move files

bbgo/calc.go

@@ -1,7 +1,7 @@
 package bbgo
 
 import (
-	"github.com/adshao/go-binance"
+	types2 "github.com/c9s/bbgo/pkg/bbgo/types"
 	"math"
 )
 
@@ -22,10 +22,10 @@ func SellVolumeModifier(price float64) float64 {
 	return math.Min(2, math.Exp((price-targetPrice)/flatness))
 }
 
-func VolumeByPriceChange(market Market, currentPrice float64, change float64, side binance.SideType) float64 {
+func VolumeByPriceChange(market Market, currentPrice float64, change float64, side types2.SideType) float64 {
 	volume := BaseVolumeByPriceChange(change)
 
-	if side == binance.SideTypeSell {
+	if side == types2.SideTypeSell {
 		volume *= SellVolumeModifier(currentPrice)
 	} else {
 		volume *= BuyVolumeModifier(currentPrice)

bbgo/config/config.go

@@ -0,0 +1,25 @@
+package config
+
+import (
+	"encoding/json"
+	"io/ioutil"
+)
+
+func LoadConfigFile(filename string, v interface{}) error {
+	data, err := ioutil.ReadFile(filename)
+	if err != nil {
+		return err
+	}
+
+	return json.Unmarshal(data, v)
+}
+
+func SaveConfigFile(filename string, v interface{}) error {
+	out, err := json.MarshalIndent(v, "", " ")
+	if err != nil {
+		return err
+	}
+
+	return ioutil.WriteFile(filename, out, 0644)
+}
+

bbgo/context.go

@@ -1,6 +1,6 @@
 package bbgo
 
-import "github.com/c9s/bbgo/pkg/types"
+import "github.com/c9s/bbgo/pkg/bbgo/types"
 
 type TradingContext struct {
 	KLineWindowSize int

bbgo/exchange/binance/exchange.go

@@ -3,7 +3,8 @@ package binance
 import (
 	"context"
 	"github.com/adshao/go-binance"
-	"github.com/c9s/bbgo/pkg/types"
+	"github.com/c9s/bbgo/pkg/bbgo/types"
+	types2 "github.com/c9s/bbgo/pkg/bbgo/types"
 	"github.com/c9s/bbgo/pkg/util"
 	"github.com/sirupsen/logrus"
 	"strconv"
@@ -44,7 +45,7 @@ func (e *Exchange) NewPrivateStream(ctx context.Context) (*PrivateStream, error)
 	}, nil
 }
 
-func (e *Exchange) SubmitOrder(ctx context.Context, order *types.Order) error {
+func (e *Exchange) SubmitOrder(ctx context.Context, order *types2.Order) error {
 	/*
 		limit order example
 
@@ -60,7 +61,7 @@ func (e *Exchange) SubmitOrder(ctx context.Context, order *types.Order) error {
 
 	req := e.Client.NewCreateOrderService().
 		Symbol(order.Symbol).
-		Side(order.Side).
+		Side(binance.SideType(order.Side)).
 		Type(order.Type).
 		Quantity(order.VolumeStr)
 
@@ -103,7 +104,7 @@ func (e *Exchange) QueryKLines(ctx context.Context, symbol, interval string, lim
 	return kLines, nil
 }
 
-func (e *Exchange) QueryTrades(ctx context.Context, symbol string, startTime time.Time) (trades []types.Trade, err error) {
+func (e *Exchange) QueryTrades(ctx context.Context, symbol string, startTime time.Time) (trades []types2.Trade, err error) {
 	logrus.Infof("[binance] querying %s trades from %s", symbol, startTime)
 
 	var lastTradeID int64 = 0
@@ -159,7 +160,7 @@ func (e *Exchange) QueryTrades(ctx context.Context, symbol string, startTime tim
 				return nil, err
 			}
 
-			trades = append(trades, types.Trade{
+			trades = append(trades, types2.Trade{
 				ID:          t.ID,
 				Price:       price,
 				Volume:      quantity,

bbgo/exchange/binance/parse.go

@@ -4,7 +4,8 @@ import (
 	"encoding/json"
 	"errors"
 	"fmt"
-	"github.com/c9s/bbgo/pkg/types"
+	types2 "github.com/c9s/bbgo/pkg/bbgo/types"
+	"github.com/c9s/bbgo/pkg/bbgo/types"
 	"github.com/c9s/bbgo/pkg/util"
 	"github.com/valyala/fastjson"
 	"time"
@@ -83,13 +84,13 @@ type ExecutionReportEvent struct {
 	OrderCreationTime int `json:"O"`
 }
 
-func (e *ExecutionReportEvent) Trade() (*types.Trade, error) {
+func (e *ExecutionReportEvent) Trade() (*types2.Trade, error) {
 	if e.CurrentExecutionType != "TRADE" {
 		return nil, errors.New("execution report is not a trade")
 	}
 
 	tt := time.Unix(0, e.TransactionTime/1000000)
-	return &types.Trade{
+	return &types2.Trade{
 		ID:          e.TradeID,
 		Symbol:      e.Symbol,
 		Price:       util.MustParseFloat(e.LastExecutedPrice),

bbgo/kline_detector.go

@@ -1,235 +0,0 @@
-package bbgo
-
-import (
-	"fmt"
-	"github.com/adshao/go-binance"
-	"github.com/c9s/bbgo/pkg/bbgo/types"
-	binance2 "github.com/c9s/bbgo/pkg/exchange/binance"
-	types2 "github.com/c9s/bbgo/pkg/types"
-	"github.com/c9s/bbgo/pkg/util"
-	"github.com/slack-go/slack"
-	"math"
-	"strconv"
-)
-
-const epsilon = 0.0000001
-
-func NotZero(v float64) bool {
-	return math.Abs(v) > epsilon
-}
-
-type KLineDetector struct {
-	Name     string `json:"name"`
-	Interval string `json:"interval"`
-
-	// MinMaxPriceChange is the minimal max price change trigger
-	MinMaxPriceChange float64 `json:"minMaxPriceChange"`
-
-	// MaxMaxPriceChange is the max - max price change trigger
-	MaxMaxPriceChange float64 `json:"maxMaxPriceChange"`
-
-	EnableMinThickness bool    `json:"enableMinThickness"`
-	MinThickness       float64 `json:"minThickness"`
-
-	EnableMaxShadowRatio bool    `json:"enableMaxShadowRatio"`
-	MaxShadowRatio       float64 `json:"maxShadowRatio"`
-
-	EnableLookBack bool `json:"enableLookBack"`
-	LookBackFrames int  `json:"lookBackFrames"`
-
-	MinProfitPriceTick float64 `json:"minProfitPriceTick"`
-
-	DelayMilliseconds int  `json:"delayMsec"`
-	Stop              bool `json:"stop"`
-}
-
-func (d *KLineDetector) SlackAttachment() slack.Attachment {
-	var name = "Detector "
-
-	if len(d.Name) > 0 {
-		name += " " + d.Name
-	}
-
-	name += fmt.Sprintf(" %s", d.Interval)
-
-	if d.EnableLookBack {
-		name += fmt.Sprintf(" x %d", d.LookBackFrames)
-	}
-
-	var maxPriceChangeRange = fmt.Sprintf("%.2f ~ NO LIMIT", d.MinMaxPriceChange)
-	if NotZero(d.MaxMaxPriceChange) {
-		maxPriceChangeRange = fmt.Sprintf("%.2f ~ %.2f", d.MinMaxPriceChange, d.MaxMaxPriceChange)
-	}
-	name += " MaxMaxPriceChange " + maxPriceChangeRange
-
-	var fields = []slack.AttachmentField{
-		{
-			Title: "Interval",
-			Value: d.Interval,
-			Short: true,
-		},
-	}
-
-	if d.EnableMinThickness && NotZero(d.MinThickness) {
-		fields = append(fields, slack.AttachmentField{
-			Title: "MinThickness",
-			Value: util.FormatFloat(d.MinThickness, 4),
-			Short: true,
-		})
-	}
-
-	if d.EnableMaxShadowRatio && NotZero(d.MaxShadowRatio) {
-		fields = append(fields, slack.AttachmentField{
-			Title: "MaxShadowRatio",
-			Value: util.FormatFloat(d.MaxShadowRatio, 4),
-			Short: true,
-		})
-	}
-
-	if d.EnableLookBack {
-		fields = append(fields, slack.AttachmentField{
-			Title: "LookBackFrames",
-			Value: strconv.Itoa(d.LookBackFrames),
-			Short: true,
-		})
-	}
-
-	return slack.Attachment{
-		Color:      "",
-		Fallback:   "",
-		ID:         0,
-		Title:      name,
-		Pretext:    "",
-		Text:       "",
-		Fields:     fields,
-		Footer:     "",
-		FooterIcon: "",
-		Ts:         "",
-	}
-
-}
-
-func (d *KLineDetector) String() string {
-	var name = fmt.Sprintf("Detector %s (%f < x < %f)", d.Interval, d.MinMaxPriceChange, d.MaxMaxPriceChange)
-
-	if d.EnableMinThickness {
-		name += fmt.Sprintf(" [MinThickness: %f]", d.MinThickness)
-	}
-
-	if d.EnableLookBack {
-		name += fmt.Sprintf(" [LookBack: %d]", d.LookBackFrames)
-	}
-	if d.EnableMaxShadowRatio {
-		name += fmt.Sprintf(" [MaxShadowRatio: %f]", d.MaxShadowRatio)
-	}
-
-	return name
-}
-
-func (d *KLineDetector) NewOrder(e *binance2.KLineEvent, tradingCtx *TradingContext) *types2.Order {
-	var kline types.KLineOrWindow = e.KLine
-	if d.EnableLookBack {
-		klineWindow := tradingCtx.KLineWindows[e.KLine.Interval]
-		if len(klineWindow) >= d.LookBackFrames {
-			kline = klineWindow.Tail(d.LookBackFrames)
-		}
-	}
-
-	var trend = kline.GetTrend()
-
-	var side binance.SideType
-	if trend < 0 {
-		side = binance.SideTypeBuy
-	} else if trend > 0 {
-		side = binance.SideTypeSell
-	}
-
-	var volume = tradingCtx.Market.FormatVolume(VolumeByPriceChange(tradingCtx.Market, kline.GetClose(), kline.GetChange(), side))
-	return &types2.Order{
-		Symbol:    e.KLine.Symbol,
-		Type:      binance.OrderTypeMarket,
-		Side:      side,
-		VolumeStr: volume,
-	}
-}
-
-func (d *KLineDetector) Detect(e *binance2.KLineEvent, tradingCtx *TradingContext) (reason string, kline types.KLineOrWindow, ok bool) {
-	kline = e.KLine
-
-	// if the 3m trend is drop, do not buy, let 5m window handle it.
-	if d.EnableLookBack {
-		klineWindow := tradingCtx.KLineWindows[e.KLine.Interval]
-		if len(klineWindow) >= d.LookBackFrames {
-			kline = klineWindow.Tail(d.LookBackFrames)
-		}
-		/*
-			if lookbackKline.AllDrop() {
-				trader.Infof("1m window all drop down (%d frames), do not buy: %+v", d.LookBackFrames, klineWindow)
-			} else if lookbackKline.AllRise() {
-				trader.Infof("1m window all rise up (%d frames), do not sell: %+v", d.LookBackFrames, klineWindow)
-			}
-		*/
-	}
-
-	var maxChange = math.Abs(kline.GetMaxChange())
-
-	if maxChange < d.MinMaxPriceChange {
-		return "", kline, false
-	}
-
-	if NotZero(d.MaxMaxPriceChange) && maxChange > d.MaxMaxPriceChange {
-		return fmt.Sprintf("exceeded max price change %.4f > %.4f", maxChange, d.MaxMaxPriceChange), kline, false
-	}
-
-	if d.EnableMinThickness {
-		if kline.GetThickness() < d.MinThickness {
-			return fmt.Sprintf("kline too thin. %.4f < min kline thickness %.4f", kline.GetThickness(), d.MinThickness), kline, false
-		}
-	}
-
-	var trend = kline.GetTrend()
-	if d.EnableMaxShadowRatio {
-		if trend > 0 {
-			if kline.GetUpperShadowRatio() > d.MaxShadowRatio {
-				return fmt.Sprintf("kline upper shadow ratio too high. %.4f > %.4f (MaxShadowRatio)", kline.GetUpperShadowRatio(), d.MaxShadowRatio), kline, false
-			}
-		} else if trend < 0 {
-			if kline.GetLowerShadowRatio() > d.MaxShadowRatio {
-				return fmt.Sprintf("kline lower shadow ratio too high. %.4f > %.4f (MaxShadowRatio)", kline.GetLowerShadowRatio(), d.MaxShadowRatio), kline, false
-			}
-		}
-	}
-
-	if trend > 0 && kline.BounceUp() { // trend up, ignore bounce up
-
-		return fmt.Sprintf("bounce up, do not sell, kline mid: %.4f", kline.Mid()), kline, false
-
-	} else if trend < 0 && kline.BounceDown() { // trend down, ignore bounce down
-
-		return fmt.Sprintf("bounce down, do not buy, kline mid: %.4f", kline.Mid()), kline, false
-
-	}
-
-	if NotZero(d.MinProfitPriceTick) {
-
-		// do not buy too early if it's greater than the average bid price + min profit tick
-		if trend < 0 && kline.GetClose() > (tradingCtx.AverageBidPrice-d.MinProfitPriceTick) {
-			return fmt.Sprintf("price %f is greater than the average price + min profit tick %f", kline.GetClose(), tradingCtx.AverageBidPrice - d.MinProfitPriceTick), kline, false
-		}
-
-		// do not sell too early if it's less than the average bid price + min profit tick
-		if trend > 0 && kline.GetClose() < (tradingCtx.AverageBidPrice+d.MinProfitPriceTick) {
-			return fmt.Sprintf("price %f is less than the average price + min profit tick %f", kline.GetClose(), tradingCtx.AverageBidPrice + d.MinProfitPriceTick), kline, false
-		}
-
-	}
-
-	/*
-			if toPrice(kline.GetClose()) == toPrice(kline.GetLow()) {
-			return fmt.Sprintf("close near the lowest price, the price might continue to drop."), false
-		}
-
-	*/
-
-	return "", kline, true
-}

bbgo/parse.go

@@ -1,2 +0,0 @@
-package bbgo
-

bbgo/pnl.go

@@ -1,7 +1,7 @@
 package bbgo
 
 import (
-	"github.com/c9s/bbgo/pkg/types"
+	types2 "github.com/c9s/bbgo/pkg/bbgo/types"
 	log "github.com/sirupsen/logrus"
 	"strings"
 	"time"
@@ -11,12 +11,12 @@ type ProfitAndLossCalculator struct {
 	Symbol       string
 	StartTime    time.Time
 	CurrentPrice float64
-	Trades       []types.Trade
+	Trades       []types2.Trade
 
 	CurrencyPrice map[string]float64
 }
 
-func (c *ProfitAndLossCalculator) AddTrade(trade types.Trade) {
+func (c *ProfitAndLossCalculator) AddTrade(trade types2.Trade) {
 	c.Trades = append(c.Trades, trade)
 }
 

bbgo/trader.go

@@ -3,9 +3,9 @@ package bbgo
 import (
 	"context"
 	"fmt"
-	"github.com/c9s/bbgo/pkg/exchange/binance"
+	"github.com/c9s/bbgo/pkg/bbgo/exchange/binance"
+	types2 "github.com/c9s/bbgo/pkg/bbgo/types"
 	"github.com/c9s/bbgo/pkg/slack/slackstyle"
-	"github.com/c9s/bbgo/pkg/types"
 	"github.com/c9s/bbgo/pkg/util"
 	"github.com/leekchan/accounting"
 	"github.com/sirupsen/logrus"
@@ -76,7 +76,7 @@ func (t *Trader) Errorf(err error, format string, args ...interface{}) {
 	}
 }
 
-func (t *Trader) ReportTrade(e *binance.ExecutionReportEvent, trade *types.Trade) {
+func (t *Trader) ReportTrade(e *binance.ExecutionReportEvent, trade *types2.Trade) {
 	var color = ""
 	if trade.IsBuyer {
 		color = "#228B22"
@@ -171,7 +171,7 @@ func (t *Trader) ReportPnL() {
 	}
 }
 
-func (t *Trader) SubmitOrder(ctx context.Context, order *types.Order) {
+func (t *Trader) SubmitOrder(ctx context.Context, order *types2.Order) {
 	t.Infof(":memo: Submitting %s order on side %s with volume: %s", order.Type, order.Side, order.VolumeStr, order.SlackAttachment())
 
 	err := t.Exchange.SubmitOrder(ctx, order)

bbgo/types/exchange.go

@@ -2,13 +2,6 @@ package types
 
 import "time"
 
-type Trade interface {
-	GetPrice() float64
-	GetVolume() float64
-	GetFeeCurrency() string
-	GetFeeAmount() float64
-}
-
 type Exchange interface {
 	QueryKLines(interval string, startFrom time.Time, endTo time.Time) []KLineOrWindow
 	QueryTrades(symbol string, startFrom time.Time) []Trade

bbgo/types/kline.go

@@ -1,6 +1,11 @@
 package types
 
-import "github.com/slack-go/slack"
+import (
+	"fmt"
+	"github.com/c9s/bbgo/pkg/util"
+	"github.com/slack-go/slack"
+	"math"
+)
 
 type KLineOrWindow interface {
 	GetTrend() int
@@ -22,3 +27,408 @@ type KLineOrWindow interface {
 	SlackAttachment() slack.Attachment
 }
 
+// KLine uses binance's kline as the standard structure
+type KLine struct {
+	StartTime int64 `json:"t"`
+	EndTime   int64 `json:"T"`
+
+	Symbol   string `json:"s"`
+	Interval string `json:"i"`
+
+	Open        string `json:"o"`
+	Close       string `json:"c"`
+	High        string `json:"h"`
+	Low         string `json:"l"`
+	Volume      string `json:"V"` // taker buy base asset volume (like 10 BTC)
+	QuoteVolume string `json:"Q"` // taker buy quote asset volume (like 1000USDT)
+
+	LastTradeID    int   `json:"L"`
+	NumberOfTrades int64 `json:"n"`
+	Closed         bool  `json:"x"`
+}
+
+func (k KLine) Mid() float64 {
+	return (k.GetHigh() + k.GetLow()) / 2
+}
+
+// green candle with open and close near high price
+func (k KLine) BounceUp() bool {
+	mid := k.Mid()
+	trend := k.GetTrend()
+	return trend > 0 && k.GetOpen() > mid && k.GetClose() > mid
+}
+
+// red candle with open and close near low price
+func (k KLine) BounceDown() bool {
+	mid := k.Mid()
+	trend := k.GetTrend()
+	return trend > 0 && k.GetOpen() < mid && k.GetClose() < mid
+}
+
+func (k KLine) GetTrend() int {
+	o := k.GetOpen()
+	c := k.GetClose()
+
+	if c > o {
+		return 1
+	} else if c < o {
+		return -1
+	}
+	return 0
+}
+
+func (k KLine) GetHigh() float64 {
+	return util.MustParseFloat(k.High)
+}
+
+func (k KLine) GetLow() float64 {
+	return util.MustParseFloat(k.Low)
+}
+
+func (k KLine) GetOpen() float64 {
+	return util.MustParseFloat(k.Open)
+}
+
+func (k KLine) GetClose() float64 {
+	return util.MustParseFloat(k.Close)
+}
+
+func (k KLine) GetMaxChange() float64 {
+	return k.GetHigh() - k.GetLow()
+}
+
+// GetThickness returns the thickness of the kline. 1 => thick, 0.1 => thin
+func (k KLine) GetThickness() float64 {
+	return math.Abs(k.GetChange()) / math.Abs(k.GetMaxChange())
+}
+
+func (k KLine) GetUpperShadowRatio() float64 {
+	return k.GetUpperShadowHeight() / math.Abs(k.GetMaxChange())
+}
+
+func (k KLine) GetUpperShadowHeight() float64 {
+	high := k.GetHigh()
+	if k.GetOpen() > k.GetClose() {
+		return high - k.GetOpen()
+	}
+	return high - k.GetClose()
+}
+
+func (k KLine) GetLowerShadowRatio() float64 {
+	return k.GetLowerShadowHeight() / math.Abs(k.GetMaxChange())
+}
+
+func (k KLine) GetLowerShadowHeight() float64 {
+	low := k.GetLow()
+	if k.GetOpen() < k.GetClose() {
+		return k.GetOpen() - low
+	}
+	return k.GetClose() - low
+}
+
+// GetBody returns the height of the candle real body
+func (k KLine) GetBody() float64 {
+	return k.GetChange()
+}
+
+func (k KLine) GetChange() float64 {
+	return k.GetClose() - k.GetOpen()
+}
+
+func (k KLine) String() string {
+	return fmt.Sprintf("%s %s Open: % 14s Close: % 14s High: % 14s Low: % 14s Volume: % 15s Change: % 11f Max Change: % 11f", k.Symbol, k.Interval, k.Open, k.Close, k.High, k.Low, k.Volume, k.GetChange(), k.GetMaxChange())
+}
+
+func (k KLine) Color() string {
+	if k.GetTrend() > 0 {
+		return Green
+	} else if k.GetTrend() < 0 {
+		return Red
+	}
+	return "#f0f0f0"
+}
+
+func (k KLine) SlackAttachment() slack.Attachment {
+	return slack.Attachment{
+		Text:  "KLine",
+		Color: k.Color(),
+		Fields: []slack.AttachmentField{
+			{
+				Title: "Open",
+				Value: k.Open,
+				Short: true,
+			},
+			{
+				Title: "Close",
+				Value: k.Close,
+				Short: true,
+			},
+			{
+				Title: "High",
+				Value: k.High,
+				Short: true,
+			},
+			{
+				Title: "Low",
+				Value: k.Low,
+				Short: true,
+			},
+			{
+				Title: "Mid",
+				Value: util.FormatFloat(k.Mid(), 2),
+				Short: true,
+			},
+			{
+				Title: "Change",
+				Value: util.FormatFloat(k.GetChange(), 2),
+				Short: true,
+			},
+			{
+				Title: "Max Change",
+				Value: util.FormatFloat(k.GetMaxChange(), 2),
+				Short: true,
+			},
+			{
+				Title: "Thickness",
+				Value: util.FormatFloat(k.GetThickness(), 4),
+				Short: true,
+			},
+			{
+				Title: "UpperShadowRatio",
+				Value: util.FormatFloat(k.GetUpperShadowRatio(), 4),
+				Short: true,
+			},
+			{
+				Title: "LowerShadowRatio",
+				Value: util.FormatFloat(k.GetLowerShadowRatio(), 4),
+				Short: true,
+			},
+		},
+		Footer:     "",
+		FooterIcon: "",
+	}
+}
+
+type KLineWindow []KLine
+
+func (k KLineWindow) Len() int {
+	return len(k)
+}
+
+func (k KLineWindow) GetOpen() float64 {
+	return k[0].GetOpen()
+}
+
+func (k KLineWindow) GetClose() float64 {
+	end := len(k) - 1
+	return k[end].GetClose()
+}
+
+func (k KLineWindow) GetHigh() float64 {
+	high := k.GetOpen()
+	for _, line := range k {
+		val := line.GetHigh()
+		if val > high {
+			high = val
+		}
+	}
+	return high
+}
+
+func (k KLineWindow) GetLow() float64 {
+	low := k.GetOpen()
+	for _, line := range k {
+		val := line.GetLow()
+		if val < low {
+			low = val
+		}
+	}
+	return low
+}
+
+func (k KLineWindow) GetChange() float64 {
+	return k.GetClose() - k.GetOpen()
+}
+
+func (k KLineWindow) GetMaxChange() float64 {
+	return k.GetHigh() - k.GetLow()
+}
+
+func (k KLineWindow) AllDrop() bool {
+	for _, n := range k {
+		if n.GetTrend() >= 0 {
+			return false
+		}
+	}
+	return true
+}
+
+func (k KLineWindow) AllRise() bool {
+	for _, n := range k {
+		if n.GetTrend() <= 0 {
+			return false
+		}
+	}
+	return true
+}
+
+func (k KLineWindow) GetTrend() int {
+	o := k.GetOpen()
+	c := k.GetClose()
+
+	if c > o {
+		return 1
+	} else if c < o {
+		return -1
+	}
+	return 0
+}
+
+func (k KLineWindow) Color() string {
+	if k.GetTrend() > 0 {
+		return Green
+	} else if k.GetTrend() < 0 {
+		return Red
+	}
+	return "#f0f0f0"
+}
+
+func (k KLineWindow) Mid() float64 {
+	return k.GetHigh() - k.GetLow()/2
+}
+
+// green candle with open and close near high price
+func (k KLineWindow) BounceUp() bool {
+	mid := k.Mid()
+	trend := k.GetTrend()
+	return trend > 0 && k.GetOpen() > mid && k.GetClose() > mid
+}
+
+// red candle with open and close near low price
+func (k KLineWindow) BounceDown() bool {
+	mid := k.Mid()
+	trend := k.GetTrend()
+	return trend > 0 && k.GetOpen() < mid && k.GetClose() < mid
+}
+
+func (k *KLineWindow) Add(line KLine) {
+	*k = append(*k, line)
+}
+
+func (k KLineWindow) Take(size int) KLineWindow {
+	return k[:size]
+}
+
+func (k KLineWindow) Tail(size int) KLineWindow {
+	if len(k) <= size {
+		return k[:]
+	}
+	return k[len(k)-size:]
+}
+
+func (k *KLineWindow) Truncate(size int) {
+	if len(*k) <= size {
+		return
+	}
+
+	end := len(*k) - 1
+	start := end - size
+	if start < 0 {
+		start = 0
+	}
+	*k = (*k)[end-5 : end]
+}
+
+func (k KLineWindow) GetBody() float64 {
+	return k.GetChange()
+}
+
+func (k KLineWindow) GetThickness() float64 {
+	return math.Abs(k.GetChange()) / math.Abs(k.GetMaxChange())
+}
+
+func (k KLineWindow) GetUpperShadowRatio() float64 {
+	return k.GetUpperShadowHeight() / math.Abs(k.GetMaxChange())
+}
+
+func (k KLineWindow) GetUpperShadowHeight() float64 {
+	high := k.GetHigh()
+	if k.GetOpen() > k.GetClose() {
+		return high - k.GetOpen()
+	}
+	return high - k.GetClose()
+}
+
+func (k KLineWindow) GetLowerShadowRatio() float64 {
+	return k.GetLowerShadowHeight() / math.Abs(k.GetMaxChange())
+}
+
+func (k KLineWindow) GetLowerShadowHeight() float64 {
+	low := k.GetLow()
+	if k.GetOpen() < k.GetClose() {
+		return k.GetOpen() - low
+	}
+	return k.GetClose() - low
+}
+
+func (k KLineWindow) SlackAttachment() slack.Attachment {
+	return slack.Attachment{
+		Text:  "KLine",
+		Color: k.Color(),
+		Fields: []slack.AttachmentField{
+			{
+				Title: "Open",
+				Value: util.FormatFloat(k.GetOpen(), 2),
+				Short: true,
+			},
+			{
+				Title: "Close",
+				Value: util.FormatFloat(k.GetClose(), 2),
+				Short: true,
+			},
+			{
+				Title: "High",
+				Value: util.FormatFloat(k.GetHigh(), 2),
+				Short: true,
+			},
+			{
+				Title: "Low",
+				Value: util.FormatFloat(k.GetLow(), 2),
+				Short: true,
+			},
+			{
+				Title: "Mid",
+				Value: util.FormatFloat(k.Mid(), 2),
+				Short: true,
+			},
+			{
+				Title: "Change",
+				Value: util.FormatFloat(k.GetChange(), 2),
+				Short: true,
+			},
+			{
+				Title: "Max Change",
+				Value: util.FormatFloat(k.GetMaxChange(), 2),
+				Short: true,
+			},
+			{
+				Title: "Thickness",
+				Value: util.FormatFloat(k.GetThickness(), 4),
+				Short: true,
+			},
+			{
+				Title: "UpperShadowRatio",
+				Value: util.FormatFloat(k.GetUpperShadowRatio(), 4),
+				Short: true,
+			},
+			{
+				Title: "LowerShadowRatio",
+				Value: util.FormatFloat(k.GetLowerShadowRatio(), 4),
+				Short: true,
+			},
+		},
+		Footer:     "",
+		FooterIcon: "",
+	}
+}
+

bbgo/types/order.go

@@ -7,7 +7,7 @@ import (
 
 type Order struct {
 	Symbol    string
-	Side      binance.SideType
+	Side      SideType
 	Type      binance.OrderType
 	VolumeStr string
 	PriceStr  string
@@ -27,7 +27,7 @@ func (o *Order) SlackAttachment() slack.Attachment {
 	}
 
 	return slack.Attachment{
-		Color: SideToColorName(SideType(o.Side)),
+		Color: SideToColorName(o.Side),
 		Title: string(o.Type) + " Order " + string(o.Side),
 		// Text:   "",
 		Fields: fields,

types/kline.go

@@ -1,414 +0,0 @@
-package types
-
-import (
-	"fmt"
-	"github.com/c9s/bbgo/pkg/util"
-	"github.com/slack-go/slack"
-	"math"
-)
-
-// KLine uses binance's kline as the standard structure
-type KLine struct {
-	StartTime int64 `json:"t"`
-	EndTime   int64 `json:"T"`
-
-	Symbol   string `json:"s"`
-	Interval string `json:"i"`
-
-	Open        string `json:"o"`
-	Close       string `json:"c"`
-	High        string `json:"h"`
-	Low         string `json:"l"`
-	Volume      string `json:"V"` // taker buy base asset volume (like 10 BTC)
-	QuoteVolume string `json:"Q"` // taker buy quote asset volume (like 1000USDT)
-
-	LastTradeID    int   `json:"L"`
-	NumberOfTrades int64 `json:"n"`
-	Closed         bool  `json:"x"`
-}
-
-func (k KLine) Mid() float64 {
-	return (k.GetHigh() + k.GetLow()) / 2
-}
-
-// green candle with open and close near high price
-func (k KLine) BounceUp() bool {
-	mid := k.Mid()
-	trend := k.GetTrend()
-	return trend > 0 && k.GetOpen() > mid && k.GetClose() > mid
-}
-
-// red candle with open and close near low price
-func (k KLine) BounceDown() bool {
-	mid := k.Mid()
-	trend := k.GetTrend()
-	return trend > 0 && k.GetOpen() < mid && k.GetClose() < mid
-}
-
-func (k KLine) GetTrend() int {
-	o := k.GetOpen()
-	c := k.GetClose()
-
-	if c > o {
-		return 1
-	} else if c < o {
-		return -1
-	}
-	return 0
-}
-
-func (k KLine) GetHigh() float64 {
-	return util.MustParseFloat(k.High)
-}
-
-func (k KLine) GetLow() float64 {
-	return util.MustParseFloat(k.Low)
-}
-
-func (k KLine) GetOpen() float64 {
-	return util.MustParseFloat(k.Open)
-}
-
-func (k KLine) GetClose() float64 {
-	return util.MustParseFloat(k.Close)
-}
-
-func (k KLine) GetMaxChange() float64 {
-	return k.GetHigh() - k.GetLow()
-}
-
-// GetThickness returns the thickness of the kline. 1 => thick, 0.1 => thin
-func (k KLine) GetThickness() float64 {
-	return math.Abs(k.GetChange()) / math.Abs(k.GetMaxChange())
-}
-
-func (k KLine) GetUpperShadowRatio() float64 {
-	return k.GetUpperShadowHeight() / math.Abs(k.GetMaxChange())
-}
-
-func (k KLine) GetUpperShadowHeight() float64 {
-	high := k.GetHigh()
-	if k.GetOpen() > k.GetClose() {
-		return high - k.GetOpen()
-	}
-	return high - k.GetClose()
-}
-
-func (k KLine) GetLowerShadowRatio() float64 {
-	return k.GetLowerShadowHeight() / math.Abs(k.GetMaxChange())
-}
-
-func (k KLine) GetLowerShadowHeight() float64 {
-	low := k.GetLow()
-	if k.GetOpen() < k.GetClose() {
-		return k.GetOpen() - low
-	}
-	return k.GetClose() - low
-}
-
-// GetBody returns the height of the candle real body
-func (k KLine) GetBody() float64 {
-	return k.GetChange()
-}
-
-func (k KLine) GetChange() float64 {
-	return k.GetClose() - k.GetOpen()
-}
-
-func (k KLine) String() string {
-	return fmt.Sprintf("%s %s Open: % 14s Close: % 14s High: % 14s Low: % 14s Volume: % 15s Change: % 11f Max Change: % 11f", k.Symbol, k.Interval, k.Open, k.Close, k.High, k.Low, k.Volume, k.GetChange(), k.GetMaxChange())
-}
-
-func (k KLine) Color() string {
-	if k.GetTrend() > 0 {
-		return Green
-	} else if k.GetTrend() < 0 {
-		return Red
-	}
-	return "#f0f0f0"
-}
-
-func (k KLine) SlackAttachment() slack.Attachment {
-	return slack.Attachment{
-		Text:  "KLine",
-		Color: k.Color(),
-		Fields: []slack.AttachmentField{
-			{
-				Title: "Open",
-				Value: k.Open,
-				Short: true,
-			},
-			{
-				Title: "Close",
-				Value: k.Close,
-				Short: true,
-			},
-			{
-				Title: "High",
-				Value: k.High,
-				Short: true,
-			},
-			{
-				Title: "Low",
-				Value: k.Low,
-				Short: true,
-			},
-			{
-				Title: "Mid",
-				Value: util.FormatFloat(k.Mid(), 2),
-				Short: true,
-			},
-			{
-				Title: "Change",
-				Value: util.FormatFloat(k.GetChange(), 2),
-				Short: true,
-			},
-			{
-				Title: "Max Change",
-				Value: util.FormatFloat(k.GetMaxChange(), 2),
-				Short: true,
-			},
-			{
-				Title: "Thickness",
-				Value: util.FormatFloat(k.GetThickness(), 4),
-				Short: true,
-			},
-			{
-				Title: "UpperShadowRatio",
-				Value: util.FormatFloat(k.GetUpperShadowRatio(), 4),
-				Short: true,
-			},
-			{
-				Title: "LowerShadowRatio",
-				Value: util.FormatFloat(k.GetLowerShadowRatio(), 4),
-				Short: true,
-			},
-		},
-		Footer:     "",
-		FooterIcon: "",
-	}
-}
-
-type KLineWindow []KLine
-
-func (k KLineWindow) Len() int {
-	return len(k)
-}
-
-func (k KLineWindow) GetOpen() float64 {
-	return k[0].GetOpen()
-}
-
-func (k KLineWindow) GetClose() float64 {
-	end := len(k) - 1
-	return k[end].GetClose()
-}
-
-func (k KLineWindow) GetHigh() float64 {
-	high := k.GetOpen()
-	for _, line := range k {
-		val := line.GetHigh()
-		if val > high {
-			high = val
-		}
-	}
-	return high
-}
-
-func (k KLineWindow) GetLow() float64 {
-	low := k.GetOpen()
-	for _, line := range k {
-		val := line.GetLow()
-		if val < low {
-			low = val
-		}
-	}
-	return low
-}
-
-func (k KLineWindow) GetChange() float64 {
-	return k.GetClose() - k.GetOpen()
-}
-
-func (k KLineWindow) GetMaxChange() float64 {
-	return k.GetHigh() - k.GetLow()
-}
-
-func (k KLineWindow) AllDrop() bool {
-	for _, n := range k {
-		if n.GetTrend() >= 0 {
-			return false
-		}
-	}
-	return true
-}
-
-func (k KLineWindow) AllRise() bool {
-	for _, n := range k {
-		if n.GetTrend() <= 0 {
-			return false
-		}
-	}
-	return true
-}
-
-func (k KLineWindow) GetTrend() int {
-	o := k.GetOpen()
-	c := k.GetClose()
-
-	if c > o {
-		return 1
-	} else if c < o {
-		return -1
-	}
-	return 0
-}
-
-func (k KLineWindow) Color() string {
-	if k.GetTrend() > 0 {
-		return Green
-	} else if k.GetTrend() < 0 {
-		return Red
-	}
-	return "#f0f0f0"
-}
-
-func (k KLineWindow) Mid() float64 {
-	return k.GetHigh() - k.GetLow()/2
-}
-
-// green candle with open and close near high price
-func (k KLineWindow) BounceUp() bool {
-	mid := k.Mid()
-	trend := k.GetTrend()
-	return trend > 0 && k.GetOpen() > mid && k.GetClose() > mid
-}
-
-// red candle with open and close near low price
-func (k KLineWindow) BounceDown() bool {
-	mid := k.Mid()
-	trend := k.GetTrend()
-	return trend > 0 && k.GetOpen() < mid && k.GetClose() < mid
-}
-
-func (k *KLineWindow) Add(line KLine) {
-	*k = append(*k, line)
-}
-
-func (k KLineWindow) Take(size int) KLineWindow {
-	return k[:size]
-}
-
-func (k KLineWindow) Tail(size int) KLineWindow {
-	if len(k) <= size {
-		return k[:]
-	}
-	return k[len(k)-size:]
-}
-
-func (k *KLineWindow) Truncate(size int) {
-	if len(*k) <= size {
-		return
-	}
-
-	end := len(*k) - 1
-	start := end - size
-	if start < 0 {
-		start = 0
-	}
-	*k = (*k)[end-5 : end]
-}
-
-func (k KLineWindow) GetBody() float64 {
-	return k.GetChange()
-}
-
-func (k KLineWindow) GetThickness() float64 {
-	return math.Abs(k.GetChange()) / math.Abs(k.GetMaxChange())
-}
-
-func (k KLineWindow) GetUpperShadowRatio() float64 {
-	return k.GetUpperShadowHeight() / math.Abs(k.GetMaxChange())
-}
-
-func (k KLineWindow) GetUpperShadowHeight() float64 {
-	high := k.GetHigh()
-	if k.GetOpen() > k.GetClose() {
-		return high - k.GetOpen()
-	}
-	return high - k.GetClose()
-}
-
-func (k KLineWindow) GetLowerShadowRatio() float64 {
-	return k.GetLowerShadowHeight() / math.Abs(k.GetMaxChange())
-}
-
-func (k KLineWindow) GetLowerShadowHeight() float64 {
-	low := k.GetLow()
-	if k.GetOpen() < k.GetClose() {
-		return k.GetOpen() - low
-	}
-	return k.GetClose() - low
-}
-
-func (k KLineWindow) SlackAttachment() slack.Attachment {
-	return slack.Attachment{
-		Text:  "KLine",
-		Color: k.Color(),
-		Fields: []slack.AttachmentField{
-			{
-				Title: "Open",
-				Value: util.FormatFloat(k.GetOpen(), 2),
-				Short: true,
-			},
-			{
-				Title: "Close",
-				Value: util.FormatFloat(k.GetClose(), 2),
-				Short: true,
-			},
-			{
-				Title: "High",
-				Value: util.FormatFloat(k.GetHigh(), 2),
-				Short: true,
-			},
-			{
-				Title: "Low",
-				Value: util.FormatFloat(k.GetLow(), 2),
-				Short: true,
-			},
-			{
-				Title: "Mid",
-				Value: util.FormatFloat(k.Mid(), 2),
-				Short: true,
-			},
-			{
-				Title: "Change",
-				Value: util.FormatFloat(k.GetChange(), 2),
-				Short: true,
-			},
-			{
-				Title: "Max Change",
-				Value: util.FormatFloat(k.GetMaxChange(), 2),
-				Short: true,
-			},
-			{
-				Title: "Thickness",
-				Value: util.FormatFloat(k.GetThickness(), 4),
-				Short: true,
-			},
-			{
-				Title: "UpperShadowRatio",
-				Value: util.FormatFloat(k.GetUpperShadowRatio(), 4),
-				Short: true,
-			},
-			{
-				Title: "LowerShadowRatio",
-				Value: util.FormatFloat(k.GetLowerShadowRatio(), 4),
-				Short: true,
-			},
-		},
-		Footer:     "",
-		FooterIcon: "",
-	}
-}
-

util/math.go

@@ -1,6 +1,7 @@
 package util
 
 import (
+	"math"
 	"strconv"
 )
 
@@ -29,3 +30,9 @@ func MustParseFloat(s string) float64 {
 	return v
 }
 
+const epsilon = 0.0000001
+
+func NotZero(v float64) bool {
+	return math.Abs(v) > epsilon
+}
+

util/math_test.go

@@ -1,4 +1,4 @@
-package bbgo
+package util
 
 import "testing"