Merge pull request #728 from zenixls2/feature/dmi

feature: add dmi indicator

pkg/indicator/atr.go

@@ -25,7 +25,10 @@ func (inc *ATR) Update(high, low, cloze float64) {
 	}
 
 	if inc.RMA == nil {
-		inc.RMA = &RMA{IntervalWindow: types.IntervalWindow{Window: inc.Window}}
+		inc.RMA = &RMA{
+			IntervalWindow: types.IntervalWindow{Window: inc.Window},
+			Adjust:         true,
+		}
 		inc.PreviousClose = cloze
 		return
 	}

pkg/indicator/atr_test.go

@@ -9,6 +9,25 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+/*
+python
+
+import pandas as pd
+import pandas_ta as ta
+
+data = {
+    "high": [40145.0, 40186.36, 40196.39, 40344.6, 40245.48, 40273.24, 40464.0, 40699.0, 40627.48, 40436.31, 40370.0, 40376.8, 40227.03, 40056.52, 39721.7, 39597.94, 39750.15, 39927.0, 40289.02, 40189.0],
+    "low": [39870.71, 39834.98, 39866.31, 40108.31, 40016.09, 40094.66, 40105.0, 40196.48, 40154.99, 39800.0, 39959.21, 39922.98, 39940.02, 39632.0, 39261.39, 39254.63, 39473.91, 39555.51, 39819.0, 40006.84],
+    "close": [40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99,
+39693.79, 39827.96, 40074.94, 40059.84]
+}
+
+high = pd.Series(data['high'])
+low = pd.Series(data['low'])
+close = pd.Series(data['close'])
+result = ta.atr(high, low, close, length=14)
+print(result)
+*/
 func Test_calculateATR(t *testing.T) {
 	var bytes = []byte(`{
 		"high": [40145.0, 40186.36, 40196.39, 40344.6, 40245.48, 40273.24, 40464.0, 40699.0, 40627.48, 40436.31, 40370.0, 40376.8, 40227.03, 40056.52, 39721.7, 39597.94, 39750.15, 39927.0, 40289.02, 40189.0], 
@@ -35,7 +54,7 @@ func Test_calculateATR(t *testing.T) {
 			name:   "test_binance_btcusdt_1h",
 			kLines: buildKLines(bytes),
 			window: 14,
-			want:   364.048648,
+			want:   367.913903,
 		},
 	}
 

pkg/indicator/dmi.go

@@ -0,0 +1,113 @@
+package indicator
+
+import (
+	"math"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// Refer: https://www.investopedia.com/terms/d/dmi.asp
+// Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/trend/adx.py
+//
+// Directional Movement Index
+// an indicator developed by J. Welles Wilder in 1978 that identifies in which
+// direction the price of an asset is moving.
+//go:generate callbackgen -type DMI
+type DMI struct {
+	types.IntervalWindow
+	ADXSmoothing      int
+	atr               *ATR
+	DMP               types.UpdatableSeries
+	DMN               types.UpdatableSeries
+	DIPlus            *types.Queue
+	DIMinus           *types.Queue
+	ADX               types.UpdatableSeries
+	PrevHigh, PrevLow float64
+	UpdateCallbacks   []func(diplus, diminus, adx float64)
+}
+
+func (inc *DMI) Update(high, low, cloze float64) {
+	if inc.DMP == nil || inc.DMN == nil {
+		inc.DMP = &RMA{IntervalWindow: inc.IntervalWindow, Adjust: true}
+		inc.DMN = &RMA{IntervalWindow: inc.IntervalWindow, Adjust: true}
+		inc.ADX = &RMA{IntervalWindow: types.IntervalWindow{Window: inc.ADXSmoothing}, Adjust: true}
+	}
+	if inc.atr == nil {
+		inc.atr = &ATR{IntervalWindow: inc.IntervalWindow}
+		inc.atr.Update(high, low, cloze)
+		inc.PrevHigh = high
+		inc.PrevLow = low
+		inc.DIPlus = types.NewQueue(500)
+		inc.DIMinus = types.NewQueue(500)
+		return
+	}
+	inc.atr.Update(high, low, cloze)
+	up := high - inc.PrevHigh
+	dn := inc.PrevLow - low
+	inc.PrevHigh = high
+	inc.PrevLow = low
+	pos := 0.0
+	if up > dn && up > 0. {
+		pos = up
+	}
+
+	neg := 0.0
+	if dn > up && dn > 0. {
+		neg = dn
+	}
+
+	inc.DMP.Update(pos)
+	inc.DMN.Update(neg)
+	if inc.atr.Length() < inc.Window {
+		return
+	}
+	k := 100. / inc.atr.Last()
+	dmp := inc.DMP.Last()
+	dmn := inc.DMN.Last()
+	inc.DIPlus.Update(k * dmp)
+	inc.DIMinus.Update(k * dmn)
+	dx := 100. * math.Abs(dmp-dmn) / (dmp + dmn)
+	inc.ADX.Update(dx)
+
+}
+
+func (inc *DMI) GetDIPlus() types.Series {
+	return inc.DIPlus
+}
+
+func (inc *DMI) GetDIMinus() types.Series {
+	return inc.DIMinus
+}
+
+func (inc *DMI) GetADX() types.Series {
+	return inc.ADX
+}
+
+func (inc *DMI) Length() int {
+	return inc.ADX.Length()
+}
+
+func (inc *DMI) calculateAndUpdate(allKLines []types.KLine) {
+	if inc.ADX == nil {
+		for _, k := range allKLines {
+			inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+			inc.EmitUpdate(inc.DIPlus.Last(), inc.DIMinus.Last(), inc.ADX.Last())
+		}
+	} else {
+		k := allKLines[len(allKLines)-1]
+		inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+		inc.EmitUpdate(inc.DIPlus.Last(), inc.DIMinus.Last(), inc.ADX.Last())
+	}
+}
+
+func (inc *DMI) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *DMI) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/indicator/dmi_callbacks.go

@@ -0,0 +1,15 @@
+// Code generated by "callbackgen -type DMI"; DO NOT EDIT.
+
+package indicator
+
+import ()
+
+func (inc *DMI) OnUpdate(cb func(diplus float64, diminus float64, adx float64)) {
+	inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
+}
+
+func (inc *DMI) EmitUpdate(diplus float64, diminus float64, adx float64) {
+	for _, cb := range inc.UpdateCallbacks {
+		cb(diplus, diminus, adx)
+	}
+}

pkg/indicator/dmi_test.go

@@ -0,0 +1,83 @@
+package indicator
+
+import (
+	"encoding/json"
+	"testing"
+	"fmt"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/stretchr/testify/assert"
+)
+
+/*
+python:
+
+import pandas as pd
+import pandas_ta as ta
+
+data = pd.Series([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])
+
+high = pd.Series([100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109])
+
+low = pd.Series([80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89])
+
+close = pd.Series([90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99])
+
+result = ta.adx(high, low, close, 5, 14)
+print(result['ADX_14'])
+
+print(result['DMP_5'])
+print(result['DMN_5'])
+*/
+func Test_DMI(t *testing.T) {
+	var Delta = 0.001
+	var highb = []byte(`[100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109]`)
+	var lowb = []byte(`[80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89]`)
+	var clozeb = []byte(`[90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99]`)
+
+	buildKLines := func(h, l, c []byte) (klines []types.KLine) {
+		var hv, cv, lv []fixedpoint.Value
+		_ = json.Unmarshal(h, &hv)
+		_ = json.Unmarshal(l, &lv)
+		_ = json.Unmarshal(c, &cv)
+		if len(hv) != len(lv) || len(lv) != len(cv) {
+			panic(fmt.Sprintf("length not equal %v %v %v", len(hv), len(lv), len(cv)))
+		}
+		for i, hh := range hv {
+			kline := types.KLine{High: hh, Low: lv[i], Close: cv[i]}
+			klines = append(klines, kline)
+		}
+		return klines
+	}
+
+	type output struct{dip float64; dim float64; adx float64}
+
+	tests := []struct {
+		name string
+		klines []types.KLine
+		want output
+		next output
+		total int
+	}{
+		{
+			name: "test_dmi",
+			klines: buildKLines(highb, lowb, clozeb),
+			want: output{dip: 4.85114, dim: 1.339736, adx: 37.857156},
+			next: output{dip: 4.813853, dim: 1.67532, adx: 36.111434},
+		},
+	}
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			dmi := &DMI{
+				IntervalWindow: types.IntervalWindow{Window: 5},
+				ADXSmoothing: 14,
+			}
+			dmi.calculateAndUpdate(tt.klines)
+			assert.InDelta(t, dmi.GetDIPlus().Last(), tt.want.dip, Delta)
+			assert.InDelta(t, dmi.GetDIMinus().Last(), tt.want.dim, Delta)
+			assert.InDelta(t, dmi.GetADX().Last(), tt.want.adx, Delta)
+		})
+	}
+
+}

pkg/indicator/rma.go

@@ -6,33 +6,42 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
-// Refer: Running Moving Average
+// Running Moving Average
+// Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/overlap/rma.py#L5
+// Refer: https://pandas.pydata.org/docs/reference/api/pandas.DataFrame.ewm.html#pandas-dataframe-ewm
 //go:generate callbackgen -type RMA
 type RMA struct {
 	types.IntervalWindow
-	Values  types.Float64Slice
+	Values          types.Float64Slice
-	Sources types.Float64Slice
+	counter         int
-
+	Adjust          bool
+	tmp             float64
+	sum             float64
 	EndTime         time.Time
 	UpdateCallbacks []func(value float64)
 }
 
 func (inc *RMA) Update(x float64) {
-	inc.Sources.Push(x)
+	lambda := 1 / float64(inc.Window)
+	if inc.counter == 0 {
+		inc.sum = 1
+		inc.tmp = x
+	} else {
+		if inc.Adjust {
+			inc.sum = inc.sum*(1-lambda) + 1
+			inc.tmp = inc.tmp + (x-inc.tmp)/inc.sum
+		} else {
+			inc.tmp = inc.tmp*(1-lambda) + x*lambda
+		}
+	}
+	inc.counter++
 
-	if len(inc.Sources) < inc.Window {
+	if inc.counter < inc.Window {
 		inc.Values.Push(0)
 		return
 	}
 
-	if len(inc.Sources) == inc.Window {
+	inc.Values.Push(inc.tmp)
-		inc.Values.Push(inc.Sources.Mean())
-		return
-	}
-
-	lambda := 1 / float64(inc.Window)
-	rma := (1-lambda)*inc.Values.Last() + lambda*x
-	inc.Values.Push(rma)
 }
 
 func (inc *RMA) Last() float64 {

pkg/types/indicator.go

@@ -63,6 +63,11 @@ type Series interface {
 	Length() int
 }
 
+type UpdatableSeries interface {
+	Series
+	Update(float64)
+}
+
 // The interface maps to pinescript basic type `series` for bool type
 // Access the internal historical data from the latest to the oldest
 // Index(0) always maps to Last()