bbgo_origin/pkg/indicator/ewma.go
2021-11-22 02:14:44 +08:00

152 lines
3.6 KiB
Go

package indicator
import (
"math"
"time"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/types"
)
// These numbers should be aligned with bbgo MaxNumOfKLines and MaxNumOfKLinesTruncate
const MaxNumOfEWMA = 5_000
const MaxNumOfEWMATruncateSize = 100
//go:generate callbackgen -type EWMA
type EWMA struct {
types.IntervalWindow
Values types.Float64Slice
LastOpenTime time.Time
UpdateCallbacks []func(value float64)
}
func (inc *EWMA) Update(value float64) {
var multiplier = 2.0 / float64(1+inc.Window)
if len(inc.Values) == 0 {
inc.Values.Push(value)
return
} else if len(inc.Values) > MaxNumOfEWMA {
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
}
ema := (1-multiplier)*inc.Last() + multiplier*value
inc.Values.Push(ema)
}
func (inc *EWMA) Last() float64 {
if len(inc.Values) == 0 {
return 0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *EWMA) calculateAndUpdate(allKLines []types.KLine) {
if len(allKLines) < inc.Window {
// we can't calculate
return
}
var priceF = KLineClosePriceMapper
var dataLen = len(allKLines)
var multiplier = 2.0 / (float64(inc.Window) + 1)
// init the values fromNthK the kline data
var fromNthK = 1
if len(inc.Values) == 0 {
// for the first value, we should use the close price
inc.Values = []float64{priceF(allKLines[0])}
} else {
fromNthK = len(inc.Values)
// update ewma with the existing values
for i := dataLen - 1; i > 0; i-- {
var k = allKLines[i]
if k.StartTime.After(inc.LastOpenTime) {
fromNthK = i
} else {
break
}
}
}
if len(inc.Values) >= MaxNumOfEWMA {
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
}
for i := fromNthK; i < dataLen; i++ {
var k = allKLines[i]
var ewma = priceF(k)*multiplier + (1-multiplier)*inc.Values[i-1]
inc.Values.Push(ewma)
inc.LastOpenTime = k.StartTime
inc.EmitUpdate(ewma)
}
if len(inc.Values) != dataLen {
// check error
log.Warnf("%s EMA (%d) value length (%d) != kline window length (%d)", inc.Interval, inc.Window, len(inc.Values), dataLen)
}
v1 := math.Floor(inc.Values[len(inc.Values)-1]*100.0) / 100.0
v2 := math.Floor(CalculateKLinesEMA(allKLines, priceF, inc.Window)*100.0) / 100.0
if v1 != v2 {
log.Warnf("ACCUMULATED %s EMA (%d) %f != EMA %f", inc.Interval, inc.Window, v1, v2)
}
}
func CalculateKLinesEMA(allKLines []types.KLine, priceF KLinePriceMapper, window int) float64 {
var multiplier = 2.0 / (float64(window) + 1)
return ewma(MapKLinePrice(allKLines, priceF), multiplier)
}
// see https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
func ewma(prices []float64, multiplier float64) float64 {
var end = len(prices) - 1
if end == 0 {
return prices[0]
}
return prices[end]*multiplier + (1-multiplier)*ewma(prices[:end], multiplier)
}
type KLinePriceMapper func(k types.KLine) float64
func KLineOpenPriceMapper(k types.KLine) float64 {
return k.Open
}
func KLineClosePriceMapper(k types.KLine) float64 {
return k.Close
}
func KLineTypicalPriceMapper(k types.KLine) float64 {
return (k.High + k.Low + k.Close) / float64(3)
}
func MapKLinePrice(kLines []types.KLine, f KLinePriceMapper) (prices []float64) {
for _, k := range kLines {
prices = append(prices, f(k))
}
return prices
}
type KLineWindowUpdater interface {
OnKLineWindowUpdate(func(interval types.Interval, window types.KLineWindow))
}
func (inc *EWMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *EWMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}