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101 lines
2.1 KiB
Go
101 lines
2.1 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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//go:generate callbackgen -type S6
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type S6 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 *S6) Last(int) 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 *S6) 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 := calculateS6(recentT, indicator.KLineHighPriceMapper, indicator.KLineLowPriceMapper, indicator.KLineClosePriceMapper, indicator.KLineVolumeMapper)
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if err != nil {
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log.WithError(err).Error("can not calculate")
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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 *S6) 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 *S6) Bind(updater indicator.KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func calculateS6(klines []types.KLine, valHigh KLineValueMapper, valLow KLineValueMapper, valClose KLineValueMapper, valVolume KLineValueMapper) (float64, error) {
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window := 2
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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 highs floats.Slice
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var lows floats.Slice
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var closes floats.Slice
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var volumes floats.Slice
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for _, k := range klines {
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highs.Push(valHigh(k))
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lows.Push(valLow(k))
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closes.Push(valClose(k))
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volumes.Push(valVolume(k))
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}
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H := highs.Last(0)
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L := lows.Last(0)
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C := closes.Last(0)
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V := volumes.Last(0)
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alpha := (H + L + C) / 3 * V
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return alpha, nil
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}
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