feature: add drift indicator, split heikinashi's Queue

pkg/indicator/drift.go

@@ -0,0 +1,82 @@
+package indicator
+
+import (
+	"math"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// Refer: https://tradingview.com/script/aDymGrFx-Drift-Study-Inspired-by-Monte-Carlo-Simulations-with-BM-KL/
+// Brownian Motion's drift factor
+// could be used in Monte Carlo Simulations
+//go:generate callbackgen -type Drift
+type Drift struct {
+	types.IntervalWindow
+	chng   *types.Queue
+	Values types.Float64Slice
+	SMA    *SMA
+	LastValue float64
+
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *Drift) Update(value float64) {
+	if inc.chng == nil {
+		inc.SMA = &SMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
+		inc.chng = types.NewQueue(inc.Window)
+	}
+	chng := math.Log(value / inc.LastValue)
+	inc.LastValue = value
+	inc.SMA.Update(chng)
+	inc.chng.Update(chng)
+	stdev := types.Stdev(inc.chng, inc.Window)
+	drift := inc.SMA.Last() - stdev * stdev * 0.5
+	inc.Values.Push(drift)
+}
+
+func (inc *Drift) Index(i int) float64 {
+	if inc.Values == nil {
+		return 0
+	}
+	return inc.Values.Index(i)
+}
+
+func (inc *Drift) Last() float64 {
+	if inc.Values.Length() == 0 {
+		return 0
+	}
+	return inc.Values.Last()
+}
+
+func (inc *Drift) Length() int {
+	if inc.Values == nil {
+		return 0
+	}
+	return inc.Values.Length()
+}
+
+var _ types.Series = &Drift{}
+
+func (inc *Drift) calculateAndUpdate(allKLines []types.KLine) {
+	if inc.chng == nil {
+		for _, k := range allKLines {
+			inc.Update(k.Close.Float64())
+			inc.EmitUpdate(inc.Last())
+		}
+	} else {
+		inc.Update(allKLines[len(allKLines)-1].Close.Float64())
+		inc.EmitUpdate(inc.Last())
+	}
+}
+
+func (inc *Drift) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *Drift) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/indicator/drift_callbacks.go

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

pkg/strategy/ewoDgtrd/heikinashi.go

@@ -7,58 +7,21 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
-type Queue struct {
-	arr  []float64
-	size int
-}
-
-func NewQueue(size int) *Queue {
-	return &Queue{
-		arr:  make([]float64, 0, size),
-		size: size,
-	}
-}
-
-func (inc *Queue) Last() float64 {
-	if len(inc.arr) == 0 {
-		return 0
-	}
-	return inc.arr[len(inc.arr)-1]
-}
-
-func (inc *Queue) Index(i int) float64 {
-	if len(inc.arr)-i-1 < 0 {
-		return 0
-	}
-	return inc.arr[len(inc.arr)-i-1]
-}
-
-func (inc *Queue) Length() int {
-	return len(inc.arr)
-}
-
-func (inc *Queue) Update(v float64) {
-	inc.arr = append(inc.arr, v)
-	if len(inc.arr) > inc.size {
-		inc.arr = inc.arr[len(inc.arr)-inc.size:]
-	}
-}
-
 type HeikinAshi struct {
-	Close  *Queue
-	Open   *Queue
-	High   *Queue
-	Low    *Queue
-	Volume *Queue
+	Close  *types.Queue
+	Open   *types.Queue
+	High   *types.Queue
+	Low    *types.Queue
+	Volume *types.Queue
 }
 
 func NewHeikinAshi(size int) *HeikinAshi {
 	return &HeikinAshi{
-		Close:  NewQueue(size),
-		Open:   NewQueue(size),
-		High:   NewQueue(size),
-		Low:    NewQueue(size),
-		Volume: NewQueue(size),
+		Close:  types.NewQueue(size),
+		Open:   types.NewQueue(size),
+		High:   types.NewQueue(size),
+		Low:    types.NewQueue(size),
+		Volume: types.NewQueue(size),
 	}
 }
 

pkg/strategy/factorzoo/strategy.go

@@ -9,6 +9,7 @@ import (
 
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -57,6 +58,10 @@ func (s *Strategy) ID() string {
 	return ID
 }
 
+func (s *Strategy) InstanceID() string {
+	return fmt.Sprintf("%s:%s", ID, s.Symbol)
+}
+
 func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 	log.Infof("subscribe %s", s.Symbol)
 	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
@@ -149,8 +154,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	// s.pvDivergence.OnUpdate(func(corr float64) {
 	//	//fmt.Printf("now we've got corr: %f\n", corr)
 	// })
+	drift := &indicator.Drift{IntervalWindow: types.IntervalWindow{Window: 14, Interval: s.Interval}}
+	drift.Bind(st)
 
-	s.Alpha = [][]float64{{}, {}, {}, {}, {}}
+	s.Alpha = [][]float64{{}, {}, {}, {}, {}, {}}
 	s.Ret = []float64{}
 	// thetas := []float64{0, 0, 0, 0}
 	preCompute := 0
@@ -172,6 +179,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		log.Infof("connected")
 	})
 
+	s.T = 20
+
 	session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
 
 		if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
@@ -193,12 +202,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		// opening gap
 		ogap := kline.Open.Div(s.prevClose)
 
+		driftVal := drift.Last()
+
 		log.Infof("corr: %f, rev: %f, a150: %f, mom: %f, ogap: %f", corr.Float64(), rev.Float64(), a150.Float64(), mom.Float64(), ogap.Float64())
 		s.Alpha[0] = append(s.Alpha[0], corr.Float64())
 		s.Alpha[1] = append(s.Alpha[1], rev.Float64())
 		s.Alpha[2] = append(s.Alpha[2], a150.Float64())
 		s.Alpha[3] = append(s.Alpha[3], mom.Float64())
 		s.Alpha[4] = append(s.Alpha[4], ogap.Float64())
+		s.Alpha[5] = append(s.Alpha[5], driftVal)
 
 		// s.Alpha[5] = append(s.Alpha[4], 1.0) // constant
 
@@ -207,7 +219,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		log.Infof("Current Return: %f", s.Ret[len(s.Ret)-1])
 
 		// accumulate enough data for cross-sectional regression, not time-series regression
-		s.T = 20
 		if preCompute < int(s.T)+1 {
 			preCompute++
 		} else {
@@ -221,10 +232,18 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 			r.SetVar(2, "A150")
 			r.SetVar(3, "Mom")
 			r.SetVar(4, "OGap")
+			r.SetVar(5, "Drift")
 			var rdp regression.DataPoints
 			for i := 1; i <= int(s.T); i++ {
 				// alphas[t-1], previous alphas, dot not take current alpha into account, will cause look-ahead bias
-				as := []float64{s.Alpha[0][len(s.Alpha[0])-(i+2)], s.Alpha[1][len(s.Alpha[1])-(i+2)], s.Alpha[2][len(s.Alpha[2])-(i+2)], s.Alpha[3][len(s.Alpha[3])-(i+2)], s.Alpha[4][len(s.Alpha[4])-(i+2)]}
+				as := []float64{
+					s.Alpha[0][len(s.Alpha[0])-(i+2)],
+					s.Alpha[1][len(s.Alpha[1])-(i+2)],
+					s.Alpha[2][len(s.Alpha[2])-(i+2)],
+					s.Alpha[3][len(s.Alpha[3])-(i+2)],
+					s.Alpha[4][len(s.Alpha[4])-(i+2)],
+					s.Alpha[5][len(s.Alpha[5])-(i+2)],
+				}
 				// alphas[t], current return rate
 				rt := s.Ret[len(s.Ret)-(i+1)]
 				rdp = append(rdp, regression.DataPoint(rt, as))
@@ -234,7 +253,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 			r.Run()
 			fmt.Printf("Regression formula:\n%v\n", r.Formula)
 			// prediction := r.Coeff(0)*corr.Float64() + r.Coeff(1)*rev.Float64() + r.Coeff(2)*factorzoo.Float64() + r.Coeff(3)*mom.Float64() + r.Coeff(4)
-			prediction, _ := r.Predict([]float64{corr.Float64(), rev.Float64(), a150.Float64(), mom.Float64(), ogap.Float64()})
+			prediction, _ := r.Predict([]float64{
+				corr.Float64(),
+				rev.Float64(),
+				a150.Float64(),
+				mom.Float64(),
+				ogap.Float64(),
+				driftVal,
+			})
 			log.Infof("Predicted Return: %f", prediction)
 
 			s.placeOrders(ctx, orderExecutor, fixedpoint.NewFromFloat(prediction))

pkg/types/indicator.go

@@ -8,6 +8,47 @@ import (
 	"gonum.org/v1/gonum/stat"
 )
 
+// Super basic Series type that simply holds the float64 data
+// with size limit (the only difference compare to float64slice)
+type Queue struct {
+    arr  []float64
+    size int
+}
+
+func NewQueue(size int) *Queue {
+    return &Queue{
+        arr:  make([]float64, 0, size),
+        size: size,
+    }
+}
+
+func (inc *Queue) Last() float64 {
+    if len(inc.arr) == 0 {
+        return 0
+    }
+    return inc.arr[len(inc.arr)-1]
+}
+
+func (inc *Queue) Index(i int) float64 {
+    if len(inc.arr)-i-1 < 0 {
+        return 0
+    }
+    return inc.arr[len(inc.arr)-i-1]
+}
+
+func (inc *Queue) Length() int {
+    return len(inc.arr)
+}
+
+func (inc *Queue) Update(v float64) {
+    inc.arr = append(inc.arr, v)
+    if len(inc.arr) > inc.size {
+        inc.arr = inc.arr[len(inc.arr)-inc.size:]
+    }
+}
+
+var _ Series = &Queue{}
+
 // Float64Indicator is the indicators (SMA and EWMA) that we want to use are returning float64 data.
 type Float64Indicator interface {
 	Last() float64