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118 lines
3.2 KiB
Go
118 lines
3.2 KiB
Go
package indicator
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import (
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"math"
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"time"
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"github.com/c9s/bbgo/pkg/types"
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)
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type trade struct {
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price float64
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volume float64 // +: buy, -: sell
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timestamp types.Time
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}
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// The Volume Profile is a technical analysis tool that is used to visualize the distribution of trading volume at different price levels
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// in a security. It is typically plotted as a histogram or heatmap on the price chart, with the x-axis representing the price levels and
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// the y-axis representing the trading volume. The Volume Profile can be used to identify areas of support and resistance, as well as
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// potential entry and exit points for trades.
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type VolumeProfile struct {
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types.IntervalWindow
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Delta float64
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profile map[float64]float64
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trades []trade
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minPrice float64
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maxPrice float64
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}
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func (inc *VolumeProfile) Update(price, volume float64, timestamp types.Time) {
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inc.minPrice = math.Inf(1)
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inc.maxPrice = math.Inf(-1)
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if inc.profile == nil {
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inc.profile = make(map[float64]float64)
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}
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inc.profile[math.Round(price/inc.Delta)] += volume
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filter := timestamp.Time().Add(-time.Duration(inc.Window) * inc.Interval.Duration())
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inc.trades = append(inc.trades, trade{
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price: price,
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volume: volume,
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timestamp: timestamp,
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})
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var i int
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for i = 0; i < len(inc.trades); i++ {
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td := inc.trades[i]
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if td.timestamp.After(filter) {
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inc.trades = inc.trades[i:len(inc.trades)]
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break
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}
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inc.profile[math.Round(td.price/inc.Delta)] -= td.volume
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}
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for i = 0; i < len(inc.trades); i++ {
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k := math.Round(inc.trades[i].price / inc.Delta)
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if k < inc.minPrice {
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inc.minPrice = k
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}
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if k > inc.maxPrice {
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inc.maxPrice = k
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}
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}
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}
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// The Point of Control (POC) is a term used in the context of Volume Profile analysis. It refers to the price level at which the most
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// volume has been traded in a security over a specified period of time. The POC is typically identified by looking for the highest
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// peak in the Volume Profile, and is considered to be an important level of support or resistance. It can be used by traders to
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// identify potential entry and exit points for trades, or to confirm other technical analysis signals.
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// Get Resistance Level by finding PoC
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func (inc *VolumeProfile) PointOfControlAboveEqual(price float64, limit ...float64) (resultPrice float64, vol float64) {
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filter := inc.maxPrice
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if len(limit) > 0 {
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filter = limit[0]
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}
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if inc.Delta == 0 {
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panic("Delta for volumeprofile shouldn't be zero")
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}
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start := math.Round(price / inc.Delta)
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vol = math.Inf(-1)
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if start > filter {
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return 0, 0
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}
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for ; start <= filter; start += inc.Delta {
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abs := math.Abs(inc.profile[start])
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if vol < abs {
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vol = abs
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resultPrice = start
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}
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}
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return resultPrice, vol
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}
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// Get Support Level by finding PoC
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func (inc *VolumeProfile) PointOfControlBelowEqual(price float64, limit ...float64) (resultPrice float64, vol float64) {
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filter := inc.minPrice
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if len(limit) > 0 {
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filter = limit[0]
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}
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if inc.Delta == 0 {
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panic("Delta for volumeprofile shouldn't be zero")
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}
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start := math.Round(price / inc.Delta)
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vol = math.Inf(-1)
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if start < filter {
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return 0, 0
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}
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for ; start >= filter; start -= inc.Delta {
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abs := math.Abs(inc.profile[start])
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if vol < abs {
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vol = abs
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resultPrice = start
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}
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}
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return resultPrice, vol
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}
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