mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-15 19:43:53 +00:00
118 lines
2.3 KiB
Go
118 lines
2.3 KiB
Go
package indicator
|
|
|
|
import (
|
|
"fmt"
|
|
"time"
|
|
|
|
log "github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/datatype/floats"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
//go:generate callbackgen -type Pivot
|
|
type Pivot struct {
|
|
types.IntervalWindow
|
|
|
|
// Values
|
|
Lows floats.Slice // higher low
|
|
Highs floats.Slice // lower high
|
|
|
|
EndTime time.Time
|
|
|
|
updateCallbacks []func(valueLow, valueHigh float64)
|
|
}
|
|
|
|
func (inc *Pivot) LastLow() float64 {
|
|
if len(inc.Lows) == 0 {
|
|
return 0.0
|
|
}
|
|
return inc.Lows[len(inc.Lows)-1]
|
|
}
|
|
|
|
func (inc *Pivot) LastHigh() float64 {
|
|
if len(inc.Highs) == 0 {
|
|
return 0.0
|
|
}
|
|
return inc.Highs[len(inc.Highs)-1]
|
|
}
|
|
|
|
func (inc *Pivot) CalculateAndUpdate(klines []types.KLine) {
|
|
if len(klines) < inc.Window {
|
|
return
|
|
}
|
|
|
|
var end = len(klines) - 1
|
|
var lastKLine = klines[end]
|
|
|
|
// skip old data
|
|
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
|
|
return
|
|
}
|
|
|
|
recentT := klines[end-(inc.Window-1) : end+1]
|
|
|
|
l, h, err := calculatePivot(recentT, inc.Window, types.KLineLowPriceMapper, types.KLineHighPriceMapper)
|
|
if err != nil {
|
|
log.WithError(err).Error("can not calculate pivots")
|
|
return
|
|
}
|
|
|
|
if l > 0.0 {
|
|
inc.Lows.Push(l)
|
|
}
|
|
if h > 0.0 {
|
|
inc.Highs.Push(h)
|
|
}
|
|
|
|
if len(inc.Lows) > MaxNumOfVOL {
|
|
inc.Lows = inc.Lows[MaxNumOfVOLTruncateSize-1:]
|
|
}
|
|
if len(inc.Highs) > MaxNumOfVOL {
|
|
inc.Highs = inc.Highs[MaxNumOfVOLTruncateSize-1:]
|
|
}
|
|
|
|
inc.EndTime = klines[end].GetEndTime().Time()
|
|
|
|
inc.EmitUpdate(l, h)
|
|
|
|
}
|
|
|
|
func (inc *Pivot) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.CalculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *Pivot) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|
|
|
|
func calculatePivot(klines []types.KLine, window int, valLow types.KLineValueMapper, valHigh types.KLineValueMapper) (float64, float64, error) {
|
|
length := len(klines)
|
|
if length == 0 || length < window {
|
|
return 0., 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
|
|
}
|
|
|
|
var lows floats.Slice
|
|
var highs floats.Slice
|
|
for _, k := range klines {
|
|
lows.Push(valLow(k))
|
|
highs.Push(valHigh(k))
|
|
}
|
|
|
|
pl := 0.
|
|
if lows.Min() == lows.Last(int(window/2.)-1) {
|
|
pl = lows.Min()
|
|
}
|
|
|
|
ph := 0.
|
|
if highs.Max() == highs.Last(int(window/2.)-1) {
|
|
ph = highs.Max()
|
|
}
|
|
|
|
return pl, ph, nil
|
|
}
|