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152 lines
3.6 KiB
Go
152 lines
3.6 KiB
Go
package indicator
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import (
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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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// These numbers should be aligned with bbgo MaxNumOfKLines and MaxNumOfKLinesTruncate
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const MaxNumOfEWMA = 5_000
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const MaxNumOfEWMATruncateSize = 100
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//go:generate callbackgen -type EWMA
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type EWMA struct {
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types.IntervalWindow
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Values types.Float64Slice
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LastOpenTime time.Time
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UpdateCallbacks []func(value float64)
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}
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func (inc *EWMA) Update(value float64) {
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var multiplier = 2.0 / float64(1+inc.Window)
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if len(inc.Values) == 0 {
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inc.Values.Push(value)
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return
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} else if len(inc.Values) > MaxNumOfEWMA {
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inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
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}
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ema := (1-multiplier)*inc.Last() + multiplier*value
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inc.Values.Push(ema)
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}
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func (inc *EWMA) Last() float64 {
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if len(inc.Values) == 0 {
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return 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 *EWMA) calculateAndUpdate(allKLines []types.KLine) {
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if len(allKLines) < inc.Window {
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// we can't calculate
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return
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}
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var priceF = KLineClosePriceMapper
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var dataLen = len(allKLines)
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var multiplier = 2.0 / (float64(inc.Window) + 1)
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// init the values fromNthK the kline data
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var fromNthK = 1
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if len(inc.Values) == 0 {
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// for the first value, we should use the close price
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inc.Values = []float64{priceF(allKLines[0])}
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} else {
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fromNthK = len(inc.Values)
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// update ewma with the existing values
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for i := dataLen - 1; i > 0; i-- {
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var k = allKLines[i]
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if k.StartTime.After(inc.LastOpenTime) {
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fromNthK = i
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} else {
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break
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}
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}
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}
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if len(inc.Values) >= MaxNumOfEWMA {
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inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
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}
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for i := fromNthK; i < dataLen; i++ {
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var k = allKLines[i]
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var ewma = priceF(k)*multiplier + (1-multiplier)*inc.Values[i-1]
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inc.Values.Push(ewma)
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inc.LastOpenTime = k.StartTime
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inc.EmitUpdate(ewma)
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}
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if len(inc.Values) != dataLen {
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// check error
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log.Warnf("%s EMA (%d) value length (%d) != kline window length (%d)", inc.Interval, inc.Window, len(inc.Values), dataLen)
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}
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v1 := math.Floor(inc.Values[len(inc.Values)-1]*100.0) / 100.0
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v2 := math.Floor(CalculateKLinesEMA(allKLines, priceF, inc.Window)*100.0) / 100.0
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if v1 != v2 {
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log.Warnf("ACCUMULATED %s EMA (%d) %f != EMA %f", inc.Interval, inc.Window, v1, v2)
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}
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}
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func CalculateKLinesEMA(allKLines []types.KLine, priceF KLinePriceMapper, window int) float64 {
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var multiplier = 2.0 / (float64(window) + 1)
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return ewma(MapKLinePrice(allKLines, priceF), multiplier)
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}
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// see https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
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func ewma(prices []float64, multiplier float64) float64 {
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var end = len(prices) - 1
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if end == 0 {
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return prices[0]
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}
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return prices[end]*multiplier + (1-multiplier)*ewma(prices[:end], multiplier)
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}
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type KLinePriceMapper func(k types.KLine) float64
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func KLineOpenPriceMapper(k types.KLine) float64 {
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return k.Open
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}
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func KLineClosePriceMapper(k types.KLine) float64 {
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return k.Close
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}
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func KLineTypicalPriceMapper(k types.KLine) float64 {
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return (k.High + k.Low + k.Close) / float64(3)
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}
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func MapKLinePrice(kLines []types.KLine, f KLinePriceMapper) (prices []float64) {
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for _, k := range kLines {
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prices = append(prices, f(k))
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}
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return prices
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}
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type KLineWindowUpdater interface {
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OnKLineWindowUpdate(func(interval types.Interval, window types.KLineWindow))
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}
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func (inc *EWMA) 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 *EWMA) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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