bluebot/strategies/indicators/CCI.js

A bitcoin trading bot for auto trading at various exchanges

/*
 * CCI
 */
var log = require('../../core/log');
var LRC = require('./LRC');

var Indicator = function(settings) {
  this.input = 'candle';
  this.tp = 0.0;
  this.TP = new LRC(settings.history);
  this.result = false;
  this.hist = []; // needed for mean?
  this.mean = 0.0;
  this.size = 0;
  this.constant = settings.constant;
  this.maxSize = settings.history;
  for (var i = 0; i < this.maxSize; i++)
      this.hist.push(0.0);
}

Indicator.prototype.update = function(candle) {
  
  // We need sufficient history to get the right result. 

  var tp = (candle.high + candle.close + candle.low) / 3;
  if (this.size < this.maxSize) {
      this.hist[this.size] = tp;
      this.size++;
  } else {
      for (var i = 0; i < this.maxSize-1; i++) {
          this.hist[i] = this.hist[i+1];
      }
      this.hist[this.maxSize-1] = tp;
  }

  this.TP.update(tp);

  if (this.size < this.maxSize) {
      this.result = false;
  } else {
      this.calculate(tp);
  }
}

/*
 * Handle calculations
 */
Indicator.prototype.calculate = function(tp) {

    // calculate current TP
        
    var avgtp = this.TP.result;
    if (typeof(avgtp) == 'boolean') {
        log.error("Failed to get average tp from indicator.");
        return;
    }

    this.tp = tp;

    var sum = 0.0;
    // calculate tps
    for (var i = 0; i < this.size; i++) {
        
        var z = (this.hist[i] - avgtp);
        if (z < 0) z = z * -1.0;
        sum = sum + z;

    }

    this.mean = (sum / this.size);
    


    this.result = (this.tp - avgtp) / (this.constant * this.mean);

    // log.debug("===\t", this.mean, "\t", this.tp, '\t', this.TP.result, "\t", sum, "\t", avgtp, '\t', this.result.toFixed(2));
}

module.exports = Indicator;