indicator: add stddev v2

c9s · Jun 1, 2023 · b141ae3 · b141ae3
1 parent 3d4b88f
commit b141ae3
Showing 1 changed file with 28 additions and 0 deletions.
diff --git a/pkg/indicator/v2_stddev.go b/pkg/indicator/v2_stddev.go
@@ -0,0 +1,28 @@
+package indicator
+
+import "github.com/c9s/bbgo/pkg/types"
+
+type StdDevStream struct {
+	Float64Series
+
+	rawValues *types.Queue
+
+	window     int
+	multiplier float64
+}
+
+func StdDev2(source Float64Source, window int) *StdDevStream {
+	s := &StdDevStream{
+		Float64Series: NewFloat64Series(),
+		rawValues:     types.NewQueue(window),
+		window:        window,
+	}
+	s.Bind(source, s)
+	return s
+}
+
+func (s *StdDevStream) Calculate(x float64) float64 {
+	s.rawValues.Update(x)
+	var std = s.rawValues.Stdev()
+	return std
+}