Indicators: Add support for correlation coefficient (#519)

* Add support for correlation coefficient code

* Bump ta depends

* Bump gct-ta depends version

gctscript/modules/ta/indicators/correlation.go

@@ -0,0 +1,91 @@
+package indicators
+
+import (
+	"errors"
+	"fmt"
+	"math"
+	"strings"
+
+	objects "github.com/d5/tengo/v2"
+	"github.com/thrasher-corp/gct-ta/indicators"
+	"github.com/thrasher-corp/gocryptotrader/gctscript/modules"
+	"github.com/thrasher-corp/gocryptotrader/gctscript/wrappers/validator"
+)
+
+// CorrelationCoefficientModule indicator commands
+var CorrelationCoefficientModule = map[string]objects.Object{
+	"calculate": &objects.UserFunction{Name: "calculate", Value: correlationCoefficient},
+}
+
+// CorrelationCoefficient is the string constant
+const CorrelationCoefficient = "Correlation Coefficient"
+
+// Correlation defines a custom correlation coefficient indicator tengo object
+type Correlation struct {
+	objects.Array
+	Period int
+}
+
+// TypeName returns the name of the custom type.
+func (c *Correlation) TypeName() string {
+	return CorrelationCoefficient
+}
+
+func correlationCoefficient(args ...objects.Object) (objects.Object, error) {
+	if len(args) != 3 {
+		return nil, objects.ErrWrongNumArguments
+	}
+
+	r := new(Correlation)
+	if validator.IsTestExecution.Load() == true {
+		return r, nil
+	}
+
+	var allErrors []string
+	ohlcvProcessor := func(args []objects.Object, idx int) ([]float64, error) {
+		ohlcvInput := objects.ToInterface(args[idx])
+		ohlcvInputData, valid := ohlcvInput.([]interface{})
+		if !valid {
+			return nil, fmt.Errorf(modules.ErrParameterConvertFailed, OHLCV)
+		}
+
+		var ohlcvClose []float64
+		for x := range ohlcvInputData {
+			t := ohlcvInputData[x].([]interface{})
+			value, err := toFloat64(t[4])
+			if err != nil {
+				allErrors = append(allErrors, err.Error())
+			}
+			ohlcvClose = append(ohlcvClose, value)
+		}
+		return ohlcvClose, nil
+	}
+
+	closures1, err := ohlcvProcessor(args, 0)
+	if err != nil {
+		return nil, err
+	}
+
+	closures2, err := ohlcvProcessor(args, 1)
+	if err != nil {
+		return nil, err
+	}
+
+	inTimePeriod, ok := objects.ToInt(args[2])
+	if !ok {
+		allErrors = append(allErrors, fmt.Sprintf(modules.ErrParameterConvertFailed, inTimePeriod))
+	}
+
+	if len(allErrors) > 0 {
+		return nil, errors.New(strings.Join(allErrors, ", "))
+	}
+
+	r.Period = inTimePeriod
+
+	ret := indicators.CorrelationCoefficient(closures1, closures2, inTimePeriod)
+	for x := range ret {
+		r.Value = append(r.Value, &objects.Float{Value: math.Round(ret[x]*100) / 100})
+	}
+
+	return r, nil
+}