bbgo_origin/pkg/indicator/zlema.go

83 lines
1.7 KiB
Go

package indicator
import (
"github.com/c9s/bbgo/pkg/types"
)
// Refer: Zero Lag Exponential Moving Average
// Refer URL: https://en.wikipedia.org/wiki/Zero_lag_exponential_moving_average
//go:generate callbackgen -type ZLEMA
type ZLEMA struct {
types.IntervalWindow
data types.Float64Slice
zlema *EWMA
lag int
UpdateCallbacks []func(value float64)
}
func (inc *ZLEMA) Index(i int) float64 {
if inc.zlema == nil {
return 0
}
return inc.zlema.Index(i)
}
func (inc *ZLEMA) Last() float64 {
if inc.zlema == nil {
return 0
}
return inc.zlema.Last()
}
func (inc *ZLEMA) Length() int {
if inc.zlema == nil {
return 0
}
return inc.zlema.Length()
}
func (inc *ZLEMA) Update(value float64) {
if inc.lag == 0 || inc.zlema == nil {
inc.zlema = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
inc.lag = int((float64(inc.Window)-1.)/2. + 0.5)
}
inc.data.Push(value)
if len(inc.data) > MaxNumOfEWMA {
inc.data = inc.data[MaxNumOfEWMATruncateSize-1:]
}
if inc.lag >= inc.data.Length() {
return
}
emaData := 2.*value - inc.data[len(inc.data)-1-inc.lag]
inc.zlema.Update(emaData)
}
var _ types.Series = &ZLEMA{}
func (inc *ZLEMA) calculateAndUpdate(allKLines []types.KLine) {
if inc.zlema == nil {
for _, k := range allKLines {
inc.Update(k.Close.Float64())
inc.EmitUpdate(inc.Last())
}
} else {
inc.Update(allKLines[len(allKLines)-1].Close.Float64())
inc.EmitUpdate(inc.Last())
}
}
func (inc *ZLEMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *ZLEMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}