bbgo: add v2 indicator set

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c9s 2023-06-29 17:44:36 +08:00
parent ead9b9737b
commit dddf7c57ba
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3 changed files with 105 additions and 0 deletions

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@ -0,0 +1,98 @@
package bbgo
import (
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
)
// IndicatorSet is the v2 standard indicator set
// This will replace StandardIndicator in the future
type IndicatorSet struct {
Symbol string
stream types.Stream
store *MarketDataStore
// caches
kLines map[types.Interval]*indicator.KLineStream
closePrices map[types.Interval]*indicator.PriceStream
}
func NewIndicatorLoader(symbol string, stream types.Stream, store *MarketDataStore) *IndicatorSet {
return &IndicatorSet{
Symbol: symbol,
store: store,
stream: stream,
kLines: make(map[types.Interval]*indicator.KLineStream),
closePrices: make(map[types.Interval]*indicator.PriceStream),
}
}
func (i *IndicatorSet) KLines(interval types.Interval) *indicator.KLineStream {
if kLines, ok := i.kLines[interval]; ok {
return kLines
}
kLines := indicator.KLines(i.stream, i.Symbol, interval)
if kLinesWindow, ok := i.store.KLinesOfInterval(interval); ok {
kLines.AddBackLog(*kLinesWindow)
}
i.kLines[interval] = kLines
return kLines
}
func (i *IndicatorSet) OPEN(interval types.Interval) *indicator.PriceStream {
return indicator.OpenPrices(i.KLines(interval))
}
func (i *IndicatorSet) HIGH(interval types.Interval) *indicator.PriceStream {
return indicator.HighPrices(i.KLines(interval))
}
func (i *IndicatorSet) LOW(interval types.Interval) *indicator.PriceStream {
return indicator.LowPrices(i.KLines(interval))
}
func (i *IndicatorSet) CLOSE(interval types.Interval) *indicator.PriceStream {
if closePrices, ok := i.closePrices[interval]; ok {
return closePrices
}
closePrices := indicator.ClosePrices(i.KLines(interval))
i.closePrices[interval] = closePrices
return closePrices
}
func (i *IndicatorSet) RSI(iw types.IntervalWindow) *indicator.RSIStream {
return indicator.RSI2(i.CLOSE(iw.Interval), iw.Window)
}
func (i *IndicatorSet) EMA(iw types.IntervalWindow) *indicator.EWMAStream {
return i.EWMA(iw)
}
func (i *IndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMAStream {
return indicator.EWMA2(i.CLOSE(iw.Interval), iw.Window)
}
func (i *IndicatorSet) STOCH(iw types.IntervalWindow, dPeriod int) *indicator.StochStream {
return indicator.Stoch2(i.KLines(iw.Interval), iw.Window, dPeriod)
}
func (i *IndicatorSet) BOLL(iw types.IntervalWindow, k float64) *indicator.BOLLStream {
return indicator.BOLL2(i.CLOSE(iw.Interval), iw.Window, k)
}
func (i *IndicatorSet) MACD(interval types.Interval, shortWindow, longWindow, signalWindow int) *indicator.MACDStream {
return indicator.MACD2(i.CLOSE(interval), shortWindow, longWindow, signalWindow)
}
func (i *IndicatorSet) ATR(interval types.Interval, window int) *indicator.ATRStream {
return indicator.ATR2(i.KLines(interval), window)
}
func (i *IndicatorSet) ATRP(interval types.Interval, window int) *indicator.ATRPStream {
return indicator.ATRP2(i.KLines(interval), window)
}

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@ -161,6 +161,7 @@ func (s *StandardIndicatorSet) MACD(iw types.IntervalWindow, shortPeriod, longPe
if ok { if ok {
return inc return inc
} }
inc = &indicator.MACDLegacy{MACDConfig: config} inc = &indicator.MACDLegacy{MACDConfig: config}
s.macdIndicators[config] = inc s.macdIndicators[config] = inc
s.initAndBind(inc, config.IntervalWindow.Interval) s.initAndBind(inc, config.IntervalWindow.Interval)

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@ -36,6 +36,12 @@ func (s *KLineStream) AddSubscriber(f func(k types.KLine)) {
} }
} }
func (s *KLineStream) AddBackLog(kLines []types.KLine) {
for _, k := range kLines {
s.kLines = append(s.kLines, k)
}
}
// KLines creates a KLine stream that pushes the klines to the subscribers // KLines creates a KLine stream that pushes the klines to the subscribers
func KLines(source types.Stream, symbol string, interval types.Interval) *KLineStream { func KLines(source types.Stream, symbol string, interval types.Interval) *KLineStream {
s := &KLineStream{} s := &KLineStream{}