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 MACDConfig struct { types.IntervalWindow } type StandardIndicatorSet struct { Symbol string // Standard indicators // interval -> window iwbIndicators map[types.IntervalWindowBandWidth]*indicator.BOLL iwIndicators map[indicatorKey]indicator.KLinePusher macdIndicators map[indicator.MACDConfig]*indicator.MACDLegacy stream types.Stream store *MarketDataStore } type indicatorKey struct { iw types.IntervalWindow id string } func NewStandardIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *StandardIndicatorSet { return &StandardIndicatorSet{ Symbol: symbol, store: store, stream: stream, iwIndicators: make(map[indicatorKey]indicator.KLinePusher), iwbIndicators: make(map[types.IntervalWindowBandWidth]*indicator.BOLL), macdIndicators: make(map[indicator.MACDConfig]*indicator.MACDLegacy), } } func (s *StandardIndicatorSet) initAndBind(inc indicator.KLinePusher, interval types.Interval) { if klines, ok := s.store.KLinesOfInterval(interval); ok { for _, k := range *klines { inc.PushK(k) } } s.stream.OnKLineClosed(types.KLineWith(s.Symbol, interval, inc.PushK)) } func (s *StandardIndicatorSet) allocateSimpleIndicator(t indicator.KLinePusher, iw types.IntervalWindow, id string) indicator.KLinePusher { k := indicatorKey{ iw: iw, id: id, } inc, ok := s.iwIndicators[k] if ok { return inc } inc = t s.initAndBind(inc, iw.Interval) s.iwIndicators[k] = 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, "sma") 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, "ewma") return inc.(*indicator.EWMA) } // VWMA func (s *StandardIndicatorSet) VWMA(iw types.IntervalWindow) *indicator.VWMA { inc := s.allocateSimpleIndicator(&indicator.VWMA{IntervalWindow: iw}, iw, "vwma") return inc.(*indicator.VWMA) } func (s *StandardIndicatorSet) PivotHigh(iw types.IntervalWindow) *indicator.PivotHigh { inc := s.allocateSimpleIndicator(&indicator.PivotHigh{IntervalWindow: iw}, iw, "pivothigh") return inc.(*indicator.PivotHigh) } func (s *StandardIndicatorSet) PivotLow(iw types.IntervalWindow) *indicator.PivotLow { inc := s.allocateSimpleIndicator(&indicator.PivotLow{IntervalWindow: iw}, iw, "pivotlow") return inc.(*indicator.PivotLow) } func (s *StandardIndicatorSet) ATR(iw types.IntervalWindow) *indicator.ATR { inc := s.allocateSimpleIndicator(&indicator.ATR{IntervalWindow: iw}, iw, "atr") return inc.(*indicator.ATR) } func (s *StandardIndicatorSet) ATRP(iw types.IntervalWindow) *indicator.ATRP { inc := s.allocateSimpleIndicator(&indicator.ATRP{IntervalWindow: iw}, iw, "atrp") return inc.(*indicator.ATRP) } func (s *StandardIndicatorSet) EMV(iw types.IntervalWindow) *indicator.EMV { inc := s.allocateSimpleIndicator(&indicator.EMV{IntervalWindow: iw}, iw, "emv") return inc.(*indicator.EMV) } func (s *StandardIndicatorSet) CCI(iw types.IntervalWindow) *indicator.CCI { inc := s.allocateSimpleIndicator(&indicator.CCI{IntervalWindow: iw}, iw, "cci") return inc.(*indicator.CCI) } func (s *StandardIndicatorSet) HULL(iw types.IntervalWindow) *indicator.HULL { inc := s.allocateSimpleIndicator(&indicator.HULL{IntervalWindow: iw}, iw, "hull") return inc.(*indicator.HULL) } func (s *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH { inc := s.allocateSimpleIndicator(&indicator.STOCH{IntervalWindow: iw}, iw, "stoch") return inc.(*indicator.STOCH) } // 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.iwbIndicators[iwb] if !ok { inc = &indicator.BOLL{IntervalWindow: iw, K: bandWidth, SMA: &indicator.SMA{IntervalWindow: iw}} s.initAndBind(inc, iw.Interval) 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.iwbIndicators[iwb] = inc } return inc } func (s *StandardIndicatorSet) MACD(iw types.IntervalWindow, shortPeriod, longPeriod int) *indicator.MACDLegacy { config := indicator.MACDConfig{IntervalWindow: iw, ShortPeriod: shortPeriod, LongPeriod: longPeriod} inc, ok := s.macdIndicators[config] if ok { return inc } inc = &indicator.MACDLegacy{MACDConfig: config} s.macdIndicators[config] = inc s.initAndBind(inc, config.IntervalWindow.Interval) return inc } func (s *StandardIndicatorSet) RSI(iw types.IntervalWindow) *indicator.RSI { inc := s.allocateSimpleIndicator(&indicator.RSI{IntervalWindow: iw}, iw, "rsi") return inc.(*indicator.RSI) } // GHFilter is a helper function that returns the G-H (alpha beta) digital filter of the given interval and the window size. func (s *StandardIndicatorSet) GHFilter(iw types.IntervalWindow) *indicator.GHFilter { inc := s.allocateSimpleIndicator(&indicator.GHFilter{IntervalWindow: iw}, iw, "ghfilter") return inc.(*indicator.GHFilter) } // KalmanFilter is a helper function that returns the Kalman digital filter of the given interval and the window size. // Note that the additional smooth window is set to zero in standard indicator set. Users have to create their own instance and push K-lines if a smoother filter is needed. func (s *StandardIndicatorSet) KalmanFilter(iw types.IntervalWindow) *indicator.KalmanFilter { inc := s.allocateSimpleIndicator(&indicator.KalmanFilter{IntervalWindow: iw, AdditionalSmoothWindow: 0}, iw, "kalmanfilter") return inc.(*indicator.KalmanFilter) }