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add updater to indicators

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This commit is contained in:
c9s 2020-12-03 16:46:02 +08:00
parent 17fd6a405b
commit f4aee5234a
5 changed files with 47 additions and 4 deletions
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13
pkg/indicator/ema.go → pkg/indicator/ewma.go
View File

@ -6,10 +6,13 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
//go:generate callbackgen -type EWMA
type EWMA struct {
types.IntervalWindow
Values Float64Slice
EndTime time.Time
Values Float64Slice
EndTime time.Time
UpdateCallbacks []func(value float64)
}
func (inc *EWMA) Last() float64 {
@ -32,18 +35,20 @@ func (inc *EWMA) calculateAndUpdate(kLines []types.KLine) {
return
}
inc.EndTime = kLines[index].EndTime
var recentK = kLines[index-(inc.Window-1) : index+1]
if len(inc.Values) > 0 {
var previousEWMA = inc.Values[len(inc.Values)-1]
var ewma = lastK.Close*multiplier + previousEWMA*(1-multiplier)
inc.Values.Push(ewma)
inc.EmitUpdate(ewma)
} else {
// The first EWMA is actually SMA
var sma = calculateSMA(recentK)
inc.Values.Push(sma)
inc.EmitUpdate(sma)
}
inc.EndTime = kLines[index].EndTime
}
type KLineWindowUpdater interface {

15
pkg/indicator/ewma_callbacks.go Normal file
View File

@ -0,0 +1,15 @@
// Code generated by "callbackgen -type EWMA"; DO NOT EDIT.
package indicator
import ()
func (inc *EWMA) OnUpdate(cb func(value float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *EWMA) EmitUpdate(value float64) {
for _, cb := range inc.UpdateCallbacks {
cb(value)
}
}

6
pkg/indicator/sma.go
View File

@ -14,10 +14,14 @@ func (s *Float64Slice) Push(v float64) {
var zeroTime time.Time
//go:generate callbackgen -type SMA
type SMA struct {
types.IntervalWindow
Values Float64Slice
EndTime time.Time
UpdateCallbacks []func(value float64)
}
func (inc *SMA) Last() float64 {
@ -40,6 +44,8 @@ func (inc *SMA) calculateAndUpdate(kLines []types.KLine) {
var sma = calculateSMA(recentK)
inc.Values.Push(sma)
inc.EndTime = kLines[index].EndTime
inc.EmitUpdate(sma)
}
func (inc *SMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {

15
pkg/indicator/sma_callbacks.go Normal file
View File

@ -0,0 +1,15 @@
// Code generated by "callbackgen -type SMA"; DO NOT EDIT.
package indicator
import ()
func (inc *SMA) OnUpdate(cb func(value float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *SMA) EmitUpdate(value float64) {
for _, cb := range inc.UpdateCallbacks {
cb(value)
}
}

2
pkg/strategy/movingstop/strategy.go
View File

@ -141,6 +141,8 @@ func (s *Strategy) place(ctx context.Context, orderExecutor *bbgo.ExchangeOrderE
stopPrice = stopPrice * s.StopPriceRatio.Float64()
}
log.Infof("placing movingstop order %s at stop price %f, quantity %f", s.Symbol, stopPrice, quantity.Float64())
retOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,