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bollmaker: replace bollinger indicator with v2 indicator

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c9s 2023-06-29 18:04:39 +08:00
parent f91a4c2979
commit e3be2a8af6
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GPG Key ID: 7385E7E464CB0A54
3 changed files with 12 additions and 12 deletions
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10
pkg/strategy/bollmaker/dynamic_spread.go
View File

@ -1,9 +1,10 @@
package bollmaker
import (
"github.com/pkg/errors"
"math"
"github.com/pkg/errors"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
@ -27,7 +28,7 @@ type DynamicSpreadSettings struct {
}
// Initialize dynamic spreads and preload SMAs
func (ds *DynamicSpreadSettings) Initialize(symbol string, session *bbgo.ExchangeSession, neutralBoll, defaultBoll *indicator.BOLL) {
func (ds *DynamicSpreadSettings) Initialize(symbol string, session *bbgo.ExchangeSession, neutralBoll, defaultBoll *indicator.BOLLStream) {
switch {
case ds.AmpSpreadSettings != nil:
ds.AmpSpreadSettings.initialize(symbol, session)
@ -163,11 +164,10 @@ type DynamicSpreadBollWidthRatioSettings struct {
// A positive number. The greater factor, the sharper weighting function. Default set to 1.0 .
Sensitivity float64 `json:"sensitivity"`
neutralBoll *indicator.BOLL
defaultBoll *indicator.BOLL
defaultBoll, neutralBoll *indicator.BOLLStream
}
func (ds *DynamicSpreadBollWidthRatioSettings) initialize(neutralBoll, defaultBoll *indicator.BOLL) {
func (ds *DynamicSpreadBollWidthRatioSettings) initialize(neutralBoll, defaultBoll *indicator.BOLLStream) {
ds.neutralBoll = neutralBoll
ds.defaultBoll = defaultBoll
if ds.Sensitivity <= 0. {

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

@ -158,10 +158,10 @@ type Strategy struct {
groupID uint32
// defaultBoll is the BOLLINGER indicator we used for predicting the price.
defaultBoll *indicator.BOLL
defaultBoll *indicator.BOLLStream
// neutralBoll is the neutral price section
neutralBoll *indicator.BOLL
neutralBoll *indicator.BOLLStream
// StrategyController
bbgo.StrategyController
@ -465,8 +465,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// StrategyController
s.Status = types.StrategyStatusRunning
s.neutralBoll = s.StandardIndicatorSet.BOLL(s.NeutralBollinger.IntervalWindow, s.NeutralBollinger.BandWidth)
s.defaultBoll = s.StandardIndicatorSet.BOLL(s.DefaultBollinger.IntervalWindow, s.DefaultBollinger.BandWidth)
s.neutralBoll = session.Indicators(s.Symbol).BOLL(s.NeutralBollinger.IntervalWindow, s.NeutralBollinger.BandWidth)
s.defaultBoll = session.Indicators(s.Symbol).BOLL(s.DefaultBollinger.IntervalWindow, s.DefaultBollinger.BandWidth)
// Setup dynamic spread
if s.DynamicSpread.IsEnabled() {

6
pkg/strategy/bollmaker/trend.go
View File

@ -11,16 +11,16 @@ const (
UnknownTrend PriceTrend = "unknown"
)
func detectPriceTrend(inc *indicator.BOLL, price float64) PriceTrend {
func detectPriceTrend(inc *indicator.BOLLStream, price float64) PriceTrend {
if inBetween(price, inc.DownBand.Last(0), inc.UpBand.Last(0)) {
return NeutralTrend
}
if price < inc.LastDownBand() {
if price < inc.DownBand.Last(0) {
return DownTrend
}
if price > inc.LastUpBand() {
if price > inc.UpBand.Last(0) {
return UpTrend
}