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108 lines
2.2 KiB
Go
108 lines
2.2 KiB
Go
package indicator
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import (
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"math"
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"time"
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"github.com/c9s/bbgo/pkg/types"
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)
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//go:generate callbackgen -type ATR
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type ATR struct {
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types.IntervalWindow
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Values types.Float64Slice
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TrueRanges types.Float64Slice
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PercentageVolatility types.Float64Slice
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PriviousClose float64
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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 *ATR) Update(kLine types.KLine) {
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if inc.Window <= 0 {
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panic("window must be greater than 0")
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}
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cloze := kLine.Close.Float64()
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high := kLine.High.Float64()
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low := kLine.Low.Float64()
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if inc.PriviousClose == 0 {
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inc.PriviousClose = kLine.Close.Float64()
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return
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}
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// calculate true range
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trueRange := types.Float64Slice{
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high - low,
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math.Abs(high - inc.PriviousClose),
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math.Abs(low - inc.PriviousClose),
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}.Max()
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inc.TrueRanges.Push(trueRange)
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inc.PriviousClose = cloze
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// apply rolling moving average
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if len(inc.TrueRanges) < inc.Window {
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return
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}
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if len(inc.TrueRanges) == inc.Window {
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atr := inc.TrueRanges.Mean()
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inc.Values.Push(atr)
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inc.PercentageVolatility.Push(atr / cloze)
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return
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}
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lambda := 1 / float64(inc.Window)
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atr := inc.Values.Last()*(1-lambda) + inc.TrueRanges.Last()*lambda
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inc.Values.Push(atr)
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inc.PercentageVolatility.Push(atr / cloze)
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}
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func (inc *ATR) 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 *ATR) 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 *ATR) Length() int {
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return len(inc.Values)
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}
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var _ types.Series = &ATR{}
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func (inc *ATR) calculateAndUpdate(kLines []types.KLine) {
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for _, k := range kLines {
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if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
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continue
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}
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inc.Update(k)
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}
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inc.EmitUpdate(inc.Last())
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inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
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}
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func (inc *ATR) 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 *ATR) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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