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78 lines
1.5 KiB
Go
78 lines
1.5 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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// Refer: Running Moving Average
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//go:generate callbackgen -type RMA
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type RMA struct {
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types.IntervalWindow
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Values types.Float64Slice
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Sources types.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 *RMA) Update(x float64) {
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inc.Sources.Push(x)
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if len(inc.Sources) < inc.Window {
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inc.Values.Push(0)
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return
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}
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if len(inc.Sources) == inc.Window {
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inc.Values.Push(inc.Sources.Mean())
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return
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}
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lambda := 1 / float64(inc.Window)
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rma := (1-lambda)*inc.Values.Last() + lambda*x
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inc.Values.Push(rma)
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}
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func (inc *RMA) Last() float64 {
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return inc.Values.Last()
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}
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func (inc *RMA) Index(i int) float64 {
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length := len(inc.Values)
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if length == 0 || length-i-1 < 0 {
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return 0
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}
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return inc.Values[length-i-1]
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}
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func (inc *RMA) Length() int {
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return len(inc.Values)
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}
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var _ types.Series = &RMA{}
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func (inc *RMA) calculateAndUpdate(kLines []types.KLine) {
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for _, k := range kLines {
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if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
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continue
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}
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inc.Update(k.Close.Float64())
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}
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inc.EmitUpdate(inc.Last())
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inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
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}
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func (inc *RMA) 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 *RMA) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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