all: refactor standard indicator helper and fix tests

pkg/bbgo/exit_lower_shadow_take_profit.go

@@ -27,7 +27,7 @@ func (s *LowerShadowTakeProfit) Bind(session *ExchangeSession, orderExecutor *Ge
 	s.session = session
 	s.orderExecutor = orderExecutor
 
-	stdIndicatorSet, _ := session.StandardIndicatorSet(s.Symbol)
+	stdIndicatorSet := session.StandardIndicatorSet(s.Symbol)
 	ewma := stdIndicatorSet.EWMA(s.IntervalWindow)
 
 

pkg/bbgo/session.go

@@ -438,17 +438,16 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
 	return nil
 }
 
-func (session *ExchangeSession) StandardIndicatorSet(symbol string) (*StandardIndicatorSet, bool) {
+func (session *ExchangeSession) StandardIndicatorSet(symbol string) *StandardIndicatorSet {
 	set, ok := session.standardIndicatorSets[symbol]
-	if !ok {
+	if ok {
-		if store, ok2 := session.MarketDataStore(symbol); ok2 {
+		return set
-			set = NewStandardIndicatorSet(symbol, session.MarketDataStream, store)
-			session.standardIndicatorSets[symbol] = set
-			return set, true
-		}
 	}
 
-	return set, ok
+	store, _ := session.MarketDataStore(symbol)
+	set = NewStandardIndicatorSet(symbol, session.MarketDataStream, store)
+	session.standardIndicatorSets[symbol] = set
+	return set
 }
 
 func (session *ExchangeSession) Position(symbol string) (pos *types.Position, ok bool) {

pkg/bbgo/trader.go

@@ -292,7 +292,7 @@ func (trader *Trader) injectFields() error {
 					return fmt.Errorf("market of symbol %s not found", symbol)
 				}
 
-				indicatorSet, ok := session.StandardIndicatorSet(symbol)
+				indicatorSet := session.StandardIndicatorSet(symbol)
 				if !ok {
 					return fmt.Errorf("standardIndicatorSet of symbol %s not found", symbol)
 				}

pkg/indicator/atr_test.go

@@ -61,7 +61,10 @@ func Test_calculateATR(t *testing.T) {
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
 			atr := &ATR{IntervalWindow: types.IntervalWindow{Window: tt.window}}
-			atr.CalculateAndUpdate(tt.kLines)
+			for _, k := range tt.kLines {
+				atr.PushK(k)
+			}
+
 			got := atr.Last()
 			diff := math.Trunc((got-tt.want)*100) / 100
 			if diff != 0 {

pkg/indicator/hull.go

@@ -55,7 +55,7 @@ func (inc *HULL) Length() int {
 }
 
 func (inc *HULL) PushK(k types.KLine) {
-	if k.EndTime.Before(inc.ma1.EndTime) {
+	if inc.ma1 != nil && inc.ma1.Length() > 0 && k.EndTime.Before(inc.ma1.EndTime) {
 		return
 	}
 

pkg/indicator/hull_test.go

@@ -4,9 +4,10 @@ import (
 	"encoding/json"
 	"testing"
 
+	"github.com/stretchr/testify/assert"
+
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/stretchr/testify/assert"
 )
 
 /*
@@ -26,6 +27,7 @@ func Test_HULL(t *testing.T) {
 	if err := json.Unmarshal(randomPrices, &input); err != nil {
 		panic(err)
 	}
+
 	tests := []struct {
 		name   string
 		kLines []types.KLine
@@ -44,8 +46,11 @@ func Test_HULL(t *testing.T) {
 
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
-			hull := HULL{IntervalWindow: types.IntervalWindow{Window: 16}}
+			hull := &HULL{IntervalWindow: types.IntervalWindow{Window: 16}}
-			hull.CalculateAndUpdate(tt.kLines)
+			for _, k := range tt.kLines {
+				hull.PushK(k)
+			}
+
 			last := hull.Last()
 			assert.InDelta(t, tt.want, last, Delta)
 			assert.InDelta(t, tt.next, hull.Index(1), Delta)

pkg/strategy/emastop/strategy.go

@@ -25,7 +25,6 @@ func init() {
 }
 
 type Strategy struct {
-
 	SourceExchangeName string `json:"sourceExchange"`
 
 	TargetExchangeName string `json:"targetExchange"`
@@ -175,11 +174,7 @@ func (s *Strategy) handleOrderUpdate(order types.Order) {
 }
 
 func (s *Strategy) loadIndicator(sourceSession *bbgo.ExchangeSession) (types.Float64Indicator, error) {
-	var standardIndicatorSet, ok = sourceSession.StandardIndicatorSet(s.Symbol)
+	var standardIndicatorSet = sourceSession.StandardIndicatorSet(s.Symbol)
-	if !ok {
-		return nil, fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
-	}
-
 	var iw = types.IntervalWindow{Interval: s.MovingAverageInterval, Window: s.MovingAverageWindow}
 
 	switch strings.ToUpper(s.MovingAverageType) {

pkg/strategy/funding/strategy.go

@@ -3,7 +3,6 @@ package funding
 import (
 	"context"
 	"errors"
-	"fmt"
 	"strings"
 
 	"github.com/sirupsen/logrus"
@@ -32,7 +31,7 @@ type Strategy struct {
 	Market              types.Market     `json:"-"`
 	Quantity            fixedpoint.Value `json:"quantity,omitempty"`
 	MaxExposurePosition fixedpoint.Value `json:"maxExposurePosition"`
-	//Interval            types.Interval   `json:"interval"`
+	// Interval            types.Interval   `json:"interval"`
 
 	FundingRate *struct {
 		High          fixedpoint.Value `json:"high"`
@@ -49,11 +48,11 @@ type Strategy struct {
 		// MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate,
 		// it could be "1m", "5m", "1h" and so on.  note that, the moving averages are calculated from
 		// the k-line data we subscribed
-		//MovingAverageInterval types.Interval `json:"movingAverageInterval"`
+		// MovingAverageInterval types.Interval `json:"movingAverageInterval"`
 		//
-		//// MovingAverageWindow is the number of the window size of the moving average indicator.
+		// // MovingAverageWindow is the number of the window size of the moving average indicator.
-		//// The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
+		// // The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
-		//MovingAverageWindow int `json:"movingAverageWindow"`
+		// MovingAverageWindow int `json:"movingAverageWindow"`
 
 		MovingAverageIntervalWindow types.IntervalWindow `json:"movingAverageIntervalWindow"`
 
@@ -70,9 +69,9 @@ func (s *Strategy) ID() string {
 func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 	// session.Subscribe(types.BookChannel, s.Symbol, types.SubscribeOptions{})
 
-	//session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
+	// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
 	//	Interval: string(s.Interval),
-	//})
+	// })
 
 	for _, detection := range s.SupportDetection {
 		session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
@@ -93,23 +92,13 @@ func (s *Strategy) Validate() error {
 }
 
 func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	standardIndicatorSet := session.StandardIndicatorSet(s.Symbol)
 
-	standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
-	if !ok {
-		return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
-	}
-	//binanceExchange, ok := session.Exchange.(*binance.Exchange)
-	//if !ok {
-	//	log.Error("exchange failed")
-	//}
 	if !session.Futures {
 		log.Error("futures not enabled in config for this strategy")
 		return nil
 	}
 
-	//if s.FundingRate != nil {
-	//	go s.listenToFundingRate(ctx, binanceExchange)
-	//}
 	premiumIndex, err := session.Exchange.(*binance.Exchange).QueryPremiumIndex(ctx, s.Symbol)
 	if err != nil {
 		log.Error("exchange does not support funding rate api")

pkg/strategy/pivotshort/breaklow.go

@@ -66,7 +66,7 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 	position := orderExecutor.Position()
 	symbol := position.Symbol
 	store, _ := session.MarketDataStore(s.Symbol)
-	standardIndicator, _ := session.StandardIndicatorSet(s.Symbol)
+	standardIndicator := session.StandardIndicatorSet(s.Symbol)
 
 	s.lastLow = fixedpoint.Zero
 

pkg/strategy/pricedrop/strategy.go

@@ -53,7 +53,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		return fmt.Errorf("market %s is not defined", s.Symbol)
 	}
 
-	standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
+	standardIndicatorSet := session.StandardIndicatorSet(s.Symbol)
 	if !ok {
 		return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
 	}

pkg/strategy/skeleton/strategy.go

@@ -8,7 +8,6 @@ import (
 
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
-	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -82,32 +81,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		s.State = &State{Counter: 1}
 	}
 
-	// Optional: You can get the market data store from session
+	indicators := session.StandardIndicatorSet(s.Symbol)
-	store, ok := session.MarketDataStore(s.Symbol)
+	atr := indicators.ATR(types.IntervalWindow{
-	if !ok {
+		Interval: types.Interval1m,
-		return fmt.Errorf("market data store %s not found", s.Symbol)
+		Window:   14,
-	}
+	})
-
-	// Initialize a custom indicator
-	atr := &indicator.ATR{
-		IntervalWindow: types.IntervalWindow{
-			Interval: types.Interval1m,
-			Window:   14,
-		},
-	}
-
-	// Bind the indicator to the market data store, so that when a new kline is received,
-	// the indicator will be updated.
-	atr.Bind(store)
-
-	// To get the past kline history, call KLinesOfInterval from the market data store
-	klines, ok := store.KLinesOfInterval(types.Interval1m)
-	if !ok {
-		return fmt.Errorf("market data store %s lkline not found", s.Symbol)
-	}
-
-	// Use the history data to initialize the indicator
-	atr.CalculateAndUpdate(*klines)
 
 	// To get the market information from the current session
 	// The market object provides the precision, MoQ (minimal of quantity) information

pkg/strategy/support/strategy.go

@@ -387,10 +387,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		log.Infof("adjusted minimal support volume to %s according to sensitivity %s", s.MinVolume.String(), s.Sensitivity.String())
 	}
 
-	standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
+	standardIndicatorSet := session.StandardIndicatorSet(s.Symbol)
-	if !ok {
-		return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
-	}
 
 	if s.TriggerMovingAverage != zeroiw {
 		s.triggerEMA = standardIndicatorSet.EWMA(s.TriggerMovingAverage)

pkg/strategy/techsignal/strategy.go

@@ -3,7 +3,6 @@ package techsignal
 import (
 	"context"
 	"errors"
-	"fmt"
 	"strings"
 	"time"
 
@@ -145,10 +144,7 @@ func (s *Strategy) listenToFundingRate(ctx context.Context, exchange *binance.Ex
 }
 
 func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
-	standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
+	standardIndicatorSet := session.StandardIndicatorSet(s.Symbol)
-	if !ok {
-		return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
-	}
 
 	if s.FundingRate != nil {
 		if binanceExchange, ok := session.Exchange.(*binance.Exchange); ok {

pkg/strategy/xmaker/strategy.go

@@ -681,7 +681,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
 		return fmt.Errorf("maker session market %s is not defined", s.Symbol)
 	}
 
-	standardIndicatorSet, ok := s.sourceSession.StandardIndicatorSet(s.Symbol)
+	standardIndicatorSet := s.sourceSession.StandardIndicatorSet(s.Symbol)
 	if !ok {
 		return fmt.Errorf("%s standard indicator set not found", s.Symbol)
 	}