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3e45035ab1
database: upgrade gosqllite3 version for increasing variable amount limit types: update kline starttime/endtime field to prevent sqlite3 time parsing issue. fix #215
130 lines
2.5 KiB
Go
130 lines
2.5 KiB
Go
package indicator
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import (
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"time"
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log "github.com/sirupsen/logrus"
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"gonum.org/v1/gonum/stat"
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"github.com/c9s/bbgo/pkg/types"
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)
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/*
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boll implements the bollinger indicator:
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The Basics of Bollinger Bands
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- https://www.investopedia.com/articles/technical/102201.asp
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Bollinger Bands
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- https://www.investopedia.com/terms/b/bollingerbands.asp
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Bollinger Bands Technical indicator guide:
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- https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/bollinger-bands
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*/
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//go:generate callbackgen -type BOLL
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type BOLL struct {
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types.IntervalWindow
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// times of Std, generally it's 2
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K float64
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SMA types.Float64Slice
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StdDev types.Float64Slice
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UpBand types.Float64Slice
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DownBand types.Float64Slice
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EndTime time.Time
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updateCallbacks []func(sma, upBand, downBand float64)
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}
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func (inc *BOLL) LastUpBand() float64 {
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if len(inc.UpBand) == 0 {
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return 0.0
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}
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return inc.UpBand[len(inc.UpBand)-1]
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}
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func (inc *BOLL) LastDownBand() float64 {
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if len(inc.DownBand) == 0 {
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return 0.0
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}
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return inc.DownBand[len(inc.DownBand)-1]
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}
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func (inc *BOLL) LastStdDev() float64 {
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if len(inc.StdDev) == 0 {
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return 0.0
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}
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return inc.StdDev[len(inc.StdDev)-1]
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}
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func (inc *BOLL) LastSMA() float64 {
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return inc.SMA[len(inc.SMA)-1]
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}
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func (inc *BOLL) calculateAndUpdate(kLines []types.KLine) {
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if len(kLines) < inc.Window {
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return
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}
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var index = len(kLines) - 1
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var kline = kLines[index]
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if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
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return
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}
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var recentK = kLines[index-(inc.Window-1) : index+1]
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sma, err := calculateSMA(recentK, inc.Window, KLineClosePriceMapper)
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if err != nil {
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log.WithError(err).Error("SMA error")
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return
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}
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inc.SMA.Push(sma)
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var prices []float64
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for _, k := range recentK {
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prices = append(prices, k.Close)
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}
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var std = stat.StdDev(prices, nil)
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inc.StdDev.Push(std)
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var band = inc.K * std
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var upBand = sma + band
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inc.UpBand.Push(upBand)
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var downBand = sma - band
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inc.DownBand.Push(downBand)
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// update end time
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inc.EndTime = kLines[index].EndTime.Time()
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// log.Infof("update boll: sma=%f, up=%f, down=%f", sma, upBand, downBand)
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inc.EmitUpdate(sma, upBand, downBand)
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}
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func (inc *BOLL) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if inc.Interval != interval {
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return
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}
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if inc.EndTime != zeroTime && inc.EndTime.Before(inc.EndTime) {
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return
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}
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inc.calculateAndUpdate(window)
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}
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func (inc *BOLL) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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