Merge pull request #1181 from c9s/feature/v2indicator

FEATURE: [indicator] add new ATR, RMA indicators with the new API design

Author: c9s

pkg/datatype/floats/funcs_test.go

@@ -15,3 +15,9 @@ func TestHigher(t *testing.T) {
 	out := Higher([]float64{10.0, 11.0, 12.0, 13.0, 15.0}, 12.0)
 	assert.Equal(t, []float64{13.0, 15.0}, out)
 }
+
+func TestLSM(t *testing.T) {
+	slice := Slice{1., 2., 3., 4.}
+	slope := LSM(slice)
+	assert.Equal(t, 1.0, slope)
+}

pkg/datatype/floats/pivot.go

@@ -1,10 +1,10 @@
 package floats
 
 func (s Slice) Pivot(left, right int, f func(a, pivot float64) bool) (float64, bool) {
-	return CalculatePivot(s, left, right, f)
+	return FindPivot(s, left, right, f)
 }
 
-func CalculatePivot(values Slice, left, right int, f func(a, pivot float64) bool) (float64, bool) {
+func FindPivot(values Slice, left, right int, f func(a, pivot float64) bool) (float64, bool) {
 	length := len(values)
 
 	if right == 0 {

pkg/datatype/floats/slice.go

@@ -73,7 +73,10 @@ func (s Slice) Add(b Slice) (c Slice) {
 }
 
 func (s Slice) Sum() (sum float64) {
-	return floats.Sum(s)
+	for _, v := range s {
+		sum += v
+	}
+	return sum
 }
 
 func (s Slice) Mean() (mean float64) {
@@ -97,6 +100,18 @@ func (s Slice) Tail(size int) Slice {
 	return win
 }
 
+func (s Slice) Average() float64 {
+	if len(s) == 0 {
+		return 0.0
+	}
+
+	total := 0.0
+	for _, value := range s {
+		total += value
+	}
+	return total / float64(len(s))
+}
+
 func (s Slice) Diff() (values Slice) {
 	for i, v := range s {
 		if i == 0 {
@@ -171,19 +186,49 @@ func (s Slice) Addr() *Slice {
 func (s Slice) Last() float64 {
 	length := len(s)
 	if length > 0 {
-		return (s)[length-1]
+		return s[length-1]
 	}
 	return 0.0
 }
 
+// Index fetches the element from the end of the slice
+// WARNING: it does not start from 0!!!
 func (s Slice) Index(i int) float64 {
 	length := len(s)
-	if length-i <= 0 || i < 0 {
+	if i < 0 || length-1-i < 0 {
 		return 0.0
 	}
-	return (s)[length-i-1]
+	return s[length-1-i]
 }
 
 func (s Slice) Length() int {
 	return len(s)
 }
+
+func (s Slice) LSM() float64 {
+	return LSM(s)
+}
+
+// LSM is the least squares method for linear regression
+func LSM(values Slice) float64 {
+	var sumX, sumY, sumXSqr, sumXY = .0, .0, .0, .0
+
+	end := len(values) - 1
+	for i := end; i >= 0; i-- {
+		val := values[i]
+		per := float64(end - i + 1)
+		sumX += per
+		sumY += val
+		sumXSqr += per * per
+		sumXY += val * per
+	}
+
+	length := float64(len(values))
+	slope := (length*sumXY - sumX*sumY) / (length*sumXSqr - sumX*sumX)
+
+	average := sumY / length
+	tail := average - slope*sumX/length + slope
+	head := tail + slope*(length-1)
+	slope2 := (tail - head) / (length - 1)
+	return slope2
+}

pkg/indicator/ewmastream_callbacks.go

@@ -1,6 +1,40 @@
 package indicator
 
+import (
+	"github.com/c9s/bbgo/pkg/datatype/floats"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
 //go:generate callbackgen -type Float64Updater
 type Float64Updater struct {
 	updateCallbacks []func(v float64)
 }
+
+type Float64Series struct {
+	types.SeriesBase
+	Float64Updater
+	slice floats.Slice
+}
+
+func NewFloat64Series(v ...float64) Float64Series {
+	s := Float64Series{}
+	s.slice = v
+	s.SeriesBase.Series = s.slice
+	return s
+}
+
+func (f *Float64Series) Last() float64 {
+	return f.slice.Last()
+}
+
+func (f *Float64Series) Index(i int) float64 {
+	length := len(f.slice)
+	if length == 0 || length-i-1 < 0 {
+		return 0
+	}
+	return f.slice[length-i-1]
+}
+
+func (f *Float64Series) Length() int {
+	return len(f.slice)
+}

pkg/indicator/float64updater.go

@@ -64,13 +64,13 @@ func (inc *PivotLow) PushK(k types.KLine) {
 }
 
 func calculatePivotHigh(highs floats.Slice, left, right int) (float64, bool) {
-	return floats.CalculatePivot(highs, left, right, func(a, pivot float64) bool {
+	return floats.FindPivot(highs, left, right, func(a, pivot float64) bool {
 		return a < pivot
 	})
 }
 
 func calculatePivotLow(lows floats.Slice, left, right int) (float64, bool) {
-	return floats.CalculatePivot(lows, left, right, func(a, pivot float64) bool {
+	return floats.FindPivot(lows, left, right, func(a, pivot float64) bool {
 		return a > pivot
 	})
 }

pkg/indicator/float64updater_callbacks.go

@@ -1,7 +1,6 @@
 package indicator
 
 import (
-	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -10,10 +9,8 @@ type KLineSubscription interface {
 }
 
 type PriceStream struct {
-	types.SeriesBase
-	Float64Updater
+	Float64Series
 
-	slice  floats.Slice
 	mapper KLineValueMapper
 }
 
@@ -26,12 +23,16 @@ func Price(source KLineSubscription, mapper KLineValueMapper) *PriceStream {
 
 	source.AddSubscriber(func(k types.KLine) {
 		v := s.mapper(k)
-		s.slice.Push(v)
-		s.EmitUpdate(v)
+		s.PushAndEmit(v)
 	})
 	return s
 }
 
+func (s *PriceStream) PushAndEmit(v float64) {
+	s.slice.Push(v)
+	s.EmitUpdate(v)
+}
+
 func ClosePrices(source KLineSubscription) *PriceStream {
 	return Price(source, KLineClosePriceMapper)
 }

pkg/indicator/macdlegacy.go pkg/indicator/macd.go

@@ -0,0 +1,48 @@
+package indicator
+
+import (
+	"github.com/c9s/bbgo/pkg/datatype/floats"
+)
+
+// SubtractStream subscribes 2 upstream data, and then subtract these 2 values
+type SubtractStream struct {
+	Float64Series
+
+	a, b floats.Slice
+	i    int
+}
+
+// Subtract creates the SubtractStream object
+// subtract := Subtract(longEWMA, shortEWMA)
+func Subtract(a, b Float64Source) *SubtractStream {
+	s := &SubtractStream{
+		Float64Series: NewFloat64Series(),
+	}
+
+	a.OnUpdate(func(v float64) {
+		s.a.Push(v)
+		s.calculate()
+	})
+	b.OnUpdate(func(v float64) {
+		s.b.Push(v)
+		s.calculate()
+	})
+	return s
+}
+
+func (s *SubtractStream) calculate() {
+	if s.a.Length() != s.b.Length() {
+		return
+	}
+
+	if s.a.Length() > s.slice.Length() {
+		var numNewElems = s.a.Length() - s.slice.Length()
+		var tailA = s.a.Tail(numNewElems)
+		var tailB = s.b.Tail(numNewElems)
+		var tailC = tailA.Sub(tailB)
+		for _, f := range tailC {
+			s.slice.Push(f)
+			s.EmitUpdate(f)
+		}
+	}
+}