mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 08:11:08 +00:00
102 lines
1.9 KiB
Go
102 lines
1.9 KiB
Go
package indicator
|
|
|
|
import (
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
const DPeriod int = 3
|
|
|
|
/*
|
|
stoch implements stochastic oscillator indicator
|
|
|
|
Stochastic Oscillator
|
|
- https://www.investopedia.com/terms/s/stochasticoscillator.asp
|
|
*/
|
|
//go:generate callbackgen -type STOCH
|
|
type STOCH struct {
|
|
types.IntervalWindow
|
|
K types.Float64Slice
|
|
D types.Float64Slice
|
|
|
|
HighValues types.Float64Slice
|
|
LowValues types.Float64Slice
|
|
|
|
EndTime time.Time
|
|
UpdateCallbacks []func(k float64, d float64)
|
|
}
|
|
|
|
func (inc *STOCH) Update(high, low, cloze float64) {
|
|
inc.HighValues.Push(high)
|
|
inc.LowValues.Push(low)
|
|
|
|
lowest := inc.LowValues.Tail(inc.Window).Min()
|
|
highest := inc.HighValues.Tail(inc.Window).Max()
|
|
|
|
if highest == lowest {
|
|
inc.K.Push(50.0)
|
|
} else {
|
|
k := 100.0 * (cloze - lowest) / (highest - lowest)
|
|
inc.K.Push(k)
|
|
}
|
|
|
|
d := inc.K.Tail(DPeriod).Mean()
|
|
inc.D.Push(d)
|
|
}
|
|
|
|
func (inc *STOCH) LastK() float64 {
|
|
if len(inc.K) == 0 {
|
|
return 0.0
|
|
}
|
|
return inc.K[len(inc.K)-1]
|
|
}
|
|
|
|
func (inc *STOCH) LastD() float64 {
|
|
if len(inc.K) == 0 {
|
|
return 0.0
|
|
}
|
|
return inc.D[len(inc.D)-1]
|
|
}
|
|
|
|
func (inc *STOCH) PushK(k types.KLine) {
|
|
inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
|
|
}
|
|
|
|
func (inc *STOCH) CalculateAndUpdate(kLines []types.KLine) {
|
|
if len(kLines) < inc.Window || len(kLines) < DPeriod {
|
|
return
|
|
}
|
|
|
|
for _, k := range kLines {
|
|
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
|
|
continue
|
|
}
|
|
|
|
inc.PushK(k)
|
|
}
|
|
|
|
inc.EmitUpdate(inc.LastK(), inc.LastD())
|
|
inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
|
|
}
|
|
|
|
func (inc *STOCH) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.CalculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *STOCH) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|
|
|
|
func (inc *STOCH) GetD() types.Series {
|
|
return &inc.D
|
|
}
|
|
|
|
func (inc *STOCH) GetK() types.Series {
|
|
return &inc.K
|
|
}
|