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106 lines
2.4 KiB
Go
106 lines
2.4 KiB
Go
package factorzoo
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import (
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"fmt"
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"time"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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// gap jump momentum
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// if the gap between current open price and previous close price gets larger
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// meaning an opening price jump was happened, the larger momentum we get is our alpha, MOM
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//go:generate callbackgen -type MOM
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type MOM struct {
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types.SeriesBase
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types.IntervalWindow
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// Values
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Values floats.Slice
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LastValue float64
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opens *types.Queue
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closes *types.Queue
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EndTime time.Time
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UpdateCallbacks []func(val float64)
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}
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func (inc *MOM) Index(i int) float64 {
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return inc.Last(i)
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}
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func (inc *MOM) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *MOM) Length() int {
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return inc.Values.Length()
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}
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// var _ types.SeriesExtend = &MOM{}
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func (inc *MOM) Update(open, close float64) {
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if inc.SeriesBase.Series == nil {
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inc.SeriesBase.Series = inc
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inc.opens = types.NewQueue(inc.Window)
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inc.closes = types.NewQueue(inc.Window + 1)
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}
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inc.opens.Update(open)
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inc.closes.Update(close)
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if inc.opens.Length() >= inc.Window && inc.closes.Length() >= inc.Window {
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gap := inc.opens.Last(0)/inc.closes.Index(1) - 1
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inc.Values.Push(gap)
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}
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}
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func (inc *MOM) CalculateAndUpdate(allKLines []types.KLine) {
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if len(inc.Values) == 0 {
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for _, k := range allKLines {
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.Last(0))
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} else {
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(inc.Last(0))
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}
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}
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func (inc *MOM) 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 *MOM) Bind(updater indicator.KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func (inc *MOM) PushK(k types.KLine) {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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return
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}
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inc.Update(k.Open.Float64(), k.Close.Float64())
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.Last(0))
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}
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func calculateMomentum(klines []types.KLine, window int, valA KLineValueMapper, valB KLineValueMapper) (float64, error) {
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length := len(klines)
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if length == 0 || length < window {
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return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
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}
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momentum := (1 - valA(klines[length-1])/valB(klines[length-1])) * -1
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return momentum, nil
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}
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