mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-26 16:55:15 +00:00
135 lines
3.5 KiB
Go
135 lines
3.5 KiB
Go
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 (
|
|
debugEWMA = false
|
|
debugSMA = false
|
|
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_EWMA", &debugEWMA)
|
|
util.SetEnvVarBool("DEBUG_SMA", &debugSMA)
|
|
util.SetEnvVarBool("DEBUG_BOLL", &debugBOLL)
|
|
}
|
|
|
|
type StandardIndicatorSet struct {
|
|
Symbol string
|
|
// Standard indicators
|
|
// interval -> window
|
|
sma map[types.IntervalWindow]*indicator.SMA
|
|
ewma map[types.IntervalWindow]*indicator.EWMA
|
|
boll map[types.IntervalWindowBandWidth]*indicator.BOLL
|
|
stoch map[types.IntervalWindow]*indicator.STOCH
|
|
|
|
stream types.Stream
|
|
store *MarketDataStore
|
|
}
|
|
|
|
func NewStandardIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *StandardIndicatorSet {
|
|
return &StandardIndicatorSet{
|
|
Symbol: symbol,
|
|
sma: make(map[types.IntervalWindow]*indicator.SMA),
|
|
ewma: make(map[types.IntervalWindow]*indicator.EWMA),
|
|
boll: make(map[types.IntervalWindowBandWidth]*indicator.BOLL),
|
|
stoch: make(map[types.IntervalWindow]*indicator.STOCH),
|
|
store: store,
|
|
stream: stream,
|
|
}
|
|
}
|
|
|
|
// BOLL returns the bollinger band indicator of the given interval, the window and bandwidth
|
|
func (set *StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandWidth float64) *indicator.BOLL {
|
|
iwb := types.IntervalWindowBandWidth{IntervalWindow: iw, BandWidth: bandWidth}
|
|
inc, ok := set.boll[iwb]
|
|
if !ok {
|
|
inc = &indicator.BOLL{IntervalWindow: iw, K: bandWidth}
|
|
|
|
if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
|
|
inc.LoadK(*klines)
|
|
}
|
|
|
|
if debugBOLL {
|
|
inc.OnUpdate(func(sma float64, upBand float64, downBand float64) {
|
|
logrus.Infof("%s BOLL %s: sma=%f up=%f down=%f", set.Symbol, iw.String(), sma, upBand, downBand)
|
|
})
|
|
}
|
|
|
|
inc.BindK(set.stream, set.Symbol, iw.Interval)
|
|
set.boll[iwb] = inc
|
|
}
|
|
|
|
return inc
|
|
}
|
|
|
|
// SMA returns the simple moving average indicator of the given interval and the window size.
|
|
func (set *StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA {
|
|
inc, ok := set.sma[iw]
|
|
if !ok {
|
|
inc = &indicator.SMA{IntervalWindow: iw}
|
|
|
|
if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
|
|
inc.LoadK(*klines)
|
|
}
|
|
|
|
if debugSMA {
|
|
inc.OnUpdate(func(value float64) {
|
|
logrus.Infof("%s SMA %s: %f", set.Symbol, iw.String(), value)
|
|
})
|
|
}
|
|
|
|
inc.BindK(set.stream, set.Symbol, iw.Interval)
|
|
set.sma[iw] = inc
|
|
}
|
|
|
|
return inc
|
|
}
|
|
|
|
// EWMA returns the exponential weighed moving average indicator of the given interval and the window size.
|
|
func (set *StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA {
|
|
inc, ok := set.ewma[iw]
|
|
if !ok {
|
|
inc = &indicator.EWMA{IntervalWindow: iw}
|
|
|
|
if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
|
|
inc.LoadK(*klines)
|
|
}
|
|
|
|
if debugEWMA {
|
|
inc.OnUpdate(func(value float64) {
|
|
logrus.Infof("%s EWMA %s: value=%f", set.Symbol, iw.String(), value)
|
|
})
|
|
}
|
|
|
|
inc.BindK(set.stream, set.Symbol, iw.Interval)
|
|
set.ewma[iw] = inc
|
|
}
|
|
|
|
return inc
|
|
}
|
|
|
|
func (set *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH {
|
|
inc, ok := set.stoch[iw]
|
|
if !ok {
|
|
inc = &indicator.STOCH{IntervalWindow: iw}
|
|
|
|
if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
|
|
inc.LoadK(*klines)
|
|
}
|
|
|
|
inc.BindK(set.stream, set.Symbol, iw.Interval)
|
|
set.stoch[iw] = inc
|
|
}
|
|
|
|
return inc
|
|
}
|