feature: add plot for series. add autocorrelation. add clone for indicators/series

config/drift.yaml

@@ -14,23 +14,24 @@ exchangeStrategies:
     # kline interval for indicators
     interval: 15m
     window: 3
-    exits:
+    stoploss: 2%
-    - roiStopLoss:
+    #exits:
-       percentage: 0.8%
+    #- roiStopLoss:
-    - roiTakeProfit:
+    #   percentage: 0.8%
-       percentage: 35%
+    #- roiTakeProfit:
-    - protectiveStopLoss:
+    #   percentage: 35%
-       activationRatio: 0.6%
+    #- protectiveStopLoss:
-       stopLossRatio: 0.1%
+    #   activationRatio: 0.6%
-       placeStopOrder: false
+    #   stopLossRatio: 0.1%
-    - protectiveStopLoss:
+    #   placeStopOrder: false
-       activationRatio: 5%
+    #- protectiveStopLoss:
-       stopLossRatio: 1%
+    #   activationRatio: 5%
-       placeStopOrder: false
+    #   stopLossRatio: 1%
-    - cumulatedVolumeTakeProfit:
+    #   placeStopOrder: false
-       interval: 5m
+    #- cumulatedVolumeTakeProfit:
-       window: 2
+    #   interval: 5m
-       minQuoteVolume: 200_000_000
+    #   window: 2
+    #   minQuoteVolume: 200_000_000
     #- protectiveStopLoss:
     #    activationRatio: 2%
     #    stopLossRatio: 1%
@@ -53,8 +54,8 @@ backtest:
   sessions: [binance]
   accounts:
     binance:
-      #makerFeeRate: 0
+      #makerFeeRate: 0.00001
-      #takerFeeRate: 0
+      #takerFeeRate: 0.00001
       balances:
-        ETH: 0.0
+        ETH: 10.0
         USDT: 5000.0

go.mod

@@ -2,7 +2,7 @@
 
 module github.com/c9s/bbgo
 
-go 1.17
+go 1.18
 
 require (
 	github.com/DATA-DOG/go-sqlmock v1.5.0
@@ -43,6 +43,7 @@ require (
 	github.com/spf13/viper v1.7.1
 	github.com/stretchr/testify v1.7.0
 	github.com/valyala/fastjson v1.5.1
+	github.com/wcharczuk/go-chart/v2 v2.1.0
 	github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90
 	github.com/x-cray/logrus-prefixed-formatter v0.5.2
 	github.com/zserge/lorca v0.1.9
@@ -75,6 +76,7 @@ require (
 	github.com/go-test/deep v1.0.6 // indirect
 	github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9 // indirect
 	github.com/golang-sql/sqlexp v0.1.0 // indirect
+	github.com/golang/freetype v0.0.0-20170609003504-e2365dfdc4a0 // indirect
 	github.com/golang/mock v1.6.0 // indirect
 	github.com/golang/protobuf v1.5.2 // indirect
 	github.com/hashicorp/hcl v1.0.0 // indirect
@@ -117,6 +119,7 @@ require (
 	go.opentelemetry.io/otel/trace v0.19.0 // indirect
 	go.uber.org/atomic v1.9.0 // indirect
 	golang.org/x/crypto v0.0.0-20220525230936-793ad666bf5e // indirect
+	golang.org/x/image v0.0.0-20200927104501-e162460cd6b5 // indirect
 	golang.org/x/mod v0.5.1 // indirect
 	golang.org/x/net v0.0.0-20220403103023-749bd193bc2b // indirect
 	golang.org/x/sys v0.0.0-20220615213510-4f61da869c0c // indirect

go.sum

@@ -182,6 +182,7 @@ github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9 h1:au07oEsX2xN0kt
 github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9/go.mod h1:8vg3r2VgvsThLBIFL93Qb5yWzgyZWhEmBwUJWevAkK0=
 github.com/golang-sql/sqlexp v0.1.0 h1:ZCD6MBpcuOVfGVqsEmY5/4FtYiKz6tSyUv9LPEDei6A=
 github.com/golang-sql/sqlexp v0.1.0/go.mod h1:J4ad9Vo8ZCWQ2GMrC4UCQy1JpCbwU9m3EOqtpKwwwHI=
+github.com/golang/freetype v0.0.0-20170609003504-e2365dfdc4a0 h1:DACJavvAHhabrF08vX0COfcOBJRhZ8lUbR+ZWIs0Y5g=
 github.com/golang/freetype v0.0.0-20170609003504-e2365dfdc4a0/go.mod h1:E/TSTwGwJL78qG/PmXZO1EjYhfJinVAhrmmHX6Z8B9k=
 github.com/golang/glog v0.0.0-20160126235308-23def4e6c14b/go.mod h1:SBH7ygxi8pfUlaOkMMuAQtPIUF8ecWP5IEl/CR7VP2Q=
 github.com/golang/groupcache v0.0.0-20190129154638-5b532d6fd5ef/go.mod h1:cIg4eruTrX1D+g88fzRXU5OdNfaM+9IcxsU14FzY7Hc=
@@ -516,6 +517,7 @@ github.com/ugorji/go/codec v1.2.3 h1:/mVYEV+Jo3IZKeA5gBngN0AvNnQltEDkR+eQikkWQu0
 github.com/ugorji/go/codec v1.2.3/go.mod h1:5FxzDJIgeiWJZslYHPj+LS1dq1ZBQVelZFnjsFGI/Uc=
 github.com/valyala/fastjson v1.5.1 h1:SXaQZVSwLjZOVhDEhjiCcDtnX0Feu7Z7A1+C5atpoHM=
 github.com/valyala/fastjson v1.5.1/go.mod h1:CLCAqky6SMuOcxStkYQvblddUtoRxhYMGLrsQns1aXY=
+github.com/wcharczuk/go-chart/v2 v2.1.0 h1:tY2slqVQ6bN+yHSnDYwZebLQFkphK4WNrVwnt7CJZ2I=
 github.com/wcharczuk/go-chart/v2 v2.1.0/go.mod h1:yx7MvAVNcP/kN9lKXM/NTce4au4DFN99j6i1OwDclNA=
 github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90 h1:G/O1RFjhc9hgVYjaPQ0Oceqxf3GwRQl/5XEAWYetjmg=
 github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90/go.mod h1:rpXAuuHgyEJb6kXcXldlkOjU6y4x+YcASKKXJNUhh0Y=
@@ -584,6 +586,7 @@ golang.org/x/exp v0.0.0-20200224162631-6cc2880d07d6/go.mod h1:3jZMyOhIsHpP37uCMk
 golang.org/x/image v0.0.0-20180708004352-c73c2afc3b81/go.mod h1:ux5Hcp/YLpHSI86hEcLt0YII63i6oz57MZXIpbrjZUs=
 golang.org/x/image v0.0.0-20190227222117-0694c2d4d067/go.mod h1:kZ7UVZpmo3dzQBMxlp+ypCbDeSB+sBbTgSJuh5dn5js=
 golang.org/x/image v0.0.0-20190802002840-cff245a6509b/go.mod h1:FeLwcggjj3mMvU+oOTbSwawSJRM1uh48EjtB4UJZlP0=
+golang.org/x/image v0.0.0-20200927104501-e162460cd6b5 h1:QelT11PB4FXiDEXucrfNckHoFxwt8USGY1ajP1ZF5lM=
 golang.org/x/image v0.0.0-20200927104501-e162460cd6b5/go.mod h1:FeLwcggjj3mMvU+oOTbSwawSJRM1uh48EjtB4UJZlP0=
 golang.org/x/lint v0.0.0-20181026193005-c67002cb31c3/go.mod h1:UVdnD1Gm6xHRNCYTkRU2/jEulfH38KcIWyp/GAMgvoE=
 golang.org/x/lint v0.0.0-20190227174305-5b3e6a55c961/go.mod h1:wehouNa3lNwaWXcvxsM5YxQ5yQlVC4a0KAMCusXpPoU=

pkg/indicator/atr.go

@@ -22,6 +22,24 @@ type ATR struct {
 
 var _ types.SeriesExtend = &ATR{}
 
+func (inc *ATR) Clone() *ATR {
+	out := &ATR{
+		IntervalWindow:       inc.IntervalWindow,
+		PercentageVolatility: inc.PercentageVolatility[:],
+		PreviousClose:        inc.PreviousClose,
+		RMA:                  inc.RMA.Clone().(*RMA),
+		EndTime:              inc.EndTime,
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
+func (inc *ATR) TestUpdate(high, low, cloze float64) *ATR {
+	c := inc.Clone()
+	c.Update(high, low, cloze)
+	return c
+}
+
 func (inc *ATR) Update(high, low, cloze float64) {
 	if inc.Window <= 0 {
 		panic("window must be greater than 0")

pkg/indicator/cci.go

@@ -78,7 +78,6 @@ func (inc *CCI) Length() int {
 
 var _ types.SeriesExtend = &CCI{}
 
-
 func (inc *CCI) PushK(k types.KLine) {
 	inc.Update(k.High.Add(k.Low).Add(k.Close).Div(three).Float64())
 }

pkg/indicator/const.go

@@ -9,4 +9,3 @@ import (
 var three = fixedpoint.NewFromInt(3)
 
 var zeroTime = time.Time{}
-

pkg/indicator/dema.go

@@ -18,6 +18,23 @@ type DEMA struct {
 	UpdateCallbacks []func(value float64)
 }
 
+func (inc *DEMA) Clone() *DEMA {
+	out := &DEMA{
+		IntervalWindow: inc.IntervalWindow,
+		Values:         inc.Values[:],
+		a1:             inc.a1.Clone(),
+		a2:             inc.a2.Clone(),
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
+func (inc *DEMA) TestUpdate(value float64) *DEMA {
+	out := inc.Clone()
+	out.Update(value)
+	return out
+}
+
 func (inc *DEMA) Update(value float64) {
 	if len(inc.Values) == 0 {
 		inc.SeriesBase.Series = inc

pkg/indicator/drift.go

@@ -45,6 +45,24 @@ func (inc *Drift) Update(value float64) {
 	}
 }
 
+func (inc *Drift) Clone() (out *Drift) {
+	out = &Drift{
+		IntervalWindow: inc.IntervalWindow,
+		chng:           inc.chng.Clone(),
+		Values:         inc.Values[:],
+		SMA:            inc.SMA.Clone().(*SMA),
+		LastValue:      inc.LastValue,
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
+func (inc *Drift) TestUpdate(value float64) *Drift {
+	out := inc.Clone()
+	out.Update(value)
+	return out
+}
+
 func (inc *Drift) Index(i int) float64 {
 	if inc.Values == nil {
 		return 0

pkg/indicator/ewma.go

@@ -23,6 +23,22 @@ type EWMA struct {
 
 var _ types.SeriesExtend = &EWMA{}
 
+func (inc *EWMA) Clone() *EWMA {
+	out := &EWMA{
+		IntervalWindow: inc.IntervalWindow,
+		Values:         inc.Values[:],
+		LastOpenTime:   inc.LastOpenTime,
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
+func (inc *EWMA) TestUpdate(value float64) *EWMA {
+	out := inc.Clone()
+	out.Update(value)
+	return out
+}
+
 func (inc *EWMA) Update(value float64) {
 	var multiplier = 2.0 / float64(1+inc.Window)
 

pkg/indicator/rma.go

@@ -25,6 +25,20 @@ type RMA struct {
 	updateCallbacks []func(value float64)
 }
 
+func (inc *RMA) Clone() types.UpdatableSeriesExtend {
+	out := &RMA{
+		IntervalWindow: inc.IntervalWindow,
+		Values:         inc.Values[:],
+		counter:        inc.counter,
+		Adjust:         inc.Adjust,
+		tmp:            inc.tmp,
+		sum:            inc.sum,
+		EndTime:        inc.EndTime,
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
 func (inc *RMA) Update(x float64) {
 	lambda := 1 / float64(inc.Window)
 	if inc.counter == 0 {

pkg/indicator/sma.go

@@ -40,6 +40,16 @@ func (inc *SMA) Length() int {
 	return inc.Values.Length()
 }
 
+func (inc *SMA) Clone() types.UpdatableSeriesExtend {
+	out := &SMA{
+		Values:    inc.Values[:],
+		rawValues: types.Clone(inc.rawValues).(*types.Queue),
+		EndTime:   inc.EndTime,
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
 var _ types.SeriesExtend = &SMA{}
 
 func (inc *SMA) Update(value float64) {

pkg/indicator/util.go

@@ -1,2 +1 @@
 package indicator
-

pkg/strategy/drift/strategy.go

@@ -7,6 +7,7 @@ import (
 	"sync"
 
 	"github.com/sirupsen/logrus"
+	"github.com/wcharczuk/go-chart/v2"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
@@ -35,11 +36,13 @@ type Strategy struct {
 	*types.ProfitStats
 	*types.TradeStats
 
-	drift    types.UpdatableSeriesExtend
+	drift    *indicator.Drift
 	atr      *indicator.ATR
 	midPrice fixedpoint.Value
 	lock     sync.RWMutex
 
+	stoploss float64 `json:"stoploss"`
+
 	ExitMethods bbgo.ExitMethodSet `json:"exits"`
 	Session     *bbgo.ExchangeSession
 	*bbgo.GeneralOrderExecutor
@@ -69,6 +72,7 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 }
 
 var Three fixedpoint.Value = fixedpoint.NewFromInt(3)
+var Two fixedpoint.Value = fixedpoint.NewFromInt(2)
 
 func (s *Strategy) GetLastPrice() (lastPrice fixedpoint.Value) {
 	var ok bool
@@ -98,6 +102,9 @@ var Delta fixedpoint.Value = fixedpoint.NewFromFloat(0.01)
 
 func (s *Strategy) ClosePosition(ctx context.Context) (*types.Order, bool) {
 	order := s.Position.NewMarketCloseOrder(fixedpoint.One)
+	if order == nil {
+		return nil, false
+	}
 	order.TimeInForce = ""
 	balances := s.Session.GetAccount().Balances()
 	baseBalance := balances[s.Market.BaseCurrency].Available
@@ -133,7 +140,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	}
 
 	if s.TradeStats == nil {
-		s.TradeStats = &types.TradeStats{}
+		s.TradeStats = types.NewTradeStats(s.Symbol)
 	}
 
 	// StrategyController
@@ -165,9 +172,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 
 	store, _ := session.MarketDataStore(s.Symbol)
 
+	getSource := func(kline *types.KLine) fixedpoint.Value {
+		//return kline.High.Add(kline.Low).Div(Two)
+		//return kline.Close
+		return kline.High.Add(kline.Low).Add(kline.Close).Div(Three)
+	}
+
 	s.drift = &indicator.Drift{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.Window}}
-	s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 34}}
+	s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 14}}
-	s.atr.Bind(store)
 
 	klines, ok := store.KLinesOfInterval(s.Interval)
 	if !ok {
@@ -175,7 +187,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		return nil
 	}
 	for _, kline := range *klines {
-		s.drift.Update(kline.High.Add(kline.Low).Add(kline.Close).Div(Three).Float64())
+		source := getSource(&kline).Float64()
+		s.drift.Update(source)
 		s.atr.Update(kline.High.Float64(), kline.Low.Float64(), kline.Close.Float64())
 	}
 
@@ -198,17 +211,46 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		}
 	})
 
+	dynamicKLine := &types.KLine{}
+	priceLine := types.NewQueue(100)
+
 	session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
 		if s.Status != types.StrategyStatusRunning {
 			return
 		}
-		if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
+		if kline.Symbol != s.Symbol {
 			return
 		}
-		hlc3 := kline.High.Add(kline.Low).Add(kline.Close).Div(Three)
+		var driftPred, atr float64
-		s.drift.Update(hlc3.Float64())
+		var drift []float64
+
+		if !kline.Closed {
+			return
+		}
+		if kline.Interval == types.Interval1m {
+			return
+		}
+		dynamicKLine.Copy(&kline)
+
+		source := getSource(dynamicKLine)
+		sourcef := source.Float64()
+		priceLine.Update(sourcef)
+		dynamicKLine.Closed = false
+		s.drift.Update(sourcef)
+		drift = s.drift.Array(2)
+		driftPred = s.drift.Predict(3)
+		atr = s.atr.Last()
 		price := s.GetLastPrice()
-		if s.drift.Last() < 0 && s.drift.Index(1) > 0 {
+		avg := s.Position.AverageCost.Float64()
+
+		shortCondition := (driftPred <= 0 && drift[0] <= 0) && (s.Position.IsClosed() || s.Position.IsDust(fixedpoint.Max(price, source)))
+		longCondition := (driftPred >= 0 && drift[0] >= 0) && (s.Position.IsClosed() || s.Position.IsDust(fixedpoint.Min(price, source)))
+		exitShortCondition := ((drift[1] < 0 && drift[0] >= 0) || avg+atr/2 <= price.Float64() || avg*(1.+s.stoploss) <= price.Float64()) &&
+			(!s.Position.IsClosed() && !s.Position.IsDust(fixedpoint.Max(price, source)))
+		exitLongCondition := ((drift[1] > 0 && drift[0] < 0) || avg-atr/2 >= price.Float64() || avg*(1.-s.stoploss) >= price.Float64()) &&
+			(!s.Position.IsClosed() && !s.Position.IsDust(fixedpoint.Min(price, source)))
+
+		if shortCondition {
 			if s.ActiveOrderBook.NumOfOrders() > 0 {
 				if err := s.GeneralOrderExecutor.GracefulCancelActiveOrderBook(ctx, s.ActiveOrderBook); err != nil {
 					log.WithError(err).Errorf("cannot cancel orders")
@@ -220,22 +262,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 				log.Errorf("unable to get baseBalance")
 				return
 			}
-			if hlc3.Compare(price) < 0 {
+			if source.Compare(price) < 0 {
-				hlc3 = price
+				source = price
 			}
 
-			if s.Market.IsDustQuantity(baseBalance.Available, hlc3) {
+			if s.Market.IsDustQuantity(baseBalance.Available, source) {
-				return
-			}
-			if !s.Position.IsClosed() && !s.Position.IsDust(hlc3) {
 				return
 			}
 			_, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
 				Symbol:    s.Symbol,
 				Side:      types.SideTypeSell,
 				Type:      types.OrderTypeLimitMaker,
-				Price:     hlc3,
+				Price:     source,
-				StopPrice: hlc3.Add(fixedpoint.NewFromFloat(s.atr.Last() / 3)),
+				StopPrice: fixedpoint.NewFromFloat(sourcef + atr/2),
 				Quantity:  baseBalance.Available,
 			})
 			if err != nil {
@@ -243,15 +282,24 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 				return
 			}
 		}
-		if s.drift.Last() > 0 && s.drift.Index(1) < 0 {
+		if exitShortCondition {
 			if s.ActiveOrderBook.NumOfOrders() > 0 {
 				if err := s.GeneralOrderExecutor.GracefulCancelActiveOrderBook(ctx, s.ActiveOrderBook); err != nil {
 					log.WithError(err).Errorf("cannot cancel orders")
 					return
 				}
 			}
-			if hlc3.Compare(price) > 0 {
+			_, _ = s.ClosePosition(ctx)
-				hlc3 = price
+		}
+		if longCondition {
+			if s.ActiveOrderBook.NumOfOrders() > 0 {
+				if err := s.GeneralOrderExecutor.GracefulCancelActiveOrderBook(ctx, s.ActiveOrderBook); err != nil {
+					log.WithError(err).Errorf("cannot cancel orders")
+					return
+				}
+			}
+			if source.Compare(price) > 0 {
+				source = price
 			}
 			quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
 			if !ok {
@@ -259,29 +307,50 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 				return
 			}
 			if s.Market.IsDustQuantity(
-				quoteBalance.Available.Div(hlc3), hlc3) {
+				quoteBalance.Available.Div(source), source) {
 				return
 			}
-			if !s.Position.IsClosed() && !s.Position.IsDust(hlc3) {
+			if !s.Position.IsClosed() && !s.Position.IsDust(source) {
 				return
 			}
 			_, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
 				Symbol:    s.Symbol,
 				Side:      types.SideTypeBuy,
 				Type:      types.OrderTypeLimitMaker,
-				Price:     hlc3,
+				Price:     source,
-				StopPrice: hlc3.Sub(fixedpoint.NewFromFloat(s.atr.Last() / 3)),
+				StopPrice: fixedpoint.NewFromFloat(sourcef - atr/2),
-				Quantity:  quoteBalance.Available.Div(hlc3),
+				Quantity:  quoteBalance.Available.Div(source),
 			})
 			if err != nil {
 				log.WithError(err).Errorf("cannot place buy order")
 				return
 			}
 		}
+		if exitLongCondition {
+			if s.ActiveOrderBook.NumOfOrders() > 0 {
+				if err := s.GeneralOrderExecutor.GracefulCancelActiveOrderBook(ctx, s.ActiveOrderBook); err != nil {
+					log.WithError(err).Errorf("cannot cancel orders")
+					return
+				}
+			}
+			_, _ = s.ClosePosition(ctx)
+		}
 	})
 
 	bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
 		_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
+		canvas := types.NewCanvas(s.InstanceID(), s.Interval)
+		fmt.Println(dynamicKLine.StartTime, dynamicKLine.EndTime)
+		mean := priceLine.Mean(100)
+		highestPrice := priceLine.Highest(100)
+		highestDrift := s.drift.Highest(100)
+		ratio := highestDrift / highestPrice
+		canvas.Plot("drift", s.drift, dynamicKLine.StartTime, 100)
+		canvas.Plot("zero", types.NumberSeries(0), dynamicKLine.StartTime, 100)
+		canvas.Plot("price", priceLine.Minus(mean).Mul(ratio), dynamicKLine.StartTime, 100)
+		f, _ := os.Create("output.png")
+		defer f.Close()
+		canvas.Render(chart.PNG, f)
 		wg.Done()
 	})
 	return nil

pkg/types/float_slice.go

@@ -12,6 +12,10 @@ func (s *Float64Slice) Push(v float64) {
 	*s = append(*s, v)
 }
 
+func (s *Float64Slice) Update(v float64) {
+	*s = append(*s, v)
+}
+
 func (s *Float64Slice) Pop(i int64) (v float64) {
 	v = (*s)[i]
 	*s = append((*s)[:i], (*s)[i+1:]...)

pkg/types/indicator.go

@@ -3,9 +3,11 @@ package types
 import (
 	"fmt"
 	"math"
+	"time"
 	"reflect"
 
 	"gonum.org/v1/gonum/stat"
+	"github.com/wcharczuk/go-chart/v2"
 )
 
 // Super basic Series type that simply holds the float64 data
@@ -43,6 +45,15 @@ func (inc *Queue) Length() int {
 	return len(inc.arr)
 }
 
+func (inc *Queue) Clone() *Queue {
+	out := &Queue {
+		arr: inc.arr[:],
+		size: inc.size,
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
 func (inc *Queue) Update(v float64) {
 	inc.arr = append(inc.arr, v)
 	if len(inc.arr) > inc.size {
@@ -50,7 +61,7 @@ func (inc *Queue) Update(v float64) {
 	}
 }
 
-var _ SeriesExtend = &Queue{}
+var _ UpdatableSeriesExtend = &Queue{}
 
 // Float64Indicator is the indicators (SMA and EWMA) that we want to use are returning float64 data.
 type Float64Indicator interface {
@@ -93,6 +104,7 @@ type SeriesExtend interface {
 	Variance(length int) float64
 	Covariance(b Series, length int) float64
 	Correlation(b Series, length int, method ...CorrFunc) float64
+	AutoCorrelation(length int, lag ...int) float64
 	Rank(length int) SeriesExtend
 	Sigmoid() SeriesExtend
 	Softmax(window int) SeriesExtend
@@ -120,6 +132,24 @@ type UpdatableSeriesExtend interface {
 	Update(float64)
 }
 
+func Clone(u UpdatableSeriesExtend) UpdatableSeriesExtend {
+	method, ok := reflect.TypeOf(u).MethodByName("Clone")
+	if ok {
+		out := method.Func.Call([]reflect.Value{reflect.ValueOf(u)})
+		return out[0].Interface().(UpdatableSeriesExtend)
+	}
+	panic("method Clone not exist")
+}
+
+func TestUpdate(u UpdatableSeriesExtend, input float64) UpdatableSeriesExtend {
+	method, ok := reflect.TypeOf(u).MethodByName("TestUpdate")
+	if ok {
+		out := method.Func.Call([]reflect.Value{reflect.ValueOf(u), reflect.ValueOf(input)})
+		return out[0].Interface().(UpdatableSeriesExtend)
+	}
+	panic("method TestUpdate not exist")
+}
+
 // The interface maps to pinescript basic type `series` for bool type
 // Access the internal historical data from the latest to the oldest
 // Index(0) always maps to Last()
@@ -335,6 +365,10 @@ func (a NumberSeries) Length() int {
 	return math.MaxInt32
 }
 
+func (a NumberSeries) Clone() NumberSeries {
+	return a
+}
+
 var _ Series = NumberSeries(0)
 
 type AddSeriesResult struct {
@@ -601,7 +635,7 @@ func Array(a Series, limit ...int) (result []float64) {
 	if len(limit) > 0 {
 		l = limit[0]
 	}
-	if l < a.Length() {
+	if l > a.Length() {
 		l = a.Length()
 	}
 	result = make([]float64, l)
@@ -621,7 +655,7 @@ func Reverse(a Series, limit ...int) (result Float64Slice) {
 	if len(limit) > 0 {
 		l = limit[0]
 	}
-	if l < a.Length() {
+	if l > a.Length() {
 		l = a.Length()
 	}
 	result = make([]float64, l)
@@ -817,6 +851,17 @@ func Correlation(a Series, b Series, length int, method ...CorrFunc) float64 {
 	return runner(a, b, length)
 }
 
+// similar to pandas.Series.autocorr() function.
+//
+// The method computes the Pearson correlation between Series and shifted itself
+func AutoCorrelation(a Series, length int, lags ...int) float64 {
+	lag := 1
+	if len(lags) > 0 {
+		lag = lags[0]
+	}
+	return Pearson(a, Shift(a, lag), length)
+}
+
 // similar to pandas.Series.cov() function with ddof=0
 //
 // Compute covariance with Series
@@ -1118,4 +1163,47 @@ func (l *LogisticRegressionModel) Predict(x []float64) float64 {
 	return sigmoid(z + l.Gradient)
 }
 
+type Canvas struct {
+	chart.Chart
+	Interval Interval
+}
+
+func NewCanvas(title string, interval Interval) *Canvas {
+	valueFormatter := chart.TimeValueFormatter
+	if interval.Minutes() > 24 * 60 {
+		valueFormatter = chart.TimeDateValueFormatter
+	} else if interval.Minutes() > 60 {
+		valueFormatter = chart.TimeHourValueFormatter
+	} else {
+		valueFormatter = chart.TimeMinuteValueFormatter
+	}
+	out := &Canvas {
+		Chart: chart.Chart {
+			Title: title,
+			XAxis: chart.XAxis{
+				ValueFormatter: valueFormatter,
+			},
+		},
+		Interval: interval,
+	}
+	out.Chart.Elements = []chart.Renderable{
+		chart.LegendLeft(&out.Chart),
+	}
+	return out
+}
+
+func (canvas *Canvas) Plot(tag string, a Series, endTime Time, length int) {
+	var timeline []time.Time
+	e := endTime.Time()
+	for i := length - 1; i >= 0; i-- {
+		shiftedT := e.Add(-time.Duration(i * canvas.Interval.Minutes()) * time.Minute)
+		timeline = append(timeline, shiftedT)
+	}
+	canvas.Series = append(canvas.Series, chart.TimeSeries{
+		Name: tag,
+		YValues: Reverse(a, length),
+		XValues: timeline,
+	})
+}
+
 // TODO: ta.linreg

pkg/types/indicator_test.go

@@ -1,9 +1,13 @@
 package types
 
 import (
+	//"os"
+	"testing"
+	"time"
+
 	"github.com/stretchr/testify/assert"
 	"gonum.org/v1/gonum/stat"
-	"testing"
+	"github.com/wcharczuk/go-chart/v2"
 )
 
 func TestFloat(t *testing.T) {
@@ -144,3 +148,23 @@ func TestDot(t *testing.T) {
 	out3 := Dot(3., &a, 2)
 	assert.InDelta(t, out2, out3, 0.001)
 }
+
+func TestClone(t *testing.T) {
+	a := NewQueue(3)
+	a.Update(3.)
+	b := Clone(a)
+	b.Update(4.)
+	assert.Equal(t, a.Last(), 3.)
+	assert.Equal(t, b.Last(), 4.)
+}
+
+func TestPlot(t *testing.T) {
+	ct := NewCanvas("test", Interval5m)
+	a := Float64Slice{200., 205., 230., 236}
+	ct.Plot("test", &a, Time(time.Now()), 4)
+	assert.Equal(t, ct.Interval, Interval5m)
+	assert.Equal(t, ct.Series[0].(chart.TimeSeries).Len(), 4)
+	//f, _ := os.Create("output.png")
+	//defer f.Close()
+	//ct.Render(chart.PNG, f)
+}

pkg/types/kline.go

@@ -71,6 +71,26 @@ type KLine struct {
 	Closed         bool   `json:"closed" db:"closed"`
 }
 
+func (k *KLine) Copy(o *KLine) {
+	k.GID = o.GID
+	k.Exchange = o.Exchange
+	k.Symbol = o.Symbol
+	k.StartTime = o.StartTime
+	k.EndTime = o.EndTime
+	k.Interval = o.Interval
+	k.Open = o.Open
+	k.Close = o.Close
+	k.High = o.High
+	k.Low = o.Low
+	k.Volume = o.Volume
+	k.QuoteVolume = o.QuoteVolume
+	k.TakerBuyBaseAssetVolume = o.TakerBuyBaseAssetVolume
+	k.TakerBuyQuoteAssetVolume = o.TakerBuyQuoteAssetVolume
+	k.LastTradeID = o.LastTradeID
+	k.NumberOfTrades = o.NumberOfTrades
+	k.Closed = o.Closed
+}
+
 func (k KLine) GetStartTime() Time {
 	return k.StartTime
 }

pkg/types/seriesbase_imp.go

@@ -121,6 +121,10 @@ func (s *SeriesBase) Correlation(b Series, length int, method ...CorrFunc) float
 	return Correlation(s, b, length, method...)
 }
 
+func (s *SeriesBase) AutoCorrelation(length int, lag ...int) float64 {
+	return AutoCorrelation(s, length, lag...)
+}
+
 func (s *SeriesBase) Rank(length int) SeriesExtend {
 	return Rank(s, length)
 }