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106 lines
2.3 KiB
Go
106 lines
2.3 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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// These numbers should be aligned with bbgo MaxNumOfKLines and MaxNumOfKLinesTruncate
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const MaxNumOfEWMA = 5_000
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const MaxNumOfEWMATruncateSize = 100
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//go:generate callbackgen -type EWMA
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type EWMA struct {
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types.IntervalWindow
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types.SeriesBase
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Values types.Float64Slice
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LastOpenTime time.Time
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updateCallbacks []func(value float64)
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}
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var _ types.SeriesExtend = &EWMA{}
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func (inc *EWMA) Update(value float64) {
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var multiplier = 2.0 / float64(1+inc.Window)
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if len(inc.Values) == 0 {
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inc.SeriesBase.Series = inc
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inc.Values.Push(value)
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return
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} else if len(inc.Values) > MaxNumOfEWMA {
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inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
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}
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ema := (1-multiplier)*inc.Last() + multiplier*value
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inc.Values.Push(ema)
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}
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func (inc *EWMA) Last() float64 {
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if len(inc.Values) == 0 {
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return 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 *EWMA) Index(i int) float64 {
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if i >= len(inc.Values) {
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return 0
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}
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return inc.Values[len(inc.Values)-1-i]
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}
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func (inc *EWMA) Length() int {
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return len(inc.Values)
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}
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func (inc *EWMA) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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inc.LastOpenTime = k.StartTime.Time()
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}
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func (inc *EWMA) CalculateAndUpdate(allKLines []types.KLine) {
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if len(inc.Values) == 0 {
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for _, k := range allKLines {
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.Last())
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} else {
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(inc.Last())
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}
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}
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func (inc *EWMA) 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 *EWMA) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func CalculateKLinesEMA(allKLines []types.KLine, priceF KLinePriceMapper, window int) float64 {
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var multiplier = 2.0 / (float64(window) + 1)
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return ewma(MapKLinePrice(allKLines, priceF), multiplier)
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}
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// see https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
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func ewma(prices []float64, multiplier float64) float64 {
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var end = len(prices) - 1
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if end == 0 {
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return prices[0]
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}
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return prices[end]*multiplier + (1-multiplier)*ewma(prices[:end], multiplier)
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}
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