67 lines
1.4 KiB
Go
67 lines
1.4 KiB
Go
package bbgo
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import (
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"github.com/sirupsen/logrus"
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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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type TrendEMA struct {
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types.IntervalWindow
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// MaxGradient is the maximum gradient allowed for the entry.
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MaxGradient float64 `json:"maxGradient"`
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MinGradient float64 `json:"minGradient"`
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ewma *indicator.EWMA
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last, current float64
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}
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func (s *TrendEMA) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
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symbol := orderExecutor.Position().Symbol
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s.ewma = session.StandardIndicatorSet(symbol).EWMA(s.IntervalWindow)
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session.MarketDataStream.OnStart(func() {
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if s.ewma.Length() < 2 {
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return
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}
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s.last = s.ewma.Values[s.ewma.Length()-2]
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s.current = s.ewma.Last(0)
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})
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session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
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s.last = s.current
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s.current = s.ewma.Last(0)
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}))
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}
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func (s *TrendEMA) Gradient() float64 {
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if s.last > 0.0 && s.current > 0.0 {
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return s.current / s.last
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}
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return 0.0
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}
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func (s *TrendEMA) GradientAllowed() bool {
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gradient := s.Gradient()
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logrus.Infof("trendEMA %+v current=%f last=%f gradient=%f", s, s.current, s.last, gradient)
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if gradient == .0 {
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return false
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}
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if s.MaxGradient > 0.0 && gradient > s.MaxGradient {
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return false
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}
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if s.MinGradient > 0.0 && gradient < s.MinGradient {
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return false
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}
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return true
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}
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