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Merge pull request #823 from c9s/refactor/indicator-api
refactor: refactor bollinger band indicator with the new series extend component
This commit is contained in:
commit
3651b84518
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@ -3,9 +3,6 @@ package indicator
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import (
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"time"
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log "github.com/sirupsen/logrus"
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"gonum.org/v1/gonum/stat"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -24,13 +21,15 @@ Bollinger Bands Technical indicator guide:
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//go:generate callbackgen -type BOLL
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type BOLL struct {
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types.SeriesBase
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types.IntervalWindow
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// times of Std, generally it's 2
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// K is the multiplier of Std, generally it's 2
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K float64
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SMA types.Float64Slice
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StdDev types.Float64Slice
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SMA *SMA
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StdDev *StdDev
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UpBand types.Float64Slice
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DownBand types.Float64Slice
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@ -50,11 +49,11 @@ func (inc *BOLL) GetDownBand() types.SeriesExtend {
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}
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func (inc *BOLL) GetSMA() types.SeriesExtend {
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return types.NewSeries(&inc.SMA)
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return types.NewSeries(inc.SMA)
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}
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func (inc *BOLL) GetStdDev() types.SeriesExtend {
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return types.NewSeries(&inc.StdDev)
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return inc.StdDev
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}
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func (inc *BOLL) LastUpBand() float64 {
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@ -73,64 +72,49 @@ func (inc *BOLL) LastDownBand() float64 {
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return inc.DownBand[len(inc.DownBand)-1]
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}
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func (inc *BOLL) LastStdDev() float64 {
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if len(inc.StdDev) == 0 {
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return 0.0
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func (inc *BOLL) Update(value float64) {
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if inc.SMA == nil {
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inc.SeriesBase.Series = inc
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inc.SMA = &SMA{IntervalWindow: inc.IntervalWindow}
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}
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return inc.StdDev[len(inc.StdDev)-1]
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}
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func (inc *BOLL) LastSMA() float64 {
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if len(inc.SMA) > 0 {
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return inc.SMA[len(inc.SMA)-1]
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}
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return 0.0
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}
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func (inc *BOLL) CalculateAndUpdate(kLines []types.KLine) {
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if len(kLines) < inc.Window {
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return
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if inc.StdDev == nil {
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inc.StdDev = &StdDev{IntervalWindow: inc.IntervalWindow}
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}
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var index = len(kLines) - 1
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var kline = kLines[index]
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inc.SMA.Update(value)
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inc.StdDev.Update(value)
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if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
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return
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}
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var recentK = kLines[index-(inc.Window-1) : index+1]
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sma, err := calculateSMA(recentK, inc.Window, KLineClosePriceMapper)
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if err != nil {
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log.WithError(err).Error("SMA error")
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return
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}
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inc.SMA.Push(sma)
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var prices []float64
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for _, k := range recentK {
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prices = append(prices, k.Close.Float64())
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}
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var std = stat.StdDev(prices, nil)
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inc.StdDev.Push(std)
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var band = inc.K * std
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var sma = inc.SMA.Last()
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var stdDev = inc.StdDev.Last()
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var band = inc.K * stdDev
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var upBand = sma + band
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inc.UpBand.Push(upBand)
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var downBand = sma - band
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inc.UpBand.Push(upBand)
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inc.DownBand.Push(downBand)
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}
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// update end time
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inc.EndTime = kLines[index].EndTime.Time()
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func (inc *BOLL) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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}
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// log.Infof("update boll: sma=%f, up=%f, down=%f", sma, upBand, downBand)
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func (inc *BOLL) CalculateAndUpdate(allKLines []types.KLine) {
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var last = allKLines[len(allKLines)-1]
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inc.EmitUpdate(sma, upBand, downBand)
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if inc.SMA == nil {
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for _, k := range allKLines {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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continue
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}
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inc.PushK(k)
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}
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} else {
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inc.PushK(last)
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}
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inc.EmitUpdate(inc.SMA.Last(), inc.UpBand.Last(), inc.DownBand.Last())
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}
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func (inc *BOLL) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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@ -4,9 +4,10 @@ import (
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"encoding/json"
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"testing"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/stretchr/testify/assert"
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)
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/*
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@ -60,8 +61,8 @@ func TestBOLL(t *testing.T) {
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t.Run(tt.name, func(t *testing.T) {
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boll := BOLL{IntervalWindow: types.IntervalWindow{Window: tt.window}, K: tt.k}
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boll.CalculateAndUpdate(tt.kLines)
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assert.InDelta(t, tt.up, boll.LastUpBand(), Delta)
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assert.InDelta(t, tt.down, boll.LastDownBand(), Delta)
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assert.InDelta(t, tt.up, boll.UpBand.Last(), Delta)
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assert.InDelta(t, tt.down, boll.DownBand.Last(), Delta)
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})
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}
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85
pkg/indicator/stddev.go
Normal file
85
pkg/indicator/stddev.go
Normal file
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@ -0,0 +1,85 @@
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package indicator
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import (
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"time"
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"github.com/c9s/bbgo/pkg/types"
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)
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//go:generate callbackgen -type StdDev
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type StdDev struct {
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types.SeriesBase
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types.IntervalWindow
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Values types.Float64Slice
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rawValues *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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func (inc *StdDev) Last() float64 {
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if inc.Values.Length() == 0 {
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return 0.0
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}
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return inc.Values.Last()
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}
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func (inc *StdDev) Index(i int) float64 {
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if i >= inc.Values.Length() {
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return 0.0
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}
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return inc.Values.Index(i)
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}
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func (inc *StdDev) Length() int {
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return inc.Values.Length()
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}
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var _ types.SeriesExtend = &StdDev{}
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func (inc *StdDev) Update(value float64) {
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if inc.rawValues == nil {
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inc.rawValues = types.NewQueue(inc.Window)
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inc.SeriesBase.Series = inc
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}
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inc.rawValues.Update(value)
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var std = inc.rawValues.Stdev()
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inc.Values.Push(std)
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}
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func (inc *StdDev) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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inc.EndTime = k.EndTime.Time()
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}
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func (inc *StdDev) CalculateAndUpdate(allKLines []types.KLine) {
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var last = allKLines[len(allKLines)-1]
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if inc.rawValues == nil {
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for _, k := range allKLines {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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continue
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}
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inc.PushK(k)
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}
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} else {
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inc.PushK(last)
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}
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inc.EmitUpdate(inc.Values.Last())
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}
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func (inc *StdDev) 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 *StdDev) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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15
pkg/indicator/stddev_callbacks.go
Normal file
15
pkg/indicator/stddev_callbacks.go
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@ -0,0 +1,15 @@
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// Code generated by "callbackgen -type StdDev"; DO NOT EDIT.
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package indicator
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import ()
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func (inc *StdDev) OnUpdate(cb func(value float64)) {
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inc.updateCallbacks = append(inc.updateCallbacks, cb)
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}
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func (inc *StdDev) EmitUpdate(value float64) {
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for _, cb := range inc.updateCallbacks {
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cb(value)
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}
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}
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@ -278,9 +278,9 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
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baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency]
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quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency]
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downBand := s.defaultBoll.LastDownBand()
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upBand := s.defaultBoll.LastUpBand()
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sma := s.defaultBoll.LastSMA()
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downBand := s.defaultBoll.DownBand.Last()
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upBand := s.defaultBoll.UpBand.Last()
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sma := s.defaultBoll.SMA.Last()
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log.Infof("%s bollinger band: up %f sma %f down %f", s.Symbol, upBand, sma, downBand)
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bandPercentage := calculateBandPercentage(upBand, downBand, sma, midPrice.Float64())
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@ -349,7 +349,7 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
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// WHEN: price breaks the upper band (price > window 2) == strongUpTrend
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// THEN: we apply strongUpTrend skew
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if s.TradeInBand {
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if !inBetween(midPrice.Float64(), s.neutralBoll.LastDownBand(), s.neutralBoll.LastUpBand()) {
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if !inBetween(midPrice.Float64(), s.neutralBoll.DownBand.Last(), s.neutralBoll.UpBand.Last()) {
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log.Infof("tradeInBand is set, skip placing orders when the price is outside of the band")
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return
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}
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@ -402,7 +402,7 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
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canSell = false
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}
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if s.BuyBelowNeutralSMA && midPrice.Float64() > s.neutralBoll.LastSMA() {
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if s.BuyBelowNeutralSMA && midPrice.Float64() > s.neutralBoll.SMA.Last() {
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canBuy = false
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}
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@ -12,7 +12,7 @@ const (
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)
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func detectPriceTrend(inc *indicator.BOLL, price float64) PriceTrend {
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if inBetween(price, inc.LastDownBand(), inc.LastUpBand()) {
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if inBetween(price, inc.DownBand.Last(), inc.UpBand.Last()) {
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return NeutralTrend
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}
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@ -336,9 +336,9 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
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// baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency]
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// quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency]
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downBand := s.defaultBoll.LastDownBand()
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upBand := s.defaultBoll.LastUpBand()
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sma := s.defaultBoll.LastSMA()
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downBand := s.defaultBoll.DownBand.Last()
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upBand := s.defaultBoll.UpBand.Last()
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sma := s.defaultBoll.SMA.Last()
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log.Infof("bollinger band: up %f sma %f down %f", upBand, sma, downBand)
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bandPercentage := calculateBandPercentage(upBand, downBand, sma, midPrice.Float64())
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@ -305,8 +305,8 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
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var pips = s.Pips
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if s.EnableBollBandMargin {
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lastDownBand := fixedpoint.NewFromFloat(s.boll.LastDownBand())
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lastUpBand := fixedpoint.NewFromFloat(s.boll.LastUpBand())
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lastDownBand := fixedpoint.NewFromFloat(s.boll.DownBand.Last())
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lastUpBand := fixedpoint.NewFromFloat(s.boll.UpBand.Last())
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if lastUpBand.IsZero() || lastDownBand.IsZero() {
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log.Warnf("bollinger band value is zero, skipping")
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