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Code Issues Actions 2 Packages Projects Releases Wiki Activity

fix market data kline registration

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This commit is contained in:
c9s 2020-12-05 13:32:16 +08:00
parent 900f822559
commit c5d002a0b0
5 changed files with 14 additions and 10 deletions
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2
config/buyandhold.yaml
View File

@ -59,4 +59,4 @@ exchangeStrategies:
symbol: "BTCUSDT"
interval: "1m"
baseQuantity: 0.001
minDropPercentage: -0.001
minDropPercentage: -0.01

5
pkg/bbgo/environment.go
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@ -147,7 +147,6 @@ func (environ *Environment) Init(ctx context.Context) (err error) {
}
session.lastPrices[kline.Symbol] = kline.Close
session.marketDataStores[kline.Symbol].AddKLine(kline)
})
session.Stream.OnTradeUpdate(func(trade types.Trade) {
@ -167,8 +166,10 @@ func (environ *Environment) Init(ctx context.Context) (err error) {
var lastPriceTime time.Time
for interval := range types.SupportedIntervals {
// avoid querying the last unclosed kline
endTime := environ.startTime.Add(- interval.Duration())
kLines, err := session.Exchange.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
EndTime: &environ.startTime,
EndTime: &endTime,
Limit: 500, // indicators need at least 100
})
if err != nil {

2
pkg/indicator/boll.go
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@ -80,7 +80,7 @@ func (inc *BOLL) calculateAndUpdate(kLines []types.KLine) {
}
var recentK = kLines[index-(inc.Window-1) : index+1]
sma, err := calculateSMA(recentK, inc.Window)
sma, err := calculateSMA(recentK, inc.Window, KLineClosePriceMapper)
if err != nil {
log.WithError(err).Error("SMA error")
return

9
pkg/indicator/ewma.go
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@ -38,9 +38,12 @@ func (inc *EWMA) calculateAndUpdate(allKLines []types.KLine) {
// for the first value, we should use the close price
inc.Values = []float64{priceF(allKLines[0])}
} else {
// from = len(inc.Values)
// update ewma with the existing values
for i := dataLen - 1; i > 0; i-- {
if allKLines[i].StartTime.After(inc.LastOpenTime) {
var k = allKLines[i]
if k.StartTime.After(inc.LastOpenTime) {
from = i
} else {
break
@ -57,13 +60,13 @@ func (inc *EWMA) calculateAndUpdate(allKLines []types.KLine) {
}
if len(inc.Values) != dataLen {
log.Warnf("EMA %s (%d) value length (%d) != all kline data length (%d)", inc.Interval, inc.Window, len(inc.Values), dataLen)
log.Warnf("%s EMA (%d) value length (%d) != all kline data length (%d)", inc.Interval, inc.Window, len(inc.Values), dataLen)
}
v1 := math.Floor(inc.Values[len(inc.Values)-1]*100.0) / 100.0
v2 := math.Floor(CalculateKLineEWMA(allKLines, priceF, inc.Window)*100.0) / 100.0
if v1 != v2 {
log.Warnf("ACCUMULATED EMA %s (%d) %f != EMA %f", inc.Interval, inc.Window, v1, v2)
log.Warnf("ACCUMULATED %s EMA (%d) %f != EMA %f", inc.Interval, inc.Window, v1, v2)
}
}

6
pkg/indicator/sma.go
View File

@ -44,7 +44,7 @@ func (inc *SMA) calculateAndUpdate(kLines []types.KLine) {
var recentK = kLines[index-(inc.Window-1) : index+1]
sma, err := calculateSMA(recentK, inc.Window)
sma, err := calculateSMA(recentK, inc.Window, KLineClosePriceMapper)
if err != nil {
log.WithError(err).Error("SMA error")
return
@ -67,7 +67,7 @@ func (inc *SMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculateSMA(kLines []types.KLine, window int) (float64, error) {
func calculateSMA(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 SMA with window = %d", window)
@ -75,7 +75,7 @@ func calculateSMA(kLines []types.KLine, window int) (float64, error) {
sum := 0.0
for _, k := range kLines {
sum += k.Close
sum += priceF(k)
}
avg := sum / float64(window)