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fix unmarshal behavior to gain more precision

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This commit is contained in:
zenix 2022-02-08 13:41:24 +09:00
parent abc1d535d8
commit 9978a3cf90
10 changed files with 127 additions and 100 deletions
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20
pkg/accounting/cost_distribution.go
View File

@ -1,7 +1,6 @@
package accounting package accounting
import ( import (
"fmt"
"math" "math"
"sort" "sort"
"strconv" "strconv"
@ -16,19 +15,15 @@ func zero(a float64) bool {
return int(math.Round(a*1e8)) == 0 return int(math.Round(a*1e8)) == 0
} }
func round(a float64) float64 {
return math.Round(a*1e8) / 1e8
}
type Stock types.Trade type Stock types.Trade
func (stock *Stock) String() string { func (stock *Stock) String() string {
return fmt.Sprintf("%f (%f)", stock.Price, stock.Quantity) return stock.Price.String() + " (" + stock.Quantity.String() + ")"
} }
func (stock *Stock) Consume(quantity fixedpoint.Value) fixedpoint.Value { func (stock *Stock) Consume(quantity fixedpoint.Value) fixedpoint.Value {
q := fixedpoint.Min(stock.Quantity, quantity) q := fixedpoint.Min(stock.Quantity, quantity)
stock.Quantity = stock.Quantity.Sub(q).Round(0, fixedpoint.Down) stock.Quantity = stock.Quantity.Sub(q)
return q return q
} }
@ -41,7 +36,7 @@ func (slice StockSlice) QuantityBelowPrice(price fixedpoint.Value) (quantity fix
} }
} }
return quantity.Round(0, fixedpoint.Down) return quantity
} }
func (slice StockSlice) Quantity() (total fixedpoint.Value) { func (slice StockSlice) Quantity() (total fixedpoint.Value) {
@ -49,7 +44,7 @@ func (slice StockSlice) Quantity() (total fixedpoint.Value) {
total = total.Add(stock.Quantity) total = total.Add(stock.Quantity)
} }
return total.Round(0, fixedpoint.Down) return total
} }
type StockDistribution struct { type StockDistribution struct {
@ -77,10 +72,7 @@ func (m *StockDistribution) DistributionStats(level int) *DistributionStats {
for _, stock := range m.Stocks { for _, stock := range m.Stocks {
n := math.Ceil(math.Log10(stock.Price.Float64())) n := math.Ceil(math.Log10(stock.Price.Float64()))
digits := int(n - math.Max(float64(level), 1.0)) digits := int(n - math.Max(float64(level), 1.0))
// TODO: use Round function in fixedpoint key := stock.Price.Round(-digits, fixedpoint.Down).FormatString(2)
div := math.Pow10(digits)
priceLevel := math.Floor(stock.Price.Float64()/div) * div
key := strconv.FormatFloat(priceLevel, 'f', 2, 64)
d.TotalQuantity = d.TotalQuantity.Add(stock.Quantity) d.TotalQuantity = d.TotalQuantity.Add(stock.Quantity)
d.Stocks[key] = append(d.Stocks[key], stock) d.Stocks[key] = append(d.Stocks[key], stock)
@ -98,8 +90,6 @@ func (m *StockDistribution) DistributionStats(level int) *DistributionStats {
d.PriceLevels = append(d.PriceLevels, strconv.FormatFloat(price, 'f', 2, 64)) d.PriceLevels = append(d.PriceLevels, strconv.FormatFloat(price, 'f', 2, 64))
} }
sort.Float64s(priceLevels)
return &d return &d
} }

57
pkg/accounting/cost_distribution_test.go
View File

@ -8,6 +8,7 @@ import (
"github.com/stretchr/testify/assert" "github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/fixedpoint"
) )
func TestStockManager(t *testing.T) { func TestStockManager(t *testing.T) {
@ -28,7 +29,7 @@ func TestStockManager(t *testing.T) {
_, err = stockManager.AddTrades(trades) _, err = stockManager.AddTrades(trades)
assert.NoError(t, err) assert.NoError(t, err)
assert.Equal(t, 0.72970242, stockManager.Stocks.Quantity()) assert.Equal(t, "0.72970242", stockManager.Stocks.Quantity().String())
assert.NotEmpty(t, stockManager.Stocks) assert.NotEmpty(t, stockManager.Stocks)
assert.Equal(t, 20, len(stockManager.Stocks)) assert.Equal(t, 20, len(stockManager.Stocks))
assert.Equal(t, 0, len(stockManager.PendingSells)) assert.Equal(t, 0, len(stockManager.PendingSells))
@ -37,9 +38,9 @@ func TestStockManager(t *testing.T) {
t.Run("stock", func(t *testing.T) { t.Run("stock", func(t *testing.T) {
var trades = []types.Trade{ var trades = []types.Trade{
{Symbol: "BTCUSDT", Price: 9100.0, Quantity: 0.05, IsBuyer: true}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9100.0"), Quantity: fixedpoint.MustNewFromString("0.05"), IsBuyer: true},
{Symbol: "BTCUSDT", Price: 9100.0, Quantity: 0.05, IsBuyer: true}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9100.0"), Quantity: fixedpoint.MustNewFromString("0.05"), IsBuyer: true},
{Symbol: "BTCUSDT", Price: 9200.0, Quantity: 0.01, IsBuyer: false}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9200.0"), Quantity: fixedpoint.MustNewFromString("0.01"), IsBuyer: false},
} }
var stockManager = &StockDistribution{ var stockManager = &StockDistribution{
@ -53,14 +54,14 @@ func TestStockManager(t *testing.T) {
assert.Equal(t, StockSlice{ assert.Equal(t, StockSlice{
{ {
Symbol: "BTCUSDT", Symbol: "BTCUSDT",
Price: 9100.0, Price: fixedpoint.MustNewFromString("9100.0"),
Quantity: 0.05, Quantity: fixedpoint.MustNewFromString("0.05"),
IsBuyer: true, IsBuyer: true,
}, },
{ {
Symbol: "BTCUSDT", Symbol: "BTCUSDT",
Price: 9100.0, Price: fixedpoint.MustNewFromString("9100.0"),
Quantity: 0.04, Quantity: fixedpoint.MustNewFromString("0.04"),
IsBuyer: true, IsBuyer: true,
}, },
}, stockManager.Stocks) }, stockManager.Stocks)
@ -69,10 +70,10 @@ func TestStockManager(t *testing.T) {
t.Run("sold out", func(t *testing.T) { t.Run("sold out", func(t *testing.T) {
var trades = []types.Trade{ var trades = []types.Trade{
{Symbol: "BTCUSDT", Price: 9100.0, Quantity: 0.05, IsBuyer: true}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9100.0"), Quantity: fixedpoint.MustNewFromString("0.05"), IsBuyer: true},
{Symbol: "BTCUSDT", Price: 9200.0, Quantity: 0.05, IsBuyer: false}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9200.0"), Quantity: fixedpoint.MustNewFromString("0.05"), IsBuyer: false},
{Symbol: "BTCUSDT", Price: 9100.0, Quantity: 0.05, IsBuyer: true}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9100.0"), Quantity: fixedpoint.MustNewFromString("0.05"), IsBuyer: true},
{Symbol: "BTCUSDT", Price: 9200.0, Quantity: 0.05, IsBuyer: false}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9200.0"), Quantity: fixedpoint.MustNewFromString("0.05"), IsBuyer: false},
} }
var stockManager = &StockDistribution{ var stockManager = &StockDistribution{
@ -88,9 +89,9 @@ func TestStockManager(t *testing.T) {
t.Run("oversell", func(t *testing.T) { t.Run("oversell", func(t *testing.T) {
var trades = []types.Trade{ var trades = []types.Trade{
{Symbol: "BTCUSDT", Price: 9100.0, Quantity: 0.05, IsBuyer: true}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9100.0"), Quantity: fixedpoint.MustNewFromString("0.05"), IsBuyer: true},
{Symbol: "BTCUSDT", Price: 9200.0, Quantity: 0.05, IsBuyer: false}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9200.0"), Quantity: fixedpoint.MustNewFromString("0.05"), IsBuyer: false},
{Symbol: "BTCUSDT", Price: 9200.0, Quantity: 0.05, IsBuyer: false}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9200.0"), Quantity: fixedpoint.MustNewFromString("0.05"), IsBuyer: false},
} }
var stockManager = &StockDistribution{ var stockManager = &StockDistribution{
@ -106,9 +107,9 @@ func TestStockManager(t *testing.T) {
t.Run("loss sell", func(t *testing.T) { t.Run("loss sell", func(t *testing.T) {
var trades = []types.Trade{ var trades = []types.Trade{
{Symbol: "BTCUSDT", Price: 9100.0, Quantity: 0.05, IsBuyer: true}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9100.0"), Quantity: fixedpoint.MustNewFromString("0.05"), IsBuyer: true},
{Symbol: "BTCUSDT", Price: 9200.0, Quantity: 0.02, IsBuyer: false}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9200.0"), Quantity: fixedpoint.MustNewFromString("0.02"), IsBuyer: false},
{Symbol: "BTCUSDT", Price: 8000.0, Quantity: 0.01, IsBuyer: false}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("8000.0"), Quantity: fixedpoint.MustNewFromString("0.01"), IsBuyer: false},
} }
var stockManager = &StockDistribution{ var stockManager = &StockDistribution{
@ -122,8 +123,8 @@ func TestStockManager(t *testing.T) {
assert.Equal(t, StockSlice{ assert.Equal(t, StockSlice{
{ {
Symbol: "BTCUSDT", Symbol: "BTCUSDT",
Price: 9100.0, Price: fixedpoint.MustNewFromString("9100.0"),
Quantity: 0.02, Quantity: fixedpoint.MustNewFromString("0.02"),
IsBuyer: true, IsBuyer: true,
}, },
}, stockManager.Stocks) }, stockManager.Stocks)
@ -132,8 +133,8 @@ func TestStockManager(t *testing.T) {
t.Run("pending sell 1", func(t *testing.T) { t.Run("pending sell 1", func(t *testing.T) {
var trades = []types.Trade{ var trades = []types.Trade{
{Symbol: "BTCUSDT", Price: 9200.0, Quantity: 0.02}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9200.0"), Quantity: fixedpoint.MustNewFromString("0.02")},
{Symbol: "BTCUSDT", Price: 9100.0, Quantity: 0.05, IsBuyer: true}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9100.0"), Quantity: fixedpoint.MustNewFromString("0.05"), IsBuyer: true},
} }
var stockManager = &StockDistribution{ var stockManager = &StockDistribution{
@ -147,8 +148,8 @@ func TestStockManager(t *testing.T) {
assert.Equal(t, StockSlice{ assert.Equal(t, StockSlice{
{ {
Symbol: "BTCUSDT", Symbol: "BTCUSDT",
Price: 9100.0, Price: fixedpoint.MustNewFromString("9100.0"),
Quantity: 0.03, Quantity: fixedpoint.MustNewFromString("0.03"),
IsBuyer: true, IsBuyer: true,
}, },
}, stockManager.Stocks) }, stockManager.Stocks)
@ -157,8 +158,8 @@ func TestStockManager(t *testing.T) {
t.Run("pending sell 2", func(t *testing.T) { t.Run("pending sell 2", func(t *testing.T) {
var trades = []types.Trade{ var trades = []types.Trade{
{Symbol: "BTCUSDT", Price: 9200.0, Quantity: 0.1}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9200.0"), Quantity: fixedpoint.MustNewFromString("0.1")},
{Symbol: "BTCUSDT", Price: 9100.0, Quantity: 0.05, IsBuyer: true}, {Symbol: "BTCUSDT", Price: fixedpoint.MustNewFromString("9100.0"), Quantity: fixedpoint.MustNewFromString("0.05"), IsBuyer: true},
} }
var stockManager = &StockDistribution{ var stockManager = &StockDistribution{
@ -173,8 +174,8 @@ func TestStockManager(t *testing.T) {
assert.Equal(t, StockSlice{ assert.Equal(t, StockSlice{
{ {
Symbol: "BTCUSDT", Symbol: "BTCUSDT",
Price: 9200.0, Price: fixedpoint.MustNewFromString("9200.0"),
Quantity: 0.05, Quantity: fixedpoint.MustNewFromString("0.05"),
IsBuyer: false, IsBuyer: false,
}, },
}, stockManager.PendingSells) }, stockManager.PendingSells)

24
pkg/fixedpoint/dec.go
View File

@ -7,7 +7,6 @@ import (
"strconv" "strconv"
"strings" "strings"
"database/sql/driver" "database/sql/driver"
"encoding/json"
"fmt" "fmt"
"errors" "errors"
) )
@ -1001,29 +1000,10 @@ func (v Value) MarshalJSON() ([]byte, error) {
} }
func (v *Value) UnmarshalJSON(data []byte) error { func (v *Value) UnmarshalJSON(data []byte) error {
var a interface{} var err error
err := json.Unmarshal(data, &a) if *v, err = NewFromBytes(data); err != nil {
if err != nil {
return err return err
} }
switch d := a.(type) {
case float64:
*v = NewFromFloat(d)
case float32:
*v = NewFromFloat(float64(d))
case int:
*v = NewFromInt(int64(d))
case int64:
*v = NewFromInt(d)
case string:
v2, err := NewFromString(d)
if err != nil {
return err
}
*v = v2;
default:
return fmt.Errorf("unsupported type :%T %v", d, d)
}
return nil return nil
} }

16
pkg/fixedpoint/dec_test.go
View File

@ -70,6 +70,22 @@ func TestNew(t *testing.T) {
assert.Equal(t, "0.10%", f.FormatPercentage(2)) assert.Equal(t, "0.10%", f.FormatPercentage(2))
} }
func TestRound(t *testing.T) {
f := NewFromFloat(1.2345)
f = f.Round(0, Down)
assert.Equal(t, "1", f.String())
w := NewFromFloat(1.2345)
w = w.Trunc()
assert.Equal(t, "1", w.String())
s := NewFromFloat(1.2345)
assert.Equal(t, "1.23", s.Round(2, Down).String())
}
func TestFromString(t *testing.T) {
f := MustNewFromString("0.004075")
assert.Equal(t, "0.004075", f.String())
}
// Not used // Not used
/*func TestParse(t *testing.T) { /*func TestParse(t *testing.T) {
type args struct { type args struct {

20
pkg/indicator/ewma_test.go
View File

@ -3,15 +3,17 @@ package indicator
import ( import (
"math" "math"
"testing" "testing"
"encoding/json"
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/fixedpoint"
) )
// generated from: // generated from:
// 2020/12/05 10:25 // 2020/12/05 10:25
// curl -s 'https://www.binance.com/api/v3/klines?symbol=ETHUSDT&interval=5m&endTime=1607135400000&limit=1000' | jq '. | map({ closePrice: (.[4] | tonumber), openTime: .[0] })' // curl -s 'https://www.binance.com/api/v3/klines?symbol=ETHUSDT&interval=5m&endTime=1607135400000&limit=1000' | jq '. | map({ closePrice: (.[4] | tonumber), openTime: .[0] })'
// curl -s 'https://www.binance.com/api/v3/klines?symbol=ETHUSDT&interval=5m&endTime=1607135400000&limit=1000' | jq '. | map(.[4] | tonumber)' // curl -s 'https://www.binance.com/api/v3/klines?symbol=ETHUSDT&interval=5m&endTime=1607135400000&limit=1000' | jq '. | map(.[4] | tonumber)'
var ethusdt5m = []float64{ var ethusdt5m = []byte(`[
614.36, 614.36,
613.62, 613.62,
611.68, 611.68,
@ -1011,10 +1013,10 @@ var ethusdt5m = []float64{
572.85, 572.85,
572.21, 572.21,
572.63, 572.63,
572.74, 572.74
} ]`)
func buildKLines(prices []float64) (klines []types.KLine) { func buildKLines(prices []fixedpoint.Value) (klines []types.KLine) {
for _, p := range prices { for _, p := range prices {
klines = append(klines, types.KLine{Close: p}) klines = append(klines, types.KLine{Close: p})
} }
@ -1028,6 +1030,10 @@ func Test_calculateEWMA(t *testing.T) {
priceF KLinePriceMapper priceF KLinePriceMapper
window int window int
} }
var input []fixedpoint.Value;
if err := json.Unmarshal(ethusdt5m, &input); err != nil {
panic(err)
}
tests := []struct { tests := []struct {
name string name string
args args args args
@ -1036,7 +1042,7 @@ func Test_calculateEWMA(t *testing.T) {
{ {
name: "ETHUSDT EMA 7", name: "ETHUSDT EMA 7",
args: args{ args: args{
allKLines: buildKLines(ethusdt5m), allKLines: buildKLines(input),
priceF: KLineClosePriceMapper, priceF: KLineClosePriceMapper,
window: 7, window: 7,
}, },
@ -1045,7 +1051,7 @@ func Test_calculateEWMA(t *testing.T) {
{ {
name: "ETHUSDT EMA 25", name: "ETHUSDT EMA 25",
args: args{ args: args{
allKLines: buildKLines(ethusdt5m), allKLines: buildKLines(input),
priceF: KLineClosePriceMapper, priceF: KLineClosePriceMapper,
window: 25, window: 25,
}, },
@ -1054,7 +1060,7 @@ func Test_calculateEWMA(t *testing.T) {
{ {
name: "ETHUSDT EMA 99", name: "ETHUSDT EMA 99",
args: args{ args: args{
allKLines: buildKLines(ethusdt5m), allKLines: buildKLines(input),
priceF: KLineClosePriceMapper, priceF: KLineClosePriceMapper,
window: 99, window: 99,
}, },

10
pkg/indicator/macd_test.go
View File

@ -3,8 +3,10 @@ package indicator
import ( import (
"math" "math"
"testing" "testing"
"encoding/json"
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/fixedpoint"
) )
/* /*
@ -18,7 +20,11 @@ print(fast - slow)
*/ */
func Test_calculateMACD(t *testing.T) { func Test_calculateMACD(t *testing.T) {
var randomPrices = []float64{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 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
if err := json.Unmarshal(randomPrices, &input); err != nil {
panic(err)
}
tests := []struct { tests := []struct {
name string name string
kLines []types.KLine kLines []types.KLine
@ -26,7 +32,7 @@ func Test_calculateMACD(t *testing.T) {
}{ }{
{ {
name: "random_case", name: "random_case",
kLines: buildKLines(randomPrices), kLines: buildKLines(input),
want: 0.7967670223776384, want: 0.7967670223776384,
}, },
} }

11
pkg/indicator/obv.go
View File

@ -32,14 +32,11 @@ func (inc *OBV) update(kLine types.KLine, priceF KLinePriceMapper) {
return return
} }
var sign float64 = 0.0 if volume < inc.PrePrice {
if volume > inc.PrePrice { inc.Values.Push(inc.Last() - volume)
sign = 1.0 } else {
} else if volume < inc.PrePrice { inc.Values.Push(inc.Last() + volume)
sign = -1.0
} }
obv := inc.Last() + sign*volume
inc.Values.Push(obv)
} }
func (inc *OBV) Last() float64 { func (inc *OBV) Last() float64 {

26
pkg/indicator/obv_test.go
View File

@ -1,19 +1,30 @@
package indicator package indicator
import ( import (
"reflect"
"testing" "testing"
"encoding/json"
"github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/fixedpoint"
) )
const Delta = 1e-9
func Test_calculateOBV(t *testing.T) { func Test_calculateOBV(t *testing.T) {
buildKLines := func(prices, volumes []float64) (kLines []types.KLine) { buildKLines := func(prices, volumes []fixedpoint.Value) (kLines []types.KLine) {
for i, p := range prices { for i, p := range prices {
kLines = append(kLines, types.KLine{High: p, Low: p, Close: p, Volume: volumes[i]}) kLines = append(kLines, types.KLine{High: p, Low: p, Close: p, Volume: volumes[i]})
} }
return kLines return kLines
} }
var easy1 = []byte(`[3, 2, 1, 4]`)
var easy2 = []byte(`[3, 2, 2, 6]`)
var input1 []fixedpoint.Value
var input2 []fixedpoint.Value
_ = json.Unmarshal(easy1, &input1)
_ = json.Unmarshal(easy2, &input2)
tests := []struct { tests := []struct {
name string name string
@ -23,13 +34,15 @@ func Test_calculateOBV(t *testing.T) {
}{ }{
{ {
name: "trivial_case", name: "trivial_case",
kLines: buildKLines([]float64{0}, []float64{1}), kLines: buildKLines(
[]fixedpoint.Value{fixedpoint.Zero}, []fixedpoint.Value{fixedpoint.One},
),
window: 0, window: 0,
want: types.Float64Slice{1.0}, want: types.Float64Slice{1.0},
}, },
{ {
name: "easy_case", name: "easy_case",
kLines: buildKLines([]float64{3, 2, 1, 4}, []float64{3, 2, 2, 6}), kLines: buildKLines(input1, input2),
window: 0, window: 0,
want: types.Float64Slice{3, 1, -1, 5}, want: types.Float64Slice{3, 1, -1, 5},
}, },
@ -39,8 +52,9 @@ func Test_calculateOBV(t *testing.T) {
t.Run(tt.name, func(t *testing.T) { t.Run(tt.name, func(t *testing.T) {
obv := OBV{IntervalWindow: types.IntervalWindow{Window: tt.window}} obv := OBV{IntervalWindow: types.IntervalWindow{Window: tt.window}}
obv.calculateAndUpdate(tt.kLines) obv.calculateAndUpdate(tt.kLines)
if !reflect.DeepEqual(obv.Values, tt.want) { assert.Equal(t, len(obv.Values), len(tt.want))
t.Errorf("calculateAndUpdate() = %v, want %v", obv.Values, tt.want) for i, v := range(obv.Values) {
assert.InDelta(t, v, tt.want[i], Delta)
} }
}) })
} }

19
pkg/indicator/stoch_test.go
View File

@ -4,8 +4,10 @@ import (
"math" "math"
"testing" "testing"
"time" "time"
"encoding/json"
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/fixedpoint"
) )
/* /*
@ -18,17 +20,22 @@ df = pd.DataFrame(klines, columns=['open', 'high', 'low', 'close', 'volume'])
print(df.ta.stoch(df['high'], df['low'], df['close'], k=14, d=3, smooth_k=1)) print(df.ta.stoch(df['high'], df['low'], df['close'], k=14, d=3, smooth_k=1))
*/ */
func TestSTOCH_update(t *testing.T) { func TestSTOCH_update(t *testing.T) {
open := []float64{8273.0, 8280.0, 8280.0, 8275.0, 8281.0, 8277.0, 8279.0, 8280.0, 8284.0, 8286.0, 8283.0, 8283.0, 8284.0, 8286.0, 8285.0, 8287.0, 8289.0, 8282.0, 8286.0, 8279.0, 8275.0, 8276.0, 8276.0, 8281.0, 8269.0, 8256.0, 8258.0, 8252.0, 8241.0, 8232.0, 8218.0, 8221.0, 8216.0, 8210.0, 8212.0, 8201.0, 8197.0, 8200.0, 8193.0, 8181.0, 8185.0, 8190.0, 8184.0, 8185.0, 8163.0, 8153.0, 8162.0, 8165.0, 8162.0, 8157.0, 8159.0, 8141.0, 8140.0, 8141.0, 8130.0, 8144.0, 8141.0, 8148.0, 8145.0, 8134.0, 8123.0, 8127.0, 8130.0, 8125.0, 8122.0, 8105.0, 8096.0, 8103.0, 8102.0, 8110.0, 8104.0, 8109.0, 8103.0, 8111.0, 8112.0, 8109.0, 8092.0, 8100.0, 8101.0, 8100.0, 8096.0, 8095.0, 8094.0, 8101.0, 8095.0, 8069.0, 8067.0, 8070.0, 8069.0, 8066.0, 8047.0, 8046.0, 8042.0, 8039.0, 8049.0, 8055.0, 8063.0, 8061.0, 8056.0, 8057.0, 8056.0, 8057.0, 8057.0, 8054.0, 8056.0, 8056.0, 8065.0, 8065.0, 8070.0, 8065.0, 8064.0, 8063.0, 8060.0, 8065.0, 8068.0, 8068.0, 8069.0, 8073.0, 8073.0, 8084.0, 8084.0, 8076.0, 8074.0, 8074.0, 8074.0, 8078.0, 8080.0, 8082.0, 8085.0, 8083.0, 8087.0, 8087.0, 8083.0, 8083.0, 8082.0, 8074.0, 8074.0, 8071.0, 8071.0, 8072.0, 8075.0, 8075.0, 8076.0, 8073.0, 8071.0, 8070.0, 8075.0, 8078.0, 8077.0, 8075.0, 8073.0, 8079.0, 8084.0, 8082.0, 8085.0, 8085.0, 8085.0, 8101.0, 8106.0, 8113.0, 8109.0, 8104.0, 8105.0, 8105.0, 8107.0, 8106.0, 8104.0, 8106.0, 8106.0, 8110.0, 8107.0, 8110.0, 8111.0, 8104.0, 8098.0, 8098.0, 8098.0, 8098.0, 8094.0, 8097.0, 8096.0, 8099.0, 8098.0, 8099.0, 8098.0, 8095.0, 8096.0, 8086.0, 8088.0, 8093.0, 8092.0, 8096.0, 8100.0, 8104.0, 8104.0, 8108.0, 8107.0, 8103.0, 8104.0, 8110.0, 8105.0, 8102.0, 8104.0, 8096.0, 8099.0, 8103.0, 8102.0, 8108.0, 8107.0, 8107.0, 8104.0, 8095.0, 8091.0, 8092.0, 8090.0, 8093.0, 8093.0, 8094.0, 8095.0, 8096.0, 8088.0, 8090.0, 8079.0, 8077.0, 8079.0, 8081.0, 8083.0, 8084.0, 8084.0, 8087.0, 8091.0, 8089.0, 8089.0, 8091.0, 8087.0, 8093.0, 8090.0, 8090.0, 8095.0, 8093.0, 8088.0, 8087.0, 8090.0, 8089.0, 8087.0, 8084.0, 8087.0, 8084.0, 8080.0, 8078.0, 8077.0, 8077.0, 8076.0, 8072.0, 8072.0, 8075.0, 8076.0, 8074.0, 8077.0, 8081.0, 8080.0, 8076.0, 8075.0, 8077.0, 8080.0, 8077.0, 8076.0, 8076.0, 8070.0, 8071.0, 8070.0, 8073.0, 8069.0, 8069.0, 8068.0, 8072.0, 8078.0, 8077.0, 8079.0, 8081.0, 8076.0, 8076.0, 8077.0, 8077.0, 8078.0, 8075.0, 8066.0, 8064.0, 8064.0, 8062.0, 8062.0, 8065.0, 8062.0, 8063.0, 8074.0, 8070.0, 8069.0, 8068.0, 8074.0, 8075.0} open := []byte(`[8273.0, 8280.0, 8280.0, 8275.0, 8281.0, 8277.0, 8279.0, 8280.0, 8284.0, 8286.0, 8283.0, 8283.0, 8284.0, 8286.0, 8285.0, 8287.0, 8289.0, 8282.0, 8286.0, 8279.0, 8275.0, 8276.0, 8276.0, 8281.0, 8269.0, 8256.0, 8258.0, 8252.0, 8241.0, 8232.0, 8218.0, 8221.0, 8216.0, 8210.0, 8212.0, 8201.0, 8197.0, 8200.0, 8193.0, 8181.0, 8185.0, 8190.0, 8184.0, 8185.0, 8163.0, 8153.0, 8162.0, 8165.0, 8162.0, 8157.0, 8159.0, 8141.0, 8140.0, 8141.0, 8130.0, 8144.0, 8141.0, 8148.0, 8145.0, 8134.0, 8123.0, 8127.0, 8130.0, 8125.0, 8122.0, 8105.0, 8096.0, 8103.0, 8102.0, 8110.0, 8104.0, 8109.0, 8103.0, 8111.0, 8112.0, 8109.0, 8092.0, 8100.0, 8101.0, 8100.0, 8096.0, 8095.0, 8094.0, 8101.0, 8095.0, 8069.0, 8067.0, 8070.0, 8069.0, 8066.0, 8047.0, 8046.0, 8042.0, 8039.0, 8049.0, 8055.0, 8063.0, 8061.0, 8056.0, 8057.0, 8056.0, 8057.0, 8057.0, 8054.0, 8056.0, 8056.0, 8065.0, 8065.0, 8070.0, 8065.0, 8064.0, 8063.0, 8060.0, 8065.0, 8068.0, 8068.0, 8069.0, 8073.0, 8073.0, 8084.0, 8084.0, 8076.0, 8074.0, 8074.0, 8074.0, 8078.0, 8080.0, 8082.0, 8085.0, 8083.0, 8087.0, 8087.0, 8083.0, 8083.0, 8082.0, 8074.0, 8074.0, 8071.0, 8071.0, 8072.0, 8075.0, 8075.0, 8076.0, 8073.0, 8071.0, 8070.0, 8075.0, 8078.0, 8077.0, 8075.0, 8073.0, 8079.0, 8084.0, 8082.0, 8085.0, 8085.0, 8085.0, 8101.0, 8106.0, 8113.0, 8109.0, 8104.0, 8105.0, 8105.0, 8107.0, 8106.0, 8104.0, 8106.0, 8106.0, 8110.0, 8107.0, 8110.0, 8111.0, 8104.0, 8098.0, 8098.0, 8098.0, 8098.0, 8094.0, 8097.0, 8096.0, 8099.0, 8098.0, 8099.0, 8098.0, 8095.0, 8096.0, 8086.0, 8088.0, 8093.0, 8092.0, 8096.0, 8100.0, 8104.0, 8104.0, 8108.0, 8107.0, 8103.0, 8104.0, 8110.0, 8105.0, 8102.0, 8104.0, 8096.0, 8099.0, 8103.0, 8102.0, 8108.0, 8107.0, 8107.0, 8104.0, 8095.0, 8091.0, 8092.0, 8090.0, 8093.0, 8093.0, 8094.0, 8095.0, 8096.0, 8088.0, 8090.0, 8079.0, 8077.0, 8079.0, 8081.0, 8083.0, 8084.0, 8084.0, 8087.0, 8091.0, 8089.0, 8089.0, 8091.0, 8087.0, 8093.0, 8090.0, 8090.0, 8095.0, 8093.0, 8088.0, 8087.0, 8090.0, 8089.0, 8087.0, 8084.0, 8087.0, 8084.0, 8080.0, 8078.0, 8077.0, 8077.0, 8076.0, 8072.0, 8072.0, 8075.0, 8076.0, 8074.0, 8077.0, 8081.0, 8080.0, 8076.0, 8075.0, 8077.0, 8080.0, 8077.0, 8076.0, 8076.0, 8070.0, 8071.0, 8070.0, 8073.0, 8069.0, 8069.0, 8068.0, 8072.0, 8078.0, 8077.0, 8079.0, 8081.0, 8076.0, 8076.0, 8077.0, 8077.0, 8078.0, 8075.0, 8066.0, 8064.0, 8064.0, 8062.0, 8062.0, 8065.0, 8062.0, 8063.0, 8074.0, 8070.0, 8069.0, 8068.0, 8074.0, 8075.0]`)
high := []float64{8279.0, 8282.0, 8280.0, 8280.0, 8284.0, 8284.0, 8280.0, 8282.0, 8284.0, 8289.0, 8288.0, 8285.0, 8284.0, 8287.0, 8286.0, 8294.0, 8290.0, 8292.0, 8289.0, 8288.0, 8278.0, 8279.0, 8279.0, 8284.0, 8282.0, 8270.0, 8261.0, 8260.0, 8252.0, 8244.0, 8233.0, 8227.0, 8222.0, 8217.0, 8217.0, 8211.0, 8202.0, 8203.0, 8203.0, 8196.0, 8186.0, 8193.0, 8194.0, 8187.0, 8185.0, 8168.0, 8165.0, 8169.0, 8166.0, 8163.0, 8162.0, 8159.0, 8143.0, 8148.0, 8143.0, 8146.0, 8152.0, 8149.0, 8152.0, 8147.0, 8138.0, 8128.0, 8134.0, 8131.0, 8133.0, 8123.0, 8106.0, 8105.0, 8104.0, 8113.0, 8112.0, 8112.0, 8111.0, 8114.0, 8115.0, 8114.0, 8110.0, 8101.0, 8107.0, 8103.0, 8100.0, 8101.0, 8100.0, 8102.0, 8101.0, 8100.0, 8070.0, 8076.0, 8072.0, 8072.0, 8069.0, 8050.0, 8048.0, 8044.0, 8049.0, 8055.0, 8063.0, 8070.0, 8067.0, 8061.0, 8059.0, 8060.0, 8063.0, 8058.0, 8061.0, 8061.0, 8068.0, 8066.0, 8071.0, 8073.0, 8068.0, 8066.0, 8066.0, 8065.0, 8070.0, 8072.0, 8072.0, 8075.0, 8078.0, 8084.0, 8085.0, 8084.0, 8077.0, 8076.0, 8075.0, 8079.0, 8081.0, 8083.0, 8088.0, 8086.0, 8088.0, 8088.0, 8092.0, 8086.0, 8086.0, 8083.0, 8075.0, 8074.0, 8073.0, 8073.0, 8077.0, 8077.0, 8078.0, 8077.0, 8076.0, 8073.0, 8075.0, 8079.0, 8079.0, 8078.0, 8074.0, 8080.0, 8086.0, 8086.0, 8085.0, 8085.0, 8087.0, 8102.0, 8109.0, 8113.0, 8114.0, 8110.0, 8105.0, 8106.0, 8109.0, 8114.0, 8107.0, 8106.0, 8106.0, 8110.0, 8111.0, 8110.0, 8112.0, 8112.0, 8109.0, 8102.0, 8098.0, 8099.0, 8098.0, 8097.0, 8099.0, 8099.0, 8099.0, 8102.0, 8099.0, 8099.0, 8096.0, 8097.0, 8091.0, 8094.0, 8094.0, 8096.0, 8102.0, 8106.0, 8109.0, 8109.0, 8110.0, 8108.0, 8106.0, 8110.0, 8122.0, 8105.0, 8105.0, 8104.0, 8103.0, 8104.0, 8103.0, 8110.0, 8110.0, 8107.0, 8109.0, 8105.0, 8097.0, 8095.0, 8093.0, 8094.0, 8097.0, 8096.0, 8096.0, 8096.0, 8097.0, 8092.0, 8090.0, 8081.0, 8081.0, 8083.0, 8087.0, 8085.0, 8085.0, 8087.0, 8092.0, 8094.0, 8090.0, 8093.0, 8092.0, 8094.0, 8093.0, 8091.0, 8095.0, 8095.0, 8092.0, 8089.0, 8090.0, 8090.0, 8091.0, 8088.0, 8089.0, 8089.0, 8085.0, 8081.0, 8080.0, 8078.0, 8078.0, 8076.0, 8073.0, 8077.0, 8078.0, 8077.0, 8077.0, 8083.0, 8082.0, 8082.0, 8077.0, 8079.0, 8082.0, 8080.0, 8077.0, 8078.0, 8076.0, 8073.0, 8074.0, 8073.0, 8073.0, 8070.0, 8070.0, 8072.0, 8079.0, 8078.0, 8079.0, 8081.0, 8083.0, 8077.0, 8078.0, 8080.0, 8079.0, 8080.0, 8077.0, 8069.0, 8071.0, 8066.0, 8064.0, 8066.0, 8066.0, 8063.0, 8074.0, 8075.0, 8071.0, 8070.0, 8075.0, 8075.0} high := []byte(`[8279.0, 8282.0, 8280.0, 8280.0, 8284.0, 8284.0, 8280.0, 8282.0, 8284.0, 8289.0, 8288.0, 8285.0, 8284.0, 8287.0, 8286.0, 8294.0, 8290.0, 8292.0, 8289.0, 8288.0, 8278.0, 8279.0, 8279.0, 8284.0, 8282.0, 8270.0, 8261.0, 8260.0, 8252.0, 8244.0, 8233.0, 8227.0, 8222.0, 8217.0, 8217.0, 8211.0, 8202.0, 8203.0, 8203.0, 8196.0, 8186.0, 8193.0, 8194.0, 8187.0, 8185.0, 8168.0, 8165.0, 8169.0, 8166.0, 8163.0, 8162.0, 8159.0, 8143.0, 8148.0, 8143.0, 8146.0, 8152.0, 8149.0, 8152.0, 8147.0, 8138.0, 8128.0, 8134.0, 8131.0, 8133.0, 8123.0, 8106.0, 8105.0, 8104.0, 8113.0, 8112.0, 8112.0, 8111.0, 8114.0, 8115.0, 8114.0, 8110.0, 8101.0, 8107.0, 8103.0, 8100.0, 8101.0, 8100.0, 8102.0, 8101.0, 8100.0, 8070.0, 8076.0, 8072.0, 8072.0, 8069.0, 8050.0, 8048.0, 8044.0, 8049.0, 8055.0, 8063.0, 8070.0, 8067.0, 8061.0, 8059.0, 8060.0, 8063.0, 8058.0, 8061.0, 8061.0, 8068.0, 8066.0, 8071.0, 8073.0, 8068.0, 8066.0, 8066.0, 8065.0, 8070.0, 8072.0, 8072.0, 8075.0, 8078.0, 8084.0, 8085.0, 8084.0, 8077.0, 8076.0, 8075.0, 8079.0, 8081.0, 8083.0, 8088.0, 8086.0, 8088.0, 8088.0, 8092.0, 8086.0, 8086.0, 8083.0, 8075.0, 8074.0, 8073.0, 8073.0, 8077.0, 8077.0, 8078.0, 8077.0, 8076.0, 8073.0, 8075.0, 8079.0, 8079.0, 8078.0, 8074.0, 8080.0, 8086.0, 8086.0, 8085.0, 8085.0, 8087.0, 8102.0, 8109.0, 8113.0, 8114.0, 8110.0, 8105.0, 8106.0, 8109.0, 8114.0, 8107.0, 8106.0, 8106.0, 8110.0, 8111.0, 8110.0, 8112.0, 8112.0, 8109.0, 8102.0, 8098.0, 8099.0, 8098.0, 8097.0, 8099.0, 8099.0, 8099.0, 8102.0, 8099.0, 8099.0, 8096.0, 8097.0, 8091.0, 8094.0, 8094.0, 8096.0, 8102.0, 8106.0, 8109.0, 8109.0, 8110.0, 8108.0, 8106.0, 8110.0, 8122.0, 8105.0, 8105.0, 8104.0, 8103.0, 8104.0, 8103.0, 8110.0, 8110.0, 8107.0, 8109.0, 8105.0, 8097.0, 8095.0, 8093.0, 8094.0, 8097.0, 8096.0, 8096.0, 8096.0, 8097.0, 8092.0, 8090.0, 8081.0, 8081.0, 8083.0, 8087.0, 8085.0, 8085.0, 8087.0, 8092.0, 8094.0, 8090.0, 8093.0, 8092.0, 8094.0, 8093.0, 8091.0, 8095.0, 8095.0, 8092.0, 8089.0, 8090.0, 8090.0, 8091.0, 8088.0, 8089.0, 8089.0, 8085.0, 8081.0, 8080.0, 8078.0, 8078.0, 8076.0, 8073.0, 8077.0, 8078.0, 8077.0, 8077.0, 8083.0, 8082.0, 8082.0, 8077.0, 8079.0, 8082.0, 8080.0, 8077.0, 8078.0, 8076.0, 8073.0, 8074.0, 8073.0, 8073.0, 8070.0, 8070.0, 8072.0, 8079.0, 8078.0, 8079.0, 8081.0, 8083.0, 8077.0, 8078.0, 8080.0, 8079.0, 8080.0, 8077.0, 8069.0, 8071.0, 8066.0, 8064.0, 8066.0, 8066.0, 8063.0, 8074.0, 8075.0, 8071.0, 8070.0, 8075.0, 8075.0]`)
low := []float64{8260.0, 8272.0, 8275.0, 8274.0, 8275.0, 8277.0, 8276.0, 8278.0, 8277.0, 8283.0, 8282.0, 8283.0, 8283.0, 8283.0, 8283.0, 8279.0, 8281.0, 8282.0, 8277.0, 8276.0, 8273.0, 8275.0, 8274.0, 8275.0, 8266.0, 8256.0, 8255.0, 8250.0, 8239.0, 8230.0, 8214.0, 8218.0, 8216.0, 8208.0, 8209.0, 8201.0, 8190.0, 8195.0, 8193.0, 8181.0, 8175.0, 8183.0, 8182.0, 8181.0, 8159.0, 8152.0, 8150.0, 8160.0, 8161.0, 8153.0, 8153.0, 8137.0, 8135.0, 8139.0, 8130.0, 8130.0, 8140.0, 8137.0, 8145.0, 8134.0, 8123.0, 8116.0, 8122.0, 8124.0, 8122.0, 8105.0, 8096.0, 8096.0, 8097.0, 8100.0, 8100.0, 8104.0, 8101.0, 8103.0, 8109.0, 8108.0, 8089.0, 8092.0, 8097.0, 8098.0, 8094.0, 8092.0, 8087.0, 8094.0, 8094.0, 8069.0, 8058.0, 8065.0, 8066.0, 8065.0, 8046.0, 8041.0, 8036.0, 8038.0, 8039.0, 8047.0, 8053.0, 8058.0, 8056.0, 8056.0, 8053.0, 8052.0, 8054.0, 8051.0, 8053.0, 8056.0, 8055.0, 8063.0, 8064.0, 8063.0, 8062.0, 8061.0, 8059.0, 8059.0, 8063.0, 8066.0, 8067.0, 8068.0, 8071.0, 8071.0, 8079.0, 8074.0, 8073.0, 8074.0, 8073.0, 8073.0, 8076.0, 8079.0, 8080.0, 8083.0, 8083.0, 8085.0, 8082.0, 8082.0, 8081.0, 8072.0, 8072.0, 8068.0, 8070.0, 8070.0, 8072.0, 8074.0, 8075.0, 8073.0, 8071.0, 8070.0, 8067.0, 8074.0, 8076.0, 8072.0, 8070.0, 8072.0, 8079.0, 8081.0, 8082.0, 8082.0, 8084.0, 8083.0, 8097.0, 8103.0, 8107.0, 8104.0, 8103.0, 8104.0, 8103.0, 8105.0, 8103.0, 8102.0, 8102.0, 8103.0, 8106.0, 8107.0, 8108.0, 8102.0, 8098.0, 8096.0, 8095.0, 8096.0, 8093.0, 8094.0, 8094.0, 8096.0, 8097.0, 8097.0, 8096.0, 8094.0, 8094.0, 8086.0, 8086.0, 8087.0, 8090.0, 8091.0, 8095.0, 8099.0, 8104.0, 8102.0, 8106.0, 8101.0, 8103.0, 8104.0, 8104.0, 8101.0, 8102.0, 8096.0, 8096.0, 8098.0, 8100.0, 8102.0, 8106.0, 8103.0, 8103.0, 8094.0, 8090.0, 8090.0, 8089.0, 8088.0, 8090.0, 8093.0, 8094.0, 8094.0, 8088.0, 8087.0, 8079.0, 8075.0, 8076.0, 8077.0, 8081.0, 8083.0, 8083.0, 8084.0, 8087.0, 8089.0, 8088.0, 8088.0, 8086.0, 8087.0, 8090.0, 8088.0, 8090.0, 8091.0, 8087.0, 8087.0, 8086.0, 8088.0, 8087.0, 8082.0, 8083.0, 8083.0, 8078.0, 8077.0, 8077.0, 8072.0, 8074.0, 8071.0, 8070.0, 8072.0, 8073.0, 8073.0, 8072.0, 8076.0, 8079.0, 8075.0, 8075.0, 8075.0, 8076.0, 8076.0, 8074.0, 8076.0, 8069.0, 8068.0, 8069.0, 8069.0, 8065.0, 8067.0, 8067.0, 8067.0, 8073.0, 8075.0, 8076.0, 8077.0, 8075.0, 8072.0, 8074.0, 8075.0, 8074.0, 8072.0, 8066.0, 8063.0, 8062.0, 8058.0, 8060.0, 8059.0, 8060.0, 8059.0, 8062.0, 8067.0, 8068.0, 8067.0, 8068.0, 8071.0} low := []byte(`[8260.0, 8272.0, 8275.0, 8274.0, 8275.0, 8277.0, 8276.0, 8278.0, 8277.0, 8283.0, 8282.0, 8283.0, 8283.0, 8283.0, 8283.0, 8279.0, 8281.0, 8282.0, 8277.0, 8276.0, 8273.0, 8275.0, 8274.0, 8275.0, 8266.0, 8256.0, 8255.0, 8250.0, 8239.0, 8230.0, 8214.0, 8218.0, 8216.0, 8208.0, 8209.0, 8201.0, 8190.0, 8195.0, 8193.0, 8181.0, 8175.0, 8183.0, 8182.0, 8181.0, 8159.0, 8152.0, 8150.0, 8160.0, 8161.0, 8153.0, 8153.0, 8137.0, 8135.0, 8139.0, 8130.0, 8130.0, 8140.0, 8137.0, 8145.0, 8134.0, 8123.0, 8116.0, 8122.0, 8124.0, 8122.0, 8105.0, 8096.0, 8096.0, 8097.0, 8100.0, 8100.0, 8104.0, 8101.0, 8103.0, 8109.0, 8108.0, 8089.0, 8092.0, 8097.0, 8098.0, 8094.0, 8092.0, 8087.0, 8094.0, 8094.0, 8069.0, 8058.0, 8065.0, 8066.0, 8065.0, 8046.0, 8041.0, 8036.0, 8038.0, 8039.0, 8047.0, 8053.0, 8058.0, 8056.0, 8056.0, 8053.0, 8052.0, 8054.0, 8051.0, 8053.0, 8056.0, 8055.0, 8063.0, 8064.0, 8063.0, 8062.0, 8061.0, 8059.0, 8059.0, 8063.0, 8066.0, 8067.0, 8068.0, 8071.0, 8071.0, 8079.0, 8074.0, 8073.0, 8074.0, 8073.0, 8073.0, 8076.0, 8079.0, 8080.0, 8083.0, 8083.0, 8085.0, 8082.0, 8082.0, 8081.0, 8072.0, 8072.0, 8068.0, 8070.0, 8070.0, 8072.0, 8074.0, 8075.0, 8073.0, 8071.0, 8070.0, 8067.0, 8074.0, 8076.0, 8072.0, 8070.0, 8072.0, 8079.0, 8081.0, 8082.0, 8082.0, 8084.0, 8083.0, 8097.0, 8103.0, 8107.0, 8104.0, 8103.0, 8104.0, 8103.0, 8105.0, 8103.0, 8102.0, 8102.0, 8103.0, 8106.0, 8107.0, 8108.0, 8102.0, 8098.0, 8096.0, 8095.0, 8096.0, 8093.0, 8094.0, 8094.0, 8096.0, 8097.0, 8097.0, 8096.0, 8094.0, 8094.0, 8086.0, 8086.0, 8087.0, 8090.0, 8091.0, 8095.0, 8099.0, 8104.0, 8102.0, 8106.0, 8101.0, 8103.0, 8104.0, 8104.0, 8101.0, 8102.0, 8096.0, 8096.0, 8098.0, 8100.0, 8102.0, 8106.0, 8103.0, 8103.0, 8094.0, 8090.0, 8090.0, 8089.0, 8088.0, 8090.0, 8093.0, 8094.0, 8094.0, 8088.0, 8087.0, 8079.0, 8075.0, 8076.0, 8077.0, 8081.0, 8083.0, 8083.0, 8084.0, 8087.0, 8089.0, 8088.0, 8088.0, 8086.0, 8087.0, 8090.0, 8088.0, 8090.0, 8091.0, 8087.0, 8087.0, 8086.0, 8088.0, 8087.0, 8082.0, 8083.0, 8083.0, 8078.0, 8077.0, 8077.0, 8072.0, 8074.0, 8071.0, 8070.0, 8072.0, 8073.0, 8073.0, 8072.0, 8076.0, 8079.0, 8075.0, 8075.0, 8075.0, 8076.0, 8076.0, 8074.0, 8076.0, 8069.0, 8068.0, 8069.0, 8069.0, 8065.0, 8067.0, 8067.0, 8067.0, 8073.0, 8075.0, 8076.0, 8077.0, 8075.0, 8072.0, 8074.0, 8075.0, 8074.0, 8072.0, 8066.0, 8063.0, 8062.0, 8058.0, 8060.0, 8059.0, 8060.0, 8059.0, 8062.0, 8067.0, 8068.0, 8067.0, 8068.0, 8071.0]`)
close := []float64{8262.0, 8273.0, 8279.0, 8279.0, 8275.0, 8282.0, 8278.0, 8279.0, 8281.0, 8285.0, 8287.0, 8284.0, 8283.0, 8283.0, 8285.0, 8286.0, 8287.0, 8290.0, 8283.0, 8287.0, 8278.0, 8275.0, 8276.0, 8275.0, 8281.0, 8270.0, 8257.0, 8258.0, 8252.0, 8243.0, 8231.0, 8219.0, 8220.0, 8216.0, 8210.0, 8211.0, 8201.0, 8197.0, 8201.0, 8193.0, 8183.0, 8184.0, 8191.0, 8184.0, 8185.0, 8161.0, 8154.0, 8163.0, 8164.0, 8162.0, 8156.0, 8158.0, 8141.0, 8139.0, 8142.0, 8130.0, 8145.0, 8140.0, 8149.0, 8146.0, 8136.0, 8123.0, 8126.0, 8130.0, 8125.0, 8122.0, 8106.0, 8096.0, 8103.0, 8102.0, 8111.0, 8105.0, 8111.0, 8103.0, 8112.0, 8113.0, 8109.0, 8093.0, 8101.0, 8101.0, 8100.0, 8095.0, 8096.0, 8095.0, 8100.0, 8095.0, 8069.0, 8068.0, 8072.0, 8068.0, 8067.0, 8046.0, 8045.0, 8043.0, 8040.0, 8049.0, 8055.0, 8062.0, 8062.0, 8058.0, 8056.0, 8055.0, 8058.0, 8057.0, 8054.0, 8056.0, 8057.0, 8066.0, 8065.0, 8069.0, 8064.0, 8063.0, 8064.0, 8059.0, 8065.0, 8069.0, 8068.0, 8069.0, 8072.0, 8074.0, 8084.0, 8084.0, 8076.0, 8074.0, 8074.0, 8075.0, 8077.0, 8080.0, 8082.0, 8086.0, 8084.0, 8087.0, 8087.0, 8083.0, 8083.0, 8082.0, 8074.0, 8073.0, 8072.0, 8071.0, 8072.0, 8075.0, 8076.0, 8076.0, 8074.0, 8071.0, 8071.0, 8075.0, 8079.0, 8077.0, 8074.0, 8072.0, 8079.0, 8084.0, 8082.0, 8085.0, 8086.0, 8084.0, 8102.0, 8107.0, 8113.0, 8109.0, 8104.0, 8104.0, 8105.0, 8108.0, 8106.0, 8104.0, 8106.0, 8105.0, 8110.0, 8107.0, 8109.0, 8112.0, 8104.0, 8099.0, 8097.0, 8097.0, 8098.0, 8095.0, 8096.0, 8097.0, 8099.0, 8098.0, 8099.0, 8099.0, 8095.0, 8097.0, 8086.0, 8088.0, 8093.0, 8092.0, 8096.0, 8101.0, 8105.0, 8105.0, 8109.0, 8107.0, 8103.0, 8104.0, 8109.0, 8105.0, 8102.0, 8104.0, 8097.0, 8100.0, 8103.0, 8103.0, 8109.0, 8107.0, 8106.0, 8104.0, 8096.0, 8090.0, 8092.0, 8089.0, 8093.0, 8093.0, 8094.0, 8095.0, 8096.0, 8088.0, 8089.0, 8079.0, 8077.0, 8079.0, 8082.0, 8083.0, 8084.0, 8084.0, 8087.0, 8091.0, 8088.0, 8088.0, 8091.0, 8087.0, 8092.0, 8090.0, 8091.0, 8095.0, 8092.0, 8088.0, 8087.0, 8090.0, 8089.0, 8087.0, 8084.0, 8088.0, 8084.0, 8079.0, 8078.0, 8078.0, 8076.0, 8075.0, 8071.0, 8072.0, 8074.0, 8077.0, 8074.0, 8077.0, 8081.0, 8080.0, 8076.0, 8076.0, 8078.0, 8079.0, 8076.0, 8076.0, 8076.0, 8070.0, 8072.0, 8069.0, 8072.0, 8070.0, 8069.0, 8069.0, 8073.0, 8078.0, 8077.0, 8079.0, 8080.0, 8076.0, 8076.0, 8076.0, 8077.0, 8078.0, 8075.0, 8067.0, 8064.0, 8064.0, 8062.0, 8062.0, 8065.0, 8062.0, 8063.0, 8074.0, 8070.0, 8069.0, 8068.0, 8074.0} close := []byte(`[8262.0, 8273.0, 8279.0, 8279.0, 8275.0, 8282.0, 8278.0, 8279.0, 8281.0, 8285.0, 8287.0, 8284.0, 8283.0, 8283.0, 8285.0, 8286.0, 8287.0, 8290.0, 8283.0, 8287.0, 8278.0, 8275.0, 8276.0, 8275.0, 8281.0, 8270.0, 8257.0, 8258.0, 8252.0, 8243.0, 8231.0, 8219.0, 8220.0, 8216.0, 8210.0, 8211.0, 8201.0, 8197.0, 8201.0, 8193.0, 8183.0, 8184.0, 8191.0, 8184.0, 8185.0, 8161.0, 8154.0, 8163.0, 8164.0, 8162.0, 8156.0, 8158.0, 8141.0, 8139.0, 8142.0, 8130.0, 8145.0, 8140.0, 8149.0, 8146.0, 8136.0, 8123.0, 8126.0, 8130.0, 8125.0, 8122.0, 8106.0, 8096.0, 8103.0, 8102.0, 8111.0, 8105.0, 8111.0, 8103.0, 8112.0, 8113.0, 8109.0, 8093.0, 8101.0, 8101.0, 8100.0, 8095.0, 8096.0, 8095.0, 8100.0, 8095.0, 8069.0, 8068.0, 8072.0, 8068.0, 8067.0, 8046.0, 8045.0, 8043.0, 8040.0, 8049.0, 8055.0, 8062.0, 8062.0, 8058.0, 8056.0, 8055.0, 8058.0, 8057.0, 8054.0, 8056.0, 8057.0, 8066.0, 8065.0, 8069.0, 8064.0, 8063.0, 8064.0, 8059.0, 8065.0, 8069.0, 8068.0, 8069.0, 8072.0, 8074.0, 8084.0, 8084.0, 8076.0, 8074.0, 8074.0, 8075.0, 8077.0, 8080.0, 8082.0, 8086.0, 8084.0, 8087.0, 8087.0, 8083.0, 8083.0, 8082.0, 8074.0, 8073.0, 8072.0, 8071.0, 8072.0, 8075.0, 8076.0, 8076.0, 8074.0, 8071.0, 8071.0, 8075.0, 8079.0, 8077.0, 8074.0, 8072.0, 8079.0, 8084.0, 8082.0, 8085.0, 8086.0, 8084.0, 8102.0, 8107.0, 8113.0, 8109.0, 8104.0, 8104.0, 8105.0, 8108.0, 8106.0, 8104.0, 8106.0, 8105.0, 8110.0, 8107.0, 8109.0, 8112.0, 8104.0, 8099.0, 8097.0, 8097.0, 8098.0, 8095.0, 8096.0, 8097.0, 8099.0, 8098.0, 8099.0, 8099.0, 8095.0, 8097.0, 8086.0, 8088.0, 8093.0, 8092.0, 8096.0, 8101.0, 8105.0, 8105.0, 8109.0, 8107.0, 8103.0, 8104.0, 8109.0, 8105.0, 8102.0, 8104.0, 8097.0, 8100.0, 8103.0, 8103.0, 8109.0, 8107.0, 8106.0, 8104.0, 8096.0, 8090.0, 8092.0, 8089.0, 8093.0, 8093.0, 8094.0, 8095.0, 8096.0, 8088.0, 8089.0, 8079.0, 8077.0, 8079.0, 8082.0, 8083.0, 8084.0, 8084.0, 8087.0, 8091.0, 8088.0, 8088.0, 8091.0, 8087.0, 8092.0, 8090.0, 8091.0, 8095.0, 8092.0, 8088.0, 8087.0, 8090.0, 8089.0, 8087.0, 8084.0, 8088.0, 8084.0, 8079.0, 8078.0, 8078.0, 8076.0, 8075.0, 8071.0, 8072.0, 8074.0, 8077.0, 8074.0, 8077.0, 8081.0, 8080.0, 8076.0, 8076.0, 8078.0, 8079.0, 8076.0, 8076.0, 8076.0, 8070.0, 8072.0, 8069.0, 8072.0, 8070.0, 8069.0, 8069.0, 8073.0, 8078.0, 8077.0, 8079.0, 8080.0, 8076.0, 8076.0, 8076.0, 8077.0, 8078.0, 8075.0, 8067.0, 8064.0, 8064.0, 8062.0, 8062.0, 8065.0, 8062.0, 8063.0, 8074.0, 8070.0, 8069.0, 8068.0, 8074.0]`)
buildKLines := func(open, high, low, close []float64) (kLines []types.KLine) { buildKLines := func(open, high, low, close []fixedpoint.Value) (kLines []types.KLine) {
for i := range high { for i := range high {
kLines = append(kLines, types.KLine{Open: open[i], High: high[i], Low: low[i], Close: close[i], EndTime: types.Time(time.Now())}) kLines = append(kLines, types.KLine{Open: open[i], High: high[i], Low: low[i], Close: close[i], EndTime: types.Time(time.Now())})
} }
return kLines return kLines
} }
var o, h, l, c []fixedpoint.Value
_ = json.Unmarshal(open, &o)
_ = json.Unmarshal(high, &h)
_ = json.Unmarshal(low, &l)
_ = json.Unmarshal(close, &c)
tests := []struct { tests := []struct {
name string name string
@ -39,7 +46,7 @@ func TestSTOCH_update(t *testing.T) {
}{ }{
{ {
name: "TXF1-1min_2016/1/4", name: "TXF1-1min_2016/1/4",
kLines: buildKLines(open, high, low, close), kLines: buildKLines(o, h, l, c),
window: 14, window: 14,
want_k: 84.210526, want_k: 84.210526,
want_d: 59.888357, want_d: 59.888357,

24
pkg/indicator/vwap_test.go
View File

@ -3,15 +3,25 @@ package indicator
import ( import (
"math" "math"
"testing" "testing"
"encoding/json"
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/fixedpoint"
) )
var trivialPrices = []byte(`[0]`)
var randomPrices = []float64{0.6046702879796195, 0.9405190880450124, 0.6645700532184904, 0.4377241871869802, 0.4246474970712657, 0.6868330728671094, 0.06564701921747622, 0.15652925473279125, 0.09697951891448456, 0.3009218605852871} var trivialVolumes = []byte(`[1]`)
var randomVolumes = []float64{0.5152226285020653, 0.8136499609900968, 0.21427387258237493, 0.380667189299686, 0.31806817433032986, 0.4688998449024232, 0.2830441511804452, 0.2931118573368158, 0.6790946759202162, 0.2185630525927643} var easyPrices = []byte(`[1, 2, 3]`)
var easyVolumes = []byte(`[4, 5, 6]`)
var windowPrices = []byte(`[1, 2, 3, 4]`)
var windowVolumes = []byte(`[4, 5, 6, 7]`)
var randomPrices = []byte(`[0.6046702879796195, 0.9405190880450124, 0.6645700532184904, 0.4377241871869802, 0.4246474970712657, 0.6868330728671094, 0.06564701921747622, 0.15652925473279125, 0.09697951891448456, 0.3009218605852871]`)
var randomVolumes = []byte(`[0.5152226285020653, 0.8136499609900968, 0.21427387258237493, 0.380667189299686, 0.31806817433032986, 0.4688998449024232, 0.2830441511804452, 0.2931118573368158, 0.6790946759202162, 0.2185630525927643]`)
func Test_calculateVWAP(t *testing.T) { func Test_calculateVWAP(t *testing.T) {
buildKLines := func(prices, volumes []float64) (kLines []types.KLine) { buildKLines := func(pb, vb []byte) (kLines []types.KLine) {
var prices, volumes []fixedpoint.Value
_ = json.Unmarshal(pb, &prices)
_ = json.Unmarshal(vb, &volumes)
for i, p := range prices { for i, p := range prices {
kLines = append(kLines, types.KLine{High: p, Low: p, Close: p, Volume: volumes[i]}) kLines = append(kLines, types.KLine{High: p, Low: p, Close: p, Volume: volumes[i]})
} }
@ -26,19 +36,19 @@ func Test_calculateVWAP(t *testing.T) {
}{ }{
{ {
name: "trivial_case", name: "trivial_case",
kLines: buildKLines([]float64{0}, []float64{1}), kLines: buildKLines(trivialPrices, trivialVolumes),
window: 0, window: 0,
want: 0.0, want: 0.0,
}, },
{ {
name: "easy_case", name: "easy_case",
kLines: buildKLines([]float64{1, 2, 3}, []float64{4, 5, 6}), kLines: buildKLines(easyPrices, easyVolumes),
window: 0, window: 0,
want: (1*4 + 2*5 + 3*6) / float64(4+5+6), want: (1*4 + 2*5 + 3*6) / float64(4+5+6),
}, },
{ {
name: "window_case", name: "window_case",
kLines: buildKLines([]float64{1, 2, 3, 4}, []float64{4, 5, 6, 7}), kLines: buildKLines(windowPrices, windowVolumes),
window: 3, window: 3,
want: (2*5 + 3*6 + 4*7) / float64(5+6+7), want: (2*5 + 3*6 + 4*7) / float64(5+6+7),
}, },