package bbgo import ( "github.com/c9s/bbgo/pkg/indicator" "github.com/c9s/bbgo/pkg/types" ) type StandardIndicatorSet struct { Symbol string // Standard indicators // interval -> window SMA map[types.IntervalWindow]*indicator.SMA EWMA map[types.IntervalWindow]*indicator.EWMA store *MarketDataStore } func NewStandardIndicatorSet(symbol string, store *MarketDataStore) *StandardIndicatorSet { set := &StandardIndicatorSet{ Symbol: symbol, SMA: make(map[types.IntervalWindow]*indicator.SMA), EWMA: make(map[types.IntervalWindow]*indicator.EWMA), store: store, } // let us pre-defined commonly used intervals for interval := range types.SupportedIntervals { for _, window := range []int{7, 25, 99} { iw := types.IntervalWindow{interval, window} set.SMA[iw] = &indicator.SMA{Interval: interval, Window: window} set.SMA[iw].Bind(store) set.EWMA[iw] = &indicator.EWMA{Interval: interval, Window: window} set.EWMA[iw].Bind(store) } } return set } // GetSMA returns the simple moving average indicator of the given interval and the window size. func (set *StandardIndicatorSet) GetSMA(iw types.IntervalWindow) *indicator.SMA { inc, ok := set.SMA[iw] if !ok { inc := &indicator.SMA{Interval: iw.Interval, Window: iw.Window} inc.Bind(set.store) set.SMA[iw] = inc } return inc } // GetEWMA returns the exponential weighed moving average indicator of the given interval and the window size. func (set *StandardIndicatorSet) GetEWMA(iw types.IntervalWindow) *indicator.EWMA { inc, ok := set.EWMA[iw] if !ok { inc := &indicator.EWMA{Interval: iw.Interval, Window: iw.Window} inc.Bind(set.store) set.EWMA[iw] = inc } return inc } // ExchangeSession presents the exchange connection session // It also maintains and collects the data returned from the stream. type ExchangeSession struct { // Exchange session name Name string // The exchange account states Account *types.Account // Stream is the connection stream of the exchange Stream types.Stream Subscriptions map[types.Subscription]types.Subscription Exchange types.Exchange // markets defines market configuration of a symbol markets map[string]types.Market lastPrices map[string]float64 // Trades collects the executed trades from the exchange // map: symbol -> []trade Trades map[string][]types.Trade // marketDataStores contains the market data store of each market marketDataStores map[string]*MarketDataStore // standard indicators of each market standardIndicatorSets map[string]*StandardIndicatorSet loadedSymbols map[string]struct{} } func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession { return &ExchangeSession{ Name: name, Exchange: exchange, Stream: exchange.NewStream(), Subscriptions: make(map[types.Subscription]types.Subscription), Account: &types.Account{}, Trades: make(map[string][]types.Trade), markets: make(map[string]types.Market), lastPrices: make(map[string]float64), marketDataStores: make(map[string]*MarketDataStore), standardIndicatorSets: make(map[string]*StandardIndicatorSet), loadedSymbols: make(map[string]struct{}), } } func (session *ExchangeSession) StandardIndicatorSet(symbol string) (*StandardIndicatorSet, bool) { set, ok := session.standardIndicatorSets[symbol] return set, ok } // MarketDataStore returns the market data store of a symbol func (session *ExchangeSession) MarketDataStore(symbol string) (s *MarketDataStore, ok bool) { s, ok = session.marketDataStores[symbol] return s, ok } func (session *ExchangeSession) LastPrice(symbol string) (price float64, ok bool) { price, ok = session.lastPrices[symbol] return price, ok } func (session *ExchangeSession) Market(symbol string) (market types.Market, ok bool) { market, ok = session.markets[symbol] return market, ok } // Subscribe save the subscription info, later it will be assigned to the stream func (session *ExchangeSession) Subscribe(channel types.Channel, symbol string, options types.SubscribeOptions) *ExchangeSession { sub := types.Subscription{ Channel: channel, Symbol: symbol, Options: options, } // add to the loaded symbol table session.loadedSymbols[symbol] = struct{}{} session.Subscriptions[sub] = sub return session }