mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 14:55:16 +00:00
139 lines
3.5 KiB
Go
139 lines
3.5 KiB
Go
package indicator
|
|
|
|
import (
|
|
"math"
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
//go:generate callbackgen -type Supertrend
|
|
type Supertrend struct {
|
|
types.IntervalWindow
|
|
ATRMultiplier float64 `json:"atrMultiplier"`
|
|
|
|
AverageTrueRange *ATR
|
|
|
|
trendPrices types.Float64Slice
|
|
|
|
closePrice float64
|
|
previousClosePrice float64
|
|
uptrendPrice float64
|
|
previousUptrendPrice float64
|
|
downtrendPrice float64
|
|
previousDowntrendPrice float64
|
|
|
|
trend types.Direction
|
|
previousTrend types.Direction
|
|
tradeSignal types.Direction
|
|
|
|
EndTime time.Time
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *Supertrend) Last() float64 {
|
|
return inc.trendPrices.Last()
|
|
}
|
|
|
|
func (inc *Supertrend) Index(i int) float64 {
|
|
length := inc.Length()
|
|
if length == 0 || length-i-1 < 0 {
|
|
return 0
|
|
}
|
|
return inc.trendPrices[length-i-1]
|
|
}
|
|
|
|
func (inc *Supertrend) Length() int {
|
|
return len(inc.trendPrices)
|
|
}
|
|
func (inc *Supertrend) Update(highPrice, lowPrice, closePrice float64) {
|
|
if inc.Window <= 0 {
|
|
panic("window must be greater than 0")
|
|
}
|
|
|
|
// Start with DirectionUp
|
|
if inc.trend != types.DirectionUp && inc.trend != types.DirectionDown {
|
|
inc.trend = types.DirectionUp
|
|
}
|
|
|
|
// Update ATR
|
|
inc.AverageTrueRange.Update(highPrice, lowPrice, closePrice)
|
|
|
|
// Update last prices
|
|
inc.previousUptrendPrice = inc.uptrendPrice
|
|
inc.previousDowntrendPrice = inc.downtrendPrice
|
|
inc.previousClosePrice = inc.closePrice
|
|
inc.previousTrend = inc.trend
|
|
|
|
inc.closePrice = closePrice
|
|
|
|
src := (highPrice + lowPrice) / 2
|
|
|
|
// Update uptrend
|
|
inc.uptrendPrice = src - inc.AverageTrueRange.Last()*inc.ATRMultiplier
|
|
if inc.previousClosePrice > inc.previousUptrendPrice {
|
|
inc.uptrendPrice = math.Max(inc.uptrendPrice, inc.previousUptrendPrice)
|
|
}
|
|
|
|
// Update downtrend
|
|
inc.downtrendPrice = src + inc.AverageTrueRange.Last()*inc.ATRMultiplier
|
|
if inc.previousClosePrice < inc.previousDowntrendPrice {
|
|
inc.downtrendPrice = math.Min(inc.downtrendPrice, inc.previousDowntrendPrice)
|
|
}
|
|
|
|
// Update trend
|
|
if inc.previousTrend == types.DirectionUp && inc.closePrice < inc.previousUptrendPrice {
|
|
inc.trend = types.DirectionDown
|
|
} else if inc.previousTrend == types.DirectionDown && inc.closePrice > inc.previousDowntrendPrice {
|
|
inc.trend = types.DirectionUp
|
|
} else {
|
|
inc.trend = inc.previousTrend
|
|
}
|
|
|
|
// Update signal
|
|
if inc.trend == types.DirectionUp && inc.previousTrend == types.DirectionDown {
|
|
inc.tradeSignal = types.DirectionUp
|
|
} else if inc.trend == types.DirectionDown && inc.previousTrend == types.DirectionUp {
|
|
inc.tradeSignal = types.DirectionDown
|
|
} else {
|
|
inc.tradeSignal = types.DirectionNone
|
|
}
|
|
|
|
// Update trend price
|
|
if inc.trend == types.DirectionDown {
|
|
inc.trendPrices.Push(inc.downtrendPrice)
|
|
} else {
|
|
inc.trendPrices.Push(inc.uptrendPrice)
|
|
}
|
|
}
|
|
|
|
func (inc *Supertrend) GetSignal() types.Direction {
|
|
return inc.tradeSignal
|
|
}
|
|
|
|
var _ types.Series = &Supertrend{}
|
|
|
|
func (inc *Supertrend) calculateAndUpdate(kLines []types.KLine) {
|
|
for _, k := range kLines {
|
|
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
|
|
continue
|
|
}
|
|
inc.Update(k.GetHigh().Float64(), k.GetLow().Float64(), k.GetClose().Float64())
|
|
}
|
|
|
|
inc.EmitUpdate(inc.Last())
|
|
inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
|
|
}
|
|
|
|
func (inc *Supertrend) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.calculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *Supertrend) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|