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doc: update indicator documents
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doc/development/indicator-v1.md
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128
doc/development/indicator-v1.md
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How To Use Builtin Indicators and Create New Indicators
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-------------------------------------------------------
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**NOTE THAT V1 INDICATOR WILL BE DEPRECATED, USE V2 INDICATOR INSTEAD**
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### Built-in Indicators
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In bbgo session, we already have several indicators defined inside.
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We could refer to the live-data without the worriedness of handling market data subscription.
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To use the builtin ones, we could refer the `StandardIndicatorSet` type:
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```go
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// defined in pkg/bbgo/session.go
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(*StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandwidth float64) *indicator.BOLL
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(*StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA
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(*StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA
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(*StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH
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(*StandardIndicatorSet) VOLATILITY(iw types.IntervalWindow) *indicator.VOLATILITY
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```
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and to get the `*StandardIndicatorSet` from `ExchangeSession`, just need to call:
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```go
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indicatorSet, ok := session.StandardIndicatorSet("BTCUSDT") // param: symbol
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```
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in your strategy's `Run` function.
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And in `Subscribe` function in strategy, just subscribe the `KLineChannel` on the interval window of the indicator you want to query, you should be able to acquire the latest number on the indicators.
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However, what if you want to use the indicators not defined in `StandardIndicatorSet`? For example, the `AD` indicator defined in `pkg/indicators/ad.go`?
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Here's a simple example in what you should write in your strategy code:
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```go
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import (
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"context"
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"fmt"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/indicator"
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)
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type Strategy struct {}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol. types.SubscribeOptions{Interval: "1m"})
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}
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func (s *Strategy) Run(ctx context.Context, oe bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// first we need to get market data store(cached market data) from the exchange session
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st, ok := session.MarketDataStore(s.Symbol)
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if !ok {
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...
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return err
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}
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// setup the time frame size
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window := types.IntervalWindow{Window: 10, Interval: types.Interval1m}
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// construct AD indicator
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AD := &indicator.AD{IntervalWindow: window}
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// bind indicator to the data store, so that our callback could be triggered
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AD.Bind(st)
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AD.OnUpdate(func (ad float64) {
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fmt.Printf("now we've got ad: %f, total length: %d\n", ad, AD.Length())
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})
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}
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```
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#### To Contribute
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try to create new indicators in `pkg/indicator/` folder, and add compilation hint of go generator:
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```go
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// go:generate callbackgen -type StructName
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type StructName struct {
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...
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updateCallbacks []func(value float64)
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}
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```
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And implement required interface methods:
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```go
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func (inc *StructName) Update(value float64) {
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// indicator calculation here...
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// push value...
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}
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func (inc *StructName) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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}
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// custom function
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func (inc *StructName) CalculateAndUpdate(kLines []types.KLine) {
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if len(inc.Values) == 0 {
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// preload or initialization
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for _, k := range allKLines {
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.Last())
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} else {
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// update new value only
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(calculatedValue) // produce data, broadcast to the subscribers
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}
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}
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// custom function
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func (inc *StructName) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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// filter on interval
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inc.CalculateAndUpdate(window)
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}
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// required
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func (inc *StructName) Bind(updator KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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```
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The `KLineWindowUpdater` interface is currently defined in `pkg/indicator/ewma.go` and may be moved out in the future.
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Once the implementation is done, run `go generate` to generate the callback functions of the indicator.
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You should be able to implement your strategy and use the new indicator in the same way as `AD`.
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#### Generalize
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In order to provide indicator users a lower learning curve, we've designed the `types.Series` interface. We recommend indicator developers to also implement the `types.Series` interface to provide richer functionality on the computed result. To have deeper understanding how `types.Series` works, please refer to [doc/development/series.md](./series.md)
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@ -1,124 +1,163 @@
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How To Use Builtin Indicators and Create New Indicators
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-------------------------------------------------------
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How To Use Builtin Indicators and Add New Indicators (V2)
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=========================================================
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## Using Built-in Indicators
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In bbgo session, we already have several built-in indicators defined.
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### Built-in Indicators
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In bbgo session, we already have several indicators defined inside.
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We could refer to the live-data without the worriedness of handling market data subscription.
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To use the builtin ones, we could refer the `StandardIndicatorSet` type:
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To use the builtin indicators, call `Indicators(symbol)` method to get the indicator set of a symbol,
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```go
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// defined in pkg/bbgo/session.go
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(*StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandwidth float64) *indicator.BOLL
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(*StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA
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(*StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA
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(*StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH
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(*StandardIndicatorSet) VOLATILITY(iw types.IntervalWindow) *indicator.VOLATILITY
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session.Indicators(symbol string) *IndicatorSet
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```
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and to get the `*StandardIndicatorSet` from `ExchangeSession`, just need to call:
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IndicatorSet is a helper that helps you construct the indicator instance.
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Each indicator is a stream that subscribes to
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an upstream through the callback.
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We will explain how the indicator works from scratch in the following section.
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The following code will create a kLines stream that subscribes to specific klines from a websocket stream instance:
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```go
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indicatorSet, ok := session.StandardIndicatorSet("BTCUSDT") // param: symbol
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kLines := indicatorv2.KLines(stream, "BTCUSDT", types.Interval1m)
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```
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in your strategy's `Run` function.
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The kLines stream is a special indicator stream that subscribes to the kLine event from the websocket stream. It
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registers a callback on `OnKLineClosed`, and when there is a kLine event triggered, it pushes the kLines into its
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series, and then it triggers all the subscribers that subscribe to it.
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And in `Subscribe` function in strategy, just subscribe the `KLineChannel` on the interval window of the indicator you want to query, you should be able to acquire the latest number on the indicators.
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To get the closed prices from the kLines stream, simply pass the kLines stream instance to a ClosedPrice indicator:
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However, what if you want to use the indicators not defined in `StandardIndicatorSet`? For example, the `AD` indicator defined in `pkg/indicators/ad.go`?
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Here's a simple example in what you should write in your strategy code:
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```go
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import (
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"context"
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"fmt"
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closePrices := indicatorv2.ClosePrices(kLines)
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```
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/indicator"
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)
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When the kLine indicator pushes a new kline, the ClosePrices stream receives a kLine object then gets the closed price
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from the kLine object.
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type Strategy struct {}
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to get the latest value of an indicator (closePrices), use Last(n) method, where n starts from 0:
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol. types.SubscribeOptions{Interval: "1m"})
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```go
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lastClosedPrice := closePrices.Last(0)
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secondClosedPrice := closePrices.Last(1)
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```
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To create a EMA indicator instance, again, simply pass the closePrice indicator to the SMA stream constructor:
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```go
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ema := indicatorv2.EMA(closePrices, 17)
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```
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If you want to listen to the EMA value events, just add a callback on the indicator instance:
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```go
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ema.OnUpdate(func(v float64) { .... })
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```
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## Adding New Indicator
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Adding a new indicator is pretty straightforward. Simply create a new struct and insert the necessary parameters as
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struct fields.
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The indicator algorithm will be implemented in the `Calculate(v float64) float64` method.
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You can think of it as a simple input-output model: it takes a float64 number as input, calculates the value, and
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returns a float64 number as output.
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```
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[input float64] -> [Calculate] -> [output float64]
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```
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Since it is a float64 value indicator, we will use `*types.Float64Series` here to store our values:
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```go
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package indicatorv2
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type EWMAStream struct {
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// embedded struct to inherit Float64Series methods
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*types.Float64Series
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// parameters we need
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window int
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multiplier float64
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}
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```
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func (s *Strategy) Run(ctx context.Context, oe bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// first we need to get market data store(cached market data) from the exchange session
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st, ok := session.MarketDataStore(s.Symbol)
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if !ok {
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...
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return err
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And then, add the constructor of the indicator stream:
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```go
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// the "source" here is your value source
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func EWMA(source types.Float64Source, window int) *EWMAStream {
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s := &EWMAStream{
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Float64Series: types.NewFloat64Series(),
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window: window,
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multiplier: 2.0 / float64(1+window),
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}
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// setup the time frame size
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window := types.IntervalWindow{Window: 10, Interval: types.Interval1m}
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// construct AD indicator
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AD := &indicator.AD{IntervalWindow: window}
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// bind indicator to the data store, so that our callback could be triggered
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AD.Bind(st)
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AD.OnUpdate(func (ad float64) {
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fmt.Printf("now we've got ad: %f, total length: %d\n", ad, AD.Length())
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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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```
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#### To Contribute
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Where the source refers to your upstream value, such as closedPrices, openedPrices, or any type of float64 series. For
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example, Volume could also serve as the source.
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The Bind method invokes the `Calculate()` method to obtain the updated value from a callback of the upstream source.
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Subsequently, it calls EmitUpdate to activate the callbacks of its subscribers,
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thereby passing the updated value to all of them.
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Next, write your algorithm within the Calculate method:
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try to create new indicators in `pkg/indicator/` folder, and add compilation hint of go generator:
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```go
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// go:generate callbackgen -type StructName
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type StructName struct {
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...
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updateCallbacks []func(value float64)
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}
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```
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And implement required interface methods:
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```go
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func (inc *StructName) Update(value float64) {
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// indicator calculation here...
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// push value...
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}
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func (inc *StructName) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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}
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// custom function
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func (inc *StructName) CalculateAndUpdate(kLines []types.KLine) {
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if len(inc.Values) == 0 {
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// preload or initialization
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for _, k := range allKLines {
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inc.PushK(k)
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func (s *EWMAStream) Calculate(v float64) float64 {
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// if you need the last number to calculate the next value
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// call s.Slice.Last(0)
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//
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last := s.Slice.Last(0)
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if last == 0.0 {
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return v
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}
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inc.EmitUpdate(inc.Last())
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} else {
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// update new value only
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(calculatedValue) // produce data, broadcast to the subscribers
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}
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}
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// custom function
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func (inc *StructName) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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// filter on interval
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inc.CalculateAndUpdate(window)
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}
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// required
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func (inc *StructName) Bind(updator KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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m := s.multiplier
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return (1.0-m)*last + m*v
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}
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```
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The `KLineWindowUpdater` interface is currently defined in `pkg/indicator/ewma.go` and may be moved out in the future.
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Sometimes you might need to store the intermediate values inside your indicator, you can add the extra field with type Float64Series like this:
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Once the implementation is done, run `go generate` to generate the callback functions of the indicator.
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You should be able to implement your strategy and use the new indicator in the same way as `AD`.
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```go
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type EWMAStream struct {
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// embedded struct to inherit Float64Series methods
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*types.Float64Series
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A *types.Float64Series
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B *types.Float64Series
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// parameters we need
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window int
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multiplier float64
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}
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```
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In your `Calculate()` method, you can push the values into these float64 series, for example:
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```go
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func (s *EWMAStream) Calculate(v float64) float64 {
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// if you need the last number to calculate the next value
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// call s.Slice.Last(0)
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last := s.Slice.Last(0)
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if last == 0.0 {
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return v
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}
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// If you need to trigger callbacks, use PushAndEmit
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s.A.Push(last / 2)
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s.B.Push(last / 3)
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m := s.multiplier
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return (1.0-m)*last + m*v
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}
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```
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#### Generalize
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In order to provide indicator users a lower learning curve, we've designed the `types.Series` interface. We recommend indicator developers to also implement the `types.Series` interface to provide richer functionality on the computed result. To have deeper understanding how `types.Series` works, please refer to [doc/development/series.md](./series.md)
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|
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@ -1,8 +1,12 @@
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Indicator Interface
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Series Interface
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-----------------------------------
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In bbgo, we've added several interfaces to standardize the indicator protocol.
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The new interfaces will allow strategy developers switching similar indicators without checking the code.
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Series defines the data structure of the indicator data.
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indicators use this series interface to manage these time-series data.
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The interface allow strategy developers to switch similar indicators without checking the code.
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Signal contributors or indicator developers were also able to be benefit from the existing interface functions, such as `Add`, `Mul`, `Minus`, and `Div`, without rebuilding the wheels.
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The series interface in bbgo borrows the concept of `series` type in pinescript that allow us to query data in time-based reverse order (data that created later will be the former object in series). Right now, based on the return type, we have two interfaces been defined in [pkg/types/indicator.go](../../pkg/types/indicator.go):
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