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bdb04a4322
re-format
108 lines
2.1 KiB
Go
108 lines
2.1 KiB
Go
package factorzoo
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import (
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"fmt"
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"time"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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log "github.com/sirupsen/logrus"
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)
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//go:generate callbackgen -type MOM
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type MOM struct {
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types.SeriesBase
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types.IntervalWindow
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// Values
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Values types.Float64Slice
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LastValue float64
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EndTime time.Time
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UpdateCallbacks []func(val float64)
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}
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func (inc *MOM) Index(i int) float64 {
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if inc.Values == nil {
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return 0
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}
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return inc.Values.Index(i)
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}
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func (inc *MOM) Last() float64 {
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if inc.Values.Length() == 0 {
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return 0
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}
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return inc.Values.Last()
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}
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func (inc *MOM) Length() int {
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if inc.Values == nil {
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return 0
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}
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return inc.Values.Length()
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}
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//var _ types.SeriesExtend = &MOM{}
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func (inc *MOM) Update(klines []types.KLine) {
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if inc.Values == nil {
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inc.SeriesBase.Series = inc
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}
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if len(klines) < inc.Window {
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return
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}
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var end = len(klines) - 1
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var lastKLine = klines[end]
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if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
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return
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}
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var recentT = klines[end-(inc.Window-1) : end+1]
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val, err := calculateMomentum(recentT, inc.Window, indicator.KLineOpenPriceMapper, indicator.KLineClosePriceMapper)
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if err != nil {
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log.WithError(err).Error("can not calculate")
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return
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}
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inc.Values.Push(val)
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inc.LastValue = val
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if len(inc.Values) > indicator.MaxNumOfVOL {
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inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
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}
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inc.EndTime = klines[end].GetEndTime().Time()
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inc.EmitUpdate(val)
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}
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func (inc *MOM) 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.Update(window)
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}
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func (inc *MOM) Bind(updater indicator.KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func calculateMomentum(klines []types.KLine, window int, valA KLineValueMapper, valB KLineValueMapper) (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 VOL with window = %d", window)
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}
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momentum := (1 - valA(klines[length-1])/valB(klines[length-1])) * -1
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return momentum, nil
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}
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