110 lines
2.6 KiB
Go
110 lines
2.6 KiB
Go
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package factorzoo
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import (
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"time"
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"gonum.org/v1/gonum/stat"
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"git.qtrade.icu/lychiyu/bbgo/pkg/datatype/floats"
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"git.qtrade.icu/lychiyu/bbgo/pkg/indicator"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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// price volume divergence
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// if the correlation of two time series gets smaller, they are diverging.
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// so the negative value of the correlation of close price and volume is our alpha, PVD
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var zeroTime time.Time
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type KLineValueMapper func(k types.KLine) float64
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//go:generate callbackgen -type PVD
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type PVD struct {
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types.IntervalWindow
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types.SeriesBase
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Values floats.Slice
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Prices *types.Queue
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Volumes *types.Queue
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EndTime time.Time
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updateCallbacks []func(value float64)
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}
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var _ types.SeriesExtend = &PVD{}
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func (inc *PVD) Update(price float64, volume float64) {
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if inc.SeriesBase.Series == nil {
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inc.SeriesBase.Series = inc
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inc.Prices = types.NewQueue(inc.Window)
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inc.Volumes = types.NewQueue(inc.Window)
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}
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inc.Prices.Update(price)
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inc.Volumes.Update(volume)
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if inc.Prices.Length() >= inc.Window && inc.Volumes.Length() >= inc.Window {
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divergence := -types.Correlation(inc.Prices, inc.Volumes, inc.Window)
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inc.Values.Push(divergence)
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}
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}
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func (inc *PVD) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *PVD) Index(i int) float64 {
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return inc.Last(i)
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}
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func (inc *PVD) Length() int {
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return len(inc.Values)
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}
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func (inc *PVD) CalculateAndUpdate(allKLines []types.KLine) {
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if len(inc.Values) == 0 {
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for _, k := range allKLines {
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.Last(0))
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} else {
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(inc.Last(0))
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}
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}
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func (inc *PVD) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if inc.Interval != interval {
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return
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}
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inc.CalculateAndUpdate(window)
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}
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func (inc *PVD) Bind(updater indicator.KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func (inc *PVD) PushK(k types.KLine) {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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return
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}
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inc.Update(types.KLineClosePriceMapper(k), types.KLineVolumeMapper(k))
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.Last(0))
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}
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func CalculateKLinesPVD(allKLines []types.KLine, window int) float64 {
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return pvd(types.MapKLinePrice(allKLines, types.KLineClosePriceMapper), types.MapKLinePrice(allKLines, types.KLineVolumeMapper), window)
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}
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func pvd(prices []float64, volumes []float64, window int) float64 {
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var end = len(prices) - 1
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if end == 0 {
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return prices[0]
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}
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divergence := -stat.Correlation(prices[end-window:end], volumes[end-window:end], nil)
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return divergence
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}
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