111 lines
2.4 KiB
Go
111 lines
2.4 KiB
Go
package indicator
|
|
|
|
import (
|
|
"fmt"
|
|
"math"
|
|
"time"
|
|
|
|
log "github.com/sirupsen/logrus"
|
|
|
|
"git.qtrade.icu/lychiyu/qbtrade/pkg/datatype/floats"
|
|
"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
|
|
)
|
|
|
|
const MaxNumOfVOL = 5_000
|
|
const MaxNumOfVOLTruncateSize = 100
|
|
|
|
// var zeroTime time.Time
|
|
|
|
//go:generate callbackgen -type Volatility
|
|
type Volatility struct {
|
|
types.SeriesBase
|
|
types.IntervalWindow
|
|
Values floats.Slice
|
|
EndTime time.Time
|
|
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *Volatility) Last(i int) float64 {
|
|
return inc.Values.Last(i)
|
|
}
|
|
|
|
func (inc *Volatility) Index(i int) float64 {
|
|
return inc.Last(i)
|
|
}
|
|
|
|
func (inc *Volatility) Length() int {
|
|
return len(inc.Values)
|
|
}
|
|
|
|
var _ types.SeriesExtend = &Volatility{}
|
|
|
|
func (inc *Volatility) CalculateAndUpdate(allKLines []types.KLine) {
|
|
if len(allKLines) < inc.Window {
|
|
return
|
|
}
|
|
|
|
var end = len(allKLines) - 1
|
|
var lastKLine = allKLines[end]
|
|
|
|
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
|
|
return
|
|
}
|
|
|
|
if len(inc.Values) == 0 {
|
|
inc.SeriesBase.Series = inc
|
|
}
|
|
|
|
var recentT = allKLines[end-(inc.Window-1) : end+1]
|
|
|
|
volatility, err := calculateVOLATILITY(recentT, inc.Window, types.KLineClosePriceMapper)
|
|
if err != nil {
|
|
log.WithError(err).Error("can not calculate volatility")
|
|
return
|
|
}
|
|
inc.Values.Push(volatility)
|
|
|
|
if len(inc.Values) > MaxNumOfVOL {
|
|
inc.Values = inc.Values[MaxNumOfVOLTruncateSize-1:]
|
|
}
|
|
|
|
inc.EndTime = allKLines[end].GetEndTime().Time()
|
|
|
|
inc.EmitUpdate(volatility)
|
|
}
|
|
|
|
func (inc *Volatility) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.CalculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *Volatility) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|
|
|
|
func calculateVOLATILITY(klines []types.KLine, window int, priceF types.KLineValueMapper) (float64, error) {
|
|
length := len(klines)
|
|
if length == 0 || length < window {
|
|
return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
|
|
}
|
|
|
|
sum := 0.0
|
|
for _, k := range klines {
|
|
sum += priceF(k)
|
|
}
|
|
|
|
avg := sum / float64(window)
|
|
sv := 0.0 // sum of variance
|
|
|
|
for _, j := range klines {
|
|
// The use of Pow math function func Pow(x, y float64) float64
|
|
sv += math.Pow(priceF(j)-avg, 2)
|
|
}
|
|
// The use of Sqrt math function func Sqrt(x float64) float64
|
|
sd := math.Sqrt(sv / float64(len(klines)))
|
|
return sd, nil
|
|
}
|