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Merge pull request #437 from jessy1092/enhance-boll-indicator

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indicator: Support difference bandwidth on boll indicator and can dynamic create BOLL
This commit is contained in:
Yo-An Lin 2022-04-25 13:43:02 +08:00 committed by GitHub
commit b94b9e1b73
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2 changed files with 29 additions and 9 deletions
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33
pkg/bbgo/session.go
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@ -39,7 +39,7 @@ type StandardIndicatorSet struct {
// interval -> window
sma map[types.IntervalWindow]*indicator.SMA
ewma map[types.IntervalWindow]*indicator.EWMA
boll map[types.IntervalWindow]*indicator.BOLL
boll map[types.IntervalWindowBandWidth]*indicator.BOLL
stoch map[types.IntervalWindow]*indicator.STOCH
volatility map[types.IntervalWindow]*indicator.VOLATILITY
@ -51,7 +51,7 @@ func NewStandardIndicatorSet(symbol string, store *MarketDataStore) *StandardInd
Symbol: symbol,
sma: make(map[types.IntervalWindow]*indicator.SMA),
ewma: make(map[types.IntervalWindow]*indicator.EWMA),
boll: make(map[types.IntervalWindow]*indicator.BOLL),
boll: make(map[types.IntervalWindowBandWidth]*indicator.BOLL),
stoch: make(map[types.IntervalWindow]*indicator.STOCH),
volatility: make(map[types.IntervalWindow]*indicator.VOLATILITY),
store: store,
@ -84,22 +84,37 @@ func NewStandardIndicatorSet(symbol string, store *MarketDataStore) *StandardInd
// 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.boll[iw] = &indicator.BOLL{IntervalWindow: iw, K: 2.0}
set.boll[iw].Bind(store)
iwTmp := types.IntervalWindow{Interval: interval, Window: 21}
iwb := types.IntervalWindowBandWidth{IntervalWindow: iwTmp, BandWidth: 1.0}
set.boll[iwb] = &indicator.BOLL{IntervalWindow: iwTmp, K: 1.0}
set.boll[iwb].Bind(store)
}
return set
}
// BOLL returns the bollinger band indicator of the given interval and the window,
// Please note that the K for std dev is fixed and defaults to 2.0
// 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 {
inc, ok := set.boll[iw]
iwb := types.IntervalWindowBandWidth{IntervalWindow: iw, BandWidth: bandWidth}
inc, ok := set.boll[iwb]
if !ok {
inc = &indicator.BOLL{IntervalWindow: iw, K: bandWidth}
// Bind tmp data store
tmpDataStore := NewMarketDataStore("TMP")
inc.Bind(tmpDataStore)
// Trigger tmp data store to calculate indicator
Klines := set.store.KLineWindows[iw.Interval]
for _, kline := range Klines {
tmpDataStore.AddKLine(kline)
}
// Bind real store
inc.Bind(set.store)
set.boll[iw] = inc
set.boll[iwb] = inc
}
return inc

5
pkg/types/interval.go
View File

@ -75,6 +75,11 @@ type IntervalWindow struct {
Window int `json:"window"`
}
type IntervalWindowBandWidth struct {
IntervalWindow
BandWidth float64 `json:"bandWidth"`
}
func (iw IntervalWindow) String() string {
return fmt.Sprintf("%s (%d)", iw.Interval, iw.Window)
}