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Added indicators
This commit is contained in:
Fredrik
parent
915f1b7b5a
commit
96405658c9
54
pkg/datatype/bools/slice.go
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54
pkg/datatype/bools/slice.go
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package bools
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type BoolSlice []bool
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func New(a ...bool) BoolSlice {
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return BoolSlice(a)
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}
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func (s *BoolSlice) Push(v bool) {
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*s = append(*s, v)
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}
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func (s *BoolSlice) Update(v bool) {
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*s = append(*s, v)
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}
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func (s *BoolSlice) Pop(i int64) (v bool) {
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v = (*s)[i]
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*s = append((*s)[:i], (*s)[i+1:]...)
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return v
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}
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func (s BoolSlice) Tail(size int) BoolSlice {
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length := len(s)
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if length <= size {
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win := make(BoolSlice, length)
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copy(win, s)
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return win
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}
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win := make(BoolSlice, size)
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copy(win, s[length-size:])
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return win
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}
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func (s *BoolSlice) Length() int {
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return len(*s)
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}
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func (s *BoolSlice) Index(i int) bool {
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length := len(*s)
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if length-i < 0 || i < 0 {
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return false
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}
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return (*s)[length-i-1]
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}
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func (s *BoolSlice) Last() bool {
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length := len(*s)
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if length > 0 {
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return (*s)[length-1]
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}
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return false
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}
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217
pkg/indicator/supertrendPivot.go
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217
pkg/indicator/supertrendPivot.go
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package indicator
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import (
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"math"
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"time"
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"github.com/sirupsen/logrus"
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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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// based on "Pivot Point Supertrend by LonesomeTheBlue" from tradingview
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var logpst = logrus.WithField("indicator", "pivotSupertrend")
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//go:generate callbackgen -type PivotSupertrend
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type PivotSupertrend struct {
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types.SeriesBase
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types.IntervalWindow
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ATRMultiplier float64 `json:"atrMultiplier"`
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PivotWindow int `json:"pivotWindow"`
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AverageTrueRange *ATR // Value must be set when initialized in strategy
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PivotLow *PivotLow // Value must be set when initialized in strategy
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PivotHigh *PivotHigh // Value must be set when initialized in strategy
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trendPrices floats.Slice // Tsl: value of the trend line (buy or sell)
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supportLine floats.Slice // The support line in an uptrend (green)
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resistanceLine floats.Slice // The resistance line in a downtrend (red)
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closePrice float64
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previousClosePrice float64
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uptrendPrice float64
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previousUptrendPrice float64
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downtrendPrice float64
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previousDowntrendPrice float64
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lastPp float64
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src float64 // center
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previousPivotHigh float64 // temp variable to save the last value
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previousPivotLow float64 // temp variable to save the last value
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trend types.Direction
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previousTrend types.Direction
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tradeSignal types.Direction
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EndTime time.Time
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UpdateCallbacks []func(value float64)
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}
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func (inc *PivotSupertrend) Last() float64 {
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return inc.trendPrices.Last()
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}
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func (inc *PivotSupertrend) Index(i int) float64 {
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length := inc.Length()
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if length == 0 || length-i-1 < 0 {
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return 0
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}
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return inc.trendPrices[length-i-1]
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}
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func (inc *PivotSupertrend) Length() int {
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return len(inc.trendPrices)
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}
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func (inc *PivotSupertrend) Update(highPrice, lowPrice, closePrice float64) {
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if inc.Window <= 0 {
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panic("window must be greater than 0")
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}
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if inc.AverageTrueRange == nil {
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inc.SeriesBase.Series = inc
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}
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// Start with DirectionUp
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if inc.trend != types.DirectionUp && inc.trend != types.DirectionDown {
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inc.trend = types.DirectionUp
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}
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inc.previousPivotLow = inc.PivotLow.Last()
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inc.previousPivotHigh = inc.PivotHigh.Last()
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// Update High / Low pivots
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inc.PivotLow.Update(lowPrice)
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inc.PivotHigh.Update(highPrice)
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// Update ATR
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inc.AverageTrueRange.Update(highPrice, lowPrice, closePrice)
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// Update last prices
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inc.previousUptrendPrice = inc.uptrendPrice
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inc.previousDowntrendPrice = inc.downtrendPrice
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inc.previousClosePrice = inc.closePrice
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inc.previousTrend = inc.trend
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inc.closePrice = closePrice
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// Initialize lastPp as soon as pivots are made
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if inc.lastPp == 0 || math.IsNaN(inc.lastPp) {
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if inc.PivotHigh.Length() > 0 {
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inc.lastPp = inc.PivotHigh.Last()
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} else if inc.PivotLow.Length() > 0 {
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inc.lastPp = inc.PivotLow.Last()
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} else {
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inc.lastPp = math.NaN()
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return
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}
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}
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// Set lastPp to the latest pivotPoint (only changed when new pivot is found)
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if inc.PivotHigh.Last() != inc.previousPivotHigh {
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inc.lastPp = inc.PivotHigh.Last()
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} else if inc.PivotLow.Last() != inc.previousPivotLow {
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inc.lastPp = inc.PivotLow.Last()
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}
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// calculate the Center line using pivot points
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if inc.src == 0 || math.IsNaN(inc.src) {
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inc.src = inc.lastPp
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} else {
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//weighted calculation
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inc.src = (inc.src*2 + inc.lastPp) / 3
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}
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// Update uptrend
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inc.uptrendPrice = inc.src - inc.AverageTrueRange.Last()*inc.ATRMultiplier
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if inc.previousClosePrice > inc.previousUptrendPrice {
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inc.uptrendPrice = math.Max(inc.uptrendPrice, inc.previousUptrendPrice)
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}
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// Update downtrend
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inc.downtrendPrice = inc.src + inc.AverageTrueRange.Last()*inc.ATRMultiplier
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if inc.previousClosePrice < inc.previousDowntrendPrice {
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inc.downtrendPrice = math.Min(inc.downtrendPrice, inc.previousDowntrendPrice)
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}
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// Update trend
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if inc.previousTrend == types.DirectionUp && inc.closePrice < inc.previousUptrendPrice {
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inc.trend = types.DirectionDown
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} else if inc.previousTrend == types.DirectionDown && inc.closePrice > inc.previousDowntrendPrice {
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inc.trend = types.DirectionUp
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} else {
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inc.trend = inc.previousTrend
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}
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// Update signal
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if inc.AverageTrueRange.Last() <= 0 {
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inc.tradeSignal = types.DirectionNone
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} else if inc.trend == types.DirectionUp && inc.previousTrend == types.DirectionDown {
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inc.tradeSignal = types.DirectionUp
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} else if inc.trend == types.DirectionDown && inc.previousTrend == types.DirectionUp {
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inc.tradeSignal = types.DirectionDown
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} else {
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inc.tradeSignal = types.DirectionNone
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}
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// Update trend price
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if inc.trend == types.DirectionDown {
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inc.trendPrices.Push(inc.downtrendPrice)
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} else {
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inc.trendPrices.Push(inc.uptrendPrice)
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}
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// Save the trend lines
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inc.supportLine.Push(inc.uptrendPrice)
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inc.resistanceLine.Push(inc.downtrendPrice)
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logpst.Debugf("Update pivot point supertrend result: closePrice: %v, uptrendPrice: %v, downtrendPrice: %v, trend: %v,"+
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" tradeSignal: %v, AverageTrueRange.Last(): %v", inc.closePrice, inc.uptrendPrice, inc.downtrendPrice,
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inc.trend, inc.tradeSignal, inc.AverageTrueRange.Last())
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}
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// GetSignal returns signal (Down, None or Up)
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func (inc *PivotSupertrend) GetSignal() types.Direction {
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return inc.tradeSignal
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}
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// GetDirection returns current trend
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func (inc *PivotSupertrend) GetDirection() types.Direction {
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return inc.trend
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}
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// GetCurrentSupertrendSupport returns last supertrend support value
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func (inc *PivotSupertrend) GetCurrentSupertrendSupport() float64 {
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return inc.supportLine.Last()
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}
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// GetCurrentSupertrendResistance returns last supertrend resistance value
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func (inc *PivotSupertrend) GetCurrentSupertrendResistance() float64 {
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return inc.resistanceLine.Last()
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}
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var _ types.SeriesExtend = &PivotSupertrend{}
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func (inc *PivotSupertrend) PushK(k types.KLine) {
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if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
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return
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}
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inc.Update(k.GetHigh().Float64(), k.GetLow().Float64(), k.GetClose().Float64())
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.Last())
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}
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func (inc *PivotSupertrend) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
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target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
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}
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func (inc *PivotSupertrend) LoadK(allKLines []types.KLine) {
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inc.SeriesBase.Series = inc
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for _, k := range allKLines {
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inc.PushK(k)
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}
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}
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15
pkg/indicator/supertrendPivot_callbacks.go
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15
pkg/indicator/supertrendPivot_callbacks.go
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// Code generated by "callbackgen -type Supertrend"; DO NOT EDIT.
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package indicator
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import ()
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func (inc *PivotSupertrend) OnUpdate(cb func(value float64)) {
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inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
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}
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func (inc *PivotSupertrend) EmitUpdate(value float64) {
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for _, cb := range inc.UpdateCallbacks {
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cb(value)
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}
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}
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154
pkg/indicator/utBotAlert.go
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154
pkg/indicator/utBotAlert.go
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@ -0,0 +1,154 @@
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package indicator
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import (
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"math"
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"time"
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"github.com/c9s/bbgo/pkg/datatype/bools"
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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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// based on "UT Bot Alerts by QuantNomad" from tradingview
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//go:generate callbackgen -type UtBotAlert
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type UtBotAlert struct {
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types.IntervalWindow
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KeyValue float64 `json:"keyValue"` // Should be ATRMultiplier
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Values []types.Direction
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buyValue bools.BoolSlice
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sellValue bools.BoolSlice
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AverageTrueRange *ATR // Value must be set when initialized in strategy
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xATRTrailingStop floats.Slice
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pos types.Direction // NB: This is currently not in use (kept in case of expanding as it is in the tradingview version)
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previousPos types.Direction // NB: This is currently not in use (kept in case of expanding as it is in the tradingview version)
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previousClosePrice float64
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EndTime time.Time
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UpdateCallbacks []func(value types.Direction)
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}
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func NewUtBotAlert(iw types.IntervalWindow, keyValue float64) *UtBotAlert {
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return &UtBotAlert{
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IntervalWindow: iw,
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KeyValue: keyValue,
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AverageTrueRange: &ATR{
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IntervalWindow: iw,
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},
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}
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}
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func (inc *UtBotAlert) Last() types.Direction {
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length := len(inc.Values)
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if length > 0 {
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return inc.Values[length-1]
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}
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return types.DirectionNone
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}
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func (inc *UtBotAlert) Index(i int) types.Direction {
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length := inc.Length()
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if length == 0 || length-i-1 < 0 {
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return 0
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}
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return inc.Values[length-i-1]
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}
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func (inc *UtBotAlert) Length() int {
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return len(inc.Values)
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}
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func (inc *UtBotAlert) Update(highPrice, lowPrice, closePrice float64) {
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if inc.Window <= 0 {
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panic("window must be greater than 0")
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}
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// Update ATR
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inc.AverageTrueRange.Update(highPrice, lowPrice, closePrice)
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nLoss := inc.AverageTrueRange.Last() * inc.KeyValue
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// xATRTrailingStop
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if inc.xATRTrailingStop.Length() == 0 {
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// For first run
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inc.xATRTrailingStop.Update(0)
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} else if closePrice > inc.xATRTrailingStop.Index(1) && inc.previousClosePrice > inc.xATRTrailingStop.Index(1) {
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inc.xATRTrailingStop.Update(math.Max(inc.xATRTrailingStop.Index(1), closePrice-nLoss))
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} else if closePrice < inc.xATRTrailingStop.Index(1) && inc.previousClosePrice < inc.xATRTrailingStop.Index(1) {
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inc.xATRTrailingStop.Update(math.Min(inc.xATRTrailingStop.Index(1), closePrice+nLoss))
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} else if closePrice > inc.xATRTrailingStop.Index(1) {
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inc.xATRTrailingStop.Update(closePrice - nLoss)
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} else {
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inc.xATRTrailingStop.Update(closePrice + nLoss)
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}
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// pos
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if inc.previousClosePrice < inc.xATRTrailingStop.Index(1) && closePrice > inc.xATRTrailingStop.Index(1) {
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inc.pos = types.DirectionUp
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} else if inc.previousClosePrice > inc.xATRTrailingStop.Index(1) && closePrice < inc.xATRTrailingStop.Index(1) {
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inc.pos = types.DirectionDown
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} else {
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inc.pos = inc.previousPos
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}
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above := closePrice > inc.xATRTrailingStop.Last() && inc.previousClosePrice < inc.xATRTrailingStop.Index(1)
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below := closePrice < inc.xATRTrailingStop.Last() && inc.previousClosePrice > inc.xATRTrailingStop.Index(1)
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buy := closePrice > inc.xATRTrailingStop.Last() && above // buy
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sell := closePrice < inc.xATRTrailingStop.Last() && below // sell
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inc.buyValue.Push(buy)
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inc.sellValue.Push(sell)
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if buy {
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inc.Values = append(inc.Values, types.DirectionUp)
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} else if sell {
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inc.Values = append(inc.Values, types.DirectionDown)
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} else {
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inc.Values = append(inc.Values, types.DirectionNone)
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}
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// Update last prices
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inc.previousClosePrice = closePrice
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inc.previousPos = inc.pos
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}
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// GetSignal returns signal (down, none or up)
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func (inc *UtBotAlert) GetSignal() types.Direction {
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length := len(inc.Values)
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if length > 0 {
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return inc.Values[length-1]
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}
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return types.DirectionNone
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}
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func (inc *UtBotAlert) PushK(k types.KLine) {
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if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
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return
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}
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inc.Update(k.GetHigh().Float64(), k.GetLow().Float64(), k.GetClose().Float64())
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.Last())
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}
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func (inc *UtBotAlert) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
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target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
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}
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// LoadK calculates the initial values
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func (inc *UtBotAlert) LoadK(allKLines []types.KLine) {
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for _, k := range allKLines {
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inc.PushK(k)
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}
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}
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17
pkg/indicator/utBotAlert_callbacks.go
Normal file
17
pkg/indicator/utBotAlert_callbacks.go
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// Code generated by "callbackgen -type Supertrend"; DO NOT EDIT.
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package indicator
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import (
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"github.com/c9s/bbgo/pkg/types"
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)
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func (inc *UtBotAlert) OnUpdate(cb func(value types.Direction)) {
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inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
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}
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func (inc *UtBotAlert) EmitUpdate(value types.Direction) {
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for _, cb := range inc.UpdateCallbacks {
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cb(value)
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}
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}
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Reference in New Issue
Block a user