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change field names to lower case so that we can use shorter name for the accessors

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This commit is contained in:
c9s 2020-11-30 13:06:35 +08:00
parent 607c3b0d05
commit d226ec2e01
5 changed files with 33 additions and 33 deletions
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50
pkg/bbgo/session.go
View File

@ -9,9 +9,9 @@ type StandardIndicatorSet struct {
Symbol string
// Standard indicators
// interval -> window
SMA map[types.IntervalWindow]*indicator.SMA
EWMA map[types.IntervalWindow]*indicator.EWMA
BOLL map[types.IntervalWindow]*indicator.BOLL
sma map[types.IntervalWindow]*indicator.SMA
ewma map[types.IntervalWindow]*indicator.EWMA
boll map[types.IntervalWindow]*indicator.BOLL
store *MarketDataStore
}
@ -19,9 +19,9 @@ type StandardIndicatorSet struct {
func NewStandardIndicatorSet(symbol string, store *MarketDataStore) *StandardIndicatorSet {
set := &StandardIndicatorSet{
Symbol: symbol,
SMA: make(map[types.IntervalWindow]*indicator.SMA),
EWMA: make(map[types.IntervalWindow]*indicator.EWMA),
BOLL: make(map[types.IntervalWindow]*indicator.BOLL),
sma: make(map[types.IntervalWindow]*indicator.SMA),
ewma: make(map[types.IntervalWindow]*indicator.EWMA),
boll: make(map[types.IntervalWindow]*indicator.BOLL),
store: store,
}
@ -29,56 +29,56 @@ func NewStandardIndicatorSet(symbol string, store *MarketDataStore) *StandardInd
for interval := range types.SupportedIntervals {
for _, window := range []int{7, 25, 99} {
iw := types.IntervalWindow{Interval: interval, Window: window}
set.SMA[iw] = &indicator.SMA{IntervalWindow: iw}
set.SMA[iw].Bind(store)
set.sma[iw] = &indicator.SMA{IntervalWindow: iw}
set.sma[iw].Bind(store)
set.EWMA[iw] = &indicator.EWMA{IntervalWindow: iw}
set.EWMA[iw].Bind(store)
set.ewma[iw] = &indicator.EWMA{IntervalWindow: iw}
set.ewma[iw].Bind(store)
}
// setup BOLL indicator, we may refactor BOLL indicator by subscribing SMA indicator,
// 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
// 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)
set.boll[iw] = &indicator.BOLL{IntervalWindow: iw, K: 2.0}
set.boll[iw].Bind(store)
}
return set
}
// GetBOLL returns the bollinger band indicator of the given interval and the window,
// 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
func (set *StandardIndicatorSet) GetBOLL(iw types.IntervalWindow, bandWidth float64) *indicator.BOLL {
inc, ok := set.BOLL[iw]
func (set *StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandWidth float64) *indicator.BOLL {
inc, ok := set.boll[iw]
if !ok {
inc := &indicator.BOLL{IntervalWindow: iw, K: bandWidth}
inc.Bind(set.store)
set.BOLL[iw] = inc
set.boll[iw] = inc
}
return inc
}
// GetSMA returns the simple moving average indicator of the given interval and the window size.
func (set *StandardIndicatorSet) GetSMA(iw types.IntervalWindow) *indicator.SMA {
inc, ok := set.SMA[iw]
// SMA returns the simple moving average indicator of the given interval and the window size.
func (set *StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA {
inc, ok := set.sma[iw]
if !ok {
inc := &indicator.SMA{IntervalWindow: iw}
inc.Bind(set.store)
set.SMA[iw] = inc
set.sma[iw] = inc
}
return inc
}
// GetEWMA returns the exponential weighed moving average indicator of the given interval and the window size.
func (set *StandardIndicatorSet) GetEWMA(iw types.IntervalWindow) *indicator.EWMA {
inc, ok := set.EWMA[iw]
func (set *StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA {
inc, ok := set.ewma[iw]
if !ok {
inc := &indicator.EWMA{IntervalWindow: iw}
inc.Bind(set.store)
set.EWMA[iw] = inc
set.ewma[iw] = inc
}
return inc

2
pkg/indicator/boll.go
View File

@ -9,7 +9,7 @@ import (
)
/*
BOLL implements the bollinger indicator:
boll implements the bollinger indicator:
The Basics of Bollinger Bands
- https://www.investopedia.com/articles/technical/102201.asp

8
pkg/strategy/bollgrid/strategy.go
View File

@ -200,9 +200,9 @@ func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bb
return
}
ema99 := s.StandardIndicatorSet.GetEWMA(types.IntervalWindow{Interval: s.Interval, Window: 99})
ema25 := s.StandardIndicatorSet.GetEWMA(types.IntervalWindow{Interval: s.Interval, Window: 25})
ema7 := s.StandardIndicatorSet.GetEWMA(types.IntervalWindow{Interval: s.Interval, Window: 7})
ema99 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 99})
ema25 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 25})
ema7 := s.StandardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: 7})
priceRange := upBand - downBand
gridSize := priceRange / float64(s.GridNum)
@ -310,7 +310,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.GridNum = 2
}
s.boll = s.StandardIndicatorSet.GetBOLL(types.IntervalWindow{
s.boll = s.StandardIndicatorSet.BOLL(types.IntervalWindow{
Interval: s.Interval,
Window: 21,
}, 2.0)

2
pkg/strategy/flashcrash/strategy.go
View File

@ -117,7 +117,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
})
s.ewma = s.StandardIndicatorSet.GetEWMA(types.IntervalWindow{
s.ewma = s.StandardIndicatorSet.EWMA(types.IntervalWindow{
Interval: s.Interval,
Window: 25,
})

4
pkg/strategy/swing/strategy.go
View File

@ -86,10 +86,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
switch s.MovingAverageType {
case "SMA":
inc = s.StandardIndicatorSet.GetSMA(iw)
inc = s.StandardIndicatorSet.SMA(iw)
case "EWMA", "EMA":
inc = s.StandardIndicatorSet.GetEWMA(iw)
inc = s.StandardIndicatorSet.EWMA(iw)
default:
return fmt.Errorf("unsupported moving average type: %s", s.MovingAverageType)