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bbgo: refactor standard indicator set

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This commit is contained in:
c9s 2022-07-26 17:56:31 +08:00
parent 94efa8890b
commit 46afc54559
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4 changed files with 70 additions and 101 deletions
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153
pkg/bbgo/standard_indicator_set.go
View File

@ -9,27 +9,23 @@ import (
)
var (
debugEWMA = false
debugSMA = false
debugBOLL = false
)
func init() {
// when using --dotenv option, the dotenv is loaded from command.PersistentPreRunE, not init.
// hence here the env var won't enable the debug flag
util.SetEnvVarBool("DEBUG_EWMA", &debugEWMA)
util.SetEnvVarBool("DEBUG_SMA", &debugSMA)
util.SetEnvVarBool("DEBUG_BOLL", &debugBOLL)
}
type StandardIndicatorSet struct {
Symbol string
// Standard indicators
// interval -> window
sma map[types.IntervalWindow]*indicator.SMA
ewma map[types.IntervalWindow]*indicator.EWMA
boll map[types.IntervalWindowBandWidth]*indicator.BOLL
stoch map[types.IntervalWindow]*indicator.STOCH
boll map[types.IntervalWindowBandWidth]*indicator.BOLL
stoch map[types.IntervalWindow]*indicator.STOCH
simples map[types.IntervalWindow]indicator.Simple
stream types.Stream
store *MarketDataStore
@ -37,106 +33,81 @@ type StandardIndicatorSet struct {
func NewStandardIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *StandardIndicatorSet {
return &StandardIndicatorSet{
Symbol: symbol,
sma: make(map[types.IntervalWindow]*indicator.SMA),
ewma: make(map[types.IntervalWindow]*indicator.EWMA),
boll: make(map[types.IntervalWindowBandWidth]*indicator.BOLL),
stoch: make(map[types.IntervalWindow]*indicator.STOCH),
store: store,
stream: stream,
Symbol: symbol,
store: store,
stream: stream,
simples: make(map[types.IntervalWindow]indicator.Simple),
boll: make(map[types.IntervalWindowBandWidth]*indicator.BOLL),
stoch: make(map[types.IntervalWindow]*indicator.STOCH),
}
}
func (set *StandardIndicatorSet) initAndBind(inc indicator.KLinePusher, iw types.IntervalWindow) {
if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
for _, k := range *klines {
inc.PushK(k)
}
}
set.stream.OnKLineClosed(types.KLineWith(set.Symbol, iw.Interval, inc.PushK))
}
func (set *StandardIndicatorSet) allocateSimpleIndicator(t indicator.Simple, iw types.IntervalWindow) indicator.Simple {
inc, ok := set.simples[iw]
if ok {
return inc
}
inc = t
set.initAndBind(inc, iw)
set.simples[iw] = inc
return t
}
// SMA is a helper function that returns the simple moving average indicator of the given interval and the window size.
func (set *StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA {
inc := set.allocateSimpleIndicator(&indicator.SMA{IntervalWindow: iw}, iw)
return inc.(*indicator.SMA)
}
// EWMA is a helper function that returns the exponential weighed moving average indicator of the given interval and the window size.
func (set *StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA {
inc := set.allocateSimpleIndicator(&indicator.EWMA{IntervalWindow: iw}, iw)
return inc.(*indicator.EWMA)
}
func (set *StandardIndicatorSet) PivotLow(iw types.IntervalWindow) *indicator.PivotLow {
inc := set.allocateSimpleIndicator(&indicator.PivotLow{IntervalWindow: iw}, iw)
return inc.(*indicator.PivotLow)
}
func (set *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH {
inc, ok := set.stoch[iw]
if !ok {
inc = &indicator.STOCH{IntervalWindow: iw}
set.initAndBind(inc, iw)
set.stoch[iw] = inc
}
return inc
}
// BOLL returns the bollinger band indicator of the given interval, the window and bandwidth
func (set *StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandWidth float64) *indicator.BOLL {
iwb := types.IntervalWindowBandWidth{IntervalWindow: iw, BandWidth: bandWidth}
inc, ok := set.boll[iwb]
if !ok {
inc = &indicator.BOLL{IntervalWindow: iw, K: bandWidth}
if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
for _, k := range *klines {
inc.PushK(k)
}
}
set.initAndBind(inc, iw)
if debugBOLL {
inc.OnUpdate(func(sma float64, upBand float64, downBand float64) {
logrus.Infof("%s BOLL %s: sma=%f up=%f down=%f", set.Symbol, iw.String(), sma, upBand, downBand)
})
}
inc.BindK(set.stream, set.Symbol, iw.Interval)
set.boll[iwb] = inc
}
return inc
}
// SMA returns the simple moving average indicator of the given interval and the window size.
func (set *StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA {
inc, ok := set.sma[iw]
if !ok {
inc = &indicator.SMA{IntervalWindow: iw}
if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
for _, k := range *klines {
inc.PushK(k)
}
}
if debugSMA {
inc.OnUpdate(func(value float64) {
logrus.Infof("%s SMA %s: %f", set.Symbol, iw.String(), value)
})
}
inc.BindK(set.stream, set.Symbol, iw.Interval)
set.sma[iw] = inc
}
return inc
}
// EWMA returns the exponential weighed moving average indicator of the given interval and the window size.
func (set *StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA {
inc, ok := set.ewma[iw]
if !ok {
inc = &indicator.EWMA{IntervalWindow: iw}
if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
for _, k := range *klines {
inc.PushK(k)
}
}
if debugEWMA {
inc.OnUpdate(func(value float64) {
logrus.Infof("%s EWMA %s: value=%f", set.Symbol, iw.String(), value)
})
}
inc.BindK(set.stream, set.Symbol, iw.Interval)
set.ewma[iw] = inc
}
return inc
}
func (set *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH {
inc, ok := set.stoch[iw]
if !ok {
inc = &indicator.STOCH{IntervalWindow: iw}
if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
for _, k := range *klines {
inc.PushK(k)
}
}
inc.BindK(set.stream, set.Symbol, iw.Interval)
set.stoch[iw] = inc
}
return inc
}

7
pkg/indicator/interface.go
View File

@ -22,6 +22,13 @@ type KLinePusher interface {
PushK(k types.KLine)
}
// Simple is the simple indicator that only returns one float64 value
type Simple interface {
KLinePusher
Last() float64
OnUpdate(f func(value float64))
}
type KLineCalculateUpdater interface {
CalculateAndUpdate(allKLines []types.KLine)
}

1
pkg/indicator/pivot_low.go
View File

@ -53,6 +53,7 @@ func (inc *PivotLow) PushK(k types.KLine) {
inc.EmitUpdate(inc.Last())
}
func calculatePivotLow(lows types.Float64Slice, window int) (float64, error) {
length := len(lows)
if length == 0 || length < window {

10
pkg/indicator/stoch.go
View File

@ -69,16 +69,6 @@ func (inc *STOCH) PushK(k types.KLine) {
inc.EmitUpdate(inc.LastK(), inc.LastD())
}
func (inc *STOCH) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
}
func (inc *STOCH) LoadK(allKLines []types.KLine) {
for _, k := range allKLines {
inc.PushK(k)
}
}
func (inc *STOCH) GetD() types.Series {
return &inc.D
}