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Merge pull request #633 from zenixls2/fix/ewo_entry
Fix/ewo entry, backtest
This commit is contained in:
commit
8652b4e043
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@ -155,7 +155,7 @@ const ordersToMarkets = (interval: string, orders: Array<Order> | void): Array<M
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// var markers = [{ time: data[data.length - 48].time, position: 'aboveBar', color: '#f68410', shape: 'circle', text: 'D' }];
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for (let i = 0; i < orders.length; i++) {
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let order = orders[i];
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let t = order.update_time.getTime() / 1000.0;
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let t = (order.update_time || order.time).getTime() / 1000.0;
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let lastMarker = markers.length > 0 ? markers[markers.length - 1] : null;
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if (lastMarker) {
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let remainder = lastMarker.time % intervalSecs;
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@ -264,7 +264,7 @@ const positionBaseHistoryToLineData = (interval: string, hs: Array<PositionHisto
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}
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// ignore duplicated entry
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if (hs[i].time.getTime() === hs[i - 1].time.getTime()) {
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if (i > 0 && hs[i].time.getTime() === hs[i - 1].time.getTime()) {
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continue
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}
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@ -296,7 +296,7 @@ const positionAverageCostHistoryToLineData = (interval: string, hs: Array<Positi
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}
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// ignore duplicated entry
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if (hs[i].time.getTime() === hs[i - 1].time.getTime()) {
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if (i > 0 && hs[i].time.getTime() === hs[i - 1].time.getTime()) {
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continue
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}
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@ -10,20 +10,29 @@ exchangeStrategies:
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- on: binance
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ewo_dgtrd:
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symbol: MATICUSDT
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interval: 2h
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# kline interval for indicators
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interval: 15m
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# use ema as MA
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useEma: false
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# use sma as MA, used when ema is false
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# if both sma and ema are false, use EVMA
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useSma: false
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sigWin: 8
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stoploss: 10%
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# ewo signal line window size
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sigWin: 5
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# SL percentage from entry price
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stoploss: 2%
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# use HeikinAshi klines instead of normal OHLC
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useHeikinAshi: true
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# disable SL when short
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disableShortStop: false
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#stops:
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#- trailingStop:
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# callbackRate: 5.1%
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# closePosition: 20%
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# minProfit: 1%
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# interval: 1m
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# virtual: true
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# disable SL when long
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disableLongStop: false
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# CCI Stochastic Indicator high filter
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ccistochFilterHigh: 80
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# CCI Stochastic Indicator low filter
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ccistochFilterLow: 20
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# print record exit point in log messages
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record: false
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sync:
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userDataStream:
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@ -36,7 +45,7 @@ sync:
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backtest:
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startTime: "2022-05-01"
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endTime: "2022-05-11"
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endTime: "2022-05-27"
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symbols:
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- MATICUSDT
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sessions: [binance]
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@ -45,5 +54,5 @@ backtest:
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#makerFeeRate: 0
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#takerFeeRate: 15
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balances:
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MATIC: 5000.0
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USDT: 10000
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MATIC: 000.0
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USDT: 15000.0
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@ -281,11 +281,11 @@ func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
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return e.markets, nil
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}
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func (e Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
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func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) {
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return nil, nil
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}
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func (e Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {
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func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) {
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return nil, nil
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}
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@ -410,6 +410,15 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
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func (m *SimplePriceMatching) processKLine(kline types.KLine) {
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m.CurrentTime = kline.EndTime.Time()
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m.LastKLine = kline
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if m.LastPrice.IsZero() {
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m.LastPrice = kline.Open
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} else {
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if m.LastPrice.Compare(kline.Open) > 0 {
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m.SellToPrice(kline.Open)
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} else {
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m.BuyToPrice(kline.Open)
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}
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}
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switch kline.Direction() {
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case types.DirectionDown:
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@ -34,7 +34,6 @@ func (s *BacktestService) SyncKLineByInterval(ctx context.Context, exchange type
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if err := s.BatchInsert(klines); err != nil {
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return err
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}
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count += len(klines)
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}
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log.Debugf("inserted klines %s %s data: %d", symbol, interval.String(), count)
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@ -321,9 +320,12 @@ func (s *BacktestService) BatchInsert(kline []types.KLine) error {
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sql := fmt.Sprintf("INSERT INTO `%s` (`exchange`, `start_time`, `end_time`, `symbol`, `interval`, `open`, `high`, `low`, `close`, `closed`, `volume`, `quote_volume`, `taker_buy_base_volume`, `taker_buy_quote_volume`)"+
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" values (:exchange, :start_time, :end_time, :symbol, :interval, :open, :high, :low, :close, :closed, :volume, :quote_volume, :taker_buy_base_volume, :taker_buy_quote_volume); ", tableName)
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_, err := s.DB.NamedExec(sql, kline)
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tx := s.DB.MustBegin()
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if _, err := tx.NamedExec(sql, kline); err != nil {
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return err
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}
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return tx.Commit()
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}
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func (s *BacktestService) _deleteDuplicatedKLine(k types.KLine) error {
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86
pkg/strategy/ewoDgtrd/heikinashi.go
Normal file
86
pkg/strategy/ewoDgtrd/heikinashi.go
Normal file
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@ -0,0 +1,86 @@
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package ewoDgtrd
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import (
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"fmt"
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"math"
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"github.com/c9s/bbgo/pkg/types"
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)
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type Queue struct {
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arr []float64
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size int
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}
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func NewQueue(size int) *Queue {
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return &Queue{
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arr: make([]float64, 0, size),
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size: size,
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}
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}
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func (inc *Queue) Last() float64 {
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if len(inc.arr) == 0 {
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return 0
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}
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return inc.arr[len(inc.arr)-1]
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}
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func (inc *Queue) Index(i int) float64 {
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if len(inc.arr)-i-1 < 0 {
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return 0
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}
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return inc.arr[len(inc.arr)-i-1]
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}
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func (inc *Queue) Length() int {
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return len(inc.arr)
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}
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func (inc *Queue) Update(v float64) {
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inc.arr = append(inc.arr, v)
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if len(inc.arr) > inc.size {
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inc.arr = inc.arr[len(inc.arr)-inc.size:]
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}
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}
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type HeikinAshi struct {
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Close *Queue
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Open *Queue
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High *Queue
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Low *Queue
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Volume *Queue
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}
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func NewHeikinAshi(size int) *HeikinAshi {
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return &HeikinAshi{
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Close: NewQueue(size),
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Open: NewQueue(size),
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High: NewQueue(size),
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Low: NewQueue(size),
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Volume: NewQueue(size),
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}
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}
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func (s *HeikinAshi) Print() string {
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return fmt.Sprintf("Heikin c: %.3f, o: %.3f, h: %.3f, l: %.3f, v: %.3f",
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s.Close.Last(),
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s.Open.Last(),
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s.High.Last(),
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s.Low.Last(),
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s.Volume.Last())
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}
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func (inc *HeikinAshi) Update(kline types.KLine) {
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open := kline.Open.Float64()
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cloze := kline.Close.Float64()
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high := kline.High.Float64()
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low := kline.Low.Float64()
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newClose := (open + high + low + cloze) / 4.
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newOpen := (inc.Open.Last() + inc.Close.Last()) / 2.
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inc.Close.Update(newClose)
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inc.Open.Update(newOpen)
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inc.High.Update(math.Max(math.Max(high, newOpen), newClose))
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inc.Low.Update(math.Min(math.Min(low, newOpen), newClose))
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inc.Volume.Update(kline.Volume.Float64())
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}
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File diff suppressed because it is too large
Load Diff
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@ -9,3 +9,8 @@ func tryLock(lock *sync.RWMutex) bool {
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lock.Lock()
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return true
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}
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func tryRLock(lock *sync.RWMutex) bool {
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lock.RLock()
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return true
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}
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@ -8,3 +8,7 @@ import "sync"
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func tryLock(lock *sync.RWMutex) bool {
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return lock.TryLock()
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}
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func tryRLock(lock *sync.RWMutex) bool {
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return lock.TryRLock()
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}
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@ -122,7 +122,7 @@ func (p *Position) NewProfit(trade Trade, profit, netProfit fixedpoint.Value) Pr
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func (p *Position) NewClosePositionOrder(percentage fixedpoint.Value) *SubmitOrder {
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base := p.GetBase()
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quantity := base.Mul(percentage)
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quantity := base.Mul(percentage).Abs()
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if quantity.Compare(p.Market.MinQuantity) < 0 {
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return nil
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}
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