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109 lines
2.5 KiB
Go
109 lines
2.5 KiB
Go
package fmaker
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import (
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"fmt"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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"math"
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"time"
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)
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//go:generate callbackgen -type A3
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type A3 struct {
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types.IntervalWindow
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// Values
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Values types.Float64Slice
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EndTime time.Time
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UpdateCallbacks []func(val float64)
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}
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func (inc *A3) Last() float64 {
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if len(inc.Values) == 0 {
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return 0.0
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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 *A3) calculateAndUpdate(klines []types.KLine) {
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if len(klines) < inc.Window {
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return
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}
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var end = len(klines) - 1
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var lastKLine = klines[end]
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if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
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return
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}
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var recentT = klines[end-(inc.Window-1) : end+1]
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val, err := calculateA3(recentT, KLineLowPriceMapper, KLineHighPriceMapper, indicator.KLineClosePriceMapper)
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if err != nil {
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log.WithError(err).Error("can not calculate pivots")
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return
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}
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inc.Values.Push(val)
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if len(inc.Values) > indicator.MaxNumOfVOL {
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inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
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}
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inc.EndTime = klines[end].GetEndTime().Time()
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inc.EmitUpdate(val)
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}
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func (inc *A3) 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 *A3) Bind(updater indicator.KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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// SUM((CLOSE = DELAY(CLOSE, 1)?0:CLOSE-(CLOSE>DELAY(CLOSE, 1)?MIN(LOW, DELAY(CLOSE, 1)):MAX(HIGH, DELAY(CLOSE, 1)))), 6)
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func calculateA3(klines []types.KLine, valLow KLineValueMapper, valHigh KLineValueMapper, valClose KLineValueMapper) (float64, error) {
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window := 6 + 2
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length := len(klines)
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if length == 0 || length < window {
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return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
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}
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var lows types.Float64Slice
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var highs types.Float64Slice
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var closes types.Float64Slice
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for _, k := range klines {
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lows.Push(valLow(k))
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highs.Push(valHigh(k))
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closes.Push(valClose(k))
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}
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a := 0.
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sumA := 0.
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for i := 1; i <= 6; i++ {
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if closes.Index(len(closes)-i) == closes.Index(len(closes)-i-1) {
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a = 0.
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} else {
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if closes.Index(len(closes)-i) > closes.Index(1) {
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a = closes.Index(len(closes)-i) - math.Min(lows.Index(len(lows)-i), closes.Index(len(closes)-i-1))
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} else {
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a = closes.Index(len(closes)-i) - math.Max(highs.Index(len(highs)-i), closes.Index(len(closes)-i-1))
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}
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}
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sumA += a
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}
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alpha := sumA // sum(a, 6 interval)
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return alpha, nil
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}
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