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89 lines
1.8 KiB
Go
89 lines
1.8 KiB
Go
package indicator
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import (
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"time"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/types"
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)
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// Refer: Welles Wilder's Moving Average
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// Refer URL: http://fxcorporate.com/help/MS/NOTFIFO/i_WMA.html
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// TODO: Cannot see any difference between RMA and this
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const MaxNumOfWWMA = 5_000
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const MaxNumOfWWMATruncateSize = 100
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//go:generate callbackgen -type WWMA
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type WWMA struct {
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types.SeriesBase
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types.IntervalWindow
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Values floats.Slice
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LastOpenTime time.Time
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UpdateCallbacks []func(value float64)
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}
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func (inc *WWMA) Update(value float64) {
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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) > MaxNumOfWWMA {
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inc.Values = inc.Values[MaxNumOfWWMATruncateSize-1:]
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}
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last := inc.Last(0)
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wma := last + (value-last)/float64(inc.Window)
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inc.Values.Push(wma)
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}
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func (inc *WWMA) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *WWMA) Index(i int) float64 {
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return inc.Last(i)
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}
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func (inc *WWMA) Length() int {
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return len(inc.Values)
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}
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func (inc *WWMA) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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}
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func (inc *WWMA) CalculateAndUpdate(allKLines []types.KLine) {
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if len(allKLines) < inc.Window {
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// we can't calculate
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return
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}
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doable := false
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for _, k := range allKLines {
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if !doable && k.StartTime.After(inc.LastOpenTime) {
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doable = true
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}
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if doable {
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inc.PushK(k)
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inc.LastOpenTime = k.StartTime.Time()
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inc.EmitUpdate(inc.Last(0))
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}
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}
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}
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func (inc *WWMA) 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 *WWMA) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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var _ types.SeriesExtend = &WWMA{}
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