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96 lines
1.9 KiB
Go
96 lines
1.9 KiB
Go
package fmaker
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import (
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"fmt"
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"time"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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var zeroTime time.Time
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type KLineValueMapper func(k types.KLine) float64
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//go:generate callbackgen -type R
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type R struct {
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types.IntervalWindow
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// Values
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Values floats.Slice
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EndTime time.Time
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UpdateCallbacks []func(val float64)
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}
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func (inc *R) 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 *R) 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 end = len(klines) - 1
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var lastKLine = klines[end]
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if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
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return
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}
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var recentT = klines[end-(inc.Window-1) : end+1]
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val, err := calculateR(recentT, indicator.KLineOpenPriceMapper, indicator.KLineClosePriceMapper)
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if err != nil {
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log.WithError(err).Error("can not calculate pivots")
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return
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}
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inc.Values.Push(val)
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if len(inc.Values) > indicator.MaxNumOfVOL {
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inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
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}
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inc.EndTime = klines[end].GetEndTime().Time()
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inc.EmitUpdate(val)
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}
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func (inc *R) 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 *R) Bind(updater indicator.KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func calculateR(klines []types.KLine, valOpen KLineValueMapper, valClose KLineValueMapper) (float64, error) {
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window := 1
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length := len(klines)
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if length == 0 || length < window {
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return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
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}
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var opens floats.Slice
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var closes floats.Slice
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for _, k := range klines {
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opens.Push(valOpen(k))
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closes.Push(valClose(k))
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}
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ret := opens.Index(0)/closes.Index(0) - 1 // delta(1 interval)
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return ret, nil
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}
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