package bbgo import ( "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/indicator" "github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/util" ) var ( debugBOLL = false ) func init() { // when using --dotenv option, the dotenv is loaded from command.PersistentPreRunE, not init. // hence here the env var won't enable the debug flag util.SetEnvVarBool("DEBUG_BOLL", &debugBOLL) } type StandardIndicatorSet struct { Symbol string // Standard indicators // interval -> window boll map[types.IntervalWindowBandWidth]*indicator.BOLL stoch map[types.IntervalWindow]*indicator.STOCH simples map[types.IntervalWindow]indicator.KLinePusher stream types.Stream store *MarketDataStore } func NewStandardIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *StandardIndicatorSet { return &StandardIndicatorSet{ Symbol: symbol, store: store, stream: stream, simples: make(map[types.IntervalWindow]indicator.KLinePusher), boll: make(map[types.IntervalWindowBandWidth]*indicator.BOLL), stoch: make(map[types.IntervalWindow]*indicator.STOCH), } } func (s *StandardIndicatorSet) initAndBind(inc indicator.KLinePusher, iw types.IntervalWindow) { if klines, ok := s.store.KLinesOfInterval(iw.Interval); ok { for _, k := range *klines { inc.PushK(k) } } s.stream.OnKLineClosed(types.KLineWith(s.Symbol, iw.Interval, inc.PushK)) } func (s *StandardIndicatorSet) allocateSimpleIndicator(t indicator.KLinePusher, iw types.IntervalWindow) indicator.KLinePusher { inc, ok := s.simples[iw] if ok { return inc } inc = t s.initAndBind(inc, iw) s.simples[iw] = inc return t } // SMA is a helper function that returns the simple moving average indicator of the given interval and the window size. func (s *StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA { inc := s.allocateSimpleIndicator(&indicator.SMA{IntervalWindow: iw}, iw) return inc.(*indicator.SMA) } // EWMA is a helper function that returns the exponential weighed moving average indicator of the given interval and the window size. func (s *StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA { inc := s.allocateSimpleIndicator(&indicator.EWMA{IntervalWindow: iw}, iw) return inc.(*indicator.EWMA) } func (s *StandardIndicatorSet) PivotLow(iw types.IntervalWindow) *indicator.PivotLow { inc := s.allocateSimpleIndicator(&indicator.PivotLow{IntervalWindow: iw}, iw) return inc.(*indicator.PivotLow) } func (s *StandardIndicatorSet) ATR(iw types.IntervalWindow) *indicator.ATR { inc := s.allocateSimpleIndicator(&indicator.ATR{IntervalWindow: iw}, iw) return inc.(*indicator.ATR) } func (s *StandardIndicatorSet) ATRP(iw types.IntervalWindow) *indicator.ATRP { inc := s.allocateSimpleIndicator(&indicator.ATRP{IntervalWindow: iw}, iw) return inc.(*indicator.ATRP) } func (s *StandardIndicatorSet) EMV(iw types.IntervalWindow) *indicator.EMV { inc := s.allocateSimpleIndicator(&indicator.EMV{IntervalWindow: iw}, iw) return inc.(*indicator.EMV) } func (s *StandardIndicatorSet) CCI(iw types.IntervalWindow) *indicator.CCI { inc := s.allocateSimpleIndicator(&indicator.CCI{IntervalWindow: iw}, iw) return inc.(*indicator.CCI) } func (s *StandardIndicatorSet) HULL(iw types.IntervalWindow) *indicator.HULL { inc := s.allocateSimpleIndicator(&indicator.HULL{IntervalWindow: iw}, iw) return inc.(*indicator.HULL) } func (s *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH { inc, ok := s.stoch[iw] if !ok { inc = &indicator.STOCH{IntervalWindow: iw} s.initAndBind(inc, iw) s.stoch[iw] = inc } return inc } // BOLL returns the bollinger band indicator of the given interval, the window and bandwidth func (s *StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandWidth float64) *indicator.BOLL { iwb := types.IntervalWindowBandWidth{IntervalWindow: iw, BandWidth: bandWidth} inc, ok := s.boll[iwb] if !ok { inc = &indicator.BOLL{IntervalWindow: iw, K: bandWidth} s.initAndBind(inc, iw) if debugBOLL { inc.OnUpdate(func(sma float64, upBand float64, downBand float64) { logrus.Infof("%s BOLL %s: sma=%f up=%f down=%f", s.Symbol, iw.String(), sma, upBand, downBand) }) } s.boll[iwb] = inc } return inc }