mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
84 lines
1.6 KiB
Go
84 lines
1.6 KiB
Go
package indicator
|
|
|
|
import (
|
|
"fmt"
|
|
"time"
|
|
|
|
log "github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type Float64Slice []float64
|
|
|
|
func (s *Float64Slice) Push(v float64) {
|
|
*s = append(*s, v)
|
|
}
|
|
|
|
var zeroTime time.Time
|
|
|
|
//go:generate callbackgen -type SMA
|
|
type SMA struct {
|
|
types.IntervalWindow
|
|
Values Float64Slice
|
|
EndTime time.Time
|
|
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *SMA) Last() float64 {
|
|
return inc.Values[len(inc.Values)-1]
|
|
}
|
|
|
|
func (inc *SMA) calculateAndUpdate(kLines []types.KLine) {
|
|
if len(kLines) < inc.Window {
|
|
return
|
|
}
|
|
|
|
var index = len(kLines) - 1
|
|
var kline = kLines[index]
|
|
|
|
if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
|
|
return
|
|
}
|
|
|
|
var recentK = kLines[index-(inc.Window-1) : index+1]
|
|
|
|
sma, err := calculateSMA(recentK, inc.Window, KLineClosePriceMapper)
|
|
if err != nil {
|
|
log.WithError(err).Error("SMA error")
|
|
return
|
|
}
|
|
inc.Values.Push(sma)
|
|
inc.EndTime = kLines[index].EndTime
|
|
|
|
inc.EmitUpdate(sma)
|
|
}
|
|
|
|
func (inc *SMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.calculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *SMA) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|
|
|
|
func calculateSMA(kLines []types.KLine, window int, priceF KLinePriceMapper) (float64, error) {
|
|
length := len(kLines)
|
|
if length == 0 || length < window {
|
|
return 0.0, fmt.Errorf("insufficient elements for calculating SMA with window = %d", window)
|
|
}
|
|
|
|
sum := 0.0
|
|
for _, k := range kLines {
|
|
sum += priceF(k)
|
|
}
|
|
|
|
avg := sum / float64(window)
|
|
return avg, nil
|
|
}
|