mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 14:55:16 +00:00
121 lines
2.9 KiB
Go
121 lines
2.9 KiB
Go
package indicator
|
|
|
|
import (
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
const defaultVolumeFactor = 0.7
|
|
|
|
// Refer: Tillson T3 Moving Average
|
|
// Refer URL: https://tradingpedia.com/forex-trading-indicator/t3-moving-average-indicator/
|
|
//go:generate callbackgen -type TILL
|
|
type TILL struct {
|
|
types.SeriesBase
|
|
types.IntervalWindow
|
|
VolumeFactor float64
|
|
e1 *EWMA
|
|
e2 *EWMA
|
|
e3 *EWMA
|
|
e4 *EWMA
|
|
e5 *EWMA
|
|
e6 *EWMA
|
|
c1 float64
|
|
c2 float64
|
|
c3 float64
|
|
c4 float64
|
|
|
|
updateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *TILL) Update(value float64) {
|
|
if inc.e1 == nil || inc.e1.Length() == 0 {
|
|
if inc.VolumeFactor == 0 {
|
|
inc.VolumeFactor = defaultVolumeFactor
|
|
}
|
|
inc.SeriesBase.Series = inc
|
|
inc.e1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
|
|
inc.e2 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
|
|
inc.e3 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
|
|
inc.e4 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
|
|
inc.e5 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
|
|
inc.e6 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
|
|
square := inc.VolumeFactor * inc.VolumeFactor
|
|
cube := inc.VolumeFactor * square
|
|
inc.c1 = -cube
|
|
inc.c2 = 3.*square + 3.*cube
|
|
inc.c3 = -6.*square - 3*inc.VolumeFactor - 3*cube
|
|
inc.c4 = 1. + 3.*inc.VolumeFactor + cube + 3.*square
|
|
}
|
|
|
|
inc.e1.Update(value)
|
|
inc.e2.Update(inc.e1.Last())
|
|
inc.e3.Update(inc.e2.Last())
|
|
inc.e4.Update(inc.e3.Last())
|
|
inc.e5.Update(inc.e4.Last())
|
|
inc.e6.Update(inc.e5.Last())
|
|
}
|
|
|
|
func (inc *TILL) Last() float64 {
|
|
if inc.e1 == nil || inc.e1.Length() == 0 {
|
|
return 0
|
|
}
|
|
e3 := inc.e3.Last()
|
|
e4 := inc.e4.Last()
|
|
e5 := inc.e5.Last()
|
|
e6 := inc.e6.Last()
|
|
return inc.c1*e6 + inc.c2*e5 + inc.c3*e4 + inc.c4*e3
|
|
}
|
|
|
|
func (inc *TILL) Index(i int) float64 {
|
|
if inc.e1 == nil || inc.e1.Length() <= i {
|
|
return 0
|
|
}
|
|
e3 := inc.e3.Index(i)
|
|
e4 := inc.e4.Index(i)
|
|
e5 := inc.e5.Index(i)
|
|
e6 := inc.e6.Index(i)
|
|
return inc.c1*e6 + inc.c2*e5 + inc.c3*e4 + inc.c4*e3
|
|
}
|
|
|
|
func (inc *TILL) Length() int {
|
|
if inc.e1 == nil {
|
|
return 0
|
|
}
|
|
return inc.e1.Length()
|
|
}
|
|
|
|
var _ types.Series = &TILL{}
|
|
|
|
func (inc *TILL) PushK(k types.KLine) {
|
|
inc.Update(k.Close.Float64())
|
|
}
|
|
|
|
func (inc *TILL) CalculateAndUpdate(allKLines []types.KLine) {
|
|
doable := false
|
|
if inc.e1 == nil {
|
|
doable = true
|
|
}
|
|
for _, k := range allKLines {
|
|
if !doable && k.StartTime.After(inc.e1.LastOpenTime) {
|
|
doable = true
|
|
}
|
|
|
|
if doable {
|
|
inc.PushK(k)
|
|
inc.EmitUpdate(inc.Last())
|
|
}
|
|
}
|
|
}
|
|
|
|
func (inc *TILL) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.CalculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *TILL) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|