mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 23:05:15 +00:00
45 lines
1.0 KiB
Go
45 lines
1.0 KiB
Go
package scmaker
|
|
|
|
import (
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/indicator"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type IntensityStream struct {
|
|
*indicator.Float64Series
|
|
|
|
Buy, Sell *indicator.RMAStream
|
|
window int
|
|
}
|
|
|
|
func Intensity(source indicator.KLineSubscription, window int) *IntensityStream {
|
|
s := &IntensityStream{
|
|
Float64Series: indicator.NewFloat64Series(),
|
|
window: window,
|
|
|
|
Buy: indicator.RMA2(indicator.NewFloat64Series(), window, false),
|
|
Sell: indicator.RMA2(indicator.NewFloat64Series(), window, false),
|
|
}
|
|
|
|
threshold := fixedpoint.NewFromFloat(100.0)
|
|
source.AddSubscriber(func(k types.KLine) {
|
|
volume := k.Volume.Float64()
|
|
|
|
// ignore zero volume events or <= 10usd events
|
|
if volume == 0.0 || k.Close.Mul(k.Volume).Compare(threshold) <= 0 {
|
|
return
|
|
}
|
|
|
|
c := k.Close.Compare(k.Open)
|
|
if c > 0 {
|
|
s.Buy.PushAndEmit(volume)
|
|
} else if c < 0 {
|
|
s.Sell.PushAndEmit(volume)
|
|
}
|
|
s.Float64Series.PushAndEmit(k.High.Sub(k.Low).Float64())
|
|
})
|
|
|
|
return s
|
|
}
|