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84 lines
1.6 KiB
Go
84 lines
1.6 KiB
Go
package indicator
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import (
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"fmt"
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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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type Float64Slice []float64
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func (s *Float64Slice) Push(v float64) {
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*s = append(*s, v)
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}
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var zeroTime time.Time
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//go:generate callbackgen -type SMA
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type SMA struct {
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types.IntervalWindow
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Values 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 *SMA) Last() float64 {
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return inc.Values[len(inc.Values)-1]
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}
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func (inc *SMA) 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 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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var recentK = kLines[index-(inc.Window-1) : index+1]
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sma, err := calculateSMA(recentK, inc.Window, KLineClosePriceMapper)
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if err != nil {
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log.WithError(err).Error("SMA error")
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return
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}
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inc.Values.Push(sma)
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inc.EndTime = kLines[index].EndTime
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inc.EmitUpdate(sma)
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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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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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