bbgo_origin/pkg/bbgo/trend_ema.go

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package bbgo
import (
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
)
type TrendEMA struct {
types.IntervalWindow
// MaxGradient is the maximum gradient allowed for the entry.
MaxGradient float64 `json:"maxGradient"`
MinGradient float64 `json:"minGradient"`
ewma *indicator.EWMA
last, current float64
}
func (s *TrendEMA) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
symbol := orderExecutor.Position().Symbol
s.ewma = session.StandardIndicatorSet(symbol).EWMA(s.IntervalWindow)
session.MarketDataStream.OnStart(func() {
if s.ewma.Length() < 2 {
return
}
s.last = s.ewma.Values[s.ewma.Length()-2]
s.current = s.ewma.Last(0)
})
session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
s.last = s.current
s.current = s.ewma.Last(0)
}))
}
func (s *TrendEMA) Gradient() float64 {
if s.last > 0.0 && s.current > 0.0 {
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return s.current / s.last
}
return 0.0
}
func (s *TrendEMA) GradientAllowed() bool {
gradient := s.Gradient()
logrus.Infof("trendEMA %+v current=%f last=%f gradient=%f", s, s.current, s.last, gradient)
if gradient == .0 {
return false
}
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if s.MaxGradient > 0.0 && gradient > s.MaxGradient {
return false
}
if s.MinGradient > 0.0 && gradient < s.MinGradient {
return false
}
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return true
}