org.roboquant.ta.PriceBarSerie.kt Maven / Gradle / Ivy

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Technical analysis support for the roboquant algorithmic trading platform
There is a newer version: 2.2.0
/*
 * Copyright 2020-2023 Neural Layer
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 *
 *     https://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 */

package org.roboquant.ta

import org.roboquant.common.PriceSerie
import org.roboquant.common.div
import org.roboquant.common.plus
import org.roboquant.feeds.PriceBar

/**
 * PriceBarSerie is a moving window of OHLCV values (PriceBar) of fixed capacity for a single asset.
 *
 * @param capacity the size of buffer
 *
 * @constructor Create new instance of PriceBarSerie
 */
class PriceBarSerie(capacity: Int) {

    // The individual buffers
    private val openBuffer = PriceSerie(capacity)
    private val highBuffer = PriceSerie(capacity)
    private val lowBuffer = PriceSerie(capacity)
    private val closeBuffer = PriceSerie(capacity)
    private val volumeBuffer = PriceSerie(capacity)

    /**
     * Open prices
     */
    val open
        get() = openBuffer.toDoubleArray()

    /**
     * High prices
     */
    val high
        get() = highBuffer.toDoubleArray()

    /**
     * Low prices
     */
    val low
        get() = lowBuffer.toDoubleArray()

    /**
     * Close prices
     */
    val close
        get() = closeBuffer.toDoubleArray()

    /**
     * Volume
     */
    val volume
        get() = volumeBuffer.toDoubleArray()

    /**
     * Typical prices ( high + low + close / 3)
     */
    val typical
        get() = (highBuffer.toDoubleArray() + lowBuffer.toDoubleArray() + closeBuffer.toDoubleArray()) / 3.0

    /**
     * Update the buffer with a new [priceBar]
     */
    fun add(priceBar: PriceBar): Boolean {
        return add(priceBar.ohlcv)
    }

    /**
     * Update the buffer with a new [ohlcv] values
     */
    private fun add(ohlcv: DoubleArray): Boolean {
        assert(ohlcv.size == 5)
        openBuffer.add(ohlcv[0])
        highBuffer.add(ohlcv[1])
        lowBuffer.add(ohlcv[2])
        closeBuffer.add(ohlcv[3])
        volumeBuffer.add(ohlcv[4])
        return isFull()
    }

    /**
     * Is there enough data available
     */
    fun isFull(): Boolean {
        return openBuffer.isFull()
    }

    /**
     * Return the size of this series
     */
    val size: Int
        get() = openBuffer.size


    /**
     * Clear all stored prices and volumes
     */
    fun clear() {
        openBuffer.clear()
        highBuffer.clear()
        lowBuffer.clear()
        closeBuffer.clear()
        volumeBuffer.clear()
    }

}