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137 lines
2.4 KiB
Go
137 lines
2.4 KiB
Go
package indicator
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import (
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"time"
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"github.com/c9s/bbgo/pkg/types"
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)
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const DPeriod int = 3
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/*
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stoch implements stochastic oscillator indicator
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Stochastic Oscillator
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- https://www.investopedia.com/terms/s/stochasticoscillator.asp
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*/
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//go:generate callbackgen -type STOCH
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type STOCH struct {
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types.IntervalWindow
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K types.Float64Slice
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D types.Float64Slice
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KLineWindow types.KLineWindow
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EndTime time.Time
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UpdateCallbacks []func(k float64, d float64)
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}
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func (inc *STOCH) update(kLine types.KLine) {
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inc.KLineWindow.Add(kLine)
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inc.KLineWindow.Truncate(inc.Window)
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lowest := inc.KLineWindow.GetLow().Float64()
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highest := inc.KLineWindow.GetHigh().Float64()
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clos := kLine.Close.Float64()
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k := 100.0 * (clos - lowest) / (highest - lowest)
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inc.K.Push(k)
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d := inc.K.Tail(DPeriod).Mean()
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inc.D.Push(d)
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}
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func (inc *STOCH) LastK() float64 {
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if len(inc.K) == 0 {
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return 0.0
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}
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return inc.K[len(inc.K)-1]
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}
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func (inc *STOCH) LastD() float64 {
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if len(inc.K) == 0 {
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return 0.0
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}
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return inc.D[len(inc.D)-1]
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}
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func (inc *STOCH) calculateAndUpdate(kLines []types.KLine) {
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if len(kLines) < inc.Window || len(kLines) < DPeriod {
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return
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}
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for _, k := range kLines {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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continue
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}
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inc.update(k)
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}
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inc.EmitUpdate(inc.LastK(), inc.LastD())
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inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
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}
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func (inc *STOCH) 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 *STOCH) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func (inc *STOCH) GetD() *DSeries {
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return &DSeries{inc}
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}
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func (inc *STOCH) GetK() *KSeries {
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return &KSeries{inc}
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}
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type DSeries struct {
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*STOCH
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}
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func (inc *DSeries) Last() float64 {
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return inc.LastD()
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}
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func (inc *DSeries) Length() int {
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return len(inc.D)
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}
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func (inc *DSeries) Index(i int) float64 {
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length := len(inc.D)
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if length == 0 || length-i-1 < 0 {
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return 0
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}
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return inc.D[length-i-1]
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}
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var _ types.Series = &DSeries{}
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type KSeries struct {
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*STOCH
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}
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func (inc *KSeries) Last() float64 {
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return inc.LastK()
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}
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func (inc *KSeries) Index(i int) float64 {
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length := len(inc.K)
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if length == 0 || length-i-1 < 0 {
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return 0
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}
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return inc.K[length-i-1]
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}
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func (inc *KSeries) Length() int {
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return len(inc.K)
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}
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var _ types.Series = &KSeries{}
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