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110 lines
2.4 KiB
Go
110 lines
2.4 KiB
Go
package indicator
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import (
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"math"
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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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// Refer: Commodity Channel Index
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// Refer URL: http://www.andrewshamlet.net/2017/07/08/python-tutorial-cci
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// with modification of ddof=0 to let standard deviation to be divided by N instead of N-1
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//go:generate callbackgen -type CCI
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type CCI struct {
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types.SeriesBase
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types.IntervalWindow
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Input floats.Slice
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TypicalPrice floats.Slice
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MA floats.Slice
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Values floats.Slice
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UpdateCallbacks []func(value float64)
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}
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func (inc *CCI) Update(value float64) {
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if len(inc.TypicalPrice) == 0 {
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inc.SeriesBase.Series = inc
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inc.TypicalPrice.Push(value)
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inc.Input.Push(value)
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return
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} else if len(inc.TypicalPrice) > MaxNumOfEWMA {
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inc.TypicalPrice = inc.TypicalPrice[MaxNumOfEWMATruncateSize-1:]
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inc.Input = inc.Input[MaxNumOfEWMATruncateSize-1:]
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}
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inc.Input.Push(value)
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tp := inc.TypicalPrice.Last() - inc.Input.Index(inc.Window) + value
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inc.TypicalPrice.Push(tp)
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if len(inc.Input) < inc.Window {
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return
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}
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ma := tp / float64(inc.Window)
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inc.MA.Push(ma)
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if len(inc.MA) > MaxNumOfEWMA {
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inc.MA = inc.MA[MaxNumOfEWMATruncateSize-1:]
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}
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md := 0.
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for i := 0; i < inc.Window; i++ {
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diff := inc.Input.Index(i) - ma
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md += diff * diff
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}
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md = math.Sqrt(md / float64(inc.Window))
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cci := (value - ma) / (0.015 * md)
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inc.Values.Push(cci)
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if len(inc.Values) > MaxNumOfEWMA {
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inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
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}
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}
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func (inc *CCI) Last() float64 {
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if len(inc.Values) == 0 {
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return 0
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}
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return inc.Values[len(inc.Values)-1]
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}
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func (inc *CCI) Index(i int) float64 {
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if i >= len(inc.Values) {
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return 0
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}
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return inc.Values[len(inc.Values)-1-i]
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}
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func (inc *CCI) Length() int {
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return len(inc.Values)
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}
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var _ types.SeriesExtend = &CCI{}
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func (inc *CCI) PushK(k types.KLine) {
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inc.Update(k.High.Add(k.Low).Add(k.Close).Div(three).Float64())
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}
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func (inc *CCI) CalculateAndUpdate(allKLines []types.KLine) {
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if inc.TypicalPrice.Length() == 0 {
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for _, k := range allKLines {
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inc.PushK(k)
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inc.EmitUpdate(inc.Last())
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}
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} else {
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(inc.Last())
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}
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}
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func (inc *CCI) 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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inc.CalculateAndUpdate(window)
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}
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func (inc *CCI) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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