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123 lines
2.4 KiB
Go
123 lines
2.4 KiB
Go
package indicator
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import (
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"fmt"
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"time"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/types"
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)
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const MaxNumOfSMA = 5_000
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const MaxNumOfSMATruncateSize = 100
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var zeroTime time.Time
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//go:generate callbackgen -type SMA
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type SMA struct {
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types.SeriesBase
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types.IntervalWindow
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Values types.Float64Slice
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Cache types.Float64Slice
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EndTime time.Time
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UpdateCallbacks []func(value float64)
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}
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func (inc *SMA) 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 *SMA) Index(i int) float64 {
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length := len(inc.Values)
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if length == 0 || length-i-1 < 0 {
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return 0.0
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}
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return inc.Values[length-i-1]
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}
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func (inc *SMA) Length() int {
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return len(inc.Values)
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}
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var _ types.SeriesExtend = &SMA{}
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func (inc *SMA) Update(value float64) {
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if len(inc.Cache) < inc.Window {
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if len(inc.Cache) == 0 {
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inc.SeriesBase.Series = inc
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}
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inc.Cache = append(inc.Cache, value)
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if len(inc.Cache) == inc.Window {
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inc.Values = append(inc.Values, types.Mean(&inc.Cache))
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}
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return
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}
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length := len(inc.Values)
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newVal := (inc.Values[length-1]*float64(inc.Window-1) + value) / float64(inc.Window)
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inc.Values = append(inc.Values, newVal)
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}
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func (inc *SMA) 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 index = len(kLines) - 1
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var kline = kLines[index]
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if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
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return
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}
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var recentK = kLines[index-(inc.Window-1) : index+1]
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sma, err := calculateSMA(recentK, inc.Window, KLineClosePriceMapper)
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if err != nil {
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log.WithError(err).Error("SMA error")
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return
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}
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inc.Values.Push(sma)
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if len(inc.Values) > MaxNumOfSMA {
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inc.Values = inc.Values[MaxNumOfSMATruncateSize-1:]
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}
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inc.EndTime = kLines[index].EndTime.Time()
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inc.EmitUpdate(sma)
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}
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func (inc *SMA) 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 *SMA) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func calculateSMA(kLines []types.KLine, window int, priceF KLinePriceMapper) (float64, error) {
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length := len(kLines)
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if length == 0 || length < window {
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return 0.0, fmt.Errorf("insufficient elements for calculating SMA with window = %d", window)
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}
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sum := 0.0
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for _, k := range kLines {
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sum += priceF(k)
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}
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avg := sum / float64(window)
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return avg, nil
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}
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