bbgo_origin/pkg/indicator/sma.go
2020-12-05 13:32:41 +08:00

84 lines
1.6 KiB
Go

package indicator
import (
"fmt"
"time"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/types"
)
type Float64Slice []float64
func (s *Float64Slice) Push(v float64) {
*s = append(*s, v)
}
var zeroTime time.Time
//go:generate callbackgen -type SMA
type SMA struct {
types.IntervalWindow
Values Float64Slice
EndTime time.Time
UpdateCallbacks []func(value float64)
}
func (inc *SMA) Last() float64 {
return inc.Values[len(inc.Values)-1]
}
func (inc *SMA) calculateAndUpdate(kLines []types.KLine) {
if len(kLines) < inc.Window {
return
}
var index = len(kLines) - 1
var kline = kLines[index]
if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
return
}
var recentK = kLines[index-(inc.Window-1) : index+1]
sma, err := calculateSMA(recentK, inc.Window, KLineClosePriceMapper)
if err != nil {
log.WithError(err).Error("SMA error")
return
}
inc.Values.Push(sma)
inc.EndTime = kLines[index].EndTime
inc.EmitUpdate(sma)
}
func (inc *SMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *SMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculateSMA(kLines []types.KLine, window int, priceF KLinePriceMapper) (float64, error) {
length := len(kLines)
if length == 0 || length < window {
return 0.0, fmt.Errorf("insufficient elements for calculating SMA with window = %d", window)
}
sum := 0.0
for _, k := range kLines {
sum += priceF(k)
}
avg := sum / float64(window)
return avg, nil
}