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97 lines
1.9 KiB
Go
97 lines
1.9 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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// Running Moving Average
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// Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/overlap/rma.py#L5
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// Refer: https://pandas.pydata.org/docs/reference/api/pandas.DataFrame.ewm.html#pandas-dataframe-ewm
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//go:generate callbackgen -type RMA
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type RMA struct {
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types.SeriesBase
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types.IntervalWindow
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Values types.Float64Slice
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EndTime time.Time
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counter int
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Adjust bool
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tmp float64
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sum float64
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updateCallbacks []func(value float64)
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}
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func (inc *RMA) Update(x float64) {
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lambda := 1 / float64(inc.Window)
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if inc.counter == 0 {
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inc.SeriesBase.Series = inc
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inc.sum = 1
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inc.tmp = x
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} else {
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if inc.Adjust {
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inc.sum = inc.sum*(1-lambda) + 1
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inc.tmp = inc.tmp + (x-inc.tmp)/inc.sum
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} else {
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inc.tmp = inc.tmp*(1-lambda) + x*lambda
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}
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}
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inc.counter++
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if inc.counter < inc.Window {
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inc.Values.Push(0)
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return
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}
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inc.Values.Push(inc.tmp)
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}
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func (inc *RMA) Last() float64 {
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return inc.Values.Last()
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}
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func (inc *RMA) Index(i int) float64 {
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length := len(inc.Values)
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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.Values[length-i-1]
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}
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func (inc *RMA) Length() int {
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return len(inc.Values)
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}
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var _ types.SeriesExtend = &RMA{}
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func (inc *RMA) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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}
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func (inc *RMA) calculateAndUpdate(kLines []types.KLine) {
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for _, k := range kLines {
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if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
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continue
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}
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.Last())
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inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
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}
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func (inc *RMA) 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 *RMA) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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