package xmaker import ( "context" "github.com/prometheus/client_golang/prometheus" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/indicator/v2" "github.com/c9s/bbgo/pkg/types" ) var bollingerBandSignalMetrics = prometheus.NewGaugeVec( prometheus.GaugeOpts{ Name: "xmaker_bollinger_band_signal", Help: "", }, []string{"symbol"}) func init() { prometheus.MustRegister(bollingerBandSignalMetrics) } type BollingerBandTrendSignal struct { types.IntervalWindow MinBandWidth float64 `json:"minBandWidth"` MaxBandWidth float64 `json:"maxBandWidth"` indicator *indicatorv2.BOLLStream symbol string lastK *types.KLine } func (s *BollingerBandTrendSignal) Bind(ctx context.Context, session *bbgo.ExchangeSession, symbol string) error { if s.MaxBandWidth == 0.0 { s.MaxBandWidth = 2.0 } if s.MinBandWidth == 0.0 { s.MinBandWidth = 1.0 } s.symbol = symbol s.indicator = session.Indicators(symbol).BOLL(s.IntervalWindow, s.MinBandWidth) session.MarketDataStream.OnKLineClosed(types.KLineWith(s.symbol, s.IntervalWindow.Interval, func(kline types.KLine) { s.lastK = &kline })) bollingerBandSignalMetrics.WithLabelValues(s.symbol).Set(0.0) return nil } func (s *BollingerBandTrendSignal) CalculateSignal(ctx context.Context) (float64, error) { if s.lastK == nil { return 0, nil } closePrice := s.lastK.Close // when bid price is lower than the down band, then it's in the downtrend // when ask price is higher than the up band, then it's in the uptrend lastDownBand := fixedpoint.NewFromFloat(s.indicator.DownBand.Last(0)) lastUpBand := fixedpoint.NewFromFloat(s.indicator.UpBand.Last(0)) maxBandWidth := s.indicator.StdDev.Last(0) * s.MaxBandWidth signal := 0.0 // if the price is inside the band, do not vote if closePrice.Compare(lastDownBand) > 0 && closePrice.Compare(lastUpBand) < 0 { signal = 0.0 } else if closePrice.Compare(lastDownBand) < 0 { signal = lastDownBand.Sub(closePrice).Float64() / maxBandWidth * -2.0 } else if closePrice.Compare(lastUpBand) > 0 { signal = closePrice.Sub(lastUpBand).Float64() / maxBandWidth * 2.0 } log.Infof("[BollingerBandTrendSignal] %f up/down = %f/%f, close price = %f", signal, lastUpBand.Float64(), lastDownBand.Float64(), closePrice.Float64()) bollingerBandSignalMetrics.WithLabelValues(s.symbol).Set(signal) return signal, nil }