bbgo_origin/pkg/strategy/fmaker/A2.go
austin362667 c904f9f0f7 strategy: add fmaker
fmaker: cleanup
2022-05-29 21:39:11 +08:00

103 lines
2.4 KiB
Go

package fmaker
import (
"fmt"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
"time"
)
//go:generate callbackgen -type A2
type A2 struct {
types.IntervalWindow
// Values
Values types.Float64Slice
EndTime time.Time
UpdateCallbacks []func(val float64)
}
func (inc *A2) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *A2) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
val, err := calculateA2(recentT, KLineLowPriceMapper, KLineHighPriceMapper, indicator.KLineClosePriceMapper)
if err != nil {
log.WithError(err).Error("can not calculate")
return
}
inc.Values.Push(val)
if len(inc.Values) > indicator.MaxNumOfVOL {
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(val)
}
func (inc *A2) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *A2) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
// (-1 * DELTA((((CLOSE - LOW) - (HIGH - CLOSE)) / (HIGH - LOW)), 1))
func calculateA2(klines []types.KLine, valLow KLineValueMapper, valHigh KLineValueMapper, valClose KLineValueMapper) (float64, error) {
window := 2
length := len(klines)
if length == 0 || length < window {
return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
}
var lows types.Float64Slice
var highs types.Float64Slice
var closes types.Float64Slice
for _, k := range klines {
lows.Push(valLow(k))
highs.Push(valHigh(k))
closes.Push(valClose(k))
}
prev := ((closes.Index(1) - lows.Index(1)) - (highs.Index(1) - closes.Index(1))) / (highs.Index(1) - lows.Index(1))
curr := ((closes.Index(0) - lows.Index(0)) - (highs.Index(0) - closes.Index(0))) / (highs.Index(0) - lows.Index(0))
alpha := (curr - prev) * -1 // delta(1 interval)
return alpha, nil
}
func KLineLowPriceMapper(k types.KLine) float64 {
return k.Low.Float64()
}
func KLineHighPriceMapper(k types.KLine) float64 {
return k.High.Float64()
}