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stratgy: add oneliner
This commit is contained in:
parent
29376defa3
commit
4f99110d2b
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@ -19,6 +19,7 @@ import (
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_ "github.com/c9s/bbgo/pkg/strategy/grid"
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_ "github.com/c9s/bbgo/pkg/strategy/kline"
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_ "github.com/c9s/bbgo/pkg/strategy/marketcap"
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_ "github.com/c9s/bbgo/pkg/strategy/oneliner"
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_ "github.com/c9s/bbgo/pkg/strategy/pivotshort"
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_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
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_ "github.com/c9s/bbgo/pkg/strategy/pricedrop"
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124
pkg/strategy/oneliner/neg_return_rate.go
Normal file
124
pkg/strategy/oneliner/neg_return_rate.go
Normal file
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@ -0,0 +1,124 @@
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package oneliner
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import (
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"time"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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var zeroTime time.Time
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// simple negative internal return rate over certain timeframe(interval)
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//go:generate callbackgen -type NRR
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type NRR struct {
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types.IntervalWindow
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types.SeriesBase
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RankingWindow int
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Prices *types.Queue
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Values floats.Slice
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RankedValues floats.Slice
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EndTime time.Time
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updateCallbacks []func(value float64)
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}
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var _ types.SeriesExtend = &NRR{}
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func (inc *NRR) Update(price float64) {
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if inc.SeriesBase.Series == nil {
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inc.SeriesBase.Series = inc
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inc.Prices = types.NewQueue(inc.Window)
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}
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inc.Prices.Update(price)
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if inc.Prices.Length() < inc.Window {
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return
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}
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irr := (inc.Prices.Last() / inc.Prices.Index(inc.Window-1)) - 1
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inc.Values.Push(-irr) // neg ret here
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inc.RankedValues.Push(inc.Rank(inc.RankingWindow).Last() / float64(inc.RankingWindow)) // ranked neg ret here
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}
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func (inc *NRR) Last() float64 {
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if len(inc.Values) == 0 {
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return 0
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}
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return inc.Values[len(inc.Values)-1]
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}
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func (inc *NRR) Index(i int) float64 {
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if i >= len(inc.Values) {
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return 0
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}
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return inc.Values[len(inc.Values)-1-i]
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}
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func (inc *NRR) Length() int {
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return len(inc.Values)
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}
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func (inc *NRR) CalculateAndUpdate(allKLines []types.KLine) {
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if len(inc.Values) == 0 {
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for _, k := range allKLines {
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.Last())
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} else {
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(inc.Last())
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}
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}
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func (inc *NRR) 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 *NRR) Bind(updater indicator.KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func (inc *NRR) BindK(target indicator.KLineClosedEmitter, symbol string, interval types.Interval) {
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target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
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}
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func (inc *NRR) PushK(k types.KLine) {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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return
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}
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inc.Update(indicator.KLineClosePriceMapper(k))
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.Last())
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}
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func (inc *NRR) LoadK(allKLines []types.KLine) {
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for _, k := range allKLines {
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.Last())
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}
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//func calculateReturn(klines []types.KLine, window int, val KLineValueMapper) (float64, error) {
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// length := len(klines)
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// if length == 0 || length < window {
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// return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
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// }
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//
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// rate := val(klines[length-1])/val(klines[length-2]) - 1
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//
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// return rate, nil
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//}
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15
pkg/strategy/oneliner/nrr_callbacks.go
Normal file
15
pkg/strategy/oneliner/nrr_callbacks.go
Normal file
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@ -0,0 +1,15 @@
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// Code generated by "callbackgen -type NRR"; DO NOT EDIT.
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package oneliner
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import ()
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func (inc *NRR) 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 *NRR) 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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420
pkg/strategy/oneliner/strategy.go
Normal file
420
pkg/strategy/oneliner/strategy.go
Normal file
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@ -0,0 +1,420 @@
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package oneliner
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import (
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"bytes"
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"context"
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"errors"
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"fmt"
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"os"
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"sync"
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"time"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/interact"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/sirupsen/logrus"
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"github.com/wcharczuk/go-chart/v2"
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)
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const ID = "oneliner"
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var one = fixedpoint.One
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var zero = fixedpoint.Zero
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var Fee = 0.0008 // taker fee % * 2, for upper bound
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type IntervalWindowSetting struct {
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types.IntervalWindow
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}
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type Strategy struct {
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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Market types.Market
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types.IntervalWindow
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// persistence fields
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Position *types.Position `persistence:"position"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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TradeStats *types.TradeStats `persistence:"trade_stats"`
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activeOrders *bbgo.ActiveOrderBook
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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bbgo.QuantityOrAmount
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nrr *NRR
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// StrategyController
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bbgo.StrategyController
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// plotting
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bbgo.SourceSelector
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alpha *NRR
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priceLines *types.Queue
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trendLine types.UpdatableSeriesExtend
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ma types.UpdatableSeriesExtend
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stdevHigh *indicator.StdDev
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stdevLow *indicator.StdDev
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atr *indicator.ATR
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midPrice fixedpoint.Value
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lock sync.RWMutex `ignore:"true"`
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positionLock sync.RWMutex `ignore:"true"`
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startTime time.Time
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minutesCounter int
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orderPendingCounter map[uint64]int
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frameKLine *types.KLine
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kline1m *types.KLine
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beta float64
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StopLoss fixedpoint.Value `json:"stoploss"`
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CanvasPath string `json:"canvasPath"`
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PredictOffset int `json:"predictOffset"`
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HighLowVarianceMultiplier float64 `json:"hlVarianceMultiplier"`
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NoTrailingStopLoss bool `json:"noTrailingStopLoss"`
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TrailingStopLossType string `json:"trailingStopLossType"` // trailing stop sources. Possible options are `kline` for 1m kline and `realtime` from order updates
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HLRangeWindow int `json:"hlRangeWindow"`
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Window1m int `json:"window1m"`
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FisherTransformWindow1m int `json:"fisherTransformWindow1m"`
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SmootherWindow1m int `json:"smootherWindow1m"`
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SmootherWindow int `json:"smootherWindow"`
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FisherTransformWindow int `json:"fisherTransformWindow"`
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ATRWindow int `json:"atrWindow"`
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PendingMinutes int `json:"pendingMinutes"` // if order not be traded for pendingMinutes of time, cancel it.
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NoRebalance bool `json:"noRebalance"` // disable rebalance
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TrendWindow int `json:"trendWindow"` // trendLine is used for rebalancing the position. When trendLine goes up, hold base, otherwise hold quote
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RebalanceFilter float64 `json:"rebalanceFilter"` // beta filter on the Linear Regression of trendLine
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TrailingCallbackRate []float64 `json:"trailingCallbackRate"`
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TrailingActivationRatio []float64 `json:"trailingActivationRatio"`
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DriftFilterNeg float64 `json:"driftFilterNeg"`
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DriftFilterPos float64 `json:"driftFilterPos"`
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DDriftFilterNeg float64 `json:"ddriftFilterNeg"`
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DDriftFilterPos float64 `json:"ddriftFilterPos"`
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buyPrice float64 `persistence:"buy_price"`
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sellPrice float64 `persistence:"sell_price"`
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highestPrice float64 `persistence:"highest_price"`
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lowestPrice float64 `persistence:"lowest_price"`
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// This is not related to trade but for statistics graph generation
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// Will deduct fee in percentage from every trade
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GraphPNLDeductFee bool `json:"graphPNLDeductFee"`
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GraphPNLPath string `json:"graphPNLPath"`
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GraphCumPNLPath string `json:"graphCumPNLPath"`
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// Whether to generate graph when shutdown
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GenerateGraph bool `json:"generateGraph"`
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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if !bbgo.IsBackTesting {
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session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
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}
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s.ExitMethods.SetAndSubscribe(session, s)
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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var instanceID = s.InstanceID()
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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if s.TradeStats == nil {
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s.TradeStats = types.NewTradeStats(s.Symbol)
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}
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// StrategyController
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s.Status = types.StrategyStatusRunning
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s.OnSuspend(func() {
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// Cancel active orders
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_ = s.orderExecutor.GracefulCancel(ctx)
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})
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s.OnEmergencyStop(func() {
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// Cancel active orders
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_ = s.orderExecutor.GracefulCancel(ctx)
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// Close 100% position
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//_ = s.ClosePosition(ctx, fixedpoint.One)
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})
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// initial required information
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s.session = session
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s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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s.orderExecutor.BindEnvironment(s.Environment)
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s.orderExecutor.BindProfitStats(s.ProfitStats)
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s.orderExecutor.BindTradeStats(s.TradeStats)
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//modify := func(p float64) float64 {
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// return p
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//}
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//if s.GraphPNLDeductFee {
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// modify = func(p float64) float64 {
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// return p * (1. - Fee)
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// }
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//}
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profit := floats.Slice{1., 1.}
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price, _ := s.session.LastPrice(s.Symbol)
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initAsset := s.CalcAssetValue(price).Float64()
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cumProfit := floats.Slice{initAsset, initAsset}
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s.orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _profit, netProfit fixedpoint.Value) {
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profit.Update(netProfit.Float64())
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cumProfit.Update(s.CalcAssetValue(trade.Price).Float64())
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})
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(s)
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})
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s.orderExecutor.Bind()
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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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for _, method := range s.ExitMethods {
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method.Bind(session, s.orderExecutor)
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}
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store, _ := session.MarketDataStore(s.Symbol)
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s.nrr = &NRR{IntervalWindow: types.IntervalWindow{Window: 2, Interval: s.Interval}, RankingWindow: s.Window}
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s.nrr.Bind(store)
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//startTime := s.Environment.StartTime()
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//s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1h, startTime))
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// queued first signal as its initial process
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//alphaLst := types.NewQueue(2)
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s.session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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// transformed to [0~1] which divided equally
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//alpha := s.nrr.RankedValues.Last()
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// alpha-weighted assets (inventory and capital)
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targetBase := s.QuantityOrAmount.CalculateQuantity(kline.Close).Mul(fixedpoint.NewFromFloat(s.nrr.RankedValues.Index(1)))
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diffQty := targetBase.Sub(s.Position.Base)
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log.Infof("decision alpah: %f, ranked negative return: %f, current position: %f, target position diff: %f", s.nrr.RankedValues.Index(1), s.nrr.RankedValues.Last(), s.Position.Base.Float64(), diffQty.Float64())
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// use kline direction to prevent reversing position too soon
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if diffQty.Sign() > 0 { // && kline.Direction() >= 0
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s.orderExecutor.OpenPosition(context.Background(), bbgo.OpenPositionOptions{Quantity: diffQty.Abs(), Long: true, MarketOrder: true})
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} else if diffQty.Sign() < 0 { // && kline.Direction() <= 0
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s.orderExecutor.OpenPosition(context.Background(), bbgo.OpenPositionOptions{Quantity: diffQty.Abs(), Short: true, MarketOrder: true})
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}
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// important: delayed signal in order to submit order at current kline close (a.k.a. next open while in production)
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// instead of right in current kline open
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//alphaLst.Update(alpha)
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}))
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bbgo.RegisterCommand("/draw", "Draw Indicators", func(reply interact.Reply) {
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canvas := s.DrawIndicators(s.frameKLine.StartTime)
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var buffer bytes.Buffer
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if err := canvas.Render(chart.PNG, &buffer); err != nil {
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log.WithError(err).Errorf("cannot render indicators in oneliner")
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reply.Message(fmt.Sprintf("[error] cannot render indicators in drift: %v", err))
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return
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}
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bbgo.SendPhoto(&buffer)
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})
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bbgo.RegisterCommand("/pnl", "Draw PNL(%) per trade", func(reply interact.Reply) {
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canvas := s.DrawPNL(&profit)
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var buffer bytes.Buffer
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if err := canvas.Render(chart.PNG, &buffer); err != nil {
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log.WithError(err).Errorf("cannot render pnl in oneliner")
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reply.Message(fmt.Sprintf("[error] cannot render pnl in drift: %v", err))
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return
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}
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bbgo.SendPhoto(&buffer)
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})
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bbgo.RegisterCommand("/cumpnl", "Draw Cumulative PNL(Quote)", func(reply interact.Reply) {
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canvas := s.DrawCumPNL(&cumProfit)
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var buffer bytes.Buffer
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if err := canvas.Render(chart.PNG, &buffer); err != nil {
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log.WithError(err).Errorf("cannot render cumpnl in oneliner")
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reply.Message(fmt.Sprintf("[error] canot render cumpnl in drift: %v", err))
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return
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}
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bbgo.SendPhoto(&buffer)
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})
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bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
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_ = s.orderExecutor.GracefulCancel(ctx)
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})
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return nil
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}
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func (s *Strategy) CalcAssetValue(price fixedpoint.Value) fixedpoint.Value {
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balances := s.session.GetAccount().Balances()
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return balances[s.Market.BaseCurrency].Total().Mul(price).Add(balances[s.Market.QuoteCurrency].Total())
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}
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func (s *Strategy) DrawPNL(profit types.Series) *types.Canvas {
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canvas := types.NewCanvas(s.InstanceID())
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//log.Errorf("pnl Highest: %f, Lowest: %f", types.Highest(profit, profit.Length()), types.Lowest(profit, profit.Length()))
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length := profit.Length()
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if s.GraphPNLDeductFee {
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canvas.PlotRaw("pnl (with Fee Deducted)", profit, length)
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} else {
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canvas.PlotRaw("pnl", profit, length)
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}
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canvas.YAxis = chart.YAxis{
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ValueFormatter: func(v interface{}) string {
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if vf, isFloat := v.(float64); isFloat {
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return fmt.Sprintf("%.4f", vf)
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}
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return ""
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},
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}
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canvas.PlotRaw("1", types.NumberSeries(1), length)
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return canvas
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}
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|
||||
func (s *Strategy) DrawCumPNL(cumProfit types.Series) *types.Canvas {
|
||||
canvas := types.NewCanvas(s.InstanceID())
|
||||
canvas.PlotRaw("cumulative pnl", cumProfit, cumProfit.Length())
|
||||
canvas.YAxis = chart.YAxis{
|
||||
ValueFormatter: func(v interface{}) string {
|
||||
if vf, isFloat := v.(float64); isFloat {
|
||||
return fmt.Sprintf("%.4f", vf)
|
||||
}
|
||||
return ""
|
||||
},
|
||||
}
|
||||
return canvas
|
||||
}
|
||||
|
||||
func (s *Strategy) initIndicators(store *bbgo.SerialMarketDataStore) error {
|
||||
s.ma = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
|
||||
s.stdevHigh = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
|
||||
s.stdevLow = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
|
||||
s.alpha = &NRR{
|
||||
IntervalWindow: types.IntervalWindow{Window: 2, Interval: s.Interval},
|
||||
}
|
||||
s.alpha.SeriesBase.Series = s.alpha
|
||||
s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.ATRWindow}}
|
||||
s.trendLine = &indicator.EWMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.TrendWindow}}
|
||||
|
||||
klines, ok := store.KLinesOfInterval(s.Interval)
|
||||
klinesLength := len(*klines)
|
||||
if !ok || klinesLength == 0 {
|
||||
return errors.New("klines not exists")
|
||||
}
|
||||
for _, kline := range *klines {
|
||||
source := s.GetSource(&kline).Float64()
|
||||
high := kline.High.Float64()
|
||||
low := kline.Low.Float64()
|
||||
s.ma.Update(source)
|
||||
s.stdevHigh.Update(high - s.ma.Last())
|
||||
s.stdevLow.Update(s.ma.Last() - low)
|
||||
s.alpha.Update(kline.Close.Float64())
|
||||
s.trendLine.Update(source)
|
||||
s.atr.PushK(kline)
|
||||
s.priceLines.Update(source)
|
||||
}
|
||||
if s.frameKLine != nil && klines != nil {
|
||||
s.frameKLine.Set(&(*klines)[len(*klines)-1])
|
||||
}
|
||||
klines, ok = store.KLinesOfInterval(types.Interval1m)
|
||||
klinesLength = len(*klines)
|
||||
if !ok || klinesLength == 0 {
|
||||
return errors.New("klines not exists")
|
||||
}
|
||||
if s.kline1m != nil && klines != nil {
|
||||
s.kline1m.Set(&(*klines)[len(*klines)-1])
|
||||
}
|
||||
s.startTime = s.kline1m.StartTime.Time().Add(s.kline1m.Interval.Duration())
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) DrawIndicators(time types.Time) *types.Canvas {
|
||||
canvas := types.NewCanvas(s.InstanceID(), s.Interval)
|
||||
Length := s.priceLines.Length()
|
||||
if Length > 300 {
|
||||
Length = 300
|
||||
}
|
||||
log.Infof("draw indicators with %d data", Length)
|
||||
mean := s.priceLines.Mean(Length)
|
||||
highestPrice := s.priceLines.Minus(mean).Abs().Highest(Length)
|
||||
highestDrift := s.alpha.Abs().Highest(Length)
|
||||
hi := s.alpha.Abs().Highest(Length)
|
||||
ratio := highestPrice / highestDrift
|
||||
|
||||
canvas.Plot("upband", s.ma.Add(s.stdevHigh), time, Length)
|
||||
canvas.Plot("ma", s.ma, time, Length)
|
||||
canvas.Plot("downband", s.ma.Minus(s.stdevLow), time, Length)
|
||||
canvas.Plot("drift", s.alpha.Mul(ratio).Add(mean), time, Length)
|
||||
canvas.Plot("driftOrig", s.alpha.Mul(highestPrice/hi).Add(mean), time, Length)
|
||||
canvas.Plot("zero", types.NumberSeries(mean), time, Length)
|
||||
canvas.Plot("price", s.priceLines, time, Length)
|
||||
return canvas
|
||||
}
|
||||
|
||||
func (s *Strategy) Draw(time types.Time, profit types.Series, cumProfit types.Series) {
|
||||
canvas := s.DrawIndicators(time)
|
||||
f, err := os.Create(s.CanvasPath)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("cannot create on %s", s.CanvasPath)
|
||||
return
|
||||
}
|
||||
defer f.Close()
|
||||
if err := canvas.Render(chart.PNG, f); err != nil {
|
||||
log.WithError(err).Errorf("cannot render in drift")
|
||||
}
|
||||
|
||||
canvas = s.DrawPNL(profit)
|
||||
f, err = os.Create(s.GraphPNLPath)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("open pnl")
|
||||
return
|
||||
}
|
||||
defer f.Close()
|
||||
if err := canvas.Render(chart.PNG, f); err != nil {
|
||||
log.WithError(err).Errorf("render pnl")
|
||||
}
|
||||
|
||||
canvas = s.DrawCumPNL(cumProfit)
|
||||
f, err = os.Create(s.GraphCumPNLPath)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("open cumpnl")
|
||||
return
|
||||
}
|
||||
defer f.Close()
|
||||
if err := canvas.Render(chart.PNG, f); err != nil {
|
||||
log.WithError(err).Errorf("render cumpnl")
|
||||
}
|
||||
}
|
Loading…
Reference in New Issue
Block a user