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113 lines
2.3 KiB
Go
113 lines
2.3 KiB
Go
package indicator
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import (
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"fmt"
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"time"
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"github.com/c9s/bbgo/pkg/types"
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)
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const MaxNumOfSMA = 5_000
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const MaxNumOfSMATruncateSize = 100
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//go:generate callbackgen -type SMA
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type SMA struct {
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types.SeriesBase
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types.IntervalWindow
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Values types.Float64Slice
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Cache *types.Queue
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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 *SMA) Last() float64 {
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if inc.Values.Length() == 0 {
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return 0.0
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}
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return inc.Values.Last()
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}
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func (inc *SMA) Index(i int) float64 {
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if i >= inc.Values.Length() {
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return 0.0
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}
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return inc.Values.Index(i)
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}
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func (inc *SMA) Length() int {
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return inc.Values.Length()
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}
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var _ types.SeriesExtend = &SMA{}
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func (inc *SMA) Update(value float64) {
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if inc.Cache == nil {
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inc.Cache = types.NewQueue(inc.Window)
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inc.SeriesBase.Series = inc
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}
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inc.Cache.Update(value)
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if inc.Cache.Length() < inc.Window {
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return
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}
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inc.Values.Push(types.Mean(inc.Cache))
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if inc.Values.Length() > MaxNumOfSMA {
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inc.Values = inc.Values[MaxNumOfSMATruncateSize-1:]
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}
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}
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func (inc *SMA) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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}
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func (inc *SMA) CalculateAndUpdate(kLines []types.KLine) {
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var index = len(kLines) - 1
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var kline = kLines[index]
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if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
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return
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}
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if inc.Cache == nil {
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for _, k := range kLines {
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inc.PushK(k)
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.Values.Last())
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}
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} else {
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inc.PushK(kline)
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inc.EndTime = kline.EndTime.Time()
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inc.EmitUpdate(inc.Values.Last())
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}
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}
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func (inc *SMA) 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 *SMA) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func calculateSMA(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 SMA with window = %d", window)
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}
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if length != window {
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return 0.0, fmt.Errorf("too much klines passed in, requires only %d klines", 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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return avg, nil
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}
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