bbgo_origin/pkg/indicator/boll.go
TonyQ 3e45035ab1 database: sqlite3 issue fix
database: upgrade gosqllite3 version for increasing variable amount limit
	types: update kline starttime/endtime field to prevent sqlite3
	time parsing issue.

	fix #215
2021-12-15 14:34:31 +08:00

130 lines
2.5 KiB
Go

package indicator
import (
"time"
log "github.com/sirupsen/logrus"
"gonum.org/v1/gonum/stat"
"github.com/c9s/bbgo/pkg/types"
)
/*
boll implements the bollinger indicator:
The Basics of Bollinger Bands
- https://www.investopedia.com/articles/technical/102201.asp
Bollinger Bands
- https://www.investopedia.com/terms/b/bollingerbands.asp
Bollinger Bands Technical indicator guide:
- https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/bollinger-bands
*/
//go:generate callbackgen -type BOLL
type BOLL struct {
types.IntervalWindow
// times of Std, generally it's 2
K float64
SMA types.Float64Slice
StdDev types.Float64Slice
UpBand types.Float64Slice
DownBand types.Float64Slice
EndTime time.Time
updateCallbacks []func(sma, upBand, downBand float64)
}
func (inc *BOLL) LastUpBand() float64 {
if len(inc.UpBand) == 0 {
return 0.0
}
return inc.UpBand[len(inc.UpBand)-1]
}
func (inc *BOLL) LastDownBand() float64 {
if len(inc.DownBand) == 0 {
return 0.0
}
return inc.DownBand[len(inc.DownBand)-1]
}
func (inc *BOLL) LastStdDev() float64 {
if len(inc.StdDev) == 0 {
return 0.0
}
return inc.StdDev[len(inc.StdDev)-1]
}
func (inc *BOLL) LastSMA() float64 {
return inc.SMA[len(inc.SMA)-1]
}
func (inc *BOLL) calculateAndUpdate(kLines []types.KLine) {
if len(kLines) < inc.Window {
return
}
var index = len(kLines) - 1
var kline = kLines[index]
if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
return
}
var recentK = kLines[index-(inc.Window-1) : index+1]
sma, err := calculateSMA(recentK, inc.Window, KLineClosePriceMapper)
if err != nil {
log.WithError(err).Error("SMA error")
return
}
inc.SMA.Push(sma)
var prices []float64
for _, k := range recentK {
prices = append(prices, k.Close)
}
var std = stat.StdDev(prices, nil)
inc.StdDev.Push(std)
var band = inc.K * std
var upBand = sma + band
inc.UpBand.Push(upBand)
var downBand = sma - band
inc.DownBand.Push(downBand)
// update end time
inc.EndTime = kLines[index].EndTime.Time()
// log.Infof("update boll: sma=%f, up=%f, down=%f", sma, upBand, downBand)
inc.EmitUpdate(sma, upBand, downBand)
}
func (inc *BOLL) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
if inc.EndTime != zeroTime && inc.EndTime.Before(inc.EndTime) {
return
}
inc.calculateAndUpdate(window)
}
func (inc *BOLL) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}