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https://github.com/c9s/bbgo.git
synced 2024-11-10 01:01:56 +00:00
make rightWindow possible to be set as zero
This commit is contained in:
parent
d617bf8ae5
commit
4c69dccf09
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@ -7,10 +7,6 @@ func (s Slice) Pivot(left, right int, f func(a, pivot float64) bool) (float64, b
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func FindPivot(values Slice, left, right int, f func(a, pivot float64) bool) (float64, bool) {
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func FindPivot(values Slice, left, right int, f func(a, pivot float64) bool) (float64, bool) {
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length := len(values)
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length := len(values)
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if right == 0 {
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right = left
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}
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if length == 0 || length < left+right+1 {
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if length == 0 || length < left+right+1 {
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return 0.0, false
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return 0.0, false
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}
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}
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29
pkg/datatype/floats/pivot_test.go
Normal file
29
pkg/datatype/floats/pivot_test.go
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@ -0,0 +1,29 @@
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package floats
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import (
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"testing"
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"github.com/stretchr/testify/assert"
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)
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func TestFindPivot(t *testing.T) {
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t.Run("middle", func(t *testing.T) {
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pv, ok := FindPivot(Slice{10, 20, 30, 40, 30, 20}, 2, 2, func(a, pivot float64) bool {
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return a < pivot
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})
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if assert.True(t, ok) {
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assert.Equal(t, 40., pv)
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}
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})
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t.Run("last", func(t *testing.T) {
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pv, ok := FindPivot(Slice{10, 20, 30, 40, 30, 45}, 2, 0, func(a, pivot float64) bool {
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return a < pivot
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})
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if assert.True(t, ok) {
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assert.Equal(t, 45., pv)
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}
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})
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}
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@ -39,7 +39,11 @@ func (inc *PivotHigh) Update(value float64) {
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return
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return
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}
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}
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high, ok := calculatePivotHigh(inc.Highs, inc.Window, inc.RightWindow)
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if inc.RightWindow == nil {
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inc.RightWindow = &inc.Window
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}
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high, ok := calculatePivotHigh(inc.Highs, inc.Window, *inc.RightWindow)
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if !ok {
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if !ok {
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return
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return
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}
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}
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@ -39,7 +39,11 @@ func (inc *PivotLow) Update(value float64) {
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return
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return
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}
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}
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low, ok := calculatePivotLow(inc.Lows, inc.Window, inc.RightWindow)
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if inc.RightWindow == nil {
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inc.RightWindow = &inc.Window
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}
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low, ok := calculatePivotLow(inc.Lows, inc.Window, *inc.RightWindow)
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if !ok {
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if !ok {
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return
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return
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}
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}
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@ -36,8 +36,8 @@ func Test_calculatePivotLow(t *testing.T) {
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assert.Equal(t, 0.0, low)
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assert.Equal(t, 0.0, low)
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})
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})
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t.Run("right window 0", func(t *testing.T) {
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t.Run("right window same", func(t *testing.T) {
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low, ok := calculatePivotLow([]float64{15.0, 13.0, 12.0, 10.0, 14.0, 15.0}, 2, 0)
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low, ok := calculatePivotLow([]float64{15.0, 13.0, 12.0, 10.0, 14.0, 15.0}, 2, 2)
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assert.True(t, ok)
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assert.True(t, ok)
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assert.Equal(t, 10.0, low)
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assert.Equal(t, 10.0, low)
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})
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})
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@ -14,7 +14,7 @@ type TrendLine struct {
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Market types.Market `json:"-"`
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Market types.Market `json:"-"`
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types.IntervalWindow
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types.IntervalWindow
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PivotRightWindow fixedpoint.Value `json:"pivotRightWindow"`
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PivotRightWindow int `json:"pivotRightWindow"`
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// MarketOrder is the option to enable market order short.
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// MarketOrder is the option to enable market order short.
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MarketOrder bool `json:"marketOrder"`
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MarketOrder bool `json:"marketOrder"`
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@ -47,8 +47,14 @@ func (s *TrendLine) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gene
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position := orderExecutor.Position()
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position := orderExecutor.Position()
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symbol := position.Symbol
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symbol := position.Symbol
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standardIndicator := session.StandardIndicatorSet(s.Symbol)
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standardIndicator := session.StandardIndicatorSet(s.Symbol)
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s.pivotHigh = standardIndicator.PivotHigh(types.IntervalWindow{s.Interval, int(3. * s.PivotRightWindow.Float64()), int(s.PivotRightWindow.Float64())})
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s.pivotLow = standardIndicator.PivotLow(types.IntervalWindow{s.Interval, int(3. * s.PivotRightWindow.Float64()), int(s.PivotRightWindow.Float64())})
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s.pivotHigh = standardIndicator.PivotHigh(types.IntervalWindow{
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Interval: s.Interval,
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Window: int(3. * s.PivotRightWindow), RightWindow: &s.PivotRightWindow})
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s.pivotLow = standardIndicator.PivotLow(types.IntervalWindow{
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Interval: s.Interval,
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Window: int(3. * s.PivotRightWindow), RightWindow: &s.PivotRightWindow})
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resistancePrices := types.NewQueue(3)
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resistancePrices := types.NewQueue(3)
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pivotHighDurationCounter := 0.
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pivotHighDurationCounter := 0.
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@ -124,7 +130,9 @@ func (s *TrendLine) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gene
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}
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}
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}
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}
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func (s *TrendLine) placeOrder(ctx context.Context, side types.SideType, quantity fixedpoint.Value, symbol string) error {
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func (s *TrendLine) placeOrder(
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ctx context.Context, side types.SideType, quantity fixedpoint.Value, symbol string,
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) error {
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market, _ := s.session.Market(symbol)
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market, _ := s.session.Market(symbol)
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_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: symbol,
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Symbol: symbol,
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@ -179,7 +179,7 @@ type IntervalWindow struct {
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Window int `json:"window"`
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Window int `json:"window"`
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// RightWindow is used by the pivot indicator
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// RightWindow is used by the pivot indicator
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RightWindow int `json:"rightWindow"`
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RightWindow *int `json:"rightWindow"`
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}
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}
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type IntervalWindowBandWidth struct {
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type IntervalWindowBandWidth struct {
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