mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-25 08:15:15 +00:00
107 lines
3.1 KiB
Go
107 lines
3.1 KiB
Go
package bbgo
|
|
|
|
import (
|
|
"github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/indicator"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
// IndicatorSet is the v2 standard indicator set
|
|
// This will replace StandardIndicator in the future
|
|
type IndicatorSet struct {
|
|
Symbol string
|
|
|
|
stream types.Stream
|
|
store *MarketDataStore
|
|
|
|
// caches
|
|
kLines map[types.Interval]*indicator.KLineStream
|
|
closePrices map[types.Interval]*indicator.PriceStream
|
|
}
|
|
|
|
func NewIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *IndicatorSet {
|
|
return &IndicatorSet{
|
|
Symbol: symbol,
|
|
store: store,
|
|
stream: stream,
|
|
|
|
kLines: make(map[types.Interval]*indicator.KLineStream),
|
|
closePrices: make(map[types.Interval]*indicator.PriceStream),
|
|
}
|
|
}
|
|
|
|
func (i *IndicatorSet) KLines(interval types.Interval) *indicator.KLineStream {
|
|
if kLines, ok := i.kLines[interval]; ok {
|
|
return kLines
|
|
}
|
|
|
|
kLines := indicator.KLines(i.stream, i.Symbol, interval)
|
|
if kLinesWindow, ok := i.store.KLinesOfInterval(interval); ok {
|
|
kLines.BackFill(*kLinesWindow)
|
|
} else {
|
|
logrus.Warnf("market data store %s kline history not found, unable to backfill the kline stream data", interval)
|
|
}
|
|
|
|
i.kLines[interval] = kLines
|
|
return kLines
|
|
}
|
|
|
|
func (i *IndicatorSet) OPEN(interval types.Interval) *indicator.PriceStream {
|
|
return indicator.OpenPrices(i.KLines(interval))
|
|
}
|
|
|
|
func (i *IndicatorSet) HIGH(interval types.Interval) *indicator.PriceStream {
|
|
return indicator.HighPrices(i.KLines(interval))
|
|
}
|
|
|
|
func (i *IndicatorSet) LOW(interval types.Interval) *indicator.PriceStream {
|
|
return indicator.LowPrices(i.KLines(interval))
|
|
}
|
|
|
|
func (i *IndicatorSet) CLOSE(interval types.Interval) *indicator.PriceStream {
|
|
if closePrices, ok := i.closePrices[interval]; ok {
|
|
return closePrices
|
|
}
|
|
|
|
closePrices := indicator.ClosePrices(i.KLines(interval))
|
|
i.closePrices[interval] = closePrices
|
|
return closePrices
|
|
}
|
|
|
|
func (i *IndicatorSet) VOLUME(interval types.Interval) *indicator.PriceStream {
|
|
return indicator.Volumes(i.KLines(interval))
|
|
}
|
|
|
|
func (i *IndicatorSet) RSI(iw types.IntervalWindow) *indicator.RSIStream {
|
|
return indicator.RSI2(i.CLOSE(iw.Interval), iw.Window)
|
|
}
|
|
|
|
func (i *IndicatorSet) EMA(iw types.IntervalWindow) *indicator.EWMAStream {
|
|
return i.EWMA(iw)
|
|
}
|
|
|
|
func (i *IndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMAStream {
|
|
return indicator.EWMA2(i.CLOSE(iw.Interval), iw.Window)
|
|
}
|
|
|
|
func (i *IndicatorSet) STOCH(iw types.IntervalWindow, dPeriod int) *indicator.StochStream {
|
|
return indicator.Stoch2(i.KLines(iw.Interval), iw.Window, dPeriod)
|
|
}
|
|
|
|
func (i *IndicatorSet) BOLL(iw types.IntervalWindow, k float64) *indicator.BOLLStream {
|
|
return indicator.BOLL2(i.CLOSE(iw.Interval), iw.Window, k)
|
|
}
|
|
|
|
func (i *IndicatorSet) MACD(interval types.Interval, shortWindow, longWindow, signalWindow int) *indicator.MACDStream {
|
|
return indicator.MACD2(i.CLOSE(interval), shortWindow, longWindow, signalWindow)
|
|
}
|
|
|
|
func (i *IndicatorSet) ATR(interval types.Interval, window int) *indicator.ATRStream {
|
|
return indicator.ATR2(i.KLines(interval), window)
|
|
}
|
|
|
|
func (i *IndicatorSet) ATRP(interval types.Interval, window int) *indicator.ATRPStream {
|
|
return indicator.ATRP2(i.KLines(interval), window)
|
|
}
|