blockchain/internal/lib/strategy/ema.go

package strategy

import (
	"sync/atomic"

	"github.com/shopspring/decimal"
)

// α = 2 / (N+1) 平滑係數
func alphaFromPeriod(n uint) decimal.Decimal {
	return decimal.NewFromInt(2).
		Div(decimal.NewFromInt(int64(n)).Add(decimal.NewFromInt(1)))
}

// =========================
// EMA（單寫；快照多讀）
// Seed: SMA 作為初始化
// =========================

type emaCore struct {
	period uint
	alpha  decimal.Decimal

	// 狀態（單 writer 更新）
	value decimal.Decimal
	ready bool
	count uint
	sum   decimal.Decimal // warm-up 期間用於 SMA seed
}

func newEMACore(period uint) *emaCore {
	if period == 0 {
		panic("EMA period must be > 0")
	}
	return &emaCore{
		period: period,
		alpha:  alphaFromPeriod(period),
	}
}

// Push 僅供單 writer 呼叫
// 回傳 (當前 EMA, ready)
func (e *emaCore) Push(x decimal.Decimal) (decimal.Decimal, bool) {
	e.count++

	// Warm-up：用 SMA 作為 seed
	if !e.ready {
		e.sum = e.sum.Add(x)
		if e.count == e.period {
			e.value = e.sum.Div(decimal.NewFromInt(int64(e.period)))
			e.ready = true
		}
		return e.value, e.ready
	}

	oneMinus := decimal.NewFromInt(1).Sub(e.alpha)
	e.value = e.value.Mul(oneMinus).Add(x.Mul(e.alpha))
	return e.value, true
}

// ===== 快照發布（多讀零鎖） =====

type EMASnapshot struct {
	Period    uint
	Alpha     string          // 十進位字串，方便落盤或序列化
	Value     decimal.Decimal // 目前 EMA
	Ready     bool
	LastInput decimal.Decimal // 最近一次輸入值
	Count     uint            // 已處理資料點
}

type EMA struct {
	core *emaCore
	last decimal.Decimal
	snap atomic.Value // holds EMASnapshot
}

func NewEMA(period uint) *EMA {
	c := newEMACore(period)
	e := &EMA{core: c}
	e.snap.Store(EMASnapshot{
		Period: period,
		Alpha:  c.alpha.String(),
	})
	return e
}

// Update 單 writer 呼叫
func (e *EMA) Update(x decimal.Decimal) EMASnapshot {
	val, ready := e.core.Push(x)
	e.last = x
	snap := EMASnapshot{
		Period:    e.core.period,
		Alpha:     e.core.alpha.String(),
		Value:     val,
		Ready:     ready,
		LastInput: x,
		Count:     e.core.count,
	}
	e.snap.Store(snap)
	return snap
}

// Load 多 reader 零鎖讀
func (e *EMA) Load() EMASnapshot {
	return e.snap.Load().(EMASnapshot)
}