feature: add cci indicator

pkg/indicator/cci.go

@@ -0,0 +1,102 @@
+package indicator
+
+import (
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// Refer: Commodity Channel Index
+// Refer URL: https://www.investopedia.com/terms/c/commoditychannelindex.asp
+//go:generate callbackgen -type CCI
+type CCI struct {
+	types.IntervalWindow
+	HLC3 types.Float64Slice
+	TypicalPrice types.Float64Slice
+	MA types.Float64Slice
+	Values types.Float64Slice
+
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *CCI) Update(high, low, cloze float64) {
+	if len(inc.TypicalPrice) == 0 {
+		inc.HLC3.Push((high + low + cloze) / 3.)
+		inc.TypicalPrice.Push(inc.HLC3.Last())
+		return
+	} else if len(inc.TypicalPrice) > MaxNumOfEWMA {
+		inc.TypicalPrice = inc.TypicalPrice[MaxNumOfEWMATruncateSize-1:]
+		inc.HLC3 = inc.HLC3[MaxNumOfEWMATruncateSize-1:]
+	}
+
+	hlc3 := (high + low + cloze) / 3.
+	tp := inc.TypicalPrice.Last() - inc.HLC3.Index(inc.Window) + hlc3
+	inc.TypicalPrice.Push(tp)
+	if len(inc.TypicalPrice) < inc.Window {
+		return
+	}
+	ma := 0.
+	for i := 0; i < inc.Window; i++ {
+		ma += inc.TypicalPrice.Index(i)
+	}
+	ma /= float64(inc.Window)
+	inc.MA.Push(ma)
+	if len(inc.MA) < MaxNumOfEWMA {
+		inc.MA = inc.MA[MaxNumOfEWMATruncateSize-1:]
+	}
+	md := 0.
+	for i := 0; i < inc.Window; i++ {
+		md += inc.TypicalPrice.Index(i) - inc.MA.Index(i)
+	}
+	md /= float64(inc.Window)
+
+	cci := (tp - ma) / (0.15 * md)
+
+	inc.Values.Push(cci)
+	if len(inc.Values) > MaxNumOfEWMA {
+		inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
+	}
+}
+
+func (inc *CCI) Last() float64 {
+	if len(inc.Values) == 0 {
+		return 0
+	}
+	return inc.Values[len(inc.Values) - 1]
+}
+
+func (inc *CCI) Index(i int) float64 {
+	if i >= len(inc.Values) {
+		return 0
+	}
+	return inc.Values[len(inc.Values)-1-i]
+}
+
+func (inc *CCI) Length() int {
+	return len(inc.Values)
+}
+
+var _ types.Series = &CCI{}
+
+func (inc *CCI) calculateAndUpdate(allKLines []types.KLine) {
+	if inc.HLC3.Length() == 0 {
+		for _, k := range allKLines {
+			inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+			inc.EmitUpdate(inc.Last())
+		}
+	} else {
+		k := allKLines[len(allKLines)-1]
+		inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+		inc.EmitUpdate(inc.Last())
+	}
+}
+
+func (inc *CCI) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *CCI) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}