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

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This commit is contained in:
zenix 2022-07-12 19:14:57 +09:00
parent 69b45e90e9
commit c51a99400d
18 changed files with 359 additions and 53 deletions
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41
config/drift.yaml
View File

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

5
go.mod
View File

@ -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

3
go.sum
View File

@ -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=

18
pkg/indicator/atr.go
View File

@ -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")

1
pkg/indicator/cci.go
View File

@ -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())
}

1
pkg/indicator/const.go
View File

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

17
pkg/indicator/dema.go
View File

@ -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

18
pkg/indicator/drift.go
View File

@ -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

16
pkg/indicator/ewma.go
View File

@ -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)

14
pkg/indicator/rma.go
View File

@ -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 {

10
pkg/indicator/sma.go
View File

@ -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) {

1
pkg/indicator/util.go
View File

@ -1,2 +1 @@
package indicator

119
pkg/strategy/drift/strategy.go
View File

@ -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.Bind(store)
s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 14}}
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)
s.drift.Update(hlc3.Float64())
var driftPred, atr 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 {
hlc3 = price
if source.Compare(price) < 0 {
source = price
}
if s.Market.IsDustQuantity(baseBalance.Available, hlc3) {
return
}
if !s.Position.IsClosed() && !s.Position.IsDust(hlc3) {
if s.Market.IsDustQuantity(baseBalance.Available, source) {
return
}
_, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimitMaker,
Price: hlc3,
StopPrice: hlc3.Add(fixedpoint.NewFromFloat(s.atr.Last() / 3)),
Price: source,
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 {
hlc3 = price
_, _ = s.ClosePosition(ctx)
}
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,
StopPrice: hlc3.Sub(fixedpoint.NewFromFloat(s.atr.Last() / 3)),
Quantity: quoteBalance.Available.Div(hlc3),
Price: source,
StopPrice: fixedpoint.NewFromFloat(sourcef - atr/2),
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

4
pkg/types/float_slice.go
View File

@ -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:]...)

94
pkg/types/indicator.go
View File

@ -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

26
pkg/types/indicator_test.go
View File

@ -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)
}

20
pkg/types/kline.go
View File

@ -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
}

4
pkg/types/seriesbase_imp.go
View File

@ -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)
}