mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 08:11:08 +00:00
64 lines
1.3 KiB
Go
64 lines
1.3 KiB
Go
package indicator
|
|
|
|
import (
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
// Refer: Cumulative Moving Average, Cumulative Average
|
|
// Refer: https://en.wikipedia.org/wiki/Moving_average
|
|
//go:generate callbackgen -type CA
|
|
type CA struct {
|
|
Interval types.Interval
|
|
Values types.Float64Slice
|
|
length float64
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *CA) Update(x float64) {
|
|
newVal := (inc.Values.Last()*inc.length + x) / (inc.length + 1.)
|
|
inc.length += 1
|
|
inc.Values.Push(newVal)
|
|
if len(inc.Values) > MaxNumOfEWMA {
|
|
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
|
|
}
|
|
}
|
|
|
|
func (inc *CA) Last() float64 {
|
|
if len(inc.Values) == 0 {
|
|
return 0
|
|
}
|
|
return inc.Values[len(inc.Values)-1]
|
|
}
|
|
|
|
func (inc *CA) Index(i int) float64 {
|
|
if i >= len(inc.Values) {
|
|
return 0
|
|
}
|
|
return inc.Values[len(inc.Values)-1-i]
|
|
}
|
|
|
|
func (inc *CA) Length() int {
|
|
return len(inc.Values)
|
|
}
|
|
|
|
var _ types.Series = &CA{}
|
|
|
|
func (inc *CA) calculateAndUpdate(allKLines []types.KLine) {
|
|
for _, k := range allKLines {
|
|
inc.Update(k.Close.Float64())
|
|
inc.EmitUpdate(inc.Last())
|
|
}
|
|
}
|
|
|
|
func (inc *CA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.calculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *CA) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|