mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-16 03:53:52 +00:00
89 lines
1.8 KiB
Go
89 lines
1.8 KiB
Go
package indicator
|
|
|
|
import (
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/datatype/floats"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
// Refer: Welles Wilder's Moving Average
|
|
// Refer URL: http://fxcorporate.com/help/MS/NOTFIFO/i_WMA.html
|
|
// TODO: Cannot see any difference between RMA and this
|
|
|
|
const MaxNumOfWWMA = 5_000
|
|
const MaxNumOfWWMATruncateSize = 100
|
|
|
|
//go:generate callbackgen -type WWMA
|
|
type WWMA struct {
|
|
types.SeriesBase
|
|
types.IntervalWindow
|
|
Values floats.Slice
|
|
LastOpenTime time.Time
|
|
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *WWMA) Update(value float64) {
|
|
if len(inc.Values) == 0 {
|
|
inc.SeriesBase.Series = inc
|
|
inc.Values.Push(value)
|
|
return
|
|
} else if len(inc.Values) > MaxNumOfWWMA {
|
|
inc.Values = inc.Values[MaxNumOfWWMATruncateSize-1:]
|
|
}
|
|
|
|
last := inc.Last(0)
|
|
wma := last + (value-last)/float64(inc.Window)
|
|
inc.Values.Push(wma)
|
|
}
|
|
|
|
func (inc *WWMA) Last(i int) float64 {
|
|
return inc.Values.Last(i)
|
|
}
|
|
|
|
func (inc *WWMA) Index(i int) float64 {
|
|
return inc.Last(i)
|
|
}
|
|
|
|
func (inc *WWMA) Length() int {
|
|
return len(inc.Values)
|
|
}
|
|
|
|
func (inc *WWMA) PushK(k types.KLine) {
|
|
inc.Update(k.Close.Float64())
|
|
}
|
|
|
|
func (inc *WWMA) CalculateAndUpdate(allKLines []types.KLine) {
|
|
if len(allKLines) < inc.Window {
|
|
// we can't calculate
|
|
return
|
|
}
|
|
|
|
doable := false
|
|
for _, k := range allKLines {
|
|
if !doable && k.StartTime.After(inc.LastOpenTime) {
|
|
doable = true
|
|
}
|
|
if doable {
|
|
inc.PushK(k)
|
|
inc.LastOpenTime = k.StartTime.Time()
|
|
inc.EmitUpdate(inc.Last(0))
|
|
}
|
|
}
|
|
}
|
|
|
|
func (inc *WWMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.CalculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *WWMA) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|
|
|
|
var _ types.SeriesExtend = &WWMA{}
|