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3e45035ab1
database: upgrade gosqllite3 version for increasing variable amount limit types: update kline starttime/endtime field to prevent sqlite3 time parsing issue. fix #215
77 lines
1.5 KiB
Go
77 lines
1.5 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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/*
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obv implements on-balance volume indicator
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On-Balance Volume (OBV) Definition
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- https://www.investopedia.com/terms/o/onbalancevolume.asp
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*/
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//go:generate callbackgen -type OBV
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type OBV struct {
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types.IntervalWindow
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Values types.Float64Slice
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PrePrice float64
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EndTime time.Time
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UpdateCallbacks []func(value float64)
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}
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func (inc *OBV) update(kLine types.KLine, priceF KLinePriceMapper) {
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price := priceF(kLine)
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volume := kLine.Volume
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if len(inc.Values) == 0 {
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inc.PrePrice = price
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inc.Values.Push(volume)
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return
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}
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var sign float64 = 0.0
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if volume > inc.PrePrice {
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sign = 1.0
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} else if volume < inc.PrePrice {
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sign = -1.0
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}
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obv := inc.Last() + sign*volume
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inc.Values.Push(obv)
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}
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func (inc *OBV) Last() float64 {
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if len(inc.Values) == 0 {
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return 0.0
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}
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return inc.Values[len(inc.Values)-1]
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}
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func (inc *OBV) calculateAndUpdate(kLines []types.KLine) {
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var priceF = KLineClosePriceMapper
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for i, 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, priceF)
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inc.EmitUpdate(inc.Last())
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inc.EndTime = kLines[i].EndTime.Time()
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}
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}
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func (inc *OBV) 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 *OBV) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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