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fix market data kline registration
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parent
900f822559
commit
c5d002a0b0
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@ -59,4 +59,4 @@ exchangeStrategies:
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symbol: "BTCUSDT"
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symbol: "BTCUSDT"
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interval: "1m"
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interval: "1m"
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baseQuantity: 0.001
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baseQuantity: 0.001
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minDropPercentage: -0.001
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minDropPercentage: -0.01
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@ -147,7 +147,6 @@ func (environ *Environment) Init(ctx context.Context) (err error) {
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}
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}
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session.lastPrices[kline.Symbol] = kline.Close
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session.lastPrices[kline.Symbol] = kline.Close
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session.marketDataStores[kline.Symbol].AddKLine(kline)
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})
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})
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session.Stream.OnTradeUpdate(func(trade types.Trade) {
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session.Stream.OnTradeUpdate(func(trade types.Trade) {
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@ -167,8 +166,10 @@ func (environ *Environment) Init(ctx context.Context) (err error) {
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var lastPriceTime time.Time
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var lastPriceTime time.Time
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for interval := range types.SupportedIntervals {
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for interval := range types.SupportedIntervals {
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// avoid querying the last unclosed kline
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endTime := environ.startTime.Add(- interval.Duration())
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kLines, err := session.Exchange.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
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kLines, err := session.Exchange.QueryKLines(ctx, symbol, interval, types.KLineQueryOptions{
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EndTime: &environ.startTime,
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EndTime: &endTime,
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Limit: 500, // indicators need at least 100
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Limit: 500, // indicators need at least 100
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})
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})
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if err != nil {
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if err != nil {
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@ -80,7 +80,7 @@ func (inc *BOLL) calculateAndUpdate(kLines []types.KLine) {
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}
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}
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var recentK = kLines[index-(inc.Window-1) : index+1]
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var recentK = kLines[index-(inc.Window-1) : index+1]
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sma, err := calculateSMA(recentK, inc.Window)
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sma, err := calculateSMA(recentK, inc.Window, KLineClosePriceMapper)
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if err != nil {
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if err != nil {
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log.WithError(err).Error("SMA error")
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log.WithError(err).Error("SMA error")
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return
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return
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@ -38,9 +38,12 @@ func (inc *EWMA) calculateAndUpdate(allKLines []types.KLine) {
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// for the first value, we should use the close price
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// for the first value, we should use the close price
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inc.Values = []float64{priceF(allKLines[0])}
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inc.Values = []float64{priceF(allKLines[0])}
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} else {
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} else {
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// from = len(inc.Values)
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// update ewma with the existing values
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// update ewma with the existing values
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for i := dataLen - 1; i > 0; i-- {
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for i := dataLen - 1; i > 0; i-- {
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if allKLines[i].StartTime.After(inc.LastOpenTime) {
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var k = allKLines[i]
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if k.StartTime.After(inc.LastOpenTime) {
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from = i
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from = i
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} else {
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} else {
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break
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break
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@ -57,13 +60,13 @@ func (inc *EWMA) calculateAndUpdate(allKLines []types.KLine) {
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}
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}
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if len(inc.Values) != dataLen {
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if len(inc.Values) != dataLen {
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log.Warnf("EMA %s (%d) value length (%d) != all kline data length (%d)", inc.Interval, inc.Window, len(inc.Values), dataLen)
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log.Warnf("%s EMA (%d) value length (%d) != all kline data length (%d)", inc.Interval, inc.Window, len(inc.Values), dataLen)
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}
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}
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v1 := math.Floor(inc.Values[len(inc.Values)-1]*100.0) / 100.0
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v1 := math.Floor(inc.Values[len(inc.Values)-1]*100.0) / 100.0
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v2 := math.Floor(CalculateKLineEWMA(allKLines, priceF, inc.Window)*100.0) / 100.0
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v2 := math.Floor(CalculateKLineEWMA(allKLines, priceF, inc.Window)*100.0) / 100.0
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if v1 != v2 {
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if v1 != v2 {
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log.Warnf("ACCUMULATED EMA %s (%d) %f != EMA %f", inc.Interval, inc.Window, v1, v2)
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log.Warnf("ACCUMULATED %s EMA (%d) %f != EMA %f", inc.Interval, inc.Window, v1, v2)
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}
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}
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}
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}
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@ -44,7 +44,7 @@ func (inc *SMA) calculateAndUpdate(kLines []types.KLine) {
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var recentK = kLines[index-(inc.Window-1) : index+1]
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var recentK = kLines[index-(inc.Window-1) : index+1]
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sma, err := calculateSMA(recentK, inc.Window)
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sma, err := calculateSMA(recentK, inc.Window, KLineClosePriceMapper)
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if err != nil {
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if err != nil {
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log.WithError(err).Error("SMA error")
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log.WithError(err).Error("SMA error")
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return
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return
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@ -67,7 +67,7 @@ func (inc *SMA) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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}
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func calculateSMA(kLines []types.KLine, window int) (float64, error) {
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func calculateSMA(kLines []types.KLine, window int, priceF KLinePriceMapper) (float64, error) {
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length := len(kLines)
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length := len(kLines)
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if length == 0 || length < window {
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if length == 0 || length < window {
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return 0.0, fmt.Errorf("insufficient elements for calculating SMA with window = %d", window)
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return 0.0, fmt.Errorf("insufficient elements for calculating SMA with window = %d", window)
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@ -75,7 +75,7 @@ func calculateSMA(kLines []types.KLine, window int) (float64, error) {
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sum := 0.0
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sum := 0.0
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for _, k := range kLines {
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for _, k := range kLines {
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sum += k.Close
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sum += priceF(k)
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}
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}
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avg := sum / float64(window)
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avg := sum / float64(window)
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