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59 lines
1.5 KiB
Go
59 lines
1.5 KiB
Go
package pivotshort
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import (
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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type TrendEMA struct {
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types.IntervalWindow
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// MaxGradient is the maximum gradient allowed for the entry.
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MaxGradient float64 `json:"maxGradient"`
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MinGradient float64 `json:"minGradient"`
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trendEWMA *indicator.EWMA
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trendEWMALast, trendEWMACurrent, trendGradient float64
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}
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func (s *TrendEMA) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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symbol := orderExecutor.Position().Symbol
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s.trendEWMA = session.StandardIndicatorSet(symbol).EWMA(s.IntervalWindow)
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session.MarketDataStream.OnStart(func() {
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s.trendEWMALast = s.trendEWMA.Values[s.trendEWMA.Length()-2]
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s.trendEWMACurrent = s.trendEWMA.Last()
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})
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session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
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s.trendEWMALast = s.trendEWMACurrent
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s.trendEWMACurrent = s.trendEWMA.Last()
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}))
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}
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func (s *TrendEMA) Gradient() float64 {
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return s.trendGradient
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}
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func (s *TrendEMA) GradientAllowed() bool {
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if s.trendEWMALast > 0.0 && s.trendEWMACurrent > 0.0 {
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s.trendGradient = s.trendEWMALast / s.trendEWMACurrent
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}
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log.Infof("trendEMA %+v current=%f last=%f gradient=%f", s, s.trendEWMACurrent, s.trendEWMALast, s.trendGradient)
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if s.trendGradient == .0 {
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return false
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}
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if s.MaxGradient > 0.0 && s.trendGradient < s.MaxGradient {
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return true
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}
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if s.MinGradient > 0.0 && s.trendGradient > s.MinGradient {
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return true
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}
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return false
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}
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