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FilterEMA.go
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FilterEMA.go
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package filters
import (
"strconv"
"time"
"github.com/diadata-org/diadata/pkg/dia"
log "github.com/sirupsen/logrus"
)
// FilterEMA is the struct for a moving average filter implementing
// the Filter interface.
type FilterEMA struct {
asset dia.Asset
exchange string
currentTime time.Time
previousPrices []float64
previousVolumes []float64
lastTrade *dia.FilterPoint
param int
value float64
modified bool
filterName string
multiplier float64
}
// NewFilterEMA returns a moving average filter.
func NewFilterEMA(asset dia.Asset, exchange string, currentTime time.Time, blockSize int) *FilterEMA {
s := &FilterEMA{
asset: asset,
exchange: exchange,
previousPrices: []float64{},
previousVolumes: []float64{},
currentTime: currentTime,
filterName: "EMA" + strconv.Itoa(blockSize),
multiplier: 2 / (float64(blockSize) + 1),
param: blockSize,
}
return s
}
func (s *FilterEMA) Compute(trade dia.FilterPoint) {
s.compute(trade)
}
func (s *FilterEMA) compute(trade dia.FilterPoint) {
s.modified = true
if s.lastTrade != nil {
if trade.Time.After(s.currentTime) {
log.Errorln("FilterMA: Ignoring Trade out of order ", s.currentTime, trade.Time)
return
}
s.fill(trade.Time, *s.lastTrade)
}
s.fill(trade.Time, trade)
log.Println("FilterEMA compute: filled order ", s.currentTime, trade)
s.lastTrade = &trade
}
func (e *FilterEMA) fill(t time.Time, trade dia.FilterPoint) {
log.Println("FilterEMA fill ", trade)
log.Println("FilterEMA time ", t)
log.Println("FilterEMA e.multiplier ", e.multiplier)
log.Println("FilterEMA e.value ", e.value)
e.currentTime = trade.Time
if e.value == 0 { // this is a proxy for "uninitialized"
e.value = trade.Value
} else {
e.value = (trade.Value * float64(e.multiplier)) + (e.value * (1 - float64(e.multiplier)))
log.Println("FilterEMA e.value and multiplier ", e.value, e.multiplier)
}
log.Println("FilterEMA e.value ", e.value)
}
func (s *FilterEMA) FinalCompute(t time.Time) float64 {
return s.finalCompute(t)
}
func (e *FilterEMA) finalCompute(t time.Time) float64 {
log.Infof("computed value %v at time %v ", e.value, t)
return e.value
}
func (e *FilterEMA) FilterPointForBlock() *dia.FilterPoint {
log.Println("FilterPointForBlock", e.value, e.currentTime, e.asset)
return &dia.FilterPoint{
Asset: e.asset,
Value: e.value,
Name: "EMA" + strconv.Itoa(e.param),
Time: e.currentTime,
}
}