Merge pull request #378 from austin362667/feature/volatility-indicator

feature: add kline close volatility indicator

pkg/bbgo/session.go

@@ -31,22 +31,24 @@ type StandardIndicatorSet struct {
 	Symbol string
 	// Standard indicators
 	// interval -> window
-	sma   map[types.IntervalWindow]*indicator.SMA
-	ewma  map[types.IntervalWindow]*indicator.EWMA
-	boll  map[types.IntervalWindow]*indicator.BOLL
-	stoch map[types.IntervalWindow]*indicator.STOCH
+	sma        map[types.IntervalWindow]*indicator.SMA
+	ewma       map[types.IntervalWindow]*indicator.EWMA
+	boll       map[types.IntervalWindow]*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.IntervalWindow]*indicator.BOLL),
-		stoch:  make(map[types.IntervalWindow]*indicator.STOCH),
-		store:  store,
+		Symbol:     symbol,
+		sma:        make(map[types.IntervalWindow]*indicator.SMA),
+		ewma:       make(map[types.IntervalWindow]*indicator.EWMA),
+		boll:       make(map[types.IntervalWindow]*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
@@ -132,6 +134,18 @@ func (set *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH
 	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 {

pkg/indicator/volatility.go

@@ -0,0 +1,97 @@
+package indicator
+
+import (
+	"fmt"
+	"math"
+	"time"
+
+	log "github.com/sirupsen/logrus"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+const MaxNumOfVOL = 5_000
+const MaxNumOfVOLTruncateSize = 100
+
+//var zeroTime time.Time
+
+//go:generate callbackgen -type VOLATILITY
+type VOLATILITY struct {
+	types.IntervalWindow
+	Values  types.Float64Slice
+	EndTime time.Time
+
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *VOLATILITY) Last() float64 {
+	if len(inc.Values) == 0 {
+		return 0.0
+	}
+	return inc.Values[len(inc.Values)-1]
+}
+
+func (inc *VOLATILITY) calculateAndUpdate(klines []types.KLine) {
+	if len(klines) < inc.Window {
+		return
+	}
+
+	var end = len(klines) - 1
+	var lastKLine = klines[end]
+
+	if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
+		return
+	}
+
+	var recentT = klines[end-(inc.Window-1) : end+1]
+
+	volatility, err := calculateVOLATILITY(recentT, inc.Window, KLineClosePriceMapper)
+	if err != nil {
+		log.WithError(err).Error("can not calculate volatility")
+		return
+	}
+	inc.Values.Push(volatility)
+
+	if len(inc.Values) > MaxNumOfVOL {
+		inc.Values = inc.Values[MaxNumOfVOLTruncateSize-1:]
+	}
+
+	inc.EndTime = klines[end].GetEndTime().Time()
+
+	inc.EmitUpdate(volatility)
+}
+
+func (inc *VOLATILITY) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *VOLATILITY) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}
+
+func calculateVOLATILITY(klines []types.KLine, window int, priceF KLinePriceMapper) (float64, error) {
+	length := len(klines)
+	if length == 0 || length < window {
+		return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
+	}
+
+	sum := 0.0
+	for _, k := range klines {
+		sum += priceF(k)
+	}
+
+	avg := sum / float64(window)
+	sv := 0.0 // sum of variance
+
+	for _, j := range klines {
+		// The use of Pow math function func Pow(x, y float64) float64
+		sv += math.Pow(priceF(j)-avg, 2)
+	}
+	// The use of Sqrt math function func Sqrt(x float64) float64
+	sd := math.Sqrt(sv / float64(len(klines)))
+	return sd, nil
+}

pkg/indicator/volatility_callbacks.go

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