mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 23:05:15 +00:00
62 lines
1.6 KiB
Go
62 lines
1.6 KiB
Go
package indicatorv2
|
|
|
|
import (
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type KeltnerStream struct {
|
|
types.SeriesBase
|
|
|
|
window, atrLength int
|
|
|
|
EWMA *EWMAStream
|
|
StdDev *StdDevStream
|
|
ATR *ATRStream
|
|
|
|
highPrices, lowPrices, closePrices *PriceStream
|
|
|
|
Mid *types.Float64Series
|
|
FirstUpperBand, FirstLowerBand *types.Float64Series
|
|
SecondUpperBand, SecondLowerBand *types.Float64Series
|
|
ThirdUpperBand, ThirdLowerBand *types.Float64Series
|
|
}
|
|
|
|
func Keltner(source KLineSubscription, window, atrLength int) *KeltnerStream {
|
|
atr := ATR2(source, atrLength)
|
|
|
|
highPrices := HighPrices(source)
|
|
lowPrices := LowPrices(source)
|
|
closePrices := ClosePrices(source)
|
|
ewma := EWMA2(closePrices, window)
|
|
|
|
s := &KeltnerStream{
|
|
window: window,
|
|
atrLength: atrLength,
|
|
highPrices: highPrices,
|
|
lowPrices: lowPrices,
|
|
closePrices: closePrices,
|
|
ATR: atr,
|
|
EWMA: ewma,
|
|
Mid: types.NewFloat64Series(),
|
|
FirstUpperBand: types.NewFloat64Series(),
|
|
FirstLowerBand: types.NewFloat64Series(),
|
|
SecondUpperBand: types.NewFloat64Series(),
|
|
SecondLowerBand: types.NewFloat64Series(),
|
|
ThirdUpperBand: types.NewFloat64Series(),
|
|
ThirdLowerBand: types.NewFloat64Series(),
|
|
}
|
|
|
|
source.AddSubscriber(func(kLine types.KLine) {
|
|
mid := s.EWMA.Last(0)
|
|
atr := s.ATR.Last(0)
|
|
s.Mid.PushAndEmit(mid)
|
|
s.FirstUpperBand.PushAndEmit(mid + atr)
|
|
s.FirstLowerBand.PushAndEmit(mid - atr)
|
|
s.SecondUpperBand.PushAndEmit(mid + 2*atr)
|
|
s.SecondLowerBand.PushAndEmit(mid - 2*atr)
|
|
s.ThirdUpperBand.PushAndEmit(mid + 3*atr)
|
|
s.ThirdLowerBand.PushAndEmit(mid - 3*atr)
|
|
})
|
|
return s
|
|
}
|