mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 23:05:15 +00:00
73 lines
1.6 KiB
Go
73 lines
1.6 KiB
Go
package indicatorv2
|
|
|
|
import (
|
|
"math"
|
|
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type ADXStream struct {
|
|
*RMAStream
|
|
|
|
Plus, Minus *types.Float64Series
|
|
|
|
window int
|
|
prevHigh, prevLow fixedpoint.Value
|
|
}
|
|
|
|
func ADX(source KLineSubscription, window int) *ADXStream {
|
|
var (
|
|
atr = ATR2(source, window)
|
|
dmp = types.NewFloat64Series()
|
|
dmn = types.NewFloat64Series()
|
|
adx = types.NewFloat64Series()
|
|
sdmp = RMA2(dmp, window, true)
|
|
sdmn = RMA2(dmn, window, true)
|
|
s = &ADXStream{
|
|
window: window,
|
|
Plus: types.NewFloat64Series(),
|
|
Minus: types.NewFloat64Series(),
|
|
prevHigh: fixedpoint.Zero,
|
|
prevLow: fixedpoint.Zero,
|
|
RMAStream: RMA2(adx, window, true),
|
|
}
|
|
)
|
|
|
|
source.AddSubscriber(func(k types.KLine) {
|
|
if s.prevHigh.IsZero() || s.prevLow.IsZero() {
|
|
s.prevHigh, s.prevLow = k.High, k.Low
|
|
return
|
|
}
|
|
|
|
up, dn := k.High.Sub(s.prevHigh), s.prevLow.Sub(k.Low)
|
|
if up.Compare(dn) > 0 && up.Float64() > 0 {
|
|
dmp.PushAndEmit(up.Float64())
|
|
} else {
|
|
dmp.PushAndEmit(0.0)
|
|
}
|
|
if dn.Compare(up) > 0 && dn.Float64() > 0 {
|
|
dmn.PushAndEmit(dn.Float64())
|
|
} else {
|
|
dmn.PushAndEmit(0.0)
|
|
}
|
|
|
|
s.Plus.PushAndEmit(sdmp.Last(0) * 100 / atr.Last(0))
|
|
s.Minus.PushAndEmit(sdmn.Last(0) * 100 / atr.Last(0))
|
|
dx := math.Abs(s.Plus.Last(0)-s.Minus.Last(0)) / (s.Plus.Last(0) + s.Minus.Last(0))
|
|
if !math.IsNaN(dx) {
|
|
adx.PushAndEmit(dx * 100.0)
|
|
} else {
|
|
adx.PushAndEmit(0.0)
|
|
}
|
|
|
|
s.prevHigh, s.prevLow = k.High, k.Low
|
|
s.Truncate()
|
|
})
|
|
return s
|
|
}
|
|
|
|
func (s *ADXStream) Truncate() {
|
|
s.Slice = s.Slice.Truncate(MaxNumOfRMA)
|
|
}
|