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Merge pull request #1342 from c9s/improve/pivot-right-window-usage

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CHORE: make rightWindow possible to be set as zero
This commit is contained in:
c9s 2023-10-16 12:51:21 +08:00 committed by GitHub
commit d50e50991e
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9 changed files with 68 additions and 17 deletions
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4
pkg/datatype/floats/pivot.go
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@ -7,10 +7,6 @@ func (s Slice) Pivot(left, right int, f func(a, pivot float64) bool) (float64, b
func FindPivot(values Slice, left, right int, f func(a, pivot float64) bool) (float64, bool) {
length := len(values)
if right == 0 {
right = left
}
if length == 0 || length < left+right+1 {
return 0.0, false
}

29
pkg/datatype/floats/pivot_test.go Normal file
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@ -0,0 +1,29 @@
package floats
import (
"testing"
"github.com/stretchr/testify/assert"
)
func TestFindPivot(t *testing.T) {
t.Run("middle", func(t *testing.T) {
pv, ok := FindPivot(Slice{10, 20, 30, 40, 30, 20}, 2, 2, func(a, pivot float64) bool {
return a < pivot
})
if assert.True(t, ok) {
assert.Equal(t, 40., pv)
}
})
t.Run("last", func(t *testing.T) {
pv, ok := FindPivot(Slice{10, 20, 30, 40, 30, 45}, 2, 0, func(a, pivot float64) bool {
return a < pivot
})
if assert.True(t, ok) {
assert.Equal(t, 45., pv)
}
})
}

6
pkg/indicator/pivothigh.go
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@ -39,7 +39,11 @@ func (inc *PivotHigh) Update(value float64) {
return
}
high, ok := calculatePivotHigh(inc.Highs, inc.Window, inc.RightWindow)
if inc.RightWindow == nil {
inc.RightWindow = &inc.Window
}
high, ok := calculatePivotHigh(inc.Highs, inc.Window, *inc.RightWindow)
if !ok {
return
}

6
pkg/indicator/pivotlow.go
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@ -39,7 +39,11 @@ func (inc *PivotLow) Update(value float64) {
return
}
low, ok := calculatePivotLow(inc.Lows, inc.Window, inc.RightWindow)
if inc.RightWindow == nil {
inc.RightWindow = &inc.Window
}
low, ok := calculatePivotLow(inc.Lows, inc.Window, *inc.RightWindow)
if !ok {
return
}

4
pkg/indicator/pivotlow_test.go
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@ -36,8 +36,8 @@ func Test_calculatePivotLow(t *testing.T) {
assert.Equal(t, 0.0, low)
})
t.Run("right window 0", func(t *testing.T) {
low, ok := calculatePivotLow([]float64{15.0, 13.0, 12.0, 10.0, 14.0, 15.0}, 2, 0)
t.Run("right window same", func(t *testing.T) {
low, ok := calculatePivotLow([]float64{15.0, 13.0, 12.0, 10.0, 14.0, 15.0}, 2, 2)
assert.True(t, ok)
assert.Equal(t, 10.0, low)
})

7
pkg/indicator/v2/pivothigh.go
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@ -11,7 +11,12 @@ type PivotHighStream struct {
window, rightWindow int
}
func PivotHigh2(source types.Float64Source, window, rightWindow int) *PivotHighStream {
func PivotHigh(source types.Float64Source, window int, args ...int) *PivotHighStream {
rightWindow := window
if len(args) > 0 {
rightWindow = args[0]
}
s := &PivotHighStream{
Float64Series: types.NewFloat64Series(),
window: window,

7
pkg/indicator/v2/pivotlow.go
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@ -11,7 +11,12 @@ type PivotLowStream struct {
window, rightWindow int
}
func PivotLow(source types.Float64Source, window, rightWindow int) *PivotLowStream {
func PivotLow(source types.Float64Source, window int, args ...int) *PivotLowStream {
rightWindow := window
if len(args) > 0 {
rightWindow = args[0]
}
s := &PivotLowStream{
Float64Series: types.NewFloat64Series(),
window: window,

20
pkg/strategy/trendtrader/trend.go
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@ -14,7 +14,7 @@ type TrendLine struct {
Market types.Market `json:"-"`
types.IntervalWindow
PivotRightWindow fixedpoint.Value `json:"pivotRightWindow"`
PivotRightWindow int `json:"pivotRightWindow"`
// MarketOrder is the option to enable market order short.
MarketOrder bool `json:"marketOrder"`
@ -35,9 +35,9 @@ func (s *TrendLine) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
//if s.pivot != nil {
// if s.pivot != nil {
// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
//}
// }
}
func (s *TrendLine) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
@ -47,8 +47,14 @@ func (s *TrendLine) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gene
position := orderExecutor.Position()
symbol := position.Symbol
standardIndicator := session.StandardIndicatorSet(s.Symbol)
s.pivotHigh = standardIndicator.PivotHigh(types.IntervalWindow{s.Interval, int(3. * s.PivotRightWindow.Float64()), int(s.PivotRightWindow.Float64())})
s.pivotLow = standardIndicator.PivotLow(types.IntervalWindow{s.Interval, int(3. * s.PivotRightWindow.Float64()), int(s.PivotRightWindow.Float64())})
s.pivotHigh = standardIndicator.PivotHigh(types.IntervalWindow{
Interval: s.Interval,
Window: int(3. * s.PivotRightWindow), RightWindow: &s.PivotRightWindow})
s.pivotLow = standardIndicator.PivotLow(types.IntervalWindow{
Interval: s.Interval,
Window: int(3. * s.PivotRightWindow), RightWindow: &s.PivotRightWindow})
resistancePrices := types.NewQueue(3)
pivotHighDurationCounter := 0.
@ -124,7 +130,9 @@ func (s *TrendLine) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gene
}
}
func (s *TrendLine) placeOrder(ctx context.Context, side types.SideType, quantity fixedpoint.Value, symbol string) error {
func (s *TrendLine) placeOrder(
ctx context.Context, side types.SideType, quantity fixedpoint.Value, symbol string,
) error {
market, _ := s.session.Market(symbol)
_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: symbol,

2
pkg/types/interval.go
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@ -179,7 +179,7 @@ type IntervalWindow struct {
Window int `json:"window"`
// RightWindow is used by the pivot indicator
RightWindow int `json:"rightWindow"`
RightWindow *int `json:"rightWindow"`
}
type IntervalWindowBandWidth struct {