mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 14:55:16 +00:00
109 lines
2.5 KiB
Go
109 lines
2.5 KiB
Go
package fmaker
|
|
|
|
import (
|
|
"fmt"
|
|
"github.com/c9s/bbgo/pkg/indicator"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
"math"
|
|
"time"
|
|
)
|
|
|
|
//go:generate callbackgen -type A3
|
|
type A3 struct {
|
|
types.IntervalWindow
|
|
|
|
// Values
|
|
Values types.Float64Slice
|
|
|
|
EndTime time.Time
|
|
|
|
UpdateCallbacks []func(val float64)
|
|
}
|
|
|
|
func (inc *A3) Last() float64 {
|
|
if len(inc.Values) == 0 {
|
|
return 0.0
|
|
}
|
|
return inc.Values[len(inc.Values)-1]
|
|
}
|
|
|
|
func (inc *A3) calculateAndUpdate(klines []types.KLine) {
|
|
if len(klines) < inc.Window {
|
|
return
|
|
}
|
|
|
|
var end = len(klines) - 1
|
|
var lastKLine = klines[end]
|
|
|
|
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
|
|
return
|
|
}
|
|
|
|
var recentT = klines[end-(inc.Window-1) : end+1]
|
|
|
|
val, err := calculateA3(recentT, KLineLowPriceMapper, KLineHighPriceMapper, indicator.KLineClosePriceMapper)
|
|
if err != nil {
|
|
log.WithError(err).Error("can not calculate pivots")
|
|
return
|
|
}
|
|
inc.Values.Push(val)
|
|
|
|
if len(inc.Values) > indicator.MaxNumOfVOL {
|
|
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
|
|
}
|
|
|
|
inc.EndTime = klines[end].GetEndTime().Time()
|
|
|
|
inc.EmitUpdate(val)
|
|
|
|
}
|
|
|
|
func (inc *A3) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.calculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *A3) Bind(updater indicator.KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|
|
|
|
// SUM((CLOSE = DELAY(CLOSE, 1)?0:CLOSE-(CLOSE>DELAY(CLOSE, 1)?MIN(LOW, DELAY(CLOSE, 1)):MAX(HIGH, DELAY(CLOSE, 1)))), 6)
|
|
func calculateA3(klines []types.KLine, valLow KLineValueMapper, valHigh KLineValueMapper, valClose KLineValueMapper) (float64, error) {
|
|
window := 6 + 2
|
|
length := len(klines)
|
|
if length == 0 || length < window {
|
|
return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
|
|
}
|
|
var lows types.Float64Slice
|
|
var highs types.Float64Slice
|
|
var closes types.Float64Slice
|
|
|
|
for _, k := range klines {
|
|
lows.Push(valLow(k))
|
|
highs.Push(valHigh(k))
|
|
closes.Push(valClose(k))
|
|
}
|
|
|
|
a := 0.
|
|
sumA := 0.
|
|
for i := 1; i <= 6; i++ {
|
|
if closes.Index(len(closes)-i) == closes.Index(len(closes)-i-1) {
|
|
a = 0.
|
|
} else {
|
|
if closes.Index(len(closes)-i) > closes.Index(1) {
|
|
a = closes.Index(len(closes)-i) - math.Min(lows.Index(len(lows)-i), closes.Index(len(closes)-i-1))
|
|
} else {
|
|
a = closes.Index(len(closes)-i) - math.Max(highs.Index(len(highs)-i), closes.Index(len(closes)-i-1))
|
|
}
|
|
}
|
|
sumA += a
|
|
}
|
|
|
|
alpha := sumA // sum(a, 6 interval)
|
|
|
|
return alpha, nil
|
|
}
|