lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-25 00:05:15 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

bbgo: refactor standard indicator

Browse Source
This commit is contained in:
c9s 2022-07-21 01:04:49 +08:00
parent 4300e00580
commit 9f937f529e
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
10 changed files with 235 additions and 179 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

14
pkg/bbgo/marketdatastore.go
View File

@ -5,7 +5,7 @@ import "github.com/c9s/bbgo/pkg/types"
const MaxNumOfKLines = 5_000
const MaxNumOfKLinesTruncate = 100
// MarketDataStore receives and maintain the public market data
// MarketDataStore receives and maintain the public market data of a single symbol
//go:generate callbackgen -type MarketDataStore
type MarketDataStore struct {
Symbol string
@ -14,6 +14,7 @@ type MarketDataStore struct {
KLineWindows map[types.Interval]*types.KLineWindow `json:"-"`
kLineWindowUpdateCallbacks []func(interval types.Interval, klines types.KLineWindow)
kLineClosedCallbacks []func(k types.KLine)
}
func NewMarketDataStore(symbol string) *MarketDataStore {
@ -47,18 +48,19 @@ func (store *MarketDataStore) handleKLineClosed(kline types.KLine) {
store.AddKLine(kline)
}
func (store *MarketDataStore) AddKLine(kline types.KLine) {
window, ok := store.KLineWindows[kline.Interval]
func (store *MarketDataStore) AddKLine(k types.KLine) {
window, ok := store.KLineWindows[k.Interval]
if !ok {
var tmp = make(types.KLineWindow, 0, 1000)
store.KLineWindows[kline.Interval] = &tmp
store.KLineWindows[k.Interval] = &tmp
window = &tmp
}
window.Add(kline)
window.Add(k)
if len(*window) > MaxNumOfKLines {
*window = (*window)[MaxNumOfKLinesTruncate-1:]
}
store.EmitKLineWindowUpdate(kline.Interval, *window)
store.EmitKLineClosed(k)
store.EmitKLineWindowUpdate(k.Interval, *window)
}

10
pkg/bbgo/marketdatastore_callbacks.go
View File

@ -15,3 +15,13 @@ func (store *MarketDataStore) EmitKLineWindowUpdate(interval types.Interval, kli
cb(interval, klines)
}
}
func (store *MarketDataStore) OnKLineClosed(cb func(k types.KLine)) {
store.kLineClosedCallbacks = append(store.kLineClosedCallbacks, cb)
}
func (store *MarketDataStore) EmitKLineClosed(k types.KLine) {
for _, cb := range store.kLineClosedCallbacks {
cb(k)
}
}

137
pkg/bbgo/session.go
View File

@ -17,146 +17,11 @@ import (
exchange2 "github.com/c9s/bbgo/pkg/exchange"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/service"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
var (
debugEWMA = false
debugSMA = false
)
func init() {
// when using --dotenv option, the dotenv is loaded from command.PersistentPreRunE, not init.
// hence here the env var won't enable the debug flag
util.SetEnvVarBool("DEBUG_EWMA", &debugEWMA)
util.SetEnvVarBool("DEBUG_SMA", &debugSMA)
}
type StandardIndicatorSet struct {
Symbol string
// Standard indicators
// interval -> window
sma map[types.IntervalWindow]*indicator.SMA
ewma map[types.IntervalWindow]*indicator.EWMA
boll map[types.IntervalWindowBandWidth]*indicator.BOLL
stoch map[types.IntervalWindow]*indicator.STOCH
volatility map[types.IntervalWindow]*indicator.Volatility
store *MarketDataStore
}
func NewStandardIndicatorSet(symbol string, store *MarketDataStore) *StandardIndicatorSet {
set := &StandardIndicatorSet{
Symbol: symbol,
sma: make(map[types.IntervalWindow]*indicator.SMA),
ewma: make(map[types.IntervalWindow]*indicator.EWMA),
boll: make(map[types.IntervalWindowBandWidth]*indicator.BOLL),
stoch: make(map[types.IntervalWindow]*indicator.STOCH),
volatility: make(map[types.IntervalWindow]*indicator.Volatility),
store: store,
}
// let us pre-defined commonly used intervals
for interval := range types.SupportedIntervals {
for _, window := range []int{7, 25, 99} {
iw := types.IntervalWindow{Interval: interval, Window: window}
set.sma[iw] = &indicator.SMA{IntervalWindow: iw}
set.sma[iw].Bind(store)
if debugSMA {
set.sma[iw].OnUpdate(func(value float64) {
log.Infof("%s SMA %s: %f", symbol, iw.String(), value)
})
}
set.ewma[iw] = &indicator.EWMA{IntervalWindow: iw}
set.ewma[iw].Bind(store)
// if debug EWMA is enabled, we add the debug handler
if debugEWMA {
set.ewma[iw].OnUpdate(func(value float64) {
log.Infof("%s EWMA %s: %f", symbol, iw.String(), value)
})
}
}
// setup boll indicator, we may refactor boll indicator by subscribing SMA indicator,
// however, since general used BOLLINGER band use window 21, which is not in the existing SMA indicator sets.
// Pull out the bandwidth configuration as the boll Key
iw := types.IntervalWindow{Interval: interval, Window: 21}
// set efault band width to 2.0
iwb := types.IntervalWindowBandWidth{IntervalWindow: iw, BandWidth: 2.0}
set.boll[iwb] = &indicator.BOLL{IntervalWindow: iw, K: iwb.BandWidth}
set.boll[iwb].Bind(store)
}
return set
}
// BOLL returns the bollinger band indicator of the given interval, the window and bandwidth
func (set *StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandWidth float64) *indicator.BOLL {
iwb := types.IntervalWindowBandWidth{IntervalWindow: iw, BandWidth: bandWidth}
inc, ok := set.boll[iwb]
if !ok {
inc = &indicator.BOLL{IntervalWindow: iw, K: bandWidth}
inc.Bind(set.store)
set.boll[iwb] = inc
}
return inc
}
// SMA returns the simple moving average indicator of the given interval and the window size.
func (set *StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA {
inc, ok := set.sma[iw]
if !ok {
inc = &indicator.SMA{IntervalWindow: iw}
inc.Bind(set.store)
set.sma[iw] = inc
}
return inc
}
// EWMA returns the exponential weighed moving average indicator of the given interval and the window size.
func (set *StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA {
inc, ok := set.ewma[iw]
if !ok {
inc = &indicator.EWMA{IntervalWindow: iw}
inc.Bind(set.store)
set.ewma[iw] = inc
}
return inc
}
func (set *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH {
inc, ok := set.stoch[iw]
if !ok {
inc = &indicator.STOCH{IntervalWindow: iw}
inc.Bind(set.store)
set.stoch[iw] = inc
}
return inc
}
// VOLATILITY returns the volatility(stddev) indicator of the given interval and the window size.
func (set *StandardIndicatorSet) VOLATILITY(iw types.IntervalWindow) *indicator.Volatility {
inc, ok := set.volatility[iw]
if !ok {
inc = &indicator.Volatility{IntervalWindow: iw}
inc.Bind(set.store)
set.volatility[iw] = inc
}
return inc
}
// ExchangeSession presents the exchange connection Session
// It also maintains and collects the data returned from the stream.
type ExchangeSession struct {
@ -504,7 +369,7 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
marketDataStore.BindStream(session.MarketDataStream)
session.marketDataStores[symbol] = marketDataStore
standardIndicatorSet := NewStandardIndicatorSet(symbol, marketDataStore)
standardIndicatorSet := NewStandardIndicatorSet(symbol, session.MarketDataStream, marketDataStore)
session.standardIndicatorSets[symbol] = standardIndicatorSet
// used kline intervals by the given symbol

135
pkg/bbgo/standard_indicator_set.go Normal file
View File

@ -0,0 +1,135 @@
package bbgo
import (
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/util"
)
var (
debugEWMA = false
debugSMA = false
debugBOLL = false
)
func init() {
// when using --dotenv option, the dotenv is loaded from command.PersistentPreRunE, not init.
// hence here the env var won't enable the debug flag
util.SetEnvVarBool("DEBUG_EWMA", &debugEWMA)
util.SetEnvVarBool("DEBUG_SMA", &debugSMA)
util.SetEnvVarBool("DEBUG_BOLL", &debugBOLL)
}
type StandardIndicatorSet struct {
Symbol string
// Standard indicators
// interval -> window
sma map[types.IntervalWindow]*indicator.SMA
ewma map[types.IntervalWindow]*indicator.EWMA
boll map[types.IntervalWindowBandWidth]*indicator.BOLL
stoch map[types.IntervalWindow]*indicator.STOCH
volatility map[types.IntervalWindow]*indicator.Volatility
stream types.Stream
store *MarketDataStore
}
func NewStandardIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *StandardIndicatorSet {
return &StandardIndicatorSet{
Symbol: symbol,
sma: make(map[types.IntervalWindow]*indicator.SMA),
ewma: make(map[types.IntervalWindow]*indicator.EWMA),
boll: make(map[types.IntervalWindowBandWidth]*indicator.BOLL),
stoch: make(map[types.IntervalWindow]*indicator.STOCH),
store: store,
stream: stream,
}
}
// BOLL returns the bollinger band indicator of the given interval, the window and bandwidth
func (set *StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandWidth float64) *indicator.BOLL {
iwb := types.IntervalWindowBandWidth{IntervalWindow: iw, BandWidth: bandWidth}
inc, ok := set.boll[iwb]
if !ok {
inc = &indicator.BOLL{IntervalWindow: iw, K: bandWidth}
if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
inc.LoadK(*klines)
}
if debugBOLL {
inc.OnUpdate(func(sma float64, upBand float64, downBand float64) {
logrus.Infof("%s BOLL %s: sma=%f up=%f down=%f", set.Symbol, iw.String(), sma, upBand, downBand)
})
}
inc.BindK(set.stream, set.Symbol, iw.Interval)
set.boll[iwb] = inc
}
return inc
}
// SMA returns the simple moving average indicator of the given interval and the window size.
func (set *StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA {
inc, ok := set.sma[iw]
if !ok {
inc = &indicator.SMA{IntervalWindow: iw}
if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
inc.LoadK(*klines)
}
if debugSMA {
inc.OnUpdate(func(value float64) {
logrus.Infof("%s SMA %s: %f", set.Symbol, iw.String(), value)
})
}
inc.BindK(set.stream, set.Symbol, iw.Interval)
set.sma[iw] = inc
}
return inc
}
// EWMA returns the exponential weighed moving average indicator of the given interval and the window size.
func (set *StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA {
inc, ok := set.ewma[iw]
if !ok {
inc = &indicator.EWMA{IntervalWindow: iw}
if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
inc.LoadK(*klines)
}
if debugEWMA {
inc.OnUpdate(func(value float64) {
logrus.Infof("%s EWMA %s: value=%f", set.Symbol, iw.String(), value)
})
}
inc.BindK(set.stream, set.Symbol, iw.Interval)
set.ewma[iw] = inc
}
return inc
}
func (set *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH {
inc, ok := set.stoch[iw]
if !ok {
inc = &indicator.STOCH{IntervalWindow: iw}
if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
inc.LoadK(*klines)
}
inc.BindK(set.stream, set.Symbol, iw.Interval)
set.stoch[iw] = inc
}
return inc
}

36
pkg/indicator/boll.go
View File

@ -96,27 +96,37 @@ func (inc *BOLL) Update(value float64) {
inc.DownBand.Push(downBand)
}
func (inc *BOLL) PushK(k types.KLine) {
inc.Update(k.Close.Float64())
func (inc *BOLL) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
}
func (inc *BOLL) CalculateAndUpdate(allKLines []types.KLine) {
var last = allKLines[len(allKLines)-1]
func (inc *BOLL) PushK(k types.KLine) {
if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
return
}
inc.Update(k.Close.Float64())
inc.EndTime = k.EndTime.Time()
inc.EmitUpdate(inc.SMA.Last(), inc.UpBand.Last(), inc.DownBand.Last())
}
if inc.SMA == nil {
for _, k := range allKLines {
if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
continue
}
inc.PushK(k)
}
} else {
inc.PushK(last)
func (inc *BOLL) LoadK(allKLines []types.KLine) {
for _, k := range allKLines {
inc.PushK(k)
}
inc.EmitUpdate(inc.SMA.Last(), inc.UpBand.Last(), inc.DownBand.Last())
}
func (inc *BOLL) CalculateAndUpdate(allKLines []types.KLine) {
if inc.SMA == nil {
inc.LoadK(allKLines)
return
}
var last = allKLines[len(allKLines)-1]
inc.PushK(last)
}
func (inc *BOLL) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return

31
pkg/indicator/ewma.go
View File

@ -15,8 +15,8 @@ type EWMA struct {
types.IntervalWindow
types.SeriesBase
Values types.Float64Slice
LastOpenTime time.Time
Values types.Float64Slice
EndTime time.Time
updateCallbacks []func(value float64)
}
@ -58,17 +58,11 @@ func (inc *EWMA) Length() int {
return len(inc.Values)
}
func (inc *EWMA) PushK(k types.KLine) {
inc.Update(k.Close.Float64())
inc.LastOpenTime = k.StartTime.Time()
}
func (inc *EWMA) CalculateAndUpdate(allKLines []types.KLine) {
if len(inc.Values) == 0 {
for _, k := range allKLines {
inc.PushK(k)
}
inc.EmitUpdate(inc.Last())
} else {
k := allKLines[len(allKLines)-1]
@ -89,6 +83,27 @@ func (inc *EWMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func (inc *EWMA) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
}
func (inc *EWMA) PushK(k types.KLine) {
if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
return
}
inc.Update(k.Close.Float64())
inc.EndTime = k.EndTime.Time()
inc.EmitUpdate(inc.Last())
}
func (inc *EWMA) LoadK(allKLines []types.KLine) {
for _, k := range allKLines {
inc.PushK(k)
}
inc.EmitUpdate(inc.Last())
}
func CalculateKLinesEMA(allKLines []types.KLine, priceF KLinePriceMapper, window int) float64 {
var multiplier = 2.0 / (float64(window) + 1)
return ewma(MapKLinePrice(allKLines, priceF), multiplier)

2
pkg/indicator/hull.go
View File

@ -61,7 +61,7 @@ func (inc *HULL) CalculateAndUpdate(allKLines []types.KLine) {
doable = true
}
for _, k := range allKLines {
if !doable && k.StartTime.After(inc.ma1.LastOpenTime) {
if !doable && k.EndTime.After(inc.ma1.EndTime) {
doable = true
}
if doable {

30
pkg/indicator/sma.go
View File

@ -56,26 +56,34 @@ func (inc *SMA) Update(value float64) {
inc.Values.Push(types.Mean(inc.rawValues))
}
func (inc *SMA) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
}
func (inc *SMA) PushK(k types.KLine) {
if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
return
}
inc.Update(k.Close.Float64())
inc.EndTime = k.EndTime.Time()
inc.EmitUpdate(inc.Values.Last())
}
func (inc *SMA) LoadK(allKLines []types.KLine) {
for _, k := range allKLines {
inc.PushK(k)
}
}
func (inc *SMA) CalculateAndUpdate(allKLines []types.KLine) {
var last = allKLines[len(allKLines)-1]
if inc.rawValues == nil {
for _, k := range allKLines {
if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
continue
}
inc.PushK(k)
}
inc.LoadK(allKLines)
} else {
var last = allKLines[len(allKLines)-1]
inc.PushK(last)
}
inc.EmitUpdate(inc.Values.Last())
}
func (inc *SMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
@ -86,10 +94,6 @@ func (inc *SMA) handleKLineWindowUpdate(interval types.Interval, window types.KL
inc.CalculateAndUpdate(window)
}
func (inc *SMA) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
}
func (inc *SMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}

17
pkg/indicator/stoch.go
View File

@ -61,6 +61,22 @@ func (inc *STOCH) LastD() float64 {
func (inc *STOCH) PushK(k types.KLine) {
inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
inc.EndTime = k.EndTime.Time()
}
func (inc *STOCH) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
}
func (inc *STOCH) LoadK(allKLines []types.KLine) {
for _, k := range allKLines {
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
continue
}
inc.PushK(k)
}
inc.EmitUpdate(inc.LastK(), inc.LastD())
}
func (inc *STOCH) CalculateAndUpdate(kLines []types.KLine) {
@ -77,7 +93,6 @@ func (inc *STOCH) CalculateAndUpdate(kLines []types.KLine) {
}
inc.EmitUpdate(inc.LastK(), inc.LastD())
inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
}
func (inc *STOCH) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {

2
pkg/indicator/till.go
View File

@ -96,7 +96,7 @@ func (inc *TILL) CalculateAndUpdate(allKLines []types.KLine) {
doable = true
}
for _, k := range allKLines {
if !doable && k.StartTime.After(inc.e1.LastOpenTime) {
if !doable && k.EndTime.After(inc.e1.EndTime) {
doable = true
}