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107 lines
2.1 KiB
Go
107 lines
2.1 KiB
Go
package indicator
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import (
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"time"
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"github.com/c9s/bbgo/pkg/types"
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)
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/*
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vwma implements the volume weighted moving average (VWMA) indicator:
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Calculation:
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pv = element-wise multiplication of close prices and volumes
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VWMA = SMA(pv, window) / SMA(volumes, window)
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Volume Weighted Moving Average
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- https://www.motivewave.com/studies/volume_weighted_moving_average.htm
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*/
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//go:generate callbackgen -type VWMA
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type VWMA struct {
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types.SeriesBase
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types.IntervalWindow
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Values types.Float64Slice
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PriceVolumeSMA *SMA
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VolumeSMA *SMA
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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 *VWMA) 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 *VWMA) Index(i int) float64 {
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length := len(inc.Values)
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if length == 0 || length-i-1 < 0 {
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return 0
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}
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return inc.Values[length-i-1]
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}
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func (inc *VWMA) Length() int {
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return len(inc.Values)
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}
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var _ types.SeriesExtend = &VWMA{}
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func (inc *VWMA) Update(price, volume float64) {
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if inc.PriceVolumeSMA == nil {
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inc.PriceVolumeSMA = &SMA{IntervalWindow: inc.IntervalWindow}
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inc.SeriesBase.Series = inc
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}
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if inc.VolumeSMA == nil {
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inc.VolumeSMA = &SMA{IntervalWindow: inc.IntervalWindow}
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}
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inc.PriceVolumeSMA.Update(price * volume)
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inc.VolumeSMA.Update(volume)
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pv := inc.PriceVolumeSMA.Last()
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v := inc.VolumeSMA.Last()
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vwma := pv / v
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inc.Values.Push(vwma)
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}
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func (inc *VWMA) CalculateAndUpdate(allKLines []types.KLine) {
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if len(allKLines) < inc.Window {
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return
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}
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var last = allKLines[len(allKLines)-1]
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if inc.VolumeSMA == nil {
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for _, k := range allKLines {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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return
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}
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inc.Update(k.Close.Float64(), k.Volume.Float64())
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}
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} else {
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inc.Update(last.Close.Float64(), last.Volume.Float64())
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}
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inc.EndTime = last.EndTime.Time()
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inc.EmitUpdate(inc.Values.Last())
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}
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func (inc *VWMA) 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 *VWMA) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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