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document swing strategy

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This commit is contained in:
c9s 2020-10-29 13:42:53 +08:00
parent 5f45d18ae2
commit a7325e86f0
1 changed files with 54 additions and 21 deletions
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71
pkg/strategy/swing/strategy.go
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@ -11,31 +11,69 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
// The indicators (SMA and EWMA) that we want to use are returning float64 data.
type Float64Indicator interface {
Last() float64
}
func init() {
// Register the pointer of the strategy struct,
// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
// Note: built-in strategies need to imported manually in the bbgo cmd package.
bbgo.RegisterStrategy("swing", &Strategy{})
}
type Strategy struct {
// The notification system will be injected into the strategy automatically.
// This field will be injected automatically since it's a single exchange strategy.
*bbgo.Notifiability
*bbgo.MarketDataStore
types.Market
// OrderExecutor is an interface for submitting order
// OrderExecutor is an interface for submitting order.
// This field will be injected automatically since it's a single exchange strategy.
bbgo.OrderExecutor
// if Symbol string field is defined, bbgo will know it's a symbol-based strategy
// The following embedded fields will be injected with the corresponding instances.
// MarketDataStore is a pointer only injection field. public trades, k-lines (candlestick)
// and order book updates are maintained in the market data store.
// This field will be injected automatically since we defined the Symbol field.
*bbgo.MarketDataStore
// StandardIndicatorSet contains the standard indicators of a market (symbol)
// This field will be injected automatically since we defined the Symbol field.
*bbgo.StandardIndicatorSet
// Market stores the configuration of the market, for example, VolumePrecision, PricePrecision, MinLotSize... etc
// This field will be injected automatically since we defined the Symbol field.
types.Market
// These fields will be filled from the config file (it translates YAML to JSON)
Symbol string `json:"symbol"`
Interval string `json:"interval"`
MinChange float64 `json:"minChange"`
BaseQuantity float64 `json:"baseQuantity"`
MovingAverageType string `json:"movingAverageType"`
MovingAverageInterval types.Interval `json:"movingAverageInterval"`
MovingAverageWindow int `json:"movingAverageWindow"`
}
type Float64Indicator interface {
Last() float64
// Interval is the interval of the kline channel we want to subscribe,
// the kline event will trigger the strategy to check if we need to submit order.
Interval string `json:"interval"`
// MinChange filters out the k-lines with small changes. so that our strategy will only be triggered
// in specific events.
MinChange float64 `json:"minChange"`
// BaseQuantity is the base quantity of the submit order. for both BUY and SELL, market order will be used.
BaseQuantity float64 `json:"baseQuantity"`
// MovingAverageType is the moving average indicator type that we want to use,
// it could be SMA or EWMA
MovingAverageType string `json:"movingAverageType"`
// MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate,
// it could be "1m", "5m", "1h" and so on. note that, the moving averages are calculated from
// the k-line data we subscribed
MovingAverageInterval types.Interval `json:"movingAverageInterval"`
// MovingAverageWindow is the number of the window size of the moving average indicator.
// The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
MovingAverageWindow int `json:"movingAverageWindow"`
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
@ -43,20 +81,15 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
indicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
if !ok {
return errors.Errorf("indicatorSet of %s is not configured", s.Symbol)
}
var inc Float64Indicator
var iw = types.IntervalWindow{Interval: s.MovingAverageInterval, Window: s.MovingAverageWindow}
switch s.MovingAverageType {
case "SMA":
inc = indicatorSet.GetSMA(iw)
inc = s.StandardIndicatorSet.GetSMA(iw)
case "EWMA", "EMA":
inc = indicatorSet.GetEWMA(iw)
inc = s.StandardIndicatorSet.GetEWMA(iw)
default:
return errors.Errorf("unsupported moving average type: %s", s.MovingAverageType)