bbgo: add v2 indicator set

pkg/bbgo/indicator_loader.go

@@ -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)
+}

pkg/bbgo/standard_indicator_set.go

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

pkg/indicator/klinestream.go

@@ -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
 func KLines(source types.Stream, symbol string, interval types.Interval) *KLineStream {
 	s := &KLineStream{}