88 lines
2.4 KiB
Go
88 lines
2.4 KiB
Go
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package xmaker
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import (
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"context"
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"github.com/prometheus/client_golang/prometheus"
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"git.qtrade.icu/lychiyu/bbgo/pkg/bbgo"
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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"git.qtrade.icu/lychiyu/bbgo/pkg/indicator/v2"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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var bollingerBandSignalMetrics = prometheus.NewGaugeVec(
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prometheus.GaugeOpts{
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Name: "xmaker_bollinger_band_signal",
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Help: "",
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}, []string{"symbol"})
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func init() {
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prometheus.MustRegister(bollingerBandSignalMetrics)
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}
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type BollingerBandTrendSignal struct {
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types.IntervalWindow
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MinBandWidth float64 `json:"minBandWidth"`
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MaxBandWidth float64 `json:"maxBandWidth"`
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indicator *indicatorv2.BOLLStream
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symbol string
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lastK *types.KLine
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}
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func (s *BollingerBandTrendSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error {
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if s.MaxBandWidth == 0.0 {
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s.MaxBandWidth = 2.0
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}
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if s.MinBandWidth == 0.0 {
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s.MinBandWidth = 1.0
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}
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s.symbol = symbol
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s.indicator = session.Indicators(symbol).BOLL(s.IntervalWindow, s.MinBandWidth)
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.symbol, s.IntervalWindow.Interval, func(kline types.KLine) {
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s.lastK = &kline
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}))
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bollingerBandSignalMetrics.WithLabelValues(s.symbol).Set(0.0)
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return nil
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}
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func (s *BollingerBandTrendSignal) CalculateSignal(ctx context.Context) (float64, error) {
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if s.lastK == nil {
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return 0, nil
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}
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closePrice := s.lastK.Close
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// when bid price is lower than the down band, then it's in the downtrend
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// when ask price is higher than the up band, then it's in the uptrend
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lastDownBand := fixedpoint.NewFromFloat(s.indicator.DownBand.Last(0))
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lastUpBand := fixedpoint.NewFromFloat(s.indicator.UpBand.Last(0))
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maxBandWidth := s.indicator.StdDev.Last(0) * s.MaxBandWidth
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signal := 0.0
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// if the price is inside the band, do not vote
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if closePrice.Compare(lastDownBand) > 0 && closePrice.Compare(lastUpBand) < 0 {
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signal = 0.0
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} else if closePrice.Compare(lastDownBand) < 0 {
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signal = lastDownBand.Sub(closePrice).Float64() / maxBandWidth * -2.0
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} else if closePrice.Compare(lastUpBand) > 0 {
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signal = closePrice.Sub(lastUpBand).Float64() / maxBandWidth * 2.0
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}
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log.Infof("[BollingerBandTrendSignal] %f up/down = %f/%f, close price = %f",
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signal,
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lastUpBand.Float64(),
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lastDownBand.Float64(),
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closePrice.Float64())
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bollingerBandSignalMetrics.WithLabelValues(s.symbol).Set(signal)
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return signal, nil
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}
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