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3e45035ab1
database: upgrade gosqllite3 version for increasing variable amount limit types: update kline starttime/endtime field to prevent sqlite3 time parsing issue. fix #215
110 lines
2.5 KiB
Go
110 lines
2.5 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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/*
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vwap implements the volume weighted average price (VWAP) indicator:
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Volume Weighted Average Price (VWAP) Definition
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- https://www.investopedia.com/terms/v/vwap.asp
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Volume-Weighted Average Price (VWAP) Explained
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- https://academy.binance.com/en/articles/volume-weighted-average-price-vwap-explained
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*/
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//go:generate callbackgen -type VWAP
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type VWAP struct {
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types.IntervalWindow
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Values types.Float64Slice
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WeightedSum float64
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VolumeSum float64
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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 *VWAP) calculateVWAP(kLines []types.KLine, priceF KLinePriceMapper) (vwap float64) {
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for i, k := range kLines {
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inc.update(k, priceF, 1.0) // add kline
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// if window size is not zero, then we do not apply sliding window method
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if inc.Window != 0 && len(inc.Values) >= inc.Window {
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inc.update(kLines[i-inc.Window], priceF, -1.0) // pop kline
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}
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vwap = inc.WeightedSum / inc.VolumeSum
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inc.Values.Push(vwap)
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}
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return vwap
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}
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func (inc *VWAP) update(kLine types.KLine, priceF KLinePriceMapper, multiplier float64) {
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// multiplier = 1 or -1
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price := priceF(kLine)
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volume := kLine.Volume
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inc.WeightedSum += multiplier * price * volume
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inc.VolumeSum += multiplier * volume
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}
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func (inc *VWAP) 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 priceF = KLineTypicalPriceMapper
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var dataLen = len(kLines)
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// init the values from the kline data
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var from = 1
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if len(inc.Values) == 0 {
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// for the first value, we should use the close price
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price := priceF(kLines[0])
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volume := kLines[0].Volume
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inc.Values = []float64{price}
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inc.WeightedSum = price * volume
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inc.VolumeSum = volume
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} else {
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// update vwap with the existing values
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for i := dataLen - 1; i > 0; i-- {
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var k = kLines[i]
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if k.EndTime.After(inc.EndTime) {
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from = i
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} else {
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break
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}
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}
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}
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// update vwap
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for i := from; i < dataLen; i++ {
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inc.update(kLines[i], priceF, 1.0) // add kline
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if i >= inc.Window {
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inc.update(kLines[i-inc.Window], priceF, -1.0) // pop kline
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}
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vwap := inc.WeightedSum / inc.VolumeSum
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inc.Values.Push(vwap)
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inc.EmitUpdate(vwap)
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inc.EndTime = kLines[i].EndTime.Time()
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}
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}
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func (inc *VWAP) 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 *VWAP) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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