bbgo_origin/pkg/indicator/sma.go
2022-07-21 01:05:08 +08:00

118 lines
2.3 KiB
Go

package indicator
import (
"fmt"
"time"
"github.com/c9s/bbgo/pkg/types"
)
const MaxNumOfSMA = 5_000
const MaxNumOfSMATruncateSize = 100
//go:generate callbackgen -type SMA
type SMA struct {
types.SeriesBase
types.IntervalWindow
Values types.Float64Slice
rawValues *types.Queue
EndTime time.Time
UpdateCallbacks []func(value float64)
}
func (inc *SMA) Last() float64 {
if inc.Values.Length() == 0 {
return 0.0
}
return inc.Values.Last()
}
func (inc *SMA) Index(i int) float64 {
if i >= inc.Values.Length() {
return 0.0
}
return inc.Values.Index(i)
}
func (inc *SMA) Length() int {
return inc.Values.Length()
}
var _ types.SeriesExtend = &SMA{}
func (inc *SMA) Update(value float64) {
if inc.rawValues == nil {
inc.rawValues = types.NewQueue(inc.Window)
inc.SeriesBase.Series = inc
}
inc.rawValues.Update(value)
if inc.rawValues.Length() < inc.Window {
return
}
inc.Values.Push(types.Mean(inc.rawValues))
}
func (inc *SMA) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
}
func (inc *SMA) PushK(k types.KLine) {
if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
return
}
inc.Update(k.Close.Float64())
inc.EndTime = k.EndTime.Time()
inc.EmitUpdate(inc.Values.Last())
}
func (inc *SMA) LoadK(allKLines []types.KLine) {
for _, k := range allKLines {
inc.PushK(k)
}
}
func (inc *SMA) CalculateAndUpdate(allKLines []types.KLine) {
if inc.rawValues == nil {
inc.LoadK(allKLines)
} else {
var last = allKLines[len(allKLines)-1]
inc.PushK(last)
}
}
func (inc *SMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.CalculateAndUpdate(window)
}
func (inc *SMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculateSMA(kLines []types.KLine, window int, priceF KLinePriceMapper) (float64, error) {
length := len(kLines)
if length == 0 || length < window {
return 0.0, fmt.Errorf("insufficient elements for calculating SMA with window = %d", window)
}
if length != window {
return 0.0, fmt.Errorf("too much klines passed in, requires only %d klines", window)
}
sum := 0.0
for _, k := range kLines {
sum += priceF(k)
}
avg := sum / float64(window)
return avg, nil
}