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91 lines
2.1 KiB
Go
91 lines
2.1 KiB
Go
package indicator
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import (
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"time"
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"github.com/c9s/bbgo/pkg/types"
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)
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/*
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vwap implements the volume weighted average price (VWAP) indicator:
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Volume Weighted Average Price (VWAP) Definition
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- https://www.investopedia.com/terms/v/vwap.asp
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Volume-Weighted Average Price (VWAP) Explained
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- https://academy.binance.com/en/articles/volume-weighted-average-price-vwap-explained
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*/
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//go:generate callbackgen -type VWAP
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type VWAP struct {
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types.IntervalWindow
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Values types.Float64Slice
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Prices types.Float64Slice
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Volumes types.Float64Slice
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WeightedSum float64
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VolumeSum float64
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EndTime time.Time
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UpdateCallbacks []func(value float64)
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}
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func (inc *VWAP) Last() float64 {
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if len(inc.Values) == 0 {
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return 0.0
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}
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return inc.Values[len(inc.Values)-1]
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}
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func (inc *VWAP) Update(kLine types.KLine, priceF KLinePriceMapper) {
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price := priceF(kLine)
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volume := kLine.Volume.Float64()
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inc.Prices.Push(price)
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inc.Volumes.Push(volume)
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if inc.Window != 0 && len(inc.Prices) > inc.Window {
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popIndex := len(inc.Prices) - inc.Window - 1
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inc.WeightedSum -= inc.Prices[popIndex] * inc.Volumes[popIndex]
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inc.VolumeSum -= inc.Volumes[popIndex]
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}
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inc.WeightedSum += price * volume
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inc.VolumeSum += volume
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vwap := inc.WeightedSum / inc.VolumeSum
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inc.Values.Push(vwap)
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}
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func (inc *VWAP) calculateAndUpdate(kLines []types.KLine) {
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var priceF = KLineTypicalPriceMapper
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for _, k := range kLines {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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continue
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}
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inc.Update(k, priceF)
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}
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inc.EmitUpdate(inc.Last())
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inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
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}
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func (inc *VWAP) 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.calculateAndUpdate(window)
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}
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func (inc *VWAP) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func CalculateVWAP(klines []types.KLine, priceF KLinePriceMapper, window int) float64 {
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vwap := VWAP{IntervalWindow: types.IntervalWindow{Window: window}}
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for _, k := range klines {
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vwap.Update(k, priceF)
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}
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return vwap.Last()
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}
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