indicator: separate TR + RMA and ATR = TR + RMA

pkg/indicator/atr2.go

@@ -1,47 +1,13 @@
 package indicator
 
-import (
-	"math"
-
-	"github.com/c9s/bbgo/pkg/types"
-)
-
-// This ATRStream calculates the ATR first
 type ATRStream struct {
 	// embedded struct
-	Float64Series
+	*RMAStream
-
-	// private states
-	previousClose float64
 }
 
-func ATR2(source KLineSubscription) *ATRStream {
+func ATR2(source KLineSubscription, window int) *ATRStream {
-	s := &ATRStream{
+	s := &ATRStream{}
-		Float64Series: NewFloat64Series(),
+	tr := TR2(source)
-	}
+	s.RMAStream = RMA2(tr, window, true)
-
-	source.AddSubscriber(func(k types.KLine) {
-		s.calculateAndPush(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
-	})
 	return s
 }
-
-func (s *ATRStream) calculateAndPush(high, low, cls float64) {
-	if s.previousClose == .0 {
-		s.previousClose = cls
-		return
-	}
-
-	trueRange := high - low
-	hc := math.Abs(high - s.previousClose)
-	lc := math.Abs(low - s.previousClose)
-	if trueRange < hc {
-		trueRange = hc
-	}
-	if trueRange < lc {
-		trueRange = lc
-	}
-
-	s.previousClose = cls
-	s.EmitUpdate(trueRange)
-}

pkg/indicator/atr2_test.go

@@ -65,17 +65,16 @@ func Test_ATR2(t *testing.T) {
 			stream := &types.StandardStream{}
 
 			kLines := KLines(stream)
-			atr := ATR2(kLines)
+			atr := ATR2(kLines, tt.window)
-			rma := RMA2(atr, tt.window, true)
 
 			for _, k := range tt.kLines {
 				stream.EmitKLineClosed(k)
 			}
 
-			got := rma.Last()
+			got := atr.Last()
 			diff := math.Trunc((got-tt.want)*100) / 100
 			if diff != 0 {
-				t.Errorf("calculateATR2() = %v, want %v", got, tt.want)
+				t.Errorf("ATR2() = %v, want %v", got, tt.want)
 			}
 		})
 	}

pkg/indicator/tr2.go

@@ -0,0 +1,47 @@
+package indicator
+
+import (
+	"math"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// This TRStream calculates the ATR first
+type TRStream struct {
+	// embedded struct
+	Float64Series
+
+	// private states
+	previousClose float64
+}
+
+func TR2(source KLineSubscription) *TRStream {
+	s := &TRStream{
+		Float64Series: NewFloat64Series(),
+	}
+
+	source.AddSubscriber(func(k types.KLine) {
+		s.calculateAndPush(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+	})
+	return s
+}
+
+func (s *TRStream) calculateAndPush(high, low, cls float64) {
+	if s.previousClose == .0 {
+		s.previousClose = cls
+		return
+	}
+
+	trueRange := high - low
+	hc := math.Abs(high - s.previousClose)
+	lc := math.Abs(low - s.previousClose)
+	if trueRange < hc {
+		trueRange = hc
+	}
+	if trueRange < lc {
+		trueRange = lc
+	}
+
+	s.previousClose = cls
+	s.EmitUpdate(trueRange)
+}

pkg/indicator/tr2_test.go

@@ -0,0 +1,82 @@
+package indicator
+
+import (
+	"encoding/json"
+	"math"
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+/*
+python
+
+import pandas as pd
+import pandas_ta as ta
+
+	data = {
+	    "high": [40145.0, 40186.36, 40196.39, 40344.6, 40245.48, 40273.24, 40464.0, 40699.0, 40627.48, 40436.31, 40370.0, 40376.8, 40227.03, 40056.52, 39721.7, 39597.94, 39750.15, 39927.0, 40289.02, 40189.0],
+	    "low": [39870.71, 39834.98, 39866.31, 40108.31, 40016.09, 40094.66, 40105.0, 40196.48, 40154.99, 39800.0, 39959.21, 39922.98, 39940.02, 39632.0, 39261.39, 39254.63, 39473.91, 39555.51, 39819.0, 40006.84],
+	    "close": [40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99,
+
+39693.79, 39827.96, 40074.94, 40059.84]
+}
+
+high = pd.Series(data['high'])
+low = pd.Series(data['low'])
+close = pd.Series(data['close'])
+result = ta.atr(high, low, close, length=14)
+print(result)
+*/
+func Test_TR_and_RMA(t *testing.T) {
+	var bytes = []byte(`{
+		"high": [40145.0, 40186.36, 40196.39, 40344.6, 40245.48, 40273.24, 40464.0, 40699.0, 40627.48, 40436.31, 40370.0, 40376.8, 40227.03, 40056.52, 39721.7, 39597.94, 39750.15, 39927.0, 40289.02, 40189.0], 
+		"low": [39870.71, 39834.98, 39866.31, 40108.31, 40016.09, 40094.66, 40105.0, 40196.48, 40154.99, 39800.0, 39959.21, 39922.98, 39940.02, 39632.0, 39261.39, 39254.63, 39473.91, 39555.51, 39819.0, 40006.84],
+		"close": [40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99, 39693.79, 39827.96, 40074.94, 40059.84]
+	}`)
+
+	var buildKLines = func(bytes []byte) (kLines []types.KLine) {
+		var prices map[string][]fixedpoint.Value
+		_ = json.Unmarshal(bytes, &prices)
+		for i, h := range prices["high"] {
+			kLine := types.KLine{High: h, Low: prices["low"][i], Close: prices["close"][i]}
+			kLines = append(kLines, kLine)
+		}
+		return kLines
+	}
+
+	tests := []struct {
+		name   string
+		kLines []types.KLine
+		window int
+		want   float64
+	}{
+		{
+			name:   "test_binance_btcusdt_1h",
+			kLines: buildKLines(bytes),
+			window: 14,
+			want:   367.913903,
+		},
+	}
+
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			stream := &types.StandardStream{}
+
+			kLines := KLines(stream)
+			atr := TR2(kLines)
+			rma := RMA2(atr, tt.window, true)
+
+			for _, k := range tt.kLines {
+				stream.EmitKLineClosed(k)
+			}
+
+			got := rma.Last()
+			diff := math.Trunc((got-tt.want)*100) / 100
+			if diff != 0 {
+				t.Errorf("RMA(TR()) = %v, want %v", got, tt.want)
+			}
+		})
+	}
+}