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131 lines
2.4 KiB
Go
131 lines
2.4 KiB
Go
package indicator
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import (
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"fmt"
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"math"
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"time"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/types"
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)
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type Float64Slice []float64
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func (s *Float64Slice) Push(v float64) {
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*s = append(*s, v)
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}
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func (s *Float64Slice) Pop(i int64) (v float64) {
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v = (*s)[i]
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*s = append((*s)[:i], (*s)[i+1:]...)
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return v
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}
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func (s Float64Slice) Max() float64 {
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m := -math.MaxFloat64
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for _, v := range s {
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m = math.Max(m, v)
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}
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return m
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}
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func (s Float64Slice) Min() float64 {
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m := math.MaxFloat64
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for _, v := range s {
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m = math.Min(m, v)
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}
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return m
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}
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func (s Float64Slice) Sum() (sum float64) {
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for _, v := range s {
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sum += v
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}
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return sum
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}
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func (s Float64Slice) Mean() (mean float64) {
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return s.Sum() / float64(len(s))
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}
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func (s Float64Slice) Tail(size int) Float64Slice {
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length := len(s)
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if length <= size {
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win := make(Float64Slice, length)
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copy(win, s)
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return win
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}
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win := make(Float64Slice, size)
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copy(win, s[length-size:])
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return win
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}
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var zeroTime time.Time
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//go:generate callbackgen -type SMA
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type SMA struct {
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types.IntervalWindow
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Values Float64Slice
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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 *SMA) Last() float64 {
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return inc.Values[len(inc.Values)-1]
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}
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func (inc *SMA) calculateAndUpdate(kLines []types.KLine) {
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if len(kLines) < inc.Window {
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return
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}
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var index = len(kLines) - 1
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var kline = kLines[index]
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if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
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return
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}
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var recentK = kLines[index-(inc.Window-1) : index+1]
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sma, err := calculateSMA(recentK, inc.Window, KLineClosePriceMapper)
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if err != nil {
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log.WithError(err).Error("SMA error")
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return
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}
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inc.Values.Push(sma)
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inc.EndTime = kLines[index].EndTime
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inc.EmitUpdate(sma)
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}
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func (inc *SMA) 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 *SMA) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func calculateSMA(kLines []types.KLine, window int, priceF KLinePriceMapper) (float64, error) {
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length := len(kLines)
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if length == 0 || length < window {
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return 0.0, fmt.Errorf("insufficient elements for calculating SMA with window = %d", window)
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}
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sum := 0.0
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for _, k := range kLines {
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sum += priceF(k)
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}
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avg := sum / float64(window)
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return avg, nil
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}
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