24 changed files with 647 additions and 227 deletions
@ -0,0 +1,47 @@
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package sig |
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import ( |
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"sig-pub/pkg/indicator" |
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"sig-pub/pkg/types" |
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"sig-pub/pkg/types/series" |
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) |
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// IndicatorState
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// ema, obv 指标递归计算时的状态存储
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type IndicatorState struct { |
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indicator.IIndicatorState |
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kSeries *KlineSeries |
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state map[string]*types.RingSeries[float64] |
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} |
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func NewIndicatorState(kSeries *KlineSeries) *IndicatorState { |
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return &IndicatorState{ |
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kSeries: kSeries, |
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state: make(map[string]*types.RingSeries[float64]), |
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} |
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} |
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func (s *IndicatorState) ring(k string) *types.RingSeries[float64] { |
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ring, ok := s.state[k] |
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if !ok { |
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ring = types.NewRingSeries[float64](indicator.MaxWindow, 8) |
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s.state[k] = ring |
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// 从 kSeries0 开始 calc ind 初始化
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// 递归初始值
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} |
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return ring |
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} |
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func (s *IndicatorState) Set(k string, v float64) { |
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s.ring(k).Push(v) |
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} |
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func (s *IndicatorState) Get(k string, offset int16) (v float64, ok bool) { |
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offset -= 1 |
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return s.ring(k).Get(int(offset)) |
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} |
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func (s *IndicatorState) Series(k string, offset, count int16) (v series.Floats, ok bool) { |
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offset -= 1 |
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return s.ring(k).Series(int(offset), int(count)) |
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} |
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@ -0,0 +1,41 @@
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package indicator |
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import "sig-pub/pkg/types" |
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// OBV 成交量平衡指标
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// 1. 初始状态：OBV_0 = 0。
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// 2. 若 Close_t > Close_{t-1}：OBV_t = OBV_{t-1} + Volume_t。
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// 3. 若 Close_t < Close_{t-1}：OBV_t = OBV_{t-1} - Volume_t。
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// 4. 平盘：OBV_t = OBV_{t-1}。
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// 状态：前一 OBV 值。用于判断资金流入/流出
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type OBV struct { |
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} |
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func (c *OBV) Meta() IndicatorMeta { |
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return IndicatorMeta{ |
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Name: "obv", |
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Input: []types.InputArg{}, // todo 无参指标tsdb存储
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} |
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} |
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func (c *OBV) CandlePeriods(ctx IIndicatorContext) int16 { |
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return 2 |
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} |
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func (c *OBV) Calculate(ctx IIndicatorContext) (vector float64) { |
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obvPrev, ok := ctx.State().Get("obv", 1) |
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if !ok { |
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obvPrev = 0 |
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} |
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k := ctx.Get(0) |
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cmp := k.Close.Cmp(ctx.Get(1).Close) |
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if cmp > 0 { |
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vector = obvPrev + k.VolF64() |
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} else if cmp < 0 { |
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vector = obvPrev - k.VolF64() |
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} else { |
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vector = obvPrev |
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} |
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ctx.State().Set("obv", vector) |
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return |
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} |
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@ -0,0 +1,37 @@
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package indicator |
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import "sig-pub/pkg/types" |
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// WOBV 波动加权 OBV
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// 1. 状态：WOBV_{t-1}。
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// 2. 更新：WOBV_t = WOBV_{t-1} + [ (Close - Open) / (High - Low) × Volume_t ]。
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// https://www.95sca.cn/archives/76688
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// WOBV小策略: https://zhuanlan.zhihu.com/p/422341694
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type WOBV struct { |
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} |
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func (c *WOBV) Meta() IndicatorMeta { |
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return IndicatorMeta{ |
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Name: "wobv", |
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Input: []types.InputArg{}, // todo 无参指标tsdb存储
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} |
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} |
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func (c *WOBV) CandlePeriods(ctx IIndicatorContext) int16 { |
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return 2 |
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} |
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func (c *WOBV) Calculate(ctx IIndicatorContext) (vector float64) { |
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wobvPrev, ok := ctx.State().Get("wobv", 1) |
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if !ok { |
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wobvPrev = 0 |
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} |
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k := ctx.Get(0) |
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wf := (k.CloseF64() - k.OpenF64()) / (k.HighF64() - k.LowF64()) |
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wobv := wobvPrev + wf*k.VolF64() |
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ctx.State().Set("wobv", wobv) |
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vector = wobv |
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return |
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} |
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@ -0,0 +1,69 @@
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package types |
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import "fmt" |
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// RingSeries 环形数组, 后入先出
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type RingSeries[T any] struct { |
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values []T |
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capacity int // 总长度
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length int // 当前长度
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head int // 下一个读取位置
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tail int // 下一个丢弃位置
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full bool // 环形数组是否已满
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} |
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func NewRingSeries[T any](capacity, init int) *RingSeries[T] { |
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if capacity <= 0 { |
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panic(fmt.Errorf("ring series capacity must > 0")) |
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} |
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return &RingSeries[T]{ |
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capacity: capacity, |
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values: make([]T, 0, init), |
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head: -1, |
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} |
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} |
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func (r *RingSeries[T]) Length() int { |
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return r.length |
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} |
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func (r *RingSeries[T]) Push(v T) (ok bool) { |
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if !r.full { |
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r.values = append(r.values, v) |
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r.head++ |
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r.length++ |
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r.full = r.length == r.capacity |
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return |
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} |
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r.values[r.tail] = v |
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r.head = r.tail |
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r.tail = (r.tail + 1) % r.capacity |
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return |
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} |
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// Get 0当前, 1前一个
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func (r *RingSeries[T]) Get(offset int) (v T, ok bool) { |
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if offset < 0 || offset >= r.length || r.length == 0 { |
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return |
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} |
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i := r.head - offset |
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if i < 0 { |
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i = i + r.capacity |
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} |
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return r.values[i], true |
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} |
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func (r *RingSeries[T]) Series(offset, count int) (v []T, ok bool) { |
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if offset < 0 || offset >= r.length || count <= 0 || count > r.length { |
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return |
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} |
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v = make([]T, count) |
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for i := range count { |
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v[i], ok = r.Get(offset) |
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if !ok { |
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return |
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} |
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offset++ |
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} |
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return |
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} |
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@ -0,0 +1,30 @@
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package types |
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import ( |
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"fmt" |
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"testing" |
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) |
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func TestRingSeries(t *testing.T) { |
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rs1 := NewRingSeries[int](1, 1) |
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rs1.Push(1) |
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r1, ok := rs1.Get(0) |
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if !ok { |
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t.Error(ok) |
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return |
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} |
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if r1 != 1 { |
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t.Error(r1) |
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return |
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} |
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rs2 := NewRingSeries[int](10, 3) |
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for i := range 11 { |
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rs2.Push(i) |
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} |
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for i := range 10 { |
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fmt.Println(rs2.Get(i)) |
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} |
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fmt.Println("--------------------") |
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fmt.Println(rs2.Series(0, 1)) |
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} |
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