mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-23 15:25:14 +00:00
96 lines
2.2 KiB
Go
96 lines
2.2 KiB
Go
package fmaker
|
|
|
|
import (
|
|
"fmt"
|
|
"math"
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/indicator"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
//go:generate callbackgen -type S2
|
|
type S2 struct {
|
|
types.IntervalWindow
|
|
Values types.Float64Slice
|
|
EndTime time.Time
|
|
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *S2) Last() float64 {
|
|
if len(inc.Values) == 0 {
|
|
return 0.0
|
|
}
|
|
return inc.Values[len(inc.Values)-1]
|
|
}
|
|
|
|
func (inc *S2) calculateAndUpdate(klines []types.KLine) {
|
|
if len(klines) < inc.Window {
|
|
return
|
|
}
|
|
|
|
var end = len(klines) - 1
|
|
var lastKLine = klines[end]
|
|
|
|
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
|
|
return
|
|
}
|
|
|
|
var recentT = klines[end-(inc.Window-1) : end+1]
|
|
|
|
correlation, err := calculateS2(recentT, inc.Window, indicator.KLineOpenPriceMapper, indicator.KLineVolumeMapper)
|
|
if err != nil {
|
|
log.WithError(err).Error("can not calculate correlation")
|
|
return
|
|
}
|
|
inc.Values.Push(correlation)
|
|
|
|
if len(inc.Values) > indicator.MaxNumOfVOL {
|
|
inc.Values = inc.Values[indicator.MaxNumOfVOLTruncateSize-1:]
|
|
}
|
|
|
|
inc.EndTime = klines[end].GetEndTime().Time()
|
|
|
|
inc.EmitUpdate(correlation)
|
|
}
|
|
|
|
func (inc *S2) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.calculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *S2) Bind(updater indicator.KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|
|
|
|
func calculateS2(klines []types.KLine, window int, valA KLineValueMapper, valB KLineValueMapper) (float64, error) {
|
|
length := len(klines)
|
|
if length == 0 || length < window {
|
|
return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
|
|
}
|
|
|
|
sumA, sumB, sumAB, squareSumA, squareSumB := 0., 0., 0., 0., 0.
|
|
for _, k := range klines {
|
|
// sum of elements of array A
|
|
sumA += valA(k)
|
|
// sum of elements of array B
|
|
sumB += valB(k)
|
|
|
|
// sum of A[i] * B[i].
|
|
sumAB = sumAB + valA(k)*valB(k)
|
|
|
|
// sum of square of array elements.
|
|
squareSumA = squareSumA + valA(k)*valA(k)
|
|
squareSumB = squareSumB + valB(k)*valB(k)
|
|
}
|
|
// use formula for calculating correlation coefficient.
|
|
corr := (float64(window)*sumAB - sumA*sumB) /
|
|
math.Sqrt((float64(window)*squareSumA-sumA*sumA)*(float64(window)*squareSumB-sumB*sumB))
|
|
|
|
return -corr, nil
|
|
}
|