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115 lines
2.0 KiB
Go
115 lines
2.0 KiB
Go
package indicator
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import (
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/types"
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)
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/*
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NEW INDICATOR DESIGN:
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klines := kLines(marketDataStream)
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closePrices := closePrices(klines)
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macd := MACD(klines, {Fast: 12, Slow: 10})
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equals to:
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klines := KLines(marketDataStream)
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closePrices := ClosePrice(klines)
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fastEMA := EMA(closePrices, 7)
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slowEMA := EMA(closePrices, 25)
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macd := Subtract(fastEMA, slowEMA)
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signal := EMA(macd, 16)
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histogram := Subtract(macd, signal)
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*/
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type Float64Source interface {
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types.Series
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OnUpdate(f func(v float64))
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}
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type Float64Subscription interface {
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types.Series
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AddSubscriber(f func(v float64))
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}
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//go:generate callbackgen -type EWMAStream
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type EWMAStream struct {
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Float64Updater
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types.SeriesBase
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slice floats.Slice
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window int
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multiplier float64
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}
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func EWMA2(source Float64Source, window int) *EWMAStream {
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s := &EWMAStream{
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window: window,
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multiplier: 2.0 / float64(1+window),
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}
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s.SeriesBase.Series = s.slice
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if sub, ok := source.(Float64Subscription); ok {
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sub.AddSubscriber(s.calculateAndPush)
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} else {
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source.OnUpdate(s.calculateAndPush)
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}
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return s
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}
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func (s *EWMAStream) calculateAndPush(v float64) {
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v2 := s.calculate(v)
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s.slice.Push(v2)
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s.EmitUpdate(v2)
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}
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func (s *EWMAStream) calculate(v float64) float64 {
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last := s.slice.Last()
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m := s.multiplier
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return (1.0-m)*last + m*v
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}
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type SubtractStream struct {
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Float64Updater
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types.SeriesBase
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a, b, c floats.Slice
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i int
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}
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func Subtract(a, b Float64Source) *SubtractStream {
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s := &SubtractStream{}
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s.SeriesBase.Series = s.c
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a.OnUpdate(func(v float64) {
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s.a.Push(v)
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s.calculate()
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})
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b.OnUpdate(func(v float64) {
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s.b.Push(v)
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s.calculate()
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})
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return s
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}
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func (s *SubtractStream) calculate() {
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if s.a.Length() != s.b.Length() {
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return
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}
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if s.a.Length() > s.c.Length() {
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var numNewElems = s.a.Length() - s.c.Length()
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var tailA = s.a.Tail(numNewElems)
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var tailB = s.b.Tail(numNewElems)
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var tailC = tailA.Sub(tailB)
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for _, f := range tailC {
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s.c.Push(f)
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s.EmitUpdate(f)
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}
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}
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}
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