bbgo_origin/pkg/indicator/supertrend.go
2022-06-07 16:44:15 +08:00

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)
}