mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 16:21:09 +00:00
93 lines
1.9 KiB
Go
93 lines
1.9 KiB
Go
package indicator
|
|
|
|
import (
|
|
"time"
|
|
|
|
log "github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
/*
|
|
vwma implements the volume weighted moving average (VWMA) indicator:
|
|
|
|
Calculation:
|
|
pv = element-wise multiplication of close prices and volumes
|
|
VWMA = SMA(pv, window) / SMA(volumes, window)
|
|
|
|
Volume Weighted Moving Average
|
|
- https://www.motivewave.com/studies/volume_weighted_moving_average.htm
|
|
*/
|
|
//go:generate callbackgen -type VWMA
|
|
type VWMA struct {
|
|
types.IntervalWindow
|
|
Values types.Float64Slice
|
|
EndTime time.Time
|
|
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *VWMA) Last() float64 {
|
|
if len(inc.Values) == 0 {
|
|
return 0.0
|
|
}
|
|
return inc.Values[len(inc.Values)-1]
|
|
}
|
|
|
|
func KLinePriceVolumeMapper(k types.KLine) float64 {
|
|
return k.Close.Mul(k.Volume).Float64()
|
|
}
|
|
|
|
func KLineVolumeMapper(k types.KLine) float64 {
|
|
return k.Volume.Float64()
|
|
}
|
|
|
|
func (inc *VWMA) calculateAndUpdate(kLines []types.KLine) {
|
|
if len(kLines) < inc.Window {
|
|
return
|
|
}
|
|
|
|
var index = len(kLines) - 1
|
|
var kline = kLines[index]
|
|
|
|
if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
|
|
return
|
|
}
|
|
|
|
var recentK = kLines[index-(inc.Window-1) : index+1]
|
|
|
|
pv, err := calculateSMA(recentK, inc.Window, KLinePriceVolumeMapper)
|
|
if err != nil {
|
|
log.WithError(err).Error("price x volume SMA error")
|
|
return
|
|
}
|
|
v, err := calculateSMA(recentK, inc.Window, KLineVolumeMapper)
|
|
if err != nil {
|
|
log.WithError(err).Error("volume SMA error")
|
|
return
|
|
}
|
|
|
|
vwma := pv / v
|
|
inc.Values.Push(vwma)
|
|
|
|
if len(inc.Values) > MaxNumOfSMA {
|
|
inc.Values = inc.Values[MaxNumOfSMATruncateSize-1:]
|
|
}
|
|
|
|
inc.EndTime = kLines[index].EndTime.Time()
|
|
|
|
inc.EmitUpdate(vwma)
|
|
}
|
|
|
|
func (inc *VWMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.calculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *VWMA) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|