bbgo_origin/pkg/indicator/emv.go

95 lines
1.9 KiB
Go

package indicator
import (
"github.com/c9s/bbgo/pkg/types"
)
// Refer: Ease of Movement
// Refer URL: https://www.investopedia.com/terms/e/easeofmovement.asp
//go:generate callbackgen -type EMV
type EMV struct {
types.SeriesBase
types.IntervalWindow
prevH float64
prevL float64
Values *SMA
EMVScale float64
UpdateCallbacks []func(value float64)
}
const DefaultEMVScale float64 = 100000000.
func (inc *EMV) Update(high, low, vol float64) {
if inc.EMVScale == 0 {
inc.EMVScale = DefaultEMVScale
}
if inc.prevH == 0 || inc.Values == nil {
inc.SeriesBase.Series = inc
inc.prevH = high
inc.prevL = low
inc.Values = &SMA{IntervalWindow: inc.IntervalWindow}
return
}
distanceMoved := (high+low)/2. - (inc.prevH+inc.prevL)/2.
boxRatio := vol / inc.EMVScale / (high - low)
result := distanceMoved / boxRatio
inc.prevH = high
inc.prevL = low
inc.Values.Update(result)
}
func (inc *EMV) Index(i int) float64 {
if inc.Values == nil {
return 0
}
return inc.Values.Index(i)
}
func (inc *EMV) Last() float64 {
if inc.Values == nil {
return 0
}
return inc.Values.Last()
}
func (inc *EMV) Length() int {
if inc.Values == nil {
return 0
}
return inc.Values.Length()
}
var _ types.SeriesExtend = &EMV{}
func (inc *EMV) PushK(k types.KLine) {
inc.Update(k.High.Float64(), k.Low.Float64(), k.Volume.Float64())
}
func (inc *EMV) CalculateAndUpdate(allKLines []types.KLine) {
if inc.Values == nil {
for _, k := range allKLines {
inc.PushK(k)
if inc.Length() > 0 {
inc.EmitUpdate(inc.Last())
}
}
} else {
k := allKLines[len(allKLines)-1]
inc.PushK(k)
inc.EmitUpdate(inc.Last())
}
}
func (inc *EMV) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.CalculateAndUpdate(window)
}
func (inc *EMV) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}