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123 lines
2.4 KiB
Go
123 lines
2.4 KiB
Go
package indicator
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import (
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"fmt"
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"time"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/types"
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)
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type KLineValueMapper func(k types.KLine) float64
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//go:generate callbackgen -type Pivot
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type Pivot struct {
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types.IntervalWindow
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// Values
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Lows types.Float64Slice // higher low
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Highs types.Float64Slice // lower high
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EndTime time.Time
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UpdateCallbacks []func(valueLow, valueHigh float64)
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}
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func (inc *Pivot) LastLow() float64 {
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if len(inc.Lows) == 0 {
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return 0.0
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}
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return inc.Lows[len(inc.Lows)-1]
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}
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func (inc *Pivot) LastHigh() float64 {
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if len(inc.Highs) == 0 {
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return 0.0
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}
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return inc.Highs[len(inc.Highs)-1]
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}
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func (inc *Pivot) calculateAndUpdate(klines []types.KLine) {
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if len(klines) < inc.Window {
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return
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}
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var end = len(klines) - 1
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var lastKLine = klines[end]
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// skip old data
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if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
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return
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}
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recentT := klines[end-(inc.Window-1) : end+1]
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l, h, err := calculatePivot(recentT, inc.Window, KLineLowPriceMapper, KLineHighPriceMapper)
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if err != nil {
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log.WithError(err).Error("can not calculate pivots")
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return
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}
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inc.Lows.Push(l)
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inc.Highs.Push(h)
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if len(inc.Lows) > MaxNumOfVOL {
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inc.Lows = inc.Lows[MaxNumOfVOLTruncateSize-1:]
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}
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if len(inc.Highs) > MaxNumOfVOL {
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inc.Highs = inc.Highs[MaxNumOfVOLTruncateSize-1:]
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}
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inc.EndTime = klines[end].GetEndTime().Time()
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inc.EmitUpdate(l, h)
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}
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func (inc *Pivot) 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 *Pivot) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func calculatePivot(klines []types.KLine, window int, valLow KLineValueMapper, valHigh KLineValueMapper) (float64, 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 with window = %d", window)
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}
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var lows types.Float64Slice
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var highs types.Float64Slice
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for _, k := range klines {
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lows.Push(valLow(k))
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highs.Push(valHigh(k))
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}
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pl := 0.
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if lows.Min() == lows.Index(int(window/2.)-1) {
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pl = lows.Min()
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}
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ph := 0.
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if highs.Max() == highs.Index(int(window/2.)-1) {
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ph = highs.Max()
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}
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return pl, ph, nil
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}
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func KLineLowPriceMapper(k types.KLine) float64 {
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return k.Low.Float64()
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}
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func KLineHighPriceMapper(k types.KLine) float64 {
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return k.High.Float64()
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}
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