bbgo_origin/pkg/indicator/wwma.go

88 lines
1.7 KiB
Go

package indicator
import (
"github.com/c9s/bbgo/pkg/types"
"time"
)
// Refer: Welles Wilder's Moving Average
// Refer URL: http://fxcorporate.com/help/MS/NOTFIFO/i_WMA.html
const MaxNumOfWWMA = 5_000
const MaxNumOfWWMATruncateSize = 100
//go:generate callbackgen -type WWMA
type WWMA struct {
types.IntervalWindow
Values types.Float64Slice
LastOpenTime time.Time
UpdateCallbacks []func(value float64)
}
func (inc *WWMA) Update(value float64) {
if len(inc.Values) == 0 {
inc.Values.Push(value)
return
} else if len(inc.Values) > MaxNumOfWWMA {
inc.Values = inc.Values[MaxNumOfWWMATruncateSize-1:]
}
last := inc.Last()
wma := last + (value-last)/float64(inc.Window)
inc.Values.Push(wma)
}
func (inc *WWMA) Last() float64 {
if len(inc.Values) == 0 {
return 0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *WWMA) Index(i int) float64 {
if i >= len(inc.Values) {
return 0
}
return inc.Values[len(inc.Values)-1-i]
}
func (inc *WWMA) Length() int {
return len(inc.Values)
}
func (inc *WWMA) calculateAndUpdate(allKLines []types.KLine) {
if len(allKLines) < inc.Window {
// we can't calculate
return
}
doable := false
for _, k := range allKLines {
if !doable && k.StartTime.After(inc.LastOpenTime) {
doable = true
}
if doable {
inc.Update(k.Close.Float64())
inc.LastOpenTime = k.StartTime.Time()
inc.EmitUpdate(inc.Last())
}
}
}
func (inc *WWMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *WWMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
var _ types.Series = &WWMA{}