mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-27 01:05:15 +00:00
68 lines
1.3 KiB
Go
68 lines
1.3 KiB
Go
package indicator
|
|
|
|
import (
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
/*
|
|
obv implements on-balance volume indicator
|
|
|
|
On-Balance Volume (OBV) Definition
|
|
- https://www.investopedia.com/terms/o/onbalancevolume.asp
|
|
*/
|
|
//go:generate callbackgen -type OBV
|
|
type OBV struct {
|
|
types.IntervalWindow
|
|
Values types.Float64Slice
|
|
PrePrice float64
|
|
|
|
EndTime time.Time
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *OBV) Update(price, volume float64) {
|
|
if len(inc.Values) == 0 {
|
|
inc.PrePrice = price
|
|
inc.Values.Push(volume)
|
|
return
|
|
}
|
|
|
|
if volume < inc.PrePrice {
|
|
inc.Values.Push(inc.Last() - volume)
|
|
} else {
|
|
inc.Values.Push(inc.Last() + volume)
|
|
}
|
|
}
|
|
|
|
func (inc *OBV) Last() float64 {
|
|
if len(inc.Values) == 0 {
|
|
return 0.0
|
|
}
|
|
return inc.Values[len(inc.Values)-1]
|
|
}
|
|
|
|
func (inc *OBV) calculateAndUpdate(kLines []types.KLine) {
|
|
for _, k := range kLines {
|
|
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
|
|
continue
|
|
}
|
|
inc.Update(k.Close.Float64(), k.Volume.Float64())
|
|
}
|
|
inc.EmitUpdate(inc.Last())
|
|
inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
|
|
}
|
|
|
|
func (inc *OBV) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.calculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *OBV) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|