
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- https://www.investopedia.com/terms/s/stochasticoscillator.asp
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*/
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//go:generate callbackgen -type STOCH
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type STOCH struct {
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types.IntervalWindow
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K types.Float64Slice
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D types.Float64Slice
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HighValues types.Float64Slice
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LowValues types.Float64Slice
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EndTime time.Time
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UpdateCallbacks []func(k float64, d float64)
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}
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func (inc *STOCH) Update(high, low, cloze float64) {
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inc.HighValues.Push(high)
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inc.LowValues.Push(low)
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lowest := inc.LowValues.Tail(inc.Window).Min()
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highest := inc.HighValues.Tail(inc.Window).Max()
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if highest == lowest {
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inc.K.Push(50.0)
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} else {
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k := 100.0 * (cloze - lowest) / (highest - lowest)
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inc.K.Push(k)
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}
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d := inc.K.Tail(DPeriod).Mean()
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inc.D.Push(d)
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}
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func (inc *STOCH) LastK() float64 {
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if len(inc.K) == 0 {
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return 0.0
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}
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return inc.K[len(inc.K)-1]
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}
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func (inc *STOCH) LastD() float64 {
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if len(inc.K) == 0 {
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return 0.0
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}
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return inc.D[len(inc.D)-1]
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}
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func (inc *STOCH) PushK(k types.KLine) {
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inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
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inc.EndTime = k.EndTime.Time()
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}
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func (inc *STOCH) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
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target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
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}
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func (inc *STOCH) LoadK(allKLines []types.KLine) {
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for _, k := range allKLines {
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if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
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continue
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}
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.LastK(), inc.LastD())
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}
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func (inc *STOCH) CalculateAndUpdate(kLines []types.KLine) {
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if len(kLines) < inc.Window || len(kLines) < DPeriod {
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return
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}
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for _, k := range kLines {
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if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
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continue
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}
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.LastK(), inc.LastD())
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}
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func (inc *STOCH) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if inc.Interval != interval {
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return
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}
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inc.CalculateAndUpdate(window)
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}
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func (inc *STOCH) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func (inc *STOCH) GetD() types.Series {
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return &inc.D
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}
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func (inc *STOCH) GetK() types.Series {
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return &inc.K
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}
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