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98 lines
2.1 KiB
Go
98 lines
2.1 KiB
Go
package indicator
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import (
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"fmt"
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"math"
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"time"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/types"
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)
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const MaxNumOfVOL = 5_000
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const MaxNumOfVOLTruncateSize = 100
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//var zeroTime time.Time
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//go:generate callbackgen -type VOLATILITY
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type VOLATILITY struct {
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types.IntervalWindow
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Values types.Float64Slice
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EndTime time.Time
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UpdateCallbacks []func(value float64)
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}
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func (inc *VOLATILITY) Last() float64 {
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if len(inc.Values) == 0 {
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return 0.0
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}
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return inc.Values[len(inc.Values)-1]
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}
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func (inc *VOLATILITY) calculateAndUpdate(klines []types.KLine) {
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if len(klines) < inc.Window {
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return
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}
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var end = len(klines) - 1
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var lastKLine = klines[end]
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if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
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return
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}
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var recentT = klines[end-(inc.Window-1) : end+1]
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volatility, err := calculateVOLATILITY(recentT, inc.Window, KLineClosePriceMapper)
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if err != nil {
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log.WithError(err).Error("can not calculate volatility")
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return
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}
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inc.Values.Push(volatility)
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if len(inc.Values) > MaxNumOfVOL {
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inc.Values = inc.Values[MaxNumOfVOLTruncateSize-1:]
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}
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inc.EndTime = klines[end].GetEndTime().Time()
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inc.EmitUpdate(volatility)
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}
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func (inc *VOLATILITY) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if inc.Interval != interval {
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return
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}
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inc.calculateAndUpdate(window)
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}
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func (inc *VOLATILITY) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func calculateVOLATILITY(klines []types.KLine, window int, priceF KLinePriceMapper) (float64, error) {
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length := len(klines)
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if length == 0 || length < window {
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return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
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}
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sum := 0.0
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for _, k := range klines {
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sum += priceF(k)
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}
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avg := sum / float64(window)
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sv := 0.0 // sum of variance
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for _, j := range klines {
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// The use of Pow math function func Pow(x, y float64) float64
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sv += math.Pow(priceF(j)-avg, 2)
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}
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// The use of Sqrt math function func Sqrt(x float64) float64
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sd := math.Sqrt(sv / float64(len(klines)))
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return sd, nil
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}
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