package indicator import ( "math" "time" "github.com/c9s/bbgo/pkg/datatype/bools" "github.com/c9s/bbgo/pkg/datatype/floats" "github.com/c9s/bbgo/pkg/types" ) // based on "UT Bot Alerts by QuantNomad" from tradingview //go:generate callbackgen -type UtBotAlert type UtBotAlert struct { types.IntervalWindow KeyValue float64 `json:"keyValue"` // Should be ATRMultiplier Values []types.Direction buyValue bools.BoolSlice sellValue bools.BoolSlice AverageTrueRange *ATR // Value must be set when initialized in strategy xATRTrailingStop floats.Slice pos types.Direction // NB: This is currently not in use (kept in case of expanding as it is in the tradingview version) previousPos types.Direction // NB: This is currently not in use (kept in case of expanding as it is in the tradingview version) previousClosePrice float64 EndTime time.Time UpdateCallbacks []func(value types.Direction) } func NewUtBotAlert(iw types.IntervalWindow, keyValue float64) *UtBotAlert { return &UtBotAlert{ IntervalWindow: iw, KeyValue: keyValue, AverageTrueRange: &ATR{ IntervalWindow: iw, }, } } func (inc *UtBotAlert) Last() types.Direction { length := len(inc.Values) if length > 0 { return inc.Values[length-1] } return types.DirectionNone } func (inc *UtBotAlert) Index(i int) types.Direction { length := inc.Length() if length == 0 || length-i-1 < 0 { return 0 } return inc.Values[length-i-1] } func (inc *UtBotAlert) Length() int { return len(inc.Values) } func (inc *UtBotAlert) Update(highPrice, lowPrice, closePrice float64) { if inc.Window <= 0 { panic("window must be greater than 0") } // Update ATR inc.AverageTrueRange.Update(highPrice, lowPrice, closePrice) nLoss := inc.AverageTrueRange.Last(0) * inc.KeyValue // xATRTrailingStop if inc.xATRTrailingStop.Length() == 0 { // For first run inc.xATRTrailingStop.Update(0) } else if closePrice > inc.xATRTrailingStop.Last(1) && inc.previousClosePrice > inc.xATRTrailingStop.Last(1) { inc.xATRTrailingStop.Update(math.Max(inc.xATRTrailingStop.Last(1), closePrice-nLoss)) } else if closePrice < inc.xATRTrailingStop.Last(1) && inc.previousClosePrice < inc.xATRTrailingStop.Last(1) { inc.xATRTrailingStop.Update(math.Min(inc.xATRTrailingStop.Last(1), closePrice+nLoss)) } else if closePrice > inc.xATRTrailingStop.Last(1) { inc.xATRTrailingStop.Update(closePrice - nLoss) } else { inc.xATRTrailingStop.Update(closePrice + nLoss) } // pos if inc.previousClosePrice < inc.xATRTrailingStop.Last(1) && closePrice > inc.xATRTrailingStop.Last(1) { inc.pos = types.DirectionUp } else if inc.previousClosePrice > inc.xATRTrailingStop.Last(1) && closePrice < inc.xATRTrailingStop.Last(1) { inc.pos = types.DirectionDown } else { inc.pos = inc.previousPos } above := closePrice > inc.xATRTrailingStop.Last(0) && inc.previousClosePrice < inc.xATRTrailingStop.Last(1) below := closePrice < inc.xATRTrailingStop.Last(0) && inc.previousClosePrice > inc.xATRTrailingStop.Last(1) buy := closePrice > inc.xATRTrailingStop.Last(0) && above // buy sell := closePrice < inc.xATRTrailingStop.Last(0) && below // sell inc.buyValue.Push(buy) inc.sellValue.Push(sell) if buy { inc.Values = append(inc.Values, types.DirectionUp) } else if sell { inc.Values = append(inc.Values, types.DirectionDown) } else { inc.Values = append(inc.Values, types.DirectionNone) } // Update last prices inc.previousClosePrice = closePrice inc.previousPos = inc.pos } // GetSignal returns signal (down, none or up) func (inc *UtBotAlert) GetSignal() types.Direction { length := len(inc.Values) if length > 0 { return inc.Values[length-1] } return types.DirectionNone } func (inc *UtBotAlert) PushK(k types.KLine) { if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) { return } inc.Update(k.GetHigh().Float64(), k.GetLow().Float64(), k.GetClose().Float64()) inc.EndTime = k.EndTime.Time() inc.EmitUpdate(inc.Last()) } func (inc *UtBotAlert) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) { target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK)) } // LoadK calculates the initial values func (inc *UtBotAlert) LoadK(allKLines []types.KLine) { for _, k := range allKLines { inc.PushK(k) } }