mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 17:13:51 +00:00
98 lines
2.1 KiB
Go
98 lines
2.1 KiB
Go
package indicator
|
|
|
|
import (
|
|
"fmt"
|
|
"math"
|
|
"time"
|
|
|
|
log "github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
const MaxNumOfVOL = 5_000
|
|
const MaxNumOfVOLTruncateSize = 100
|
|
|
|
//var zeroTime time.Time
|
|
|
|
//go:generate callbackgen -type VOLATILITY
|
|
type VOLATILITY struct {
|
|
types.IntervalWindow
|
|
Values types.Float64Slice
|
|
EndTime time.Time
|
|
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *VOLATILITY) Last() float64 {
|
|
if len(inc.Values) == 0 {
|
|
return 0.0
|
|
}
|
|
return inc.Values[len(inc.Values)-1]
|
|
}
|
|
|
|
func (inc *VOLATILITY) 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]
|
|
|
|
volatility, err := calculateVOLATILITY(recentT, inc.Window, KLineClosePriceMapper)
|
|
if err != nil {
|
|
log.WithError(err).Error("can not calculate volatility")
|
|
return
|
|
}
|
|
inc.Values.Push(volatility)
|
|
|
|
if len(inc.Values) > MaxNumOfVOL {
|
|
inc.Values = inc.Values[MaxNumOfVOLTruncateSize-1:]
|
|
}
|
|
|
|
inc.EndTime = klines[end].GetEndTime().Time()
|
|
|
|
inc.EmitUpdate(volatility)
|
|
}
|
|
|
|
func (inc *VOLATILITY) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.calculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *VOLATILITY) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|
|
|
|
func calculateVOLATILITY(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 VOL with window = %d", window)
|
|
}
|
|
|
|
sum := 0.0
|
|
for _, k := range klines {
|
|
sum += priceF(k)
|
|
}
|
|
|
|
avg := sum / float64(window)
|
|
sv := 0.0 // sum of variance
|
|
|
|
for _, j := range klines {
|
|
// The use of Pow math function func Pow(x, y float64) float64
|
|
sv += math.Pow(priceF(j)-avg, 2)
|
|
}
|
|
// The use of Sqrt math function func Sqrt(x float64) float64
|
|
sd := math.Sqrt(sv / float64(len(klines)))
|
|
return sd, nil
|
|
}
|