mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-15 03:23:52 +00:00
115 lines
2.5 KiB
Go
115 lines
2.5 KiB
Go
package factorzoo
|
|
|
|
import (
|
|
"fmt"
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/datatype/floats"
|
|
"github.com/c9s/bbgo/pkg/indicator"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
// gap jump momentum
|
|
// if the gap between current open price and previous close price gets larger
|
|
// meaning an opening price jump was happened, the larger momentum we get is our alpha, MOM
|
|
|
|
//go:generate callbackgen -type MOM
|
|
type MOM struct {
|
|
types.SeriesBase
|
|
types.IntervalWindow
|
|
|
|
// Values
|
|
Values floats.Slice
|
|
LastValue float64
|
|
|
|
opens *types.Queue
|
|
closes *types.Queue
|
|
|
|
EndTime time.Time
|
|
|
|
UpdateCallbacks []func(val float64)
|
|
}
|
|
|
|
func (inc *MOM) Index(i int) float64 {
|
|
if inc.Values == nil {
|
|
return 0
|
|
}
|
|
return inc.Values.Index(i)
|
|
}
|
|
|
|
func (inc *MOM) Last() float64 {
|
|
if inc.Values.Length() == 0 {
|
|
return 0
|
|
}
|
|
return inc.Values.Last()
|
|
}
|
|
|
|
func (inc *MOM) Length() int {
|
|
if inc.Values == nil {
|
|
return 0
|
|
}
|
|
return inc.Values.Length()
|
|
}
|
|
|
|
//var _ types.SeriesExtend = &MOM{}
|
|
|
|
func (inc *MOM) Update(open, close float64) {
|
|
if inc.SeriesBase.Series == nil {
|
|
inc.SeriesBase.Series = inc
|
|
inc.opens = types.NewQueue(inc.Window)
|
|
inc.closes = types.NewQueue(inc.Window + 1)
|
|
}
|
|
inc.opens.Update(open)
|
|
inc.closes.Update(close)
|
|
if inc.opens.Length() >= inc.Window && inc.closes.Length() >= inc.Window {
|
|
gap := inc.opens.Last()/inc.closes.Index(1) - 1
|
|
inc.Values.Push(gap)
|
|
}
|
|
}
|
|
|
|
func (inc *MOM) CalculateAndUpdate(allKLines []types.KLine) {
|
|
if len(inc.Values) == 0 {
|
|
for _, k := range allKLines {
|
|
inc.PushK(k)
|
|
}
|
|
inc.EmitUpdate(inc.Last())
|
|
} else {
|
|
k := allKLines[len(allKLines)-1]
|
|
inc.PushK(k)
|
|
inc.EmitUpdate(inc.Last())
|
|
}
|
|
}
|
|
|
|
func (inc *MOM) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.CalculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *MOM) Bind(updater indicator.KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|
|
|
|
func (inc *MOM) PushK(k types.KLine) {
|
|
if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
|
|
return
|
|
}
|
|
|
|
inc.Update(k.Open.Float64(), k.Close.Float64())
|
|
inc.EndTime = k.EndTime.Time()
|
|
inc.EmitUpdate(inc.Last())
|
|
}
|
|
|
|
func calculateMomentum(klines []types.KLine, window int, valA KLineValueMapper, valB KLineValueMapper) (float64, error) {
|
|
length := len(klines)
|
|
if length == 0 || length < window {
|
|
return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
|
|
}
|
|
|
|
momentum := (1 - valA(klines[length-1])/valB(klines[length-1])) * -1
|
|
|
|
return momentum, nil
|
|
}
|