bbgo_origin/pkg/indicator/macd.go
2021-05-09 00:56:44 +08:00

95 lines
2.1 KiB
Go

package indicator
import (
"time"
"github.com/c9s/bbgo/pkg/types"
)
/*
macd implements moving average convergence divergence indicator
Moving Average Convergence Divergence (MACD)
- https://www.investopedia.com/terms/m/macd.asp
*/
//go:generate callbackgen -type MACD
type MACD struct {
types.IntervalWindow // 9
ShortPeriod int // 12
LongPeriod int // 26
Values Float64Slice
FastEWMA EWMA
SlowEWMA EWMA
SignalLine EWMA
Histogram Float64Slice
EndTime time.Time
UpdateCallbacks []func(value float64)
}
func (inc *MACD) calculateMACD(kLines []types.KLine, priceF KLinePriceMapper) float64 {
for _, kline := range kLines {
inc.update(kline, priceF)
}
return inc.Values[len(inc.Values)-1]
}
func (inc *MACD) update(kLine types.KLine, priceF KLinePriceMapper) {
if len(inc.Values) == 0 {
inc.FastEWMA = EWMA{IntervalWindow: types.IntervalWindow{Window: inc.ShortPeriod}}
inc.SlowEWMA = EWMA{IntervalWindow: types.IntervalWindow{Window: inc.LongPeriod}}
inc.SignalLine = EWMA{IntervalWindow: types.IntervalWindow{Window: inc.Window}}
}
price := priceF(kLine)
// update fast and slow ema
inc.FastEWMA.Update(price)
inc.SlowEWMA.Update(price)
// update macd
macd := inc.FastEWMA.Last() - inc.SlowEWMA.Last()
inc.Values.Push(macd)
// update signal line
inc.SignalLine.Update(macd)
// update histogram
inc.Histogram.Push(macd - inc.SignalLine.Last())
}
func (inc *MACD) calculateAndUpdate(kLines []types.KLine) {
if len(kLines) == 0 {
return
}
var priceF = KLineClosePriceMapper
var index = len(kLines) - 1
var kline = kLines[index]
if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
return
}
for i, kLine := range kLines {
inc.update(kLine, priceF)
inc.EmitUpdate(inc.Values[len(inc.Values)-1])
inc.EndTime = kLines[i].EndTime
}
}
func (inc *MACD) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *MACD) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}