55 lines
1.3 KiB
Go
55 lines
1.3 KiB
Go
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// Resample a 1-minute series into higher timeframes and run an indicator per timeframe.
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package main
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import (
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"fmt"
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"math"
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wickra "github.com/wickra-lib/wickra/bindings/go"
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"github.com/wickra-lib/wickra/examples/go/internal/market"
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)
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func main() {
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oneMinute := market.SyntheticCandlesStep(1200, 0, 60_000)
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fmt.Println("EMA(20) of close across timeframes (resampled from 1-minute bars):")
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for _, factor := range []int{1, 5, 15} {
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bars := resample(oneMinute, factor)
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ema, _ := wickra.NewEma(20)
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var last float64
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for _, b := range bars {
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last = ema.Update(b.Close)
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}
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ema.Close()
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fmt.Printf(" %2dm: %5d bars EMA(20) last = %.4f\n", factor, len(bars), last)
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}
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}
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func resample(source []market.Bar, factor int) []market.Bar {
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if factor <= 1 {
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return source
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}
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var out []market.Bar
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for i := 0; i < len(source); i += factor {
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end := i + factor
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if end > len(source) {
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end = len(source)
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}
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high, low, volume := math.Inf(-1), math.Inf(1), 0.0
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for j := i; j < end; j++ {
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high = math.Max(high, source[j].High)
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low = math.Min(low, source[j].Low)
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volume += source[j].Volume
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}
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out = append(out, market.Bar{
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Open: source[i].Open,
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High: high,
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Low: low,
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Close: source[end-1].Close,
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Volume: volume,
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Timestamp: source[i].Timestamp,
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})
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}
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return out
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}
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