mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
stratgy: add oneliner
This commit is contained in:
austin362667
parent
29376defa3
commit
4f99110d2b
|
|
@ -19,6 +19,7 @@ import (
|
|||
_ "github.com/c9s/bbgo/pkg/strategy/grid"
|
||||
_ "github.com/c9s/bbgo/pkg/strategy/kline"
|
||||
_ "github.com/c9s/bbgo/pkg/strategy/marketcap"
|
||||
_ "github.com/c9s/bbgo/pkg/strategy/oneliner"
|
||||
_ "github.com/c9s/bbgo/pkg/strategy/pivotshort"
|
||||
_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
|
||||
_ "github.com/c9s/bbgo/pkg/strategy/pricedrop"
|
||||
|
|
|
|||
124
pkg/strategy/oneliner/neg_return_rate.go
Normal file
124
pkg/strategy/oneliner/neg_return_rate.go
Normal file
|
|
@ -0,0 +1,124 @@
|
|||
package oneliner
|
||||
|
||||
import (
|
||||
"time"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/datatype/floats"
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
var zeroTime time.Time
|
||||
|
||||
// simple negative internal return rate over certain timeframe(interval)
|
||||
|
||||
//go:generate callbackgen -type NRR
|
||||
type NRR struct {
|
||||
types.IntervalWindow
|
||||
types.SeriesBase
|
||||
|
||||
RankingWindow int
|
||||
|
||||
Prices *types.Queue
|
||||
Values floats.Slice
|
||||
RankedValues floats.Slice
|
||||
|
||||
EndTime time.Time
|
||||
|
||||
updateCallbacks []func(value float64)
|
||||
}
|
||||
|
||||
var _ types.SeriesExtend = &NRR{}
|
||||
|
||||
func (inc *NRR) Update(price float64) {
|
||||
if inc.SeriesBase.Series == nil {
|
||||
inc.SeriesBase.Series = inc
|
||||
inc.Prices = types.NewQueue(inc.Window)
|
||||
}
|
||||
inc.Prices.Update(price)
|
||||
if inc.Prices.Length() < inc.Window {
|
||||
return
|
||||
}
|
||||
irr := (inc.Prices.Last() / inc.Prices.Index(inc.Window-1)) - 1
|
||||
|
||||
inc.Values.Push(-irr) // neg ret here
|
||||
inc.RankedValues.Push(inc.Rank(inc.RankingWindow).Last() / float64(inc.RankingWindow)) // ranked neg ret here
|
||||
|
||||
}
|
||||
|
||||
func (inc *NRR) Last() float64 {
|
||||
if len(inc.Values) == 0 {
|
||||
return 0
|
||||
}
|
||||
|
||||
return inc.Values[len(inc.Values)-1]
|
||||
}
|
||||
|
||||
func (inc *NRR) Index(i int) float64 {
|
||||
if i >= len(inc.Values) {
|
||||
return 0
|
||||
}
|
||||
|
||||
return inc.Values[len(inc.Values)-1-i]
|
||||
}
|
||||
|
||||
func (inc *NRR) Length() int {
|
||||
return len(inc.Values)
|
||||
}
|
||||
|
||||
func (inc *NRR) CalculateAndUpdate(allKLines []types.KLine) {
|
||||
if len(inc.Values) == 0 {
|
||||
for _, k := range allKLines {
|
||||
inc.PushK(k)
|
||||
}
|
||||
inc.EmitUpdate(inc.Last())
|
||||
} else {
|
||||
k := allKLines[len(allKLines)-1]
|
||||
inc.PushK(k)
|
||||
inc.EmitUpdate(inc.Last())
|
||||
}
|
||||
}
|
||||
|
||||
func (inc *NRR) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
||||
if inc.Interval != interval {
|
||||
return
|
||||
}
|
||||
|
||||
inc.CalculateAndUpdate(window)
|
||||
}
|
||||
|
||||
func (inc *NRR) Bind(updater indicator.KLineWindowUpdater) {
|
||||
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
||||
}
|
||||
|
||||
func (inc *NRR) BindK(target indicator.KLineClosedEmitter, symbol string, interval types.Interval) {
|
||||
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
|
||||
}
|
||||
|
||||
func (inc *NRR) PushK(k types.KLine) {
|
||||
if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
|
||||
return
|
||||
}
|
||||
|
||||
inc.Update(indicator.KLineClosePriceMapper(k))
|
||||
inc.EndTime = k.EndTime.Time()
|
||||
inc.EmitUpdate(inc.Last())
|
||||
}
|
||||
|
||||
func (inc *NRR) LoadK(allKLines []types.KLine) {
|
||||
for _, k := range allKLines {
|
||||
inc.PushK(k)
|
||||
}
|
||||
inc.EmitUpdate(inc.Last())
|
||||
}
|
||||
|
||||
//func calculateReturn(klines []types.KLine, window int, val KLineValueMapper) (float64, error) {
|
||||
// length := len(klines)
|
||||
// if length == 0 || length < window {
|
||||
// return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
|
||||
// }
|
||||
//
|
||||
// rate := val(klines[length-1])/val(klines[length-2]) - 1
|
||||
//
|
||||
// return rate, nil
|
||||
//}
|
||||
15
pkg/strategy/oneliner/nrr_callbacks.go
Normal file
15
pkg/strategy/oneliner/nrr_callbacks.go
Normal file
|
|
@ -0,0 +1,15 @@
|
|||
// Code generated by "callbackgen -type NRR"; DO NOT EDIT.
|
||||
|
||||
package oneliner
|
||||
|
||||
import ()
|
||||
|
||||
func (inc *NRR) OnUpdate(cb func(value float64)) {
|
||||
inc.updateCallbacks = append(inc.updateCallbacks, cb)
|
||||
}
|
||||
|
||||
func (inc *NRR) EmitUpdate(value float64) {
|
||||
for _, cb := range inc.updateCallbacks {
|
||||
cb(value)
|
||||
}
|
||||
}
|
||||
420
pkg/strategy/oneliner/strategy.go
Normal file
420
pkg/strategy/oneliner/strategy.go
Normal file
|
|
@ -0,0 +1,420 @@
|
|||
package oneliner
|
||||
|
||||
import (
|
||||
"bytes"
|
||||
"context"
|
||||
"errors"
|
||||
"fmt"
|
||||
"os"
|
||||
"sync"
|
||||
"time"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/datatype/floats"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
"github.com/c9s/bbgo/pkg/interact"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
|
||||
"github.com/sirupsen/logrus"
|
||||
"github.com/wcharczuk/go-chart/v2"
|
||||
)
|
||||
|
||||
const ID = "oneliner"
|
||||
|
||||
var one = fixedpoint.One
|
||||
var zero = fixedpoint.Zero
|
||||
var Fee = 0.0008 // taker fee % * 2, for upper bound
|
||||
|
||||
var log = logrus.WithField("strategy", ID)
|
||||
|
||||
func init() {
|
||||
bbgo.RegisterStrategy(ID, &Strategy{})
|
||||
}
|
||||
|
||||
type IntervalWindowSetting struct {
|
||||
types.IntervalWindow
|
||||
}
|
||||
|
||||
type Strategy struct {
|
||||
Environment *bbgo.Environment
|
||||
Symbol string `json:"symbol"`
|
||||
Market types.Market
|
||||
|
||||
types.IntervalWindow
|
||||
|
||||
// persistence fields
|
||||
Position *types.Position `persistence:"position"`
|
||||
ProfitStats *types.ProfitStats `persistence:"profit_stats"`
|
||||
TradeStats *types.TradeStats `persistence:"trade_stats"`
|
||||
|
||||
activeOrders *bbgo.ActiveOrderBook
|
||||
|
||||
ExitMethods bbgo.ExitMethodSet `json:"exits"`
|
||||
|
||||
session *bbgo.ExchangeSession
|
||||
orderExecutor *bbgo.GeneralOrderExecutor
|
||||
|
||||
bbgo.QuantityOrAmount
|
||||
nrr *NRR
|
||||
|
||||
// StrategyController
|
||||
bbgo.StrategyController
|
||||
|
||||
// plotting
|
||||
bbgo.SourceSelector
|
||||
alpha *NRR
|
||||
priceLines *types.Queue
|
||||
trendLine types.UpdatableSeriesExtend
|
||||
ma types.UpdatableSeriesExtend
|
||||
stdevHigh *indicator.StdDev
|
||||
stdevLow *indicator.StdDev
|
||||
atr *indicator.ATR
|
||||
midPrice fixedpoint.Value
|
||||
lock sync.RWMutex `ignore:"true"`
|
||||
positionLock sync.RWMutex `ignore:"true"`
|
||||
startTime time.Time
|
||||
minutesCounter int
|
||||
orderPendingCounter map[uint64]int
|
||||
frameKLine *types.KLine
|
||||
kline1m *types.KLine
|
||||
|
||||
beta float64
|
||||
|
||||
StopLoss fixedpoint.Value `json:"stoploss"`
|
||||
CanvasPath string `json:"canvasPath"`
|
||||
PredictOffset int `json:"predictOffset"`
|
||||
HighLowVarianceMultiplier float64 `json:"hlVarianceMultiplier"`
|
||||
NoTrailingStopLoss bool `json:"noTrailingStopLoss"`
|
||||
TrailingStopLossType string `json:"trailingStopLossType"` // trailing stop sources. Possible options are `kline` for 1m kline and `realtime` from order updates
|
||||
HLRangeWindow int `json:"hlRangeWindow"`
|
||||
Window1m int `json:"window1m"`
|
||||
FisherTransformWindow1m int `json:"fisherTransformWindow1m"`
|
||||
SmootherWindow1m int `json:"smootherWindow1m"`
|
||||
SmootherWindow int `json:"smootherWindow"`
|
||||
FisherTransformWindow int `json:"fisherTransformWindow"`
|
||||
ATRWindow int `json:"atrWindow"`
|
||||
PendingMinutes int `json:"pendingMinutes"` // if order not be traded for pendingMinutes of time, cancel it.
|
||||
NoRebalance bool `json:"noRebalance"` // disable rebalance
|
||||
TrendWindow int `json:"trendWindow"` // trendLine is used for rebalancing the position. When trendLine goes up, hold base, otherwise hold quote
|
||||
RebalanceFilter float64 `json:"rebalanceFilter"` // beta filter on the Linear Regression of trendLine
|
||||
TrailingCallbackRate []float64 `json:"trailingCallbackRate"`
|
||||
TrailingActivationRatio []float64 `json:"trailingActivationRatio"`
|
||||
|
||||
DriftFilterNeg float64 `json:"driftFilterNeg"`
|
||||
DriftFilterPos float64 `json:"driftFilterPos"`
|
||||
DDriftFilterNeg float64 `json:"ddriftFilterNeg"`
|
||||
DDriftFilterPos float64 `json:"ddriftFilterPos"`
|
||||
|
||||
buyPrice float64 `persistence:"buy_price"`
|
||||
sellPrice float64 `persistence:"sell_price"`
|
||||
highestPrice float64 `persistence:"highest_price"`
|
||||
lowestPrice float64 `persistence:"lowest_price"`
|
||||
|
||||
// This is not related to trade but for statistics graph generation
|
||||
// Will deduct fee in percentage from every trade
|
||||
GraphPNLDeductFee bool `json:"graphPNLDeductFee"`
|
||||
GraphPNLPath string `json:"graphPNLPath"`
|
||||
GraphCumPNLPath string `json:"graphCumPNLPath"`
|
||||
// Whether to generate graph when shutdown
|
||||
GenerateGraph bool `json:"generateGraph"`
|
||||
}
|
||||
|
||||
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
||||
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
|
||||
|
||||
if !bbgo.IsBackTesting {
|
||||
session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
|
||||
}
|
||||
|
||||
s.ExitMethods.SetAndSubscribe(session, s)
|
||||
}
|
||||
|
||||
func (s *Strategy) ID() string {
|
||||
return ID
|
||||
}
|
||||
|
||||
func (s *Strategy) InstanceID() string {
|
||||
return fmt.Sprintf("%s:%s", ID, s.Symbol)
|
||||
}
|
||||
|
||||
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
||||
var instanceID = s.InstanceID()
|
||||
|
||||
if s.Position == nil {
|
||||
s.Position = types.NewPositionFromMarket(s.Market)
|
||||
}
|
||||
|
||||
if s.ProfitStats == nil {
|
||||
s.ProfitStats = types.NewProfitStats(s.Market)
|
||||
}
|
||||
|
||||
if s.TradeStats == nil {
|
||||
s.TradeStats = types.NewTradeStats(s.Symbol)
|
||||
}
|
||||
|
||||
// StrategyController
|
||||
s.Status = types.StrategyStatusRunning
|
||||
|
||||
s.OnSuspend(func() {
|
||||
// Cancel active orders
|
||||
_ = s.orderExecutor.GracefulCancel(ctx)
|
||||
})
|
||||
|
||||
s.OnEmergencyStop(func() {
|
||||
// Cancel active orders
|
||||
_ = s.orderExecutor.GracefulCancel(ctx)
|
||||
// Close 100% position
|
||||
//_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
})
|
||||
|
||||
// initial required information
|
||||
s.session = session
|
||||
|
||||
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
|
||||
s.orderExecutor.BindEnvironment(s.Environment)
|
||||
s.orderExecutor.BindProfitStats(s.ProfitStats)
|
||||
s.orderExecutor.BindTradeStats(s.TradeStats)
|
||||
|
||||
//modify := func(p float64) float64 {
|
||||
// return p
|
||||
//}
|
||||
//if s.GraphPNLDeductFee {
|
||||
// modify = func(p float64) float64 {
|
||||
// return p * (1. - Fee)
|
||||
// }
|
||||
//}
|
||||
profit := floats.Slice{1., 1.}
|
||||
price, _ := s.session.LastPrice(s.Symbol)
|
||||
initAsset := s.CalcAssetValue(price).Float64()
|
||||
cumProfit := floats.Slice{initAsset, initAsset}
|
||||
s.orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _profit, netProfit fixedpoint.Value) {
|
||||
profit.Update(netProfit.Float64())
|
||||
cumProfit.Update(s.CalcAssetValue(trade.Price).Float64())
|
||||
})
|
||||
s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
||||
bbgo.Sync(s)
|
||||
})
|
||||
s.orderExecutor.Bind()
|
||||
s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
|
||||
|
||||
for _, method := range s.ExitMethods {
|
||||
method.Bind(session, s.orderExecutor)
|
||||
}
|
||||
|
||||
store, _ := session.MarketDataStore(s.Symbol)
|
||||
s.nrr = &NRR{IntervalWindow: types.IntervalWindow{Window: 2, Interval: s.Interval}, RankingWindow: s.Window}
|
||||
s.nrr.Bind(store)
|
||||
|
||||
//startTime := s.Environment.StartTime()
|
||||
//s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1h, startTime))
|
||||
|
||||
// queued first signal as its initial process
|
||||
//alphaLst := types.NewQueue(2)
|
||||
|
||||
s.session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
|
||||
|
||||
// transformed to [0~1] which divided equally
|
||||
//alpha := s.nrr.RankedValues.Last()
|
||||
|
||||
// alpha-weighted assets (inventory and capital)
|
||||
targetBase := s.QuantityOrAmount.CalculateQuantity(kline.Close).Mul(fixedpoint.NewFromFloat(s.nrr.RankedValues.Index(1)))
|
||||
diffQty := targetBase.Sub(s.Position.Base)
|
||||
|
||||
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())
|
||||
|
||||
// use kline direction to prevent reversing position too soon
|
||||
if diffQty.Sign() > 0 { // && kline.Direction() >= 0
|
||||
s.orderExecutor.OpenPosition(context.Background(), bbgo.OpenPositionOptions{Quantity: diffQty.Abs(), Long: true, MarketOrder: true})
|
||||
} else if diffQty.Sign() < 0 { // && kline.Direction() <= 0
|
||||
s.orderExecutor.OpenPosition(context.Background(), bbgo.OpenPositionOptions{Quantity: diffQty.Abs(), Short: true, MarketOrder: true})
|
||||
}
|
||||
|
||||
// important: delayed signal in order to submit order at current kline close (a.k.a. next open while in production)
|
||||
// instead of right in current kline open
|
||||
//alphaLst.Update(alpha)
|
||||
}))
|
||||
|
||||
bbgo.RegisterCommand("/draw", "Draw Indicators", func(reply interact.Reply) {
|
||||
canvas := s.DrawIndicators(s.frameKLine.StartTime)
|
||||
var buffer bytes.Buffer
|
||||
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
||||
log.WithError(err).Errorf("cannot render indicators in oneliner")
|
||||
reply.Message(fmt.Sprintf("[error] cannot render indicators in drift: %v", err))
|
||||
return
|
||||
}
|
||||
bbgo.SendPhoto(&buffer)
|
||||
})
|
||||
|
||||
bbgo.RegisterCommand("/pnl", "Draw PNL(%) per trade", func(reply interact.Reply) {
|
||||
canvas := s.DrawPNL(&profit)
|
||||
var buffer bytes.Buffer
|
||||
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
||||
log.WithError(err).Errorf("cannot render pnl in oneliner")
|
||||
reply.Message(fmt.Sprintf("[error] cannot render pnl in drift: %v", err))
|
||||
return
|
||||
}
|
||||
bbgo.SendPhoto(&buffer)
|
||||
})
|
||||
|
||||
bbgo.RegisterCommand("/cumpnl", "Draw Cumulative PNL(Quote)", func(reply interact.Reply) {
|
||||
canvas := s.DrawCumPNL(&cumProfit)
|
||||
var buffer bytes.Buffer
|
||||
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
||||
log.WithError(err).Errorf("cannot render cumpnl in oneliner")
|
||||
reply.Message(fmt.Sprintf("[error] canot render cumpnl in drift: %v", err))
|
||||
return
|
||||
}
|
||||
bbgo.SendPhoto(&buffer)
|
||||
})
|
||||
|
||||
bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
||||
defer wg.Done()
|
||||
|
||||
_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
|
||||
_ = s.orderExecutor.GracefulCancel(ctx)
|
||||
})
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) CalcAssetValue(price fixedpoint.Value) fixedpoint.Value {
|
||||
balances := s.session.GetAccount().Balances()
|
||||
return balances[s.Market.BaseCurrency].Total().Mul(price).Add(balances[s.Market.QuoteCurrency].Total())
|
||||
}
|
||||
|
||||
func (s *Strategy) DrawPNL(profit types.Series) *types.Canvas {
|
||||
canvas := types.NewCanvas(s.InstanceID())
|
||||
//log.Errorf("pnl Highest: %f, Lowest: %f", types.Highest(profit, profit.Length()), types.Lowest(profit, profit.Length()))
|
||||
length := profit.Length()
|
||||
if s.GraphPNLDeductFee {
|
||||
canvas.PlotRaw("pnl (with Fee Deducted)", profit, length)
|
||||
} else {
|
||||
canvas.PlotRaw("pnl", profit, length)
|
||||
}
|
||||
canvas.YAxis = chart.YAxis{
|
||||
ValueFormatter: func(v interface{}) string {
|
||||
if vf, isFloat := v.(float64); isFloat {
|
||||
return fmt.Sprintf("%.4f", vf)
|
||||
}
|
||||
return ""
|
||||
},
|
||||
}
|
||||
canvas.PlotRaw("1", types.NumberSeries(1), length)
|
||||
return canvas
|
||||
}
|
||||
|
||||
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