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144 lines
2.9 KiB
Go
144 lines
2.9 KiB
Go
package indicator
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import (
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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/types"
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)
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/*
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boll implements the bollinger indicator:
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The Basics of Bollinger Bands
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- https://www.investopedia.com/articles/technical/102201.asp
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Bollinger Bands
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- https://www.investopedia.com/terms/b/bollingerbands.asp
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Bollinger Bands Technical indicator guide:
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- https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/bollinger-bands
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*/
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//go:generate callbackgen -type BOLL
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type BOLL struct {
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types.IntervalWindow
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// K is the multiplier of Std, generally it's 2
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K float64
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SMA *SMA
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StdDev *StdDev
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UpBand floats.Slice
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DownBand floats.Slice
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EndTime time.Time
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updateCallbacks []func(sma, upBand, downBand float64)
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}
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type BandType int
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func (inc *BOLL) GetUpBand() types.SeriesExtend {
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return types.NewSeries(&inc.UpBand)
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}
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func (inc *BOLL) GetDownBand() types.SeriesExtend {
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return types.NewSeries(&inc.DownBand)
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}
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func (inc *BOLL) GetSMA() types.SeriesExtend {
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return types.NewSeries(inc.SMA)
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}
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func (inc *BOLL) GetStdDev() types.SeriesExtend {
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return inc.StdDev
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}
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func (inc *BOLL) LastUpBand() float64 {
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if len(inc.UpBand) == 0 {
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return 0.0
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}
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return inc.UpBand[len(inc.UpBand)-1]
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}
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func (inc *BOLL) LastDownBand() float64 {
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if len(inc.DownBand) == 0 {
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return 0.0
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}
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return inc.DownBand[len(inc.DownBand)-1]
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}
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func (inc *BOLL) Update(value float64) {
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if inc.SMA == nil {
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inc.SMA = &SMA{IntervalWindow: inc.IntervalWindow}
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}
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if inc.StdDev == nil {
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inc.StdDev = &StdDev{IntervalWindow: inc.IntervalWindow}
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}
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inc.SMA.Update(value)
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inc.StdDev.Update(value)
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var sma = inc.SMA.Last(0)
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var stdDev = inc.StdDev.Last(0)
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var band = inc.K * stdDev
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var upBand = sma + band
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var downBand = sma - band
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inc.UpBand.Push(upBand)
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inc.DownBand.Push(downBand)
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}
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func (inc *BOLL) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
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target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
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}
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func (inc *BOLL) PushK(k types.KLine) {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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return
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}
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inc.Update(k.Close.Float64())
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.SMA.Last(0), inc.UpBand.Last(0), inc.DownBand.Last(0))
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}
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func (inc *BOLL) LoadK(allKLines []types.KLine) {
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for _, k := range allKLines {
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.SMA.Last(0), inc.UpBand.Last(0), inc.DownBand.Last(0))
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}
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func (inc *BOLL) CalculateAndUpdate(allKLines []types.KLine) {
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if inc.SMA == nil {
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inc.LoadK(allKLines)
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return
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}
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var last = allKLines[len(allKLines)-1]
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inc.PushK(last)
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}
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func (inc *BOLL) 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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if inc.EndTime != zeroTime && inc.EndTime.Before(inc.EndTime) {
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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 *BOLL) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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