mirror of
https://github.com/c9s/bbgo.git
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Add pvd strategy
This commit is contained in:
parent
da6161ddda
commit
ad1a98c1b4
21
config/pvdot.yaml
Normal file
21
config/pvdot.yaml
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@ -0,0 +1,21 @@
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---
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notifications:
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slack:
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defaultChannel: "bbgo"
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errorChannel: "bbgo-error"
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exchangeStrategies:
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- on: max
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pvdot:
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window: 720
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interval: 1m
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baseCurrency: TWD
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quoteCurrencies:
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- BTC
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- ETH
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ignoreLocked: true
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threshold: 2%
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# max amount to buy or sell per order
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maxAmount: 10_000
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verbose: true
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dryRun: true
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@ -22,6 +22,7 @@ import (
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_ "github.com/c9s/bbgo/pkg/strategy/pivotshort"
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_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
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_ "github.com/c9s/bbgo/pkg/strategy/pricedrop"
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_ "github.com/c9s/bbgo/pkg/strategy/pvd"
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_ "github.com/c9s/bbgo/pkg/strategy/rebalance"
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_ "github.com/c9s/bbgo/pkg/strategy/rsmaker"
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_ "github.com/c9s/bbgo/pkg/strategy/schedule"
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108
pkg/strategy/pvd/index.go
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108
pkg/strategy/pvd/index.go
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@ -0,0 +1,108 @@
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package pvd
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import (
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"context"
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"fmt"
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"time"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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var zeroTime time.Time
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type PVDotSet struct {
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types.IntervalWindow
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session *bbgo.ExchangeSession
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BaseCurrency string
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QuoteCurrencies []string
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Indicators map[string]*PVDot
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}
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func (i *PVDotSet) InitIndicators(ctx context.Context) error {
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i.Indicators = make(map[string]*PVDot)
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for _, quoteCurrency := range i.QuoteCurrencies {
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symbol := quoteCurrency + i.BaseCurrency
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i.Indicators[quoteCurrency] = &PVDot{Symbol: symbol, IntervalWindow: i.IntervalWindow}
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}
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fmt.Println(i.QuoteCurrencies)
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for _, indicator := range i.Indicators {
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endTime := time.Now()
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options := types.KLineQueryOptions{Limit: i.Window, EndTime: &endTime}
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klines, err := i.session.Exchange.QueryKLines(ctx, indicator.Symbol, i.Interval, options)
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if err != nil {
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return err
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}
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indicator.UpdateFromKLines(klines)
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}
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return nil
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}
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func (i *PVDotSet) getIndicator(symbol string) (*PVDot, error) {
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for _, indicator := range i.Indicators {
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if symbol == indicator.Symbol {
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return indicator, nil
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}
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}
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return nil, fmt.Errorf("indicator with symbol: %s not found", symbol)
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}
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func (i *PVDotSet) Update(kline types.KLine) error {
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inc, err := i.getIndicator(kline.Symbol)
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if err != nil {
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return err
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}
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klines := []types.KLine{kline}
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inc.UpdateFromKLines(klines)
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return nil
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}
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func (i *PVDotSet) TargetWeights() map[string]fixedpoint.Value {
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targetWeights := make(map[string]fixedpoint.Value)
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for quoteCurrency, indicator := range i.Indicators {
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targetWeights[quoteCurrency] = fixedpoint.NewFromFloat(indicator.Last())
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}
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return Normalize(targetWeights)
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}
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// price volume avg
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type PVDot struct {
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Symbol string
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types.IntervalWindow
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Values types.Float64Slice
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Prices types.Float64Slice
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Volumes types.Float64Slice
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EndTime time.Time
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UpdateCallbacks []func(value float64)
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}
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func (inc *PVDot) Last() float64 {
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if len(inc.Values) == 0 {
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return 0
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}
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return inc.Values[len(inc.Values)-1]
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}
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func (inc *PVDot) Update(price, volume float64) {
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inc.Prices.Push(price)
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inc.Volumes.Push(volume)
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pva := inc.Prices.Tail(inc.Window).Dot(inc.Volumes.Tail(inc.Window)) / float64(inc.Window)
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inc.Values.Push(pva)
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}
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func (inc *PVDot) UpdateFromKLines(klines []types.KLine) {
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for _, k := range klines {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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continue
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}
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inc.Update(k.Close.Float64(), k.Volume.Float64())
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}
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inc.EndTime = klines[len(klines)-1].EndTime.Time()
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}
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237
pkg/strategy/pvd/strategy.go
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237
pkg/strategy/pvd/strategy.go
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@ -0,0 +1,237 @@
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package pvd
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import (
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"context"
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"fmt"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "pvdot"
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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func Sum(m map[string]fixedpoint.Value) fixedpoint.Value {
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sum := fixedpoint.NewFromFloat(0.0)
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for _, v := range m {
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sum = sum.Add(v)
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}
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return sum
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}
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func Normalize(m map[string]fixedpoint.Value) map[string]fixedpoint.Value {
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sum := Sum(m)
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if sum.Float64() == 1.0 {
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return m
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}
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normalized := make(map[string]fixedpoint.Value)
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for k, v := range m {
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normalized[k] = v.Div(sum)
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}
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return normalized
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}
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func ElementwiseProduct(m1, m2 map[string]fixedpoint.Value) map[string]fixedpoint.Value {
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m := make(map[string]fixedpoint.Value)
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for k, v := range m1 {
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m[k] = v.Mul(m2[k])
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}
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return m
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}
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type Strategy struct {
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Notifiability *bbgo.Notifiability
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Interval types.Interval `json:"interval"`
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Window int `json:"window"`
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BaseCurrency string `json:"baseCurrency"`
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QuoteCurrencies []string `json:"quoteCurrencies"`
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Threshold fixedpoint.Value `json:"threshold"`
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IgnoreLocked bool `json:"ignoreLocked"`
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Verbose bool `json:"verbose"`
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DryRun bool `json:"dryRun"`
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// max amount to buy or sell per order
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MaxAmount fixedpoint.Value `json:"maxAmount"`
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set PVDotSet
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) Validate() error {
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if s.Threshold.Sign() < 0 {
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return fmt.Errorf("threshold should not less than 0")
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}
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if s.MaxAmount.Sign() < 0 {
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return fmt.Errorf("maxAmount shoud not less than 0")
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}
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return nil
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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for _, symbol := range s.getSymbols() {
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session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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iw := types.IntervalWindow{Interval: s.Interval, Window: s.Window}
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s.set = PVDotSet{IntervalWindow: iw, session: session, BaseCurrency: s.BaseCurrency, QuoteCurrencies: s.QuoteCurrencies}
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err := s.set.InitIndicators(ctx)
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if err != nil {
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return err
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}
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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s.set.Update(kline)
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s.rebalance(ctx, orderExecutor, session)
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})
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return nil
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}
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func (s *Strategy) rebalance(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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targetWeights := s.set.TargetWeights()
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prices, err := s.getPrices(ctx, session, targetWeights)
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if err != nil {
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return
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}
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balances := session.Account.Balances()
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quantities := s.getQuantities(balances, targetWeights)
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marketValues := ElementwiseProduct(prices, quantities)
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orders := s.generateSubmitOrders(prices, marketValues, targetWeights)
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for _, order := range orders {
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log.Infof("generated submit order: %s", order.String())
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}
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if s.DryRun {
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return
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}
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_, err = orderExecutor.SubmitOrders(ctx, orders...)
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if err != nil {
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log.WithError(err).Error("submit order error")
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return
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}
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}
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func (s *Strategy) getPrices(ctx context.Context, session *bbgo.ExchangeSession, targetWeights map[string]fixedpoint.Value) (map[string]fixedpoint.Value, error) {
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prices := make(map[string]fixedpoint.Value)
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for currency := range targetWeights {
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if currency == s.BaseCurrency {
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prices[currency] = fixedpoint.One
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continue
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}
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symbol := currency + s.BaseCurrency
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ticker, err := session.Exchange.QueryTicker(ctx, symbol)
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if err != nil {
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s.Notifiability.Notify("query ticker error: %s", err.Error())
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log.WithError(err).Error("query ticker error")
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return prices, err
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}
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prices[currency] = ticker.Last
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}
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return prices, nil
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}
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func (s *Strategy) getQuantities(balances types.BalanceMap, targetWeights map[string]fixedpoint.Value) map[string]fixedpoint.Value {
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quantities := make(map[string]fixedpoint.Value)
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for currency := range targetWeights {
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if s.IgnoreLocked {
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quantities[currency] = balances[currency].Total()
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} else {
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quantities[currency] = balances[currency].Available
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}
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}
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return quantities
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}
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func (s *Strategy) generateSubmitOrders(prices, marketValues map[string]fixedpoint.Value, targetWeights map[string]fixedpoint.Value) []types.SubmitOrder {
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var submitOrders []types.SubmitOrder
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currentWeights := Normalize(marketValues)
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totalValue := Sum(marketValues)
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log.Infof("total value: %f", totalValue.Float64())
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for currency, targetWeight := range targetWeights {
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if currency == s.BaseCurrency {
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continue
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}
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symbol := currency + s.BaseCurrency
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currentWeight := currentWeights[currency]
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currentPrice := prices[currency]
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log.Infof("%s price: %v, current weight: %v, target weight: %v",
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symbol,
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currentPrice,
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currentWeight,
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targetWeight)
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// calculate the difference between current weight and target weight
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// if the difference is less than threshold, then we will not create the order
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weightDifference := targetWeight.Sub(currentWeight)
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if weightDifference.Abs().Compare(s.Threshold) < 0 {
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log.Infof("%s weight distance |%v - %v| = |%v| less than the threshold: %v",
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symbol,
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currentWeight,
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targetWeight,
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weightDifference,
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s.Threshold)
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continue
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}
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quantity := weightDifference.Mul(totalValue).Div(currentPrice)
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side := types.SideTypeBuy
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if quantity.Sign() < 0 {
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side = types.SideTypeSell
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quantity = quantity.Abs()
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}
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if s.MaxAmount.Sign() > 0 {
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, currentPrice, s.MaxAmount)
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log.Infof("adjust the quantity %v (%s %s @ %v) by max amount %v",
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quantity,
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symbol,
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side.String(),
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currentPrice,
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s.MaxAmount)
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}
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order := types.SubmitOrder{
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Symbol: symbol,
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Side: side,
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Type: types.OrderTypeMarket,
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Quantity: quantity}
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submitOrders = append(submitOrders, order)
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}
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return submitOrders
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}
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func (s *Strategy) getSymbols() []string {
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var symbols []string
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for _, c := range s.QuoteCurrencies {
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symbols = append(symbols, c+s.BaseCurrency)
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}
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return symbols
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}
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119
pkg/types/float_slice.go
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119
pkg/types/float_slice.go
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@ -0,0 +1,119 @@
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package types
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import "math"
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type Float64Slice []float64
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func (s *Float64Slice) Push(v float64) {
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*s = append(*s, v)
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}
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func (s *Float64Slice) Pop(i int64) (v float64) {
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v = (*s)[i]
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*s = append((*s)[:i], (*s)[i+1:]...)
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return v
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}
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func (s Float64Slice) Max() float64 {
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m := -math.MaxFloat64
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for _, v := range s {
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m = math.Max(m, v)
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}
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return m
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}
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func (s Float64Slice) Min() float64 {
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m := math.MaxFloat64
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for _, v := range s {
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m = math.Min(m, v)
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}
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return m
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}
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func (s Float64Slice) Sum() (sum float64) {
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for _, v := range s {
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sum += v
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}
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return sum
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}
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func (s Float64Slice) Mean() (mean float64) {
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return s.Sum() / float64(len(s))
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}
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func (s Float64Slice) Tail(size int) Float64Slice {
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length := len(s)
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if length <= size {
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win := make(Float64Slice, length)
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copy(win, s)
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return win
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}
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win := make(Float64Slice, size)
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copy(win, s[length-size:])
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return win
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}
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func (s Float64Slice) Diff() Float64Slice {
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var values Float64Slice
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for i, v := range s {
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if i == 0 {
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values.Push(0)
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continue
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}
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values.Push(v - s[i-1])
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}
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return values
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}
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func (s Float64Slice) PositiveValuesOrZero() Float64Slice {
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var values Float64Slice
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for _, v := range s {
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values.Push(math.Max(v, 0))
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}
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return values
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}
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func (s Float64Slice) NegativeValuesOrZero() Float64Slice {
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var values Float64Slice
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for _, v := range s {
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values.Push(math.Min(v, 0))
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}
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return values
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}
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func (s Float64Slice) AbsoluteValues() Float64Slice {
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var values Float64Slice
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for _, v := range s {
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values.Push(math.Abs(v))
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}
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return values
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}
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func (s Float64Slice) MulScalar(x float64) Float64Slice {
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var values Float64Slice
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for _, v := range s {
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values.Push(v * x)
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}
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return values
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}
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func (s Float64Slice) DivScalar(x float64) Float64Slice {
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var values Float64Slice
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for _, v := range s {
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values.Push(v / x)
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}
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return values
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}
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func (s Float64Slice) ElementwiseProduct(other Float64Slice) Float64Slice {
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var values Float64Slice
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for i, v := range s {
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values.Push(v * other[i])
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}
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return values
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}
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func (s Float64Slice) Dot(other Float64Slice) float64 {
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return s.ElementwiseProduct(other).Sum()
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}
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