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indicator: clean up bollinger band indicator api usage

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This commit is contained in:
c9s 2022-07-14 13:05:44 +08:00
parent a5715c6aee
commit 2ef8ecf3d9
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6 changed files with 13 additions and 12 deletions
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2
pkg/indicator/boll.go
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@ -53,7 +53,7 @@ func (inc *BOLL) GetSMA() types.SeriesExtend {
} }
func (inc *BOLL) GetStdDev() types.SeriesExtend { func (inc *BOLL) GetStdDev() types.SeriesExtend {
return types.NewSeries(inc.StdDev) return inc.StdDev
} }
func (inc *BOLL) LastUpBand() float64 { func (inc *BOLL) LastUpBand() float64 {

7
pkg/indicator/boll_test.go
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@ -4,9 +4,10 @@ import (
"encoding/json" "encoding/json"
"testing" "testing"
"github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
"github.com/stretchr/testify/assert"
) )
/* /*
@ -60,8 +61,8 @@ func TestBOLL(t *testing.T) {
t.Run(tt.name, func(t *testing.T) { t.Run(tt.name, func(t *testing.T) {
boll := BOLL{IntervalWindow: types.IntervalWindow{Window: tt.window}, K: tt.k} boll := BOLL{IntervalWindow: types.IntervalWindow{Window: tt.window}, K: tt.k}
boll.CalculateAndUpdate(tt.kLines) boll.CalculateAndUpdate(tt.kLines)
assert.InDelta(t, tt.up, boll.LastUpBand(), Delta) assert.InDelta(t, tt.up, boll.UpBand.Last(), Delta)
assert.InDelta(t, tt.down, boll.LastDownBand(), Delta) assert.InDelta(t, tt.down, boll.DownBand.Last(), Delta)
}) })
} }

6
pkg/strategy/bollmaker/strategy.go
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@ -278,8 +278,8 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency] baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency]
quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency] quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency]
downBand := s.defaultBoll.LastDownBand() downBand := s.defaultBoll.DownBand.Last()
upBand := s.defaultBoll.LastUpBand() upBand := s.defaultBoll.UpBand.Last()
sma := s.defaultBoll.SMA.Last() sma := s.defaultBoll.SMA.Last()
log.Infof("%s bollinger band: up %f sma %f down %f", s.Symbol, upBand, sma, downBand) log.Infof("%s bollinger band: up %f sma %f down %f", s.Symbol, upBand, sma, downBand)
@ -349,7 +349,7 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
// WHEN: price breaks the upper band (price > window 2) == strongUpTrend // WHEN: price breaks the upper band (price > window 2) == strongUpTrend
// THEN: we apply strongUpTrend skew // THEN: we apply strongUpTrend skew
if s.TradeInBand { if s.TradeInBand {
if !inBetween(midPrice.Float64(), s.neutralBoll.LastDownBand(), s.neutralBoll.LastUpBand()) { if !inBetween(midPrice.Float64(), s.neutralBoll.DownBand.Last(), s.neutralBoll.UpBand.Last()) {
log.Infof("tradeInBand is set, skip placing orders when the price is outside of the band") log.Infof("tradeInBand is set, skip placing orders when the price is outside of the band")
return return
} }

2
pkg/strategy/bollmaker/trend.go
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@ -12,7 +12,7 @@ const (
) )
func detectPriceTrend(inc *indicator.BOLL, price float64) PriceTrend { func detectPriceTrend(inc *indicator.BOLL, price float64) PriceTrend {
if inBetween(price, inc.LastDownBand(), inc.LastUpBand()) { if inBetween(price, inc.DownBand.Last(), inc.UpBand.Last()) {
return NeutralTrend return NeutralTrend
} }

4
pkg/strategy/rsmaker/strategy.go
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@ -336,8 +336,8 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
// baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency] // baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency]
// quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency] // quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency]
downBand := s.defaultBoll.LastDownBand() downBand := s.defaultBoll.DownBand.Last()
upBand := s.defaultBoll.LastUpBand() upBand := s.defaultBoll.UpBand.Last()
sma := s.defaultBoll.SMA.Last() sma := s.defaultBoll.SMA.Last()
log.Infof("bollinger band: up %f sma %f down %f", upBand, sma, downBand) log.Infof("bollinger band: up %f sma %f down %f", upBand, sma, downBand)

4
pkg/strategy/xmaker/strategy.go
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@ -305,8 +305,8 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
var pips = s.Pips var pips = s.Pips
if s.EnableBollBandMargin { if s.EnableBollBandMargin {
lastDownBand := fixedpoint.NewFromFloat(s.boll.LastDownBand()) lastDownBand := fixedpoint.NewFromFloat(s.boll.DownBand.Last())
lastUpBand := fixedpoint.NewFromFloat(s.boll.LastUpBand()) lastUpBand := fixedpoint.NewFromFloat(s.boll.UpBand.Last())
if lastUpBand.IsZero() || lastDownBand.IsZero() { if lastUpBand.IsZero() || lastDownBand.IsZero() {
log.Warnf("bollinger band value is zero, skipping") log.Warnf("bollinger band value is zero, skipping")