feature/dynamicExposure: dynamicExposure as a common package

pkg/dynamicmetric/bollsetting.go

@@ -0,0 +1,9 @@
+package dynamicmetric
+
+import "github.com/c9s/bbgo/pkg/types"
+
+// BollingerSetting is for Bollinger Band settings
+type BollingerSetting struct {
+	types.IntervalWindow
+	BandWidth float64 `json:"bandWidth"`
+}

pkg/dynamicmetric/dynamic_exposure.go

@@ -0,0 +1,83 @@
+package dynamicmetric
+
+import (
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/pkg/errors"
+	log "github.com/sirupsen/logrus"
+	"math"
+)
+
+type DynamicExposure struct {
+	// BollBandExposure calculates the max exposure with the Bollinger Band
+	BollBandExposure *DynamicExposureBollBand `json:"bollBandExposure"`
+}
+
+// Initialize dynamic exposure
+func (d *DynamicExposure) Initialize(symbol string, session *bbgo.ExchangeSession) {
+	switch {
+	case d.BollBandExposure != nil:
+		d.BollBandExposure.initialize(symbol, session)
+	}
+}
+
+func (d *DynamicExposure) IsEnabled() bool {
+	return d.BollBandExposure != nil
+}
+
+// GetMaxExposure returns the max exposure
+func (d *DynamicExposure) GetMaxExposure(price float64) (maxExposure fixedpoint.Value, err error) {
+	switch {
+	case d.BollBandExposure != nil:
+		return d.BollBandExposure.getMaxExposure(price)
+	default:
+		return fixedpoint.Zero, errors.New("dynamic exposure is not enabled")
+	}
+}
+
+// DynamicExposureBollBand calculates the max exposure with the Bollinger Band
+type DynamicExposureBollBand struct {
+	// DynamicExposureBollBandScale is used to define the exposure range with the given percentage.
+	DynamicExposureBollBandScale *bbgo.PercentageScale `json:"dynamicExposurePositionScale"`
+
+	*BollingerSetting
+
+	StandardIndicatorSet *bbgo.StandardIndicatorSet
+
+	dynamicExposureBollBand *indicator.BOLL
+}
+
+// Initialize DynamicExposureBollBand
+func (d *DynamicExposureBollBand) initialize(symbol string, session *bbgo.ExchangeSession) {
+	d.dynamicExposureBollBand = d.StandardIndicatorSet.BOLL(d.IntervalWindow, d.BandWidth)
+
+	// Subscribe kline
+	session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{
+		Interval: d.dynamicExposureBollBand.Interval,
+	})
+}
+
+// getMaxExposure returns the max exposure
+func (d *DynamicExposureBollBand) getMaxExposure(price float64) (fixedpoint.Value, error) {
+	downBand := d.dynamicExposureBollBand.DownBand.Last()
+	upBand := d.dynamicExposureBollBand.UpBand.Last()
+	sma := d.dynamicExposureBollBand.SMA.Last()
+	log.Infof("dynamicExposureBollBand bollinger band: up %f sma %f down %f", upBand, sma, downBand)
+
+	bandPercentage := 0.0
+	if price < sma {
+		// should be negative percentage
+		bandPercentage = (price - sma) / math.Abs(sma-downBand)
+	} else if price > sma {
+		// should be positive percentage
+		bandPercentage = (price - sma) / math.Abs(upBand-sma)
+	}
+
+	v, err := d.DynamicExposureBollBandScale.Scale(bandPercentage)
+	if err != nil {
+		return fixedpoint.Zero, err
+	}
+	return fixedpoint.NewFromFloat(v), nil
+}

pkg/dynamicmetric/dynamic_spread.go

@@ -160,12 +160,6 @@ func (ds *DynamicSpreadAmp) getBidSpread() (bidSpread float64, err error) {
 	return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
 }
 
-// BollingerSetting is for Bollinger Band settings
-type BollingerSetting struct {
-	types.IntervalWindow
-	BandWidth float64 `json:"bandWidth"`
-}
-
 type DynamicSpreadBollWidthRatio struct {
 	// AskSpreadScale is used to define the ask spread range with the given percentage.
 	AskSpreadScale *bbgo.PercentageScale `json:"askSpreadScale"`