mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-14 02:53:50 +00:00
3e45035ab1
database: upgrade gosqllite3 version for increasing variable amount limit types: update kline starttime/endtime field to prevent sqlite3 time parsing issue. fix #215
110 lines
2.5 KiB
Go
110 lines
2.5 KiB
Go
package indicator
|
|
|
|
import (
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
/*
|
|
vwap implements the volume weighted average price (VWAP) indicator:
|
|
|
|
Volume Weighted Average Price (VWAP) Definition
|
|
- https://www.investopedia.com/terms/v/vwap.asp
|
|
|
|
Volume-Weighted Average Price (VWAP) Explained
|
|
- https://academy.binance.com/en/articles/volume-weighted-average-price-vwap-explained
|
|
*/
|
|
//go:generate callbackgen -type VWAP
|
|
type VWAP struct {
|
|
types.IntervalWindow
|
|
Values types.Float64Slice
|
|
WeightedSum float64
|
|
VolumeSum float64
|
|
EndTime time.Time
|
|
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *VWAP) calculateVWAP(kLines []types.KLine, priceF KLinePriceMapper) (vwap float64) {
|
|
for i, k := range kLines {
|
|
inc.update(k, priceF, 1.0) // add kline
|
|
|
|
// if window size is not zero, then we do not apply sliding window method
|
|
if inc.Window != 0 && len(inc.Values) >= inc.Window {
|
|
inc.update(kLines[i-inc.Window], priceF, -1.0) // pop kline
|
|
}
|
|
vwap = inc.WeightedSum / inc.VolumeSum
|
|
inc.Values.Push(vwap)
|
|
}
|
|
|
|
return vwap
|
|
}
|
|
|
|
func (inc *VWAP) update(kLine types.KLine, priceF KLinePriceMapper, multiplier float64) {
|
|
// multiplier = 1 or -1
|
|
price := priceF(kLine)
|
|
volume := kLine.Volume
|
|
|
|
inc.WeightedSum += multiplier * price * volume
|
|
inc.VolumeSum += multiplier * volume
|
|
}
|
|
|
|
func (inc *VWAP) calculateAndUpdate(kLines []types.KLine) {
|
|
if len(kLines) < inc.Window {
|
|
return
|
|
}
|
|
|
|
var priceF = KLineTypicalPriceMapper
|
|
var dataLen = len(kLines)
|
|
|
|
// init the values from the kline data
|
|
var from = 1
|
|
if len(inc.Values) == 0 {
|
|
// for the first value, we should use the close price
|
|
price := priceF(kLines[0])
|
|
volume := kLines[0].Volume
|
|
|
|
inc.Values = []float64{price}
|
|
inc.WeightedSum = price * volume
|
|
inc.VolumeSum = volume
|
|
} else {
|
|
// update vwap with the existing values
|
|
for i := dataLen - 1; i > 0; i-- {
|
|
var k = kLines[i]
|
|
if k.EndTime.After(inc.EndTime) {
|
|
from = i
|
|
} else {
|
|
break
|
|
}
|
|
}
|
|
}
|
|
|
|
// update vwap
|
|
for i := from; i < dataLen; i++ {
|
|
inc.update(kLines[i], priceF, 1.0) // add kline
|
|
|
|
if i >= inc.Window {
|
|
inc.update(kLines[i-inc.Window], priceF, -1.0) // pop kline
|
|
}
|
|
vwap := inc.WeightedSum / inc.VolumeSum
|
|
|
|
inc.Values.Push(vwap)
|
|
inc.EmitUpdate(vwap)
|
|
|
|
inc.EndTime = kLines[i].EndTime.Time()
|
|
}
|
|
}
|
|
|
|
func (inc *VWAP) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.calculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *VWAP) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|