mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
all: move v2 indicator to indicator/v2
This commit is contained in:
parent
3293866a6c
commit
5853434aec
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@ -3,7 +3,7 @@ package bbgo
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import (
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/indicator/v2"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -16,8 +16,8 @@ type IndicatorSet struct {
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store *MarketDataStore
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// caches
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kLines map[types.Interval]*indicator.KLineStream
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closePrices map[types.Interval]*indicator.PriceStream
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kLines map[types.Interval]*indicatorv2.KLineStream
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closePrices map[types.Interval]*indicatorv2.PriceStream
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}
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func NewIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *IndicatorSet {
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@ -26,17 +26,17 @@ func NewIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore)
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store: store,
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stream: stream,
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kLines: make(map[types.Interval]*indicator.KLineStream),
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closePrices: make(map[types.Interval]*indicator.PriceStream),
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kLines: make(map[types.Interval]*indicatorv2.KLineStream),
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closePrices: make(map[types.Interval]*indicatorv2.PriceStream),
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}
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}
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func (i *IndicatorSet) KLines(interval types.Interval) *indicator.KLineStream {
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func (i *IndicatorSet) KLines(interval types.Interval) *indicatorv2.KLineStream {
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if kLines, ok := i.kLines[interval]; ok {
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return kLines
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}
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kLines := indicator.KLines(i.stream, i.Symbol, interval)
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kLines := indicatorv2.KLines(i.stream, i.Symbol, interval)
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if kLinesWindow, ok := i.store.KLinesOfInterval(interval); ok {
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kLines.BackFill(*kLinesWindow)
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} else {
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@ -47,60 +47,60 @@ func (i *IndicatorSet) KLines(interval types.Interval) *indicator.KLineStream {
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return kLines
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}
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func (i *IndicatorSet) OPEN(interval types.Interval) *indicator.PriceStream {
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return indicator.OpenPrices(i.KLines(interval))
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func (i *IndicatorSet) OPEN(interval types.Interval) *indicatorv2.PriceStream {
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return indicatorv2.OpenPrices(i.KLines(interval))
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}
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func (i *IndicatorSet) HIGH(interval types.Interval) *indicator.PriceStream {
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return indicator.HighPrices(i.KLines(interval))
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func (i *IndicatorSet) HIGH(interval types.Interval) *indicatorv2.PriceStream {
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return indicatorv2.HighPrices(i.KLines(interval))
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}
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func (i *IndicatorSet) LOW(interval types.Interval) *indicator.PriceStream {
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return indicator.LowPrices(i.KLines(interval))
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func (i *IndicatorSet) LOW(interval types.Interval) *indicatorv2.PriceStream {
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return indicatorv2.LowPrices(i.KLines(interval))
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}
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func (i *IndicatorSet) CLOSE(interval types.Interval) *indicator.PriceStream {
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func (i *IndicatorSet) CLOSE(interval types.Interval) *indicatorv2.PriceStream {
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if closePrices, ok := i.closePrices[interval]; ok {
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return closePrices
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}
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closePrices := indicator.ClosePrices(i.KLines(interval))
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closePrices := indicatorv2.ClosePrices(i.KLines(interval))
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i.closePrices[interval] = closePrices
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return closePrices
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}
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func (i *IndicatorSet) VOLUME(interval types.Interval) *indicator.PriceStream {
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return indicator.Volumes(i.KLines(interval))
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func (i *IndicatorSet) VOLUME(interval types.Interval) *indicatorv2.PriceStream {
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return indicatorv2.Volumes(i.KLines(interval))
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}
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func (i *IndicatorSet) RSI(iw types.IntervalWindow) *indicator.RSIStream {
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return indicator.RSI2(i.CLOSE(iw.Interval), iw.Window)
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func (i *IndicatorSet) RSI(iw types.IntervalWindow) *indicatorv2.RSIStream {
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return indicatorv2.RSI2(i.CLOSE(iw.Interval), iw.Window)
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}
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func (i *IndicatorSet) EMA(iw types.IntervalWindow) *indicator.EWMAStream {
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func (i *IndicatorSet) EMA(iw types.IntervalWindow) *indicatorv2.EWMAStream {
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return i.EWMA(iw)
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}
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func (i *IndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMAStream {
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return indicator.EWMA2(i.CLOSE(iw.Interval), iw.Window)
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func (i *IndicatorSet) EWMA(iw types.IntervalWindow) *indicatorv2.EWMAStream {
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return indicatorv2.EWMA2(i.CLOSE(iw.Interval), iw.Window)
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}
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func (i *IndicatorSet) STOCH(iw types.IntervalWindow, dPeriod int) *indicator.StochStream {
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return indicator.Stoch2(i.KLines(iw.Interval), iw.Window, dPeriod)
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func (i *IndicatorSet) STOCH(iw types.IntervalWindow, dPeriod int) *indicatorv2.StochStream {
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return indicatorv2.Stoch(i.KLines(iw.Interval), iw.Window, dPeriod)
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}
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func (i *IndicatorSet) BOLL(iw types.IntervalWindow, k float64) *indicator.BOLLStream {
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return indicator.BOLL2(i.CLOSE(iw.Interval), iw.Window, k)
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func (i *IndicatorSet) BOLL(iw types.IntervalWindow, k float64) *indicatorv2.BOLLStream {
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return indicatorv2.BOLL(i.CLOSE(iw.Interval), iw.Window, k)
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}
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func (i *IndicatorSet) MACD(interval types.Interval, shortWindow, longWindow, signalWindow int) *indicator.MACDStream {
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return indicator.MACD2(i.CLOSE(interval), shortWindow, longWindow, signalWindow)
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func (i *IndicatorSet) MACD(interval types.Interval, shortWindow, longWindow, signalWindow int) *indicatorv2.MACDStream {
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return indicatorv2.MACD2(i.CLOSE(interval), shortWindow, longWindow, signalWindow)
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}
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func (i *IndicatorSet) ATR(interval types.Interval, window int) *indicator.ATRStream {
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return indicator.ATR2(i.KLines(interval), window)
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func (i *IndicatorSet) ATR(interval types.Interval, window int) *indicatorv2.ATRStream {
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return indicatorv2.ATR2(i.KLines(interval), window)
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}
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func (i *IndicatorSet) ATRP(interval types.Interval, window int) *indicator.ATRPStream {
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return indicator.ATRP2(i.KLines(interval), window)
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func (i *IndicatorSet) ATRP(interval types.Interval, window int) *indicatorv2.ATRPStream {
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return indicatorv2.ATRP2(i.KLines(interval), window)
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}
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@ -76,9 +76,9 @@ func (inc *EWMA) PushK(k types.KLine) {
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inc.EmitUpdate(inc.Last(0))
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}
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func CalculateKLinesEMA(allKLines []types.KLine, priceF KLineValueMapper, window int) float64 {
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func CalculateKLinesEMA(allKLines []types.KLine, priceF types.KLineValueMapper, window int) float64 {
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var multiplier = 2.0 / (float64(window) + 1)
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return ewma(MapKLinePrice(allKLines, priceF), multiplier)
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return ewma(types.MapKLinePrice(allKLines, priceF), multiplier)
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}
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// see https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
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@ -1027,7 +1027,7 @@ func buildKLines(prices []fixedpoint.Value) (klines []types.KLine) {
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func Test_calculateEWMA(t *testing.T) {
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type args struct {
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allKLines []types.KLine
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priceF KLineValueMapper
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priceF types.KLineValueMapper
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window int
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}
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var input []fixedpoint.Value
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@ -1043,7 +1043,7 @@ func Test_calculateEWMA(t *testing.T) {
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name: "ETHUSDT EMA 7",
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args: args{
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allKLines: buildKLines(input),
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priceF: KLineClosePriceMapper,
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priceF: types.KLineClosePriceMapper,
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window: 7,
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},
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want: 571.72, // with open price, binance desktop returns 571.45, trading view returns 570.8957, for close price, binance mobile returns 571.72
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@ -1052,7 +1052,7 @@ func Test_calculateEWMA(t *testing.T) {
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name: "ETHUSDT EMA 25",
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args: args{
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allKLines: buildKLines(input),
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priceF: KLineClosePriceMapper,
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priceF: types.KLineClosePriceMapper,
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window: 25,
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},
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want: 571.30,
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@ -1061,7 +1061,7 @@ func Test_calculateEWMA(t *testing.T) {
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name: "ETHUSDT EMA 99",
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args: args{
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allKLines: buildKLines(input),
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priceF: KLineClosePriceMapper,
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priceF: types.KLineClosePriceMapper,
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window: 99,
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},
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want: 577.62, // binance mobile uses 577.58
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@ -1,15 +0,0 @@
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// Code generated by "callbackgen -type Float64Updater"; DO NOT EDIT.
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package indicator
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import ()
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func (f *Float64Updater) OnUpdate(cb func(v float64)) {
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f.updateCallbacks = append(f.updateCallbacks, cb)
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}
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func (f *Float64Updater) EmitUpdate(v float64) {
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for _, cb := range f.updateCallbacks {
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cb(v)
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}
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}
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@ -6070,7 +6070,7 @@ func Test_GHFilter(t *testing.T) {
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func Test_GHFilterEstimationAccurate(t *testing.T) {
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type args struct {
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allKLines []types.KLine
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priceF KLineValueMapper
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priceF types.KLineValueMapper
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window int
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}
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var klines []types.KLine
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@ -1,33 +0,0 @@
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package indicator
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import "github.com/c9s/bbgo/pkg/types"
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type KLineValueMapper func(k types.KLine) float64
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func KLineOpenPriceMapper(k types.KLine) float64 {
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return k.Open.Float64()
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}
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func KLineClosePriceMapper(k types.KLine) float64 {
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return k.Close.Float64()
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}
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func KLineTypicalPriceMapper(k types.KLine) float64 {
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return (k.High.Float64() + k.Low.Float64() + k.Close.Float64()) / 3.
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}
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func KLinePriceVolumeMapper(k types.KLine) float64 {
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return k.Close.Mul(k.Volume).Float64()
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}
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func KLineVolumeMapper(k types.KLine) float64 {
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return k.Volume.Float64()
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}
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func MapKLinePrice(kLines []types.KLine, f KLineValueMapper) (prices []float64) {
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for _, k := range kLines {
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prices = append(prices, f(k))
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}
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return prices
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}
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@ -52,7 +52,7 @@ func (inc *Pivot) CalculateAndUpdate(klines []types.KLine) {
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recentT := klines[end-(inc.Window-1) : end+1]
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l, h, err := calculatePivot(recentT, inc.Window, KLineLowPriceMapper, KLineHighPriceMapper)
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l, h, err := calculatePivot(recentT, inc.Window, types.KLineLowPriceMapper, types.KLineHighPriceMapper)
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if err != nil {
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log.WithError(err).Error("can not calculate pivots")
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return
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@ -90,7 +90,7 @@ func (inc *Pivot) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func calculatePivot(klines []types.KLine, window int, valLow KLineValueMapper, valHigh KLineValueMapper) (float64, float64, error) {
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func calculatePivot(klines []types.KLine, window int, valLow types.KLineValueMapper, valHigh types.KLineValueMapper) (float64, 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 with window = %d", window)
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@ -115,11 +115,3 @@ func calculatePivot(klines []types.KLine, window int, valLow KLineValueMapper, v
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return pl, ph, nil
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}
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func KLineLowPriceMapper(k types.KLine) float64 {
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return k.Low.Float64()
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}
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func KLineHighPriceMapper(k types.KLine) float64 {
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return k.High.Float64()
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}
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@ -1,22 +0,0 @@
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package indicator
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import "github.com/c9s/bbgo/pkg/types"
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type Float64Calculator interface {
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Calculate(x float64) float64
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PushAndEmit(x float64)
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}
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type Float64Source interface {
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types.Series
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OnUpdate(f func(v float64))
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}
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type Float64Subscription interface {
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types.Series
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AddSubscriber(f func(v float64))
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}
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type Float64Truncator interface {
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Truncate()
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}
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@ -7,7 +7,7 @@ func max(x, y int) int {
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return y
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}
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func min(x, y int) int {
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func Min(x, y int) int {
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if x < y {
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return x
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}
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@ -1,19 +0,0 @@
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package indicator
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/*
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NEW INDICATOR DESIGN:
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klines := kLines(marketDataStream)
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closePrices := closePrices(klines)
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macd := MACD(klines, {Fast: 12, Slow: 10})
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equals to:
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klines := KLines(marketDataStream)
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closePrices := ClosePrice(klines)
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fastEMA := EMA(closePrices, 7)
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slowEMA := EMA(closePrices, 25)
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macd := Subtract(fastEMA, slowEMA)
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signal := EMA(macd, 16)
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histogram := Subtract(macd, signal)
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*/
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@ -1,4 +1,4 @@
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package indicator
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package indicatorv2
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type ATRStream struct {
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// embedded struct
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@ -1,4 +1,4 @@
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package indicator
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package indicatorv2
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import (
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"encoding/json"
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@ -1,12 +1,14 @@
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package indicator
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package indicatorv2
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import "github.com/c9s/bbgo/pkg/types"
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type ATRPStream struct {
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*Float64Series
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*types.Float64Series
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}
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func ATRP2(source KLineSubscription, window int) *ATRPStream {
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s := &ATRPStream{
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Float64Series: NewFloat64Series(),
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Float64Series: types.NewFloat64Series(),
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}
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tr := TR2(source)
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atr := RMA2(tr, window, true)
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@ -1,10 +1,14 @@
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package indicator
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package indicatorv2
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import (
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"github.com/c9s/bbgo/pkg/types"
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)
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type BOLLStream struct {
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// the band series
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*Float64Series
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*types.Float64Series
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UpBand, DownBand *Float64Series
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UpBand, DownBand *types.Float64Series
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window int
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k float64
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@ -20,15 +24,15 @@ type BOLLStream struct {
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//
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// -> calculate SMA
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// -> calculate stdDev -> calculate bandWidth -> get latest SMA -> upBand, downBand
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func BOLL2(source Float64Source, window int, k float64) *BOLLStream {
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func BOLL(source types.Float64Source, window int, k float64) *BOLLStream {
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// bind these indicators before our main calculator
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sma := SMA2(source, window)
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stdDev := StdDev2(source, window)
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stdDev := StdDev(source, window)
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s := &BOLLStream{
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Float64Series: NewFloat64Series(),
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UpBand: NewFloat64Series(),
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DownBand: NewFloat64Series(),
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Float64Series: types.NewFloat64Series(),
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UpBand: types.NewFloat64Series(),
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DownBand: types.NewFloat64Series(),
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window: window,
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k: k,
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SMA: sma,
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28
pkg/indicator/v2/cma.go
Normal file
28
pkg/indicator/v2/cma.go
Normal file
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@ -0,0 +1,28 @@
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package indicatorv2
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import (
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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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type CMAStream struct {
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*types.Float64Series
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}
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func CMA2(source types.Float64Source) *CMAStream {
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s := &CMAStream{
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Float64Series: types.NewFloat64Series(),
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}
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s.Bind(source, s)
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return s
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}
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func (s *CMAStream) Calculate(x float64) float64 {
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l := float64(s.Slice.Length())
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cma := (s.Slice.Last(0)*l + x) / (l + 1.)
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return cma
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}
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func (s *CMAStream) Truncate() {
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s.Slice.Truncate(indicator.MaxNumOfEWMA)
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}
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@ -1,7 +1,8 @@
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package indicator
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package indicatorv2
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import (
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/types"
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)
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type CrossType float64
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|
@ -13,7 +14,7 @@ const (
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// CrossStream subscribes 2 upstreams, and calculate the cross signal
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type CrossStream struct {
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*Float64Series
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*types.Float64Series
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a, b floats.Slice
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}
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@ -21,9 +22,9 @@ type CrossStream struct {
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// Cross creates the CrossStream object:
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//
|
||||
// cross := Cross(fastEWMA, slowEWMA)
|
||||
func Cross(a, b Float64Source) *CrossStream {
|
||||
func Cross(a, b types.Float64Source) *CrossStream {
|
||||
s := &CrossStream{
|
||||
Float64Series: NewFloat64Series(),
|
||||
Float64Series: types.NewFloat64Series(),
|
||||
}
|
||||
a.OnUpdate(func(v float64) {
|
||||
s.a.Push(v)
|
|
@ -1,15 +1,17 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import "github.com/c9s/bbgo/pkg/types"
|
||||
|
||||
type EWMAStream struct {
|
||||
*Float64Series
|
||||
*types.Float64Series
|
||||
|
||||
window int
|
||||
multiplier float64
|
||||
}
|
||||
|
||||
func EWMA2(source Float64Source, window int) *EWMAStream {
|
||||
func EWMA2(source types.Float64Source, window int) *EWMAStream {
|
||||
s := &EWMAStream{
|
||||
Float64Series: NewFloat64Series(),
|
||||
Float64Series: types.NewFloat64Series(),
|
||||
window: window,
|
||||
multiplier: 2.0 / float64(1+window),
|
||||
}
|
||||
|
@ -18,7 +20,7 @@ func EWMA2(source Float64Source, window int) *EWMAStream {
|
|||
}
|
||||
|
||||
func (s *EWMAStream) Calculate(v float64) float64 {
|
||||
last := s.slice.Last(0)
|
||||
last := s.Slice.Last(0)
|
||||
if last == 0.0 {
|
||||
return v
|
||||
}
|
|
@ -1,4 +1,4 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import "github.com/c9s/bbgo/pkg/types"
|
||||
|
||||
|
@ -60,3 +60,9 @@ func KLines(source types.Stream, symbol string, interval types.Interval) *KLineS
|
|||
|
||||
return s
|
||||
}
|
||||
|
||||
type KLineSubscription interface {
|
||||
AddSubscriber(f func(k types.KLine))
|
||||
Length() int
|
||||
Last(i int) *types.KLine
|
||||
}
|
|
@ -1,6 +1,6 @@
|
|||
// Code generated by "callbackgen -type KLineStream"; DO NOT EDIT.
|
||||
|
||||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/types"
|
|
@ -1,4 +1,8 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
type MACDStream struct {
|
||||
*SubtractStream
|
||||
|
@ -9,7 +13,7 @@ type MACDStream struct {
|
|||
Histogram *SubtractStream
|
||||
}
|
||||
|
||||
func MACD2(source Float64Source, shortWindow, longWindow, signalWindow int) *MACDStream {
|
||||
func MACD2(source types.Float64Source, shortWindow, longWindow, signalWindow int) *MACDStream {
|
||||
// bind and calculate these first
|
||||
fastEWMA := EWMA2(source, shortWindow)
|
||||
slowEWMA := EWMA2(source, longWindow)
|
|
@ -1,4 +1,4 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import (
|
||||
"encoding/json"
|
||||
|
@ -21,6 +21,14 @@ fast = s.ewm(span=12, adjust=False).mean()
|
|||
print(fast - slow)
|
||||
*/
|
||||
|
||||
func buildKLines(prices []fixedpoint.Value) (klines []types.KLine) {
|
||||
for _, p := range prices {
|
||||
klines = append(klines, types.KLine{Close: p})
|
||||
}
|
||||
|
||||
return klines
|
||||
}
|
||||
|
||||
func Test_MACD2(t *testing.T) {
|
||||
var randomPrices = []byte(`[0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9]`)
|
||||
var input []fixedpoint.Value
|
|
@ -1,15 +1,18 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import "github.com/c9s/bbgo/pkg/datatype/floats"
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/datatype/floats"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
type MultiplyStream struct {
|
||||
*Float64Series
|
||||
*types.Float64Series
|
||||
a, b floats.Slice
|
||||
}
|
||||
|
||||
func Multiply(a, b Float64Source) *MultiplyStream {
|
||||
func Multiply(a, b types.Float64Source) *MultiplyStream {
|
||||
s := &MultiplyStream{
|
||||
Float64Series: NewFloat64Series(),
|
||||
Float64Series: types.NewFloat64Series(),
|
||||
}
|
||||
|
||||
a.OnUpdate(func(v float64) {
|
||||
|
@ -29,13 +32,13 @@ func (s *MultiplyStream) calculate() {
|
|||
return
|
||||
}
|
||||
|
||||
if s.a.Length() > s.slice.Length() {
|
||||
var numNewElems = s.a.Length() - s.slice.Length()
|
||||
if s.a.Length() > s.Slice.Length() {
|
||||
var numNewElems = s.a.Length() - s.Slice.Length()
|
||||
var tailA = s.a.Tail(numNewElems)
|
||||
var tailB = s.b.Tail(numNewElems)
|
||||
var tailC = tailA.Mul(tailB)
|
||||
for _, f := range tailC {
|
||||
s.slice.Push(f)
|
||||
s.Slice.Push(f)
|
||||
s.EmitUpdate(f)
|
||||
}
|
||||
}
|
34
pkg/indicator/v2/pivothigh.go
Normal file
34
pkg/indicator/v2/pivothigh.go
Normal file
|
@ -0,0 +1,34 @@
|
|||
package indicatorv2
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/datatype/floats"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
type PivotHighStream struct {
|
||||
*types.Float64Series
|
||||
rawValues floats.Slice
|
||||
window, rightWindow int
|
||||
}
|
||||
|
||||
func PivotHigh2(source types.Float64Source, window, rightWindow int) *PivotHighStream {
|
||||
s := &PivotHighStream{
|
||||
Float64Series: types.NewFloat64Series(),
|
||||
window: window,
|
||||
rightWindow: rightWindow,
|
||||
}
|
||||
|
||||
s.Subscribe(source, func(x float64) {
|
||||
s.rawValues.Push(x)
|
||||
if low, ok := s.calculatePivotHigh(s.rawValues, s.window, s.rightWindow); ok {
|
||||
s.PushAndEmit(low)
|
||||
}
|
||||
})
|
||||
return s
|
||||
}
|
||||
|
||||
func (s *PivotHighStream) calculatePivotHigh(highs floats.Slice, left, right int) (float64, bool) {
|
||||
return floats.FindPivot(highs, left, right, func(a, pivot float64) bool {
|
||||
return a < pivot
|
||||
})
|
||||
}
|
34
pkg/indicator/v2/pivotlow.go
Normal file
34
pkg/indicator/v2/pivotlow.go
Normal file
|
@ -0,0 +1,34 @@
|
|||
package indicatorv2
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/datatype/floats"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
type PivotLowStream struct {
|
||||
*types.Float64Series
|
||||
rawValues floats.Slice
|
||||
window, rightWindow int
|
||||
}
|
||||
|
||||
func PivotLow(source types.Float64Source, window, rightWindow int) *PivotLowStream {
|
||||
s := &PivotLowStream{
|
||||
Float64Series: types.NewFloat64Series(),
|
||||
window: window,
|
||||
rightWindow: rightWindow,
|
||||
}
|
||||
|
||||
s.Subscribe(source, func(x float64) {
|
||||
s.rawValues.Push(x)
|
||||
if low, ok := s.calculatePivotLow(s.rawValues, s.window, s.rightWindow); ok {
|
||||
s.PushAndEmit(low)
|
||||
}
|
||||
})
|
||||
return s
|
||||
}
|
||||
|
||||
func (s *PivotLowStream) calculatePivotLow(lows floats.Slice, left, right int) (float64, bool) {
|
||||
return floats.FindPivot(lows, left, right, func(a, pivot float64) bool {
|
||||
return a > pivot
|
||||
})
|
||||
}
|
|
@ -1,24 +1,18 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
type KLineSubscription interface {
|
||||
AddSubscriber(f func(k types.KLine))
|
||||
Length() int
|
||||
Last(i int) *types.KLine
|
||||
}
|
||||
|
||||
type PriceStream struct {
|
||||
*Float64Series
|
||||
*types.Float64Series
|
||||
|
||||
mapper KLineValueMapper
|
||||
mapper types.KLineValueMapper
|
||||
}
|
||||
|
||||
func Price(source KLineSubscription, mapper KLineValueMapper) *PriceStream {
|
||||
func Price(source KLineSubscription, mapper types.KLineValueMapper) *PriceStream {
|
||||
s := &PriceStream{
|
||||
Float64Series: NewFloat64Series(),
|
||||
Float64Series: types.NewFloat64Series(),
|
||||
mapper: mapper,
|
||||
}
|
||||
|
||||
|
@ -37,37 +31,37 @@ func Price(source KLineSubscription, mapper KLineValueMapper) *PriceStream {
|
|||
func (s *PriceStream) AddSubscriber(f func(v float64)) {
|
||||
s.OnUpdate(f)
|
||||
|
||||
if len(s.slice) == 0 {
|
||||
if len(s.Slice) == 0 {
|
||||
return
|
||||
}
|
||||
|
||||
// push historical value to the subscriber
|
||||
for _, v := range s.slice {
|
||||
for _, v := range s.Slice {
|
||||
f(v)
|
||||
}
|
||||
}
|
||||
|
||||
func (s *PriceStream) PushAndEmit(v float64) {
|
||||
s.slice.Push(v)
|
||||
s.Slice.Push(v)
|
||||
s.EmitUpdate(v)
|
||||
}
|
||||
|
||||
func ClosePrices(source KLineSubscription) *PriceStream {
|
||||
return Price(source, KLineClosePriceMapper)
|
||||
return Price(source, types.KLineClosePriceMapper)
|
||||
}
|
||||
|
||||
func LowPrices(source KLineSubscription) *PriceStream {
|
||||
return Price(source, KLineLowPriceMapper)
|
||||
return Price(source, types.KLineLowPriceMapper)
|
||||
}
|
||||
|
||||
func HighPrices(source KLineSubscription) *PriceStream {
|
||||
return Price(source, KLineHighPriceMapper)
|
||||
return Price(source, types.KLineHighPriceMapper)
|
||||
}
|
||||
|
||||
func OpenPrices(source KLineSubscription) *PriceStream {
|
||||
return Price(source, KLineOpenPriceMapper)
|
||||
return Price(source, types.KLineOpenPriceMapper)
|
||||
}
|
||||
|
||||
func Volumes(source KLineSubscription) *PriceStream {
|
||||
return Price(source, KLineVolumeMapper)
|
||||
return Price(source, types.KLineVolumeMapper)
|
||||
}
|
|
@ -1,8 +1,15 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
const MaxNumOfRMA = 1000
|
||||
const MaxNumOfRMATruncateSize = 500
|
||||
|
||||
type RMAStream struct {
|
||||
// embedded structs
|
||||
*Float64Series
|
||||
*types.Float64Series
|
||||
|
||||
// config fields
|
||||
Adjust bool
|
||||
|
@ -12,9 +19,9 @@ type RMAStream struct {
|
|||
sum, previous float64
|
||||
}
|
||||
|
||||
func RMA2(source Float64Source, window int, adjust bool) *RMAStream {
|
||||
func RMA2(source types.Float64Source, window int, adjust bool) *RMAStream {
|
||||
s := &RMAStream{
|
||||
Float64Series: NewFloat64Series(),
|
||||
Float64Series: types.NewFloat64Series(),
|
||||
window: window,
|
||||
Adjust: adjust,
|
||||
}
|
||||
|
@ -41,17 +48,17 @@ func (s *RMAStream) Calculate(x float64) float64 {
|
|||
|
||||
if s.counter < s.window {
|
||||
// we can use x, but we need to use 0. to make the same behavior as the result from python pandas_ta
|
||||
s.slice.Push(0)
|
||||
s.Slice.Push(0)
|
||||
}
|
||||
|
||||
s.slice.Push(tmp)
|
||||
s.Slice.Push(tmp)
|
||||
s.previous = tmp
|
||||
|
||||
return tmp
|
||||
}
|
||||
|
||||
func (s *RMAStream) Truncate() {
|
||||
if len(s.slice) > MaxNumOfRMA {
|
||||
s.slice = s.slice[MaxNumOfRMATruncateSize-1:]
|
||||
if len(s.Slice) > MaxNumOfRMA {
|
||||
s.Slice = s.Slice[MaxNumOfRMATruncateSize-1:]
|
||||
}
|
||||
}
|
|
@ -1,20 +1,24 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
type RSIStream struct {
|
||||
// embedded structs
|
||||
*Float64Series
|
||||
*types.Float64Series
|
||||
|
||||
// config fields
|
||||
window int
|
||||
|
||||
// private states
|
||||
source Float64Source
|
||||
source types.Float64Source
|
||||
}
|
||||
|
||||
func RSI2(source Float64Source, window int) *RSIStream {
|
||||
func RSI2(source types.Float64Source, window int) *RSIStream {
|
||||
s := &RSIStream{
|
||||
source: source,
|
||||
Float64Series: NewFloat64Series(),
|
||||
Float64Series: types.NewFloat64Series(),
|
||||
window: window,
|
||||
}
|
||||
s.Bind(source, s)
|
||||
|
@ -42,3 +46,17 @@ func (s *RSIStream) Calculate(_ float64) float64 {
|
|||
rsi := 100.0 - (100.0 / (1.0 + rs))
|
||||
return rsi
|
||||
}
|
||||
|
||||
func max(x, y int) int {
|
||||
if x > y {
|
||||
return x
|
||||
}
|
||||
return y
|
||||
}
|
||||
|
||||
func min(x, y int) int {
|
||||
if x < y {
|
||||
return x
|
||||
}
|
||||
return y
|
||||
}
|
|
@ -1,4 +1,4 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import (
|
||||
"encoding/json"
|
||||
|
@ -75,11 +75,11 @@ func Test_RSI2(t *testing.T) {
|
|||
prices.PushAndEmit(price)
|
||||
}
|
||||
|
||||
assert.Equal(t, floats.Slice(tt.values), prices.slice)
|
||||
assert.Equal(t, floats.Slice(tt.values), prices.Slice)
|
||||
|
||||
if assert.Equal(t, len(tt.want), len(rsi.slice)) {
|
||||
if assert.Equal(t, len(tt.want), len(rsi.Slice)) {
|
||||
for i, v := range tt.want {
|
||||
assert.InDelta(t, v, rsi.slice[i], 0.000001, "Expected rsi.slice[%d] to be %v, but got %v", i, v, rsi.slice[i])
|
||||
assert.InDelta(t, v, rsi.Slice[i], 0.000001, "Expected rsi.slice[%d] to be %v, but got %v", i, v, rsi.Slice[i])
|
||||
}
|
||||
}
|
||||
})
|
|
@ -1,16 +1,20 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import "github.com/c9s/bbgo/pkg/types"
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
const MaxNumOfSMA = 5_000
|
||||
|
||||
type SMAStream struct {
|
||||
*Float64Series
|
||||
*types.Float64Series
|
||||
window int
|
||||
rawValues *types.Queue
|
||||
}
|
||||
|
||||
func SMA2(source Float64Source, window int) *SMAStream {
|
||||
func SMA2(source types.Float64Source, window int) *SMAStream {
|
||||
s := &SMAStream{
|
||||
Float64Series: NewFloat64Series(),
|
||||
Float64Series: types.NewFloat64Series(),
|
||||
window: window,
|
||||
rawValues: types.NewQueue(window),
|
||||
}
|
||||
|
@ -25,5 +29,5 @@ func (s *SMAStream) Calculate(v float64) float64 {
|
|||
}
|
||||
|
||||
func (s *SMAStream) Truncate() {
|
||||
s.slice = s.slice.Truncate(MaxNumOfSMA)
|
||||
s.Slice = s.Slice.Truncate(MaxNumOfSMA)
|
||||
}
|
|
@ -1,9 +1,9 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import "github.com/c9s/bbgo/pkg/types"
|
||||
|
||||
type StdDevStream struct {
|
||||
*Float64Series
|
||||
*types.Float64Series
|
||||
|
||||
rawValues *types.Queue
|
||||
|
||||
|
@ -11,9 +11,9 @@ type StdDevStream struct {
|
|||
multiplier float64
|
||||
}
|
||||
|
||||
func StdDev2(source Float64Source, window int) *StdDevStream {
|
||||
func StdDev(source types.Float64Source, window int) *StdDevStream {
|
||||
s := &StdDevStream{
|
||||
Float64Series: NewFloat64Series(),
|
||||
Float64Series: types.NewFloat64Series(),
|
||||
rawValues: types.NewQueue(window),
|
||||
window: window,
|
||||
}
|
|
@ -1,10 +1,12 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/datatype/floats"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
const DPeriod int = 3
|
||||
|
||||
// Stochastic Oscillator
|
||||
// - https://www.investopedia.com/terms/s/stochasticoscillator.asp
|
||||
//
|
||||
|
@ -30,7 +32,7 @@ type StochStream struct {
|
|||
}
|
||||
|
||||
// Stochastic Oscillator
|
||||
func Stoch2(source KLineSubscription, window, dPeriod int) *StochStream {
|
||||
func Stoch(source KLineSubscription, window, dPeriod int) *StochStream {
|
||||
highPrices := HighPrices(source)
|
||||
lowPrices := LowPrices(source)
|
||||
|
||||
|
@ -42,8 +44,8 @@ func Stoch2(source KLineSubscription, window, dPeriod int) *StochStream {
|
|||
}
|
||||
|
||||
source.AddSubscriber(func(kLine types.KLine) {
|
||||
lowest := s.lowPrices.slice.Tail(s.window).Min()
|
||||
highest := s.highPrices.slice.Tail(s.window).Max()
|
||||
lowest := s.lowPrices.Slice.Tail(s.window).Min()
|
||||
highest := s.highPrices.Slice.Tail(s.window).Max()
|
||||
|
||||
var k float64 = 50.0
|
||||
var d float64 = 0.0
|
|
@ -1,4 +1,4 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import (
|
||||
"encoding/json"
|
||||
|
@ -58,7 +58,7 @@ func TestSTOCH2_update(t *testing.T) {
|
|||
t.Run(tt.name, func(t *testing.T) {
|
||||
stream := &types.StandardStream{}
|
||||
kLines := KLines(stream, "", "")
|
||||
kd := Stoch2(kLines, tt.window, DPeriod)
|
||||
kd := Stoch(kLines, tt.window, DPeriod)
|
||||
|
||||
for _, k := range tt.kLines {
|
||||
stream.EmitKLineClosed(k)
|
|
@ -1,6 +1,6 @@
|
|||
// Code generated by "callbackgen -type StochStream"; DO NOT EDIT.
|
||||
|
||||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import ()
|
||||
|
|
@ -1,12 +1,13 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/datatype/floats"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
// SubtractStream subscribes 2 upstream data, and then subtract these 2 values
|
||||
type SubtractStream struct {
|
||||
*Float64Series
|
||||
*types.Float64Series
|
||||
|
||||
a, b floats.Slice
|
||||
i int
|
||||
|
@ -14,9 +15,9 @@ type SubtractStream struct {
|
|||
|
||||
// Subtract creates the SubtractStream object
|
||||
// subtract := Subtract(longEWMA, shortEWMA)
|
||||
func Subtract(a, b Float64Source) *SubtractStream {
|
||||
func Subtract(a, b types.Float64Source) *SubtractStream {
|
||||
s := &SubtractStream{
|
||||
Float64Series: NewFloat64Series(),
|
||||
Float64Series: types.NewFloat64Series(),
|
||||
}
|
||||
|
||||
a.OnUpdate(func(v float64) {
|
||||
|
@ -35,13 +36,13 @@ func (s *SubtractStream) calculate() {
|
|||
return
|
||||
}
|
||||
|
||||
if s.a.Length() > s.slice.Length() {
|
||||
var numNewElems = s.a.Length() - s.slice.Length()
|
||||
if s.a.Length() > s.Slice.Length() {
|
||||
var numNewElems = s.a.Length() - s.Slice.Length()
|
||||
var tailA = s.a.Tail(numNewElems)
|
||||
var tailB = s.b.Tail(numNewElems)
|
||||
var tailC = tailA.Sub(tailB)
|
||||
for _, f := range tailC {
|
||||
s.slice.Push(f)
|
||||
s.Slice.Push(f)
|
||||
s.EmitUpdate(f)
|
||||
}
|
||||
}
|
|
@ -1,4 +1,4 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import (
|
||||
"testing"
|
||||
|
@ -21,10 +21,10 @@ func Test_v2_Subtract(t *testing.T) {
|
|||
stream.EmitKLineClosed(types.KLine{Close: fixedpoint.NewFromFloat(19_000.0 + i)})
|
||||
}
|
||||
|
||||
t.Logf("fastEMA: %+v", fastEMA.slice)
|
||||
t.Logf("slowEMA: %+v", slowEMA.slice)
|
||||
t.Logf("fastEMA: %+v", fastEMA.Slice)
|
||||
t.Logf("slowEMA: %+v", slowEMA.Slice)
|
||||
|
||||
assert.Equal(t, len(subtract.a), len(subtract.b))
|
||||
assert.Equal(t, len(subtract.a), len(subtract.slice))
|
||||
assert.InDelta(t, subtract.slice[0], subtract.a[0]-subtract.b[0], 0.0001)
|
||||
assert.Equal(t, len(subtract.a), len(subtract.Slice))
|
||||
assert.InDelta(t, subtract.Slice[0], subtract.a[0]-subtract.b[0], 0.0001)
|
||||
}
|
|
@ -1,4 +1,4 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import (
|
||||
"math"
|
||||
|
@ -9,7 +9,7 @@ import (
|
|||
// This TRStream calculates the ATR first
|
||||
type TRStream struct {
|
||||
// embedded struct
|
||||
*Float64Series
|
||||
*types.Float64Series
|
||||
|
||||
// private states
|
||||
previousClose float64
|
||||
|
@ -17,7 +17,7 @@ type TRStream struct {
|
|||
|
||||
func TR2(source KLineSubscription) *TRStream {
|
||||
s := &TRStream{
|
||||
Float64Series: NewFloat64Series(),
|
||||
Float64Series: types.NewFloat64Series(),
|
||||
}
|
||||
|
||||
source.AddSubscriber(func(k types.KLine) {
|
|
@ -1,4 +1,4 @@
|
|||
package indicator
|
||||
package indicatorv2
|
||||
|
||||
import (
|
||||
"encoding/json"
|
|
@ -1,23 +0,0 @@
|
|||
package indicator
|
||||
|
||||
type CMAStream struct {
|
||||
*Float64Series
|
||||
}
|
||||
|
||||
func CMA2(source Float64Source) *CMAStream {
|
||||
s := &CMAStream{
|
||||
Float64Series: NewFloat64Series(),
|
||||
}
|
||||
s.Bind(source, s)
|
||||
return s
|
||||
}
|
||||
|
||||
func (s *CMAStream) Calculate(x float64) float64 {
|
||||
l := float64(s.slice.Length())
|
||||
cma := (s.slice.Last(0)*l + x) / (l + 1.)
|
||||
return cma
|
||||
}
|
||||
|
||||
func (s *CMAStream) Truncate() {
|
||||
s.slice.Truncate(MaxNumOfEWMA)
|
||||
}
|
|
@ -1,27 +0,0 @@
|
|||
package indicator
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/datatype/floats"
|
||||
)
|
||||
|
||||
type PivotHighStream struct {
|
||||
*Float64Series
|
||||
rawValues floats.Slice
|
||||
window, rightWindow int
|
||||
}
|
||||
|
||||
func PivotHigh2(source Float64Source, window, rightWindow int) *PivotHighStream {
|
||||
s := &PivotHighStream{
|
||||
Float64Series: NewFloat64Series(),
|
||||
window: window,
|
||||
rightWindow: rightWindow,
|
||||
}
|
||||
|
||||
s.Subscribe(source, func(x float64) {
|
||||
s.rawValues.Push(x)
|
||||
if low, ok := calculatePivotHigh(s.rawValues, s.window, s.rightWindow); ok {
|
||||
s.PushAndEmit(low)
|
||||
}
|
||||
})
|
||||
return s
|
||||
}
|
|
@ -1,27 +0,0 @@
|
|||
package indicator
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/datatype/floats"
|
||||
)
|
||||
|
||||
type PivotLowStream struct {
|
||||
*Float64Series
|
||||
rawValues floats.Slice
|
||||
window, rightWindow int
|
||||
}
|
||||
|
||||
func PivotLow2(source Float64Source, window, rightWindow int) *PivotLowStream {
|
||||
s := &PivotLowStream{
|
||||
Float64Series: NewFloat64Series(),
|
||||
window: window,
|
||||
rightWindow: rightWindow,
|
||||
}
|
||||
|
||||
s.Subscribe(source, func(x float64) {
|
||||
s.rawValues.Push(x)
|
||||
if low, ok := calculatePivotLow(s.rawValues, s.window, s.rightWindow); ok {
|
||||
s.PushAndEmit(low)
|
||||
}
|
||||
})
|
||||
return s
|
||||
}
|
|
@ -58,7 +58,7 @@ func (inc *Volatility) CalculateAndUpdate(allKLines []types.KLine) {
|
|||
|
||||
var recentT = allKLines[end-(inc.Window-1) : end+1]
|
||||
|
||||
volatility, err := calculateVOLATILITY(recentT, inc.Window, KLineClosePriceMapper)
|
||||
volatility, err := calculateVOLATILITY(recentT, inc.Window, types.KLineClosePriceMapper)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("can not calculate volatility")
|
||||
return
|
||||
|
@ -86,7 +86,7 @@ func (inc *Volatility) Bind(updater KLineWindowUpdater) {
|
|||
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
||||
}
|
||||
|
||||
func calculateVOLATILITY(klines []types.KLine, window int, priceF KLineValueMapper) (float64, error) {
|
||||
func calculateVOLATILITY(klines []types.KLine, window int, priceF types.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)
|
||||
|
|
|
@ -71,7 +71,7 @@ func (inc *VWAP) Length() int {
|
|||
var _ types.SeriesExtend = &VWAP{}
|
||||
|
||||
func (inc *VWAP) PushK(k types.KLine) {
|
||||
inc.Update(KLineTypicalPriceMapper(k), k.Volume.Float64())
|
||||
inc.Update(types.KLineTypicalPriceMapper(k), k.Volume.Float64())
|
||||
}
|
||||
|
||||
func (inc *VWAP) CalculateAndUpdate(allKLines []types.KLine) {
|
||||
|
@ -99,7 +99,7 @@ func (inc *VWAP) Bind(updater KLineWindowUpdater) {
|
|||
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
||||
}
|
||||
|
||||
func calculateVWAP(klines []types.KLine, priceF KLineValueMapper, window int) float64 {
|
||||
func calculateVWAP(klines []types.KLine, priceF types.KLineValueMapper, window int) float64 {
|
||||
vwap := VWAP{IntervalWindow: types.IntervalWindow{Window: window}}
|
||||
for _, k := range klines {
|
||||
vwap.Update(priceF(k), k.Volume.Float64())
|
||||
|
|
|
@ -63,7 +63,7 @@ func Test_calculateVWAP(t *testing.T) {
|
|||
|
||||
for _, tt := range tests {
|
||||
t.Run(tt.name, func(t *testing.T) {
|
||||
priceF := KLineTypicalPriceMapper
|
||||
priceF := types.KLineTypicalPriceMapper
|
||||
got := calculateVWAP(tt.kLines, priceF, tt.window)
|
||||
diff := math.Trunc((got-tt.want)*100) / 100
|
||||
if diff != 0 {
|
||||
|
|
|
@ -4,14 +4,14 @@ import (
|
|||
log "github.com/sirupsen/logrus"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
"github.com/c9s/bbgo/pkg/indicator/v2"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
type CircuitBreakRiskControl struct {
|
||||
// Since price could be fluctuated large,
|
||||
// use an EWMA to smooth it in running time
|
||||
price *indicator.EWMAStream
|
||||
price *indicatorv2.EWMAStream
|
||||
position *types.Position
|
||||
profitStats *types.ProfitStats
|
||||
lossThreshold fixedpoint.Value
|
||||
|
@ -19,7 +19,7 @@ type CircuitBreakRiskControl struct {
|
|||
|
||||
func NewCircuitBreakRiskControl(
|
||||
position *types.Position,
|
||||
price *indicator.EWMAStream,
|
||||
price *indicatorv2.EWMAStream,
|
||||
lossThreshold fixedpoint.Value,
|
||||
profitStats *types.ProfitStats) *CircuitBreakRiskControl {
|
||||
|
||||
|
|
|
@ -6,12 +6,11 @@ import (
|
|||
"github.com/stretchr/testify/assert"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
func Test_IsHalted(t *testing.T) {
|
||||
|
||||
var (
|
||||
price = 30000.00
|
||||
realizedPnL = fixedpoint.NewFromFloat(-100.0)
|
||||
|
@ -19,7 +18,7 @@ func Test_IsHalted(t *testing.T) {
|
|||
)
|
||||
|
||||
window := types.IntervalWindow{Window: 30, Interval: types.Interval1m}
|
||||
priceEWMA := indicator.EWMA2(nil, window.Window)
|
||||
priceEWMA := indicatorv2.EWMA2(nil, window.Window)
|
||||
priceEWMA.PushAndEmit(price)
|
||||
|
||||
cases := []struct {
|
||||
|
|
|
@ -7,6 +7,7 @@ import (
|
|||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
|
@ -28,7 +29,7 @@ type DynamicSpreadSettings struct {
|
|||
}
|
||||
|
||||
// Initialize dynamic spreads and preload SMAs
|
||||
func (ds *DynamicSpreadSettings) Initialize(symbol string, session *bbgo.ExchangeSession, neutralBoll, defaultBoll *indicator.BOLLStream) {
|
||||
func (ds *DynamicSpreadSettings) Initialize(symbol string, session *bbgo.ExchangeSession, neutralBoll, defaultBoll *indicatorv2.BOLLStream) {
|
||||
switch {
|
||||
case ds.AmpSpreadSettings != nil:
|
||||
ds.AmpSpreadSettings.initialize(symbol, session)
|
||||
|
@ -164,10 +165,10 @@ type DynamicSpreadBollWidthRatioSettings struct {
|
|||
// A positive number. The greater factor, the sharper weighting function. Default set to 1.0 .
|
||||
Sensitivity float64 `json:"sensitivity"`
|
||||
|
||||
defaultBoll, neutralBoll *indicator.BOLLStream
|
||||
defaultBoll, neutralBoll *indicatorv2.BOLLStream
|
||||
}
|
||||
|
||||
func (ds *DynamicSpreadBollWidthRatioSettings) initialize(neutralBoll, defaultBoll *indicator.BOLLStream) {
|
||||
func (ds *DynamicSpreadBollWidthRatioSettings) initialize(neutralBoll, defaultBoll *indicatorv2.BOLLStream) {
|
||||
ds.neutralBoll = neutralBoll
|
||||
ds.defaultBoll = defaultBoll
|
||||
if ds.Sensitivity <= 0. {
|
||||
|
|
|
@ -6,7 +6,7 @@ import (
|
|||
"math"
|
||||
"sync"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
|
||||
"github.com/c9s/bbgo/pkg/util"
|
||||
|
||||
"github.com/pkg/errors"
|
||||
|
@ -158,10 +158,10 @@ type Strategy struct {
|
|||
groupID uint32
|
||||
|
||||
// defaultBoll is the BOLLINGER indicator we used for predicting the price.
|
||||
defaultBoll *indicator.BOLLStream
|
||||
defaultBoll *indicatorv2.BOLLStream
|
||||
|
||||
// neutralBoll is the neutral price section
|
||||
neutralBoll *indicator.BOLLStream
|
||||
neutralBoll *indicatorv2.BOLLStream
|
||||
|
||||
// StrategyController
|
||||
bbgo.StrategyController
|
||||
|
|
|
@ -1,6 +1,8 @@
|
|||
package bollmaker
|
||||
|
||||
import "github.com/c9s/bbgo/pkg/indicator"
|
||||
import (
|
||||
indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
|
||||
)
|
||||
|
||||
type PriceTrend string
|
||||
|
||||
|
@ -11,7 +13,7 @@ const (
|
|||
UnknownTrend PriceTrend = "unknown"
|
||||
)
|
||||
|
||||
func detectPriceTrend(inc *indicator.BOLLStream, price float64) PriceTrend {
|
||||
func detectPriceTrend(inc *indicatorv2.BOLLStream, price float64) PriceTrend {
|
||||
if inBetween(price, inc.DownBand.Last(0), inc.UpBand.Last(0)) {
|
||||
return NeutralTrend
|
||||
}
|
||||
|
|
|
@ -82,13 +82,13 @@ func (inc *PMR) PushK(k types.KLine) {
|
|||
return
|
||||
}
|
||||
|
||||
inc.Update(indicator.KLineClosePriceMapper(k))
|
||||
inc.Update(types.KLineClosePriceMapper(k))
|
||||
inc.EndTime = k.EndTime.Time()
|
||||
inc.EmitUpdate(inc.Last(0))
|
||||
}
|
||||
|
||||
func CalculateKLinesPMR(allKLines []types.KLine, window int) float64 {
|
||||
return pmr(indicator.MapKLinePrice(allKLines, indicator.KLineClosePriceMapper), window)
|
||||
return pmr(types.MapKLinePrice(allKLines, types.KLineClosePriceMapper), window)
|
||||
}
|
||||
|
||||
func pmr(prices []float64, window int) float64 {
|
||||
|
|
|
@ -89,13 +89,13 @@ func (inc *PVD) PushK(k types.KLine) {
|
|||
return
|
||||
}
|
||||
|
||||
inc.Update(indicator.KLineClosePriceMapper(k), indicator.KLineVolumeMapper(k))
|
||||
inc.Update(types.KLineClosePriceMapper(k), types.KLineVolumeMapper(k))
|
||||
inc.EndTime = k.EndTime.Time()
|
||||
inc.EmitUpdate(inc.Last(0))
|
||||
}
|
||||
|
||||
func CalculateKLinesPVD(allKLines []types.KLine, window int) float64 {
|
||||
return pvd(indicator.MapKLinePrice(allKLines, indicator.KLineClosePriceMapper), indicator.MapKLinePrice(allKLines, indicator.KLineVolumeMapper), window)
|
||||
return pvd(types.MapKLinePrice(allKLines, types.KLineClosePriceMapper), types.MapKLinePrice(allKLines, types.KLineVolumeMapper), window)
|
||||
}
|
||||
|
||||
func pvd(prices []float64, volumes []float64, window int) float64 {
|
||||
|
|
|
@ -81,7 +81,7 @@ func (inc *RR) PushK(k types.KLine) {
|
|||
return
|
||||
}
|
||||
|
||||
inc.Update(indicator.KLineClosePriceMapper(k))
|
||||
inc.Update(types.KLineClosePriceMapper(k))
|
||||
inc.EndTime = k.EndTime.Time()
|
||||
inc.EmitUpdate(inc.Last(0))
|
||||
}
|
||||
|
|
|
@ -42,7 +42,7 @@ func (inc *A18) CalculateAndUpdate(klines []types.KLine) {
|
|||
|
||||
var recentT = klines[end-(inc.Window-1) : end+1]
|
||||
|
||||
val, err := calculateA18(recentT, indicator.KLineClosePriceMapper)
|
||||
val, err := calculateA18(recentT, types.KLineClosePriceMapper)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("can not calculate")
|
||||
return
|
||||
|
|
|
@ -42,7 +42,7 @@ func (inc *A2) CalculateAndUpdate(klines []types.KLine) {
|
|||
|
||||
var recentT = klines[end-(inc.Window-1) : end+1]
|
||||
|
||||
val, err := calculateA2(recentT, KLineLowPriceMapper, KLineHighPriceMapper, indicator.KLineClosePriceMapper)
|
||||
val, err := calculateA2(recentT, KLineLowPriceMapper, KLineHighPriceMapper, types.KLineClosePriceMapper)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("can not calculate")
|
||||
return
|
||||
|
|
|
@ -43,7 +43,7 @@ func (inc *A3) CalculateAndUpdate(klines []types.KLine) {
|
|||
|
||||
var recentT = klines[end-(inc.Window-1) : end+1]
|
||||
|
||||
val, err := calculateA3(recentT, KLineLowPriceMapper, KLineHighPriceMapper, indicator.KLineClosePriceMapper)
|
||||
val, err := calculateA3(recentT, KLineLowPriceMapper, KLineHighPriceMapper, types.KLineClosePriceMapper)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("can not calculate pivots")
|
||||
return
|
||||
|
|
|
@ -42,7 +42,7 @@ func (inc *A34) CalculateAndUpdate(klines []types.KLine) {
|
|||
|
||||
var recentT = klines[end-(inc.Window-1) : end+1]
|
||||
|
||||
val, err := calculateA34(recentT, indicator.KLineClosePriceMapper)
|
||||
val, err := calculateA34(recentT, types.KLineClosePriceMapper)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("can not calculate pivots")
|
||||
return
|
||||
|
|
|
@ -46,7 +46,7 @@ func (inc *R) CalculateAndUpdate(klines []types.KLine) {
|
|||
|
||||
var recentT = klines[end-(inc.Window-1) : end+1]
|
||||
|
||||
val, err := calculateR(recentT, indicator.KLineOpenPriceMapper, indicator.KLineClosePriceMapper)
|
||||
val, err := calculateR(recentT, types.KLineOpenPriceMapper, types.KLineClosePriceMapper)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("can not calculate pivots")
|
||||
return
|
||||
|
|
|
@ -42,7 +42,7 @@ func (inc *S0) CalculateAndUpdate(klines []types.KLine) {
|
|||
|
||||
var recentT = klines[end-(inc.Window-1) : end+1]
|
||||
|
||||
val, err := calculateS0(recentT, indicator.KLineClosePriceMapper)
|
||||
val, err := calculateS0(recentT, types.KLineClosePriceMapper)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("can not calculate")
|
||||
return
|
||||
|
|
|
@ -40,7 +40,7 @@ func (inc *S1) CalculateAndUpdate(klines []types.KLine) {
|
|||
|
||||
var recentT = klines[end-(inc.Window-1) : end+1]
|
||||
|
||||
correlation, err := calculateS1(recentT, inc.Window, KLineAmplitudeMapper, indicator.KLineVolumeMapper)
|
||||
correlation, err := calculateS1(recentT, inc.Window, KLineAmplitudeMapper, types.KLineVolumeMapper)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("can not calculate correlation")
|
||||
return
|
||||
|
|
|
@ -40,7 +40,7 @@ func (inc *S2) CalculateAndUpdate(klines []types.KLine) {
|
|||
|
||||
var recentT = klines[end-(inc.Window-1) : end+1]
|
||||
|
||||
correlation, err := calculateS2(recentT, inc.Window, indicator.KLineOpenPriceMapper, indicator.KLineVolumeMapper)
|
||||
correlation, err := calculateS2(recentT, inc.Window, types.KLineOpenPriceMapper, types.KLineVolumeMapper)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("can not calculate correlation")
|
||||
return
|
||||
|
|
|
@ -42,7 +42,7 @@ func (inc *S3) CalculateAndUpdate(klines []types.KLine) {
|
|||
|
||||
var recentT = klines[end-(inc.Window-1) : end+1]
|
||||
|
||||
val, err := calculateS3(recentT, indicator.KLineClosePriceMapper, indicator.KLineOpenPriceMapper)
|
||||
val, err := calculateS3(recentT, types.KLineClosePriceMapper, types.KLineOpenPriceMapper)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("can not calculate")
|
||||
return
|
||||
|
|
|
@ -42,7 +42,7 @@ func (inc *S4) CalculateAndUpdate(klines []types.KLine) {
|
|||
|
||||
var recentT = klines[end-(inc.Window-1) : end+1]
|
||||
|
||||
val, err := calculateS4(recentT, indicator.KLineClosePriceMapper)
|
||||
val, err := calculateS4(recentT, types.KLineClosePriceMapper)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("can not calculate")
|
||||
return
|
||||
|
|
|
@ -42,7 +42,7 @@ func (inc *S5) CalculateAndUpdate(klines []types.KLine) {
|
|||
|
||||
var recentT = klines[end-(inc.Window-1) : end+1]
|
||||
|
||||
val, err := calculateS5(recentT, indicator.KLineVolumeMapper)
|
||||
val, err := calculateS5(recentT, types.KLineVolumeMapper)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("can not calculate pivots")
|
||||
return
|
||||
|
|
|
@ -42,7 +42,7 @@ func (inc *S6) CalculateAndUpdate(klines []types.KLine) {
|
|||
|
||||
var recentT = klines[end-(inc.Window-1) : end+1]
|
||||
|
||||
val, err := calculateS6(recentT, indicator.KLineHighPriceMapper, indicator.KLineLowPriceMapper, indicator.KLineClosePriceMapper, indicator.KLineVolumeMapper)
|
||||
val, err := calculateS6(recentT, types.KLineHighPriceMapper, types.KLineLowPriceMapper, types.KLineClosePriceMapper, types.KLineVolumeMapper)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("can not calculate")
|
||||
return
|
||||
|
|
|
@ -42,7 +42,7 @@ func (inc *S7) CalculateAndUpdate(klines []types.KLine) {
|
|||
|
||||
var recentT = klines[end-(inc.Window-1) : end+1]
|
||||
|
||||
val, err := calculateS7(recentT, indicator.KLineOpenPriceMapper, indicator.KLineClosePriceMapper)
|
||||
val, err := calculateS7(recentT, types.KLineOpenPriceMapper, types.KLineClosePriceMapper)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("can not calculate")
|
||||
return
|
||||
|
|
|
@ -72,7 +72,7 @@ func (inc *SHARK) PushK(k types.KLine) {
|
|||
return
|
||||
}
|
||||
|
||||
inc.Update(indicator.KLineHighPriceMapper(k), indicator.KLineLowPriceMapper(k), indicator.KLineClosePriceMapper(k))
|
||||
inc.Update(types.KLineHighPriceMapper(k), types.KLineLowPriceMapper(k), types.KLineClosePriceMapper(k))
|
||||
inc.EndTime = k.EndTime.Time()
|
||||
inc.EmitUpdate(inc.Last(0))
|
||||
}
|
||||
|
|
|
@ -74,7 +74,7 @@ func (inc *NRR) PushK(k types.KLine) {
|
|||
return
|
||||
}
|
||||
|
||||
inc.Update(indicator.KLineOpenPriceMapper(k), indicator.KLineClosePriceMapper(k))
|
||||
inc.Update(types.KLineOpenPriceMapper(k), types.KLineClosePriceMapper(k))
|
||||
inc.EndTime = k.EndTime.Time()
|
||||
inc.EmitUpdate(inc.Last(0))
|
||||
}
|
||||
|
|
|
@ -9,7 +9,7 @@ import (
|
|||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
"github.com/c9s/bbgo/pkg/indicator/v2"
|
||||
"github.com/c9s/bbgo/pkg/strategy/common"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
@ -52,10 +52,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
|
||||
fastRsi := session.Indicators(s.Symbol).RSI(types.IntervalWindow{Interval: s.Interval, Window: s.FastWindow})
|
||||
slowRsi := session.Indicators(s.Symbol).RSI(types.IntervalWindow{Interval: s.Interval, Window: s.SlowWindow})
|
||||
rsiCross := indicator.Cross(fastRsi, slowRsi)
|
||||
rsiCross := indicatorv2.Cross(fastRsi, slowRsi)
|
||||
rsiCross.OnUpdate(func(v float64) {
|
||||
switch indicator.CrossType(v) {
|
||||
case indicator.CrossOver:
|
||||
switch indicatorv2.CrossType(v) {
|
||||
case indicatorv2.CrossOver:
|
||||
opts := s.OpenPositionOptions
|
||||
opts.Long = true
|
||||
|
||||
|
@ -69,7 +69,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
logErr(err, "unable to open position")
|
||||
}
|
||||
|
||||
case indicator.CrossUnder:
|
||||
case indicatorv2.CrossUnder:
|
||||
if err := s.OrderExecutor.ClosePosition(ctx, fixedpoint.One); err != nil {
|
||||
logErr(err, "failed to close position")
|
||||
}
|
||||
|
|
|
@ -2,24 +2,24 @@ package scmaker
|
|||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
type IntensityStream struct {
|
||||
*indicator.Float64Series
|
||||
*types.Float64Series
|
||||
|
||||
Buy, Sell *indicator.RMAStream
|
||||
Buy, Sell *indicatorv2.RMAStream
|
||||
window int
|
||||
}
|
||||
|
||||
func Intensity(source indicator.KLineSubscription, window int) *IntensityStream {
|
||||
func Intensity(source indicatorv2.KLineSubscription, window int) *IntensityStream {
|
||||
s := &IntensityStream{
|
||||
Float64Series: indicator.NewFloat64Series(),
|
||||
Float64Series: types.NewFloat64Series(),
|
||||
window: window,
|
||||
|
||||
Buy: indicator.RMA2(indicator.NewFloat64Series(), window, false),
|
||||
Sell: indicator.RMA2(indicator.NewFloat64Series(), window, false),
|
||||
Buy: indicatorv2.RMA2(types.NewFloat64Series(), window, false),
|
||||
Sell: indicatorv2.RMA2(types.NewFloat64Series(), window, false),
|
||||
}
|
||||
|
||||
threshold := fixedpoint.NewFromFloat(100.0)
|
||||
|
|
|
@ -10,7 +10,7 @@ import (
|
|||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
|
||||
"github.com/c9s/bbgo/pkg/risk/riskcontrol"
|
||||
"github.com/c9s/bbgo/pkg/strategy/common"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
|
@ -73,8 +73,8 @@ type Strategy struct {
|
|||
liquidityScale bbgo.Scale
|
||||
|
||||
// indicators
|
||||
ewma *indicator.EWMAStream
|
||||
boll *indicator.BOLLStream
|
||||
ewma *indicatorv2.EWMAStream
|
||||
boll *indicatorv2.BOLLStream
|
||||
intensity *IntensityStream
|
||||
|
||||
positionRiskControl *riskcontrol.PositionRiskControl
|
||||
|
@ -172,7 +172,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) preloadKLines(inc *indicator.KLineStream, session *bbgo.ExchangeSession, symbol string, interval types.Interval) {
|
||||
func (s *Strategy) preloadKLines(inc *indicatorv2.KLineStream, session *bbgo.ExchangeSession, symbol string, interval types.Interval) {
|
||||
if store, ok := session.MarketDataStore(symbol); ok {
|
||||
if kLinesData, ok := store.KLinesOfInterval(interval); ok {
|
||||
for _, k := range *kLinesData {
|
||||
|
@ -183,23 +183,23 @@ func (s *Strategy) preloadKLines(inc *indicator.KLineStream, session *bbgo.Excha
|
|||
}
|
||||
|
||||
func (s *Strategy) initializeMidPriceEMA(session *bbgo.ExchangeSession) {
|
||||
kLines := indicator.KLines(session.MarketDataStream, s.Symbol, s.MidPriceEMA.Interval)
|
||||
s.ewma = indicator.EWMA2(indicator.ClosePrices(kLines), s.MidPriceEMA.Window)
|
||||
kLines := indicatorv2.KLines(session.MarketDataStream, s.Symbol, s.MidPriceEMA.Interval)
|
||||
s.ewma = indicatorv2.EWMA2(indicatorv2.ClosePrices(kLines), s.MidPriceEMA.Window)
|
||||
|
||||
s.preloadKLines(kLines, session, s.Symbol, s.MidPriceEMA.Interval)
|
||||
}
|
||||
|
||||
func (s *Strategy) initializeIntensityIndicator(session *bbgo.ExchangeSession) {
|
||||
kLines := indicator.KLines(session.MarketDataStream, s.Symbol, s.StrengthInterval)
|
||||
kLines := indicatorv2.KLines(session.MarketDataStream, s.Symbol, s.StrengthInterval)
|
||||
s.intensity = Intensity(kLines, 10)
|
||||
|
||||
s.preloadKLines(kLines, session, s.Symbol, s.StrengthInterval)
|
||||
}
|
||||
|
||||
func (s *Strategy) initializePriceRangeBollinger(session *bbgo.ExchangeSession) {
|
||||
kLines := indicator.KLines(session.MarketDataStream, s.Symbol, s.PriceRangeBollinger.Interval)
|
||||
closePrices := indicator.ClosePrices(kLines)
|
||||
s.boll = indicator.BOLL2(closePrices, s.PriceRangeBollinger.Window, s.PriceRangeBollinger.K)
|
||||
kLines := indicatorv2.KLines(session.MarketDataStream, s.Symbol, s.PriceRangeBollinger.Interval)
|
||||
closePrices := indicatorv2.ClosePrices(kLines)
|
||||
s.boll = indicatorv2.BOLL(closePrices, s.PriceRangeBollinger.Window, s.PriceRangeBollinger.K)
|
||||
|
||||
s.preloadKLines(kLines, session, s.Symbol, s.PriceRangeBollinger.Interval)
|
||||
}
|
||||
|
|
|
@ -1,4 +1,4 @@
|
|||
package indicator
|
||||
package types
|
||||
|
||||
//go:generate callbackgen -type Float64Updater
|
||||
type Float64Updater struct {
|
15
pkg/types/float64updater_callbacks.go
Normal file
15
pkg/types/float64updater_callbacks.go
Normal file
|
@ -0,0 +1,15 @@
|
|||
// Code generated by "callbackgen -type Float64Updater"; DO NOT EDIT.
|
||||
|
||||
package types
|
||||
|
||||
import ()
|
||||
|
||||
func (F *Float64Updater) OnUpdate(cb func(v float64)) {
|
||||
F.updateCallbacks = append(F.updateCallbacks, cb)
|
||||
}
|
||||
|
||||
func (F *Float64Updater) EmitUpdate(v float64) {
|
||||
for _, cb := range F.updateCallbacks {
|
||||
cb(v)
|
||||
}
|
||||
}
|
|
@ -645,3 +645,41 @@ func KLineWith(symbol string, interval Interval, callback KLineCallback) KLineCa
|
|||
callback(k)
|
||||
}
|
||||
}
|
||||
|
||||
type KLineValueMapper func(k KLine) float64
|
||||
|
||||
func KLineOpenPriceMapper(k KLine) float64 {
|
||||
return k.Open.Float64()
|
||||
}
|
||||
|
||||
func KLineClosePriceMapper(k KLine) float64 {
|
||||
return k.Close.Float64()
|
||||
}
|
||||
|
||||
func KLineTypicalPriceMapper(k KLine) float64 {
|
||||
return (k.High.Float64() + k.Low.Float64() + k.Close.Float64()) / 3.
|
||||
}
|
||||
|
||||
func KLinePriceVolumeMapper(k KLine) float64 {
|
||||
return k.Close.Mul(k.Volume).Float64()
|
||||
}
|
||||
|
||||
func KLineVolumeMapper(k KLine) float64 {
|
||||
return k.Volume.Float64()
|
||||
}
|
||||
|
||||
func MapKLinePrice(kLines []KLine, f KLineValueMapper) (prices []float64) {
|
||||
for _, k := range kLines {
|
||||
prices = append(prices, f(k))
|
||||
}
|
||||
|
||||
return prices
|
||||
}
|
||||
|
||||
func KLineLowPriceMapper(k KLine) float64 {
|
||||
return k.Low.Float64()
|
||||
}
|
||||
|
||||
func KLineHighPriceMapper(k KLine) float64 {
|
||||
return k.High.Float64()
|
||||
}
|
||||
|
|
|
@ -1,25 +1,24 @@
|
|||
package indicator
|
||||
package types
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/datatype/floats"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
type Float64Series struct {
|
||||
types.SeriesBase
|
||||
SeriesBase
|
||||
Float64Updater
|
||||
slice floats.Slice
|
||||
Slice floats.Slice
|
||||
}
|
||||
|
||||
func NewFloat64Series(v ...float64) *Float64Series {
|
||||
s := &Float64Series{}
|
||||
s.slice = v
|
||||
s.SeriesBase.Series = s.slice
|
||||
s.Slice = v
|
||||
s.SeriesBase.Series = s.Slice
|
||||
return s
|
||||
}
|
||||
|
||||
func (f *Float64Series) Last(i int) float64 {
|
||||
return f.slice.Last(i)
|
||||
return f.Slice.Last(i)
|
||||
}
|
||||
|
||||
func (f *Float64Series) Index(i int) float64 {
|
||||
|
@ -27,15 +26,11 @@ func (f *Float64Series) Index(i int) float64 {
|
|||
}
|
||||
|
||||
func (f *Float64Series) Length() int {
|
||||
return len(f.slice)
|
||||
}
|
||||
|
||||
func (f *Float64Series) Slice() floats.Slice {
|
||||
return f.slice
|
||||
return len(f.Slice)
|
||||
}
|
||||
|
||||
func (f *Float64Series) PushAndEmit(x float64) {
|
||||
f.slice.Push(x)
|
||||
f.Slice.Push(x)
|
||||
f.EmitUpdate(x)
|
||||
}
|
||||
|
||||
|
@ -71,3 +66,22 @@ func (f *Float64Series) Bind(source Float64Source, target Float64Calculator) {
|
|||
f.Subscribe(source, c)
|
||||
}
|
||||
}
|
||||
|
||||
type Float64Calculator interface {
|
||||
Calculate(x float64) float64
|
||||
PushAndEmit(x float64)
|
||||
}
|
||||
|
||||
type Float64Source interface {
|
||||
Series
|
||||
OnUpdate(f func(v float64))
|
||||
}
|
||||
|
||||
type Float64Subscription interface {
|
||||
Series
|
||||
AddSubscriber(f func(v float64))
|
||||
}
|
||||
|
||||
type Float64Truncator interface {
|
||||
Truncate()
|
||||
}
|
Loading…
Reference in New Issue
Block a user