bbgo_origin/pkg/indicator/obv.go

85 lines
1.6 KiB
Go

package indicator
import (
"time"
"github.com/c9s/bbgo/pkg/types"
)
/*
obv implements on-balance volume indicator
On-Balance Volume (OBV) Definition
- https://www.investopedia.com/terms/o/onbalancevolume.asp
*/
//go:generate callbackgen -type OBV
type OBV struct {
types.SeriesBase
types.IntervalWindow
Values types.Float64Slice
PrePrice float64
EndTime time.Time
updateCallbacks []func(value float64)
}
func (inc *OBV) Update(price, volume float64) {
if len(inc.Values) == 0 {
inc.SeriesBase.Series = inc
inc.PrePrice = price
inc.Values.Push(volume)
return
}
if volume < inc.PrePrice {
inc.Values.Push(inc.Last() - volume)
} else {
inc.Values.Push(inc.Last() + volume)
}
}
func (inc *OBV) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *OBV) Index(i int) float64 {
if len(inc.Values)-i <= 0 {
return 0.0
}
return inc.Values[len(inc.Values)-i-1]
}
var _ types.SeriesExtend = &OBV{}
func (inc *OBV) PushK(k types.KLine) {
inc.Update(k.Close.Float64(), k.Volume.Float64())
}
func (inc *OBV) CalculateAndUpdate(kLines []types.KLine) {
for _, k := range kLines {
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
continue
}
inc.PushK(k)
}
inc.EmitUpdate(inc.Last())
inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
}
func (inc *OBV) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.CalculateAndUpdate(window)
}
func (inc *OBV) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}