mirror of
https://github.com/c9s/bbgo.git
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144 lines
3.8 KiB
Go
144 lines
3.8 KiB
Go
package bbgo
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import (
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/store"
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"github.com/c9s/bbgo/pkg/types"
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)
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type IntervalWindow struct {
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// The interval of kline
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Interval types.Interval
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// The windows size of EWMA and SMA
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Window int
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}
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type StandardIndicatorSet struct {
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Symbol string
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// Standard indicators
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// interval -> window
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SMA map[IntervalWindow]*indicator.SMA
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EWMA map[IntervalWindow]*indicator.EWMA
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}
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func NewStandardIndicatorSet(symbol string) *StandardIndicatorSet {
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set := &StandardIndicatorSet{
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Symbol: symbol,
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SMA: make(map[IntervalWindow]*indicator.SMA),
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EWMA: make(map[IntervalWindow]*indicator.EWMA),
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}
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// let us pre-defined commonly used intervals
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for interval := range types.SupportedIntervals {
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for _, window := range []int{7, 25, 99} {
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set.SMA[IntervalWindow{interval, window}] = &indicator.SMA{
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Interval: interval,
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Window: window,
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}
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set.EWMA[IntervalWindow{interval, window}] = &indicator.EWMA{
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Interval: interval,
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Window: window,
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}
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}
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}
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return set
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}
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func (set *StandardIndicatorSet) BindMarketDataStore(store *store.MarketDataStore) {
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for _, inc := range set.SMA {
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inc.BindMarketDataStore(store)
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}
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for _, inc := range set.EWMA {
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inc.BindMarketDataStore(store)
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}
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}
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// ExchangeSession presents the exchange connection session
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// It also maintains and collects the data returned from the stream.
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type ExchangeSession struct {
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// Exchange session name
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Name string
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// The exchange account states
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Account *types.Account
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// Stream is the connection stream of the exchange
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Stream types.Stream
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Subscriptions map[types.Subscription]types.Subscription
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Exchange types.Exchange
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// markets defines market configuration of a symbol
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markets map[string]types.Market
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lastPrices map[string]float64
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// Trades collects the executed trades from the exchange
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// map: symbol -> []trade
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Trades map[string][]types.Trade
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// marketDataStores contains the market data store of each market
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marketDataStores map[string]*store.MarketDataStore
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// standard indicators of each market
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standardIndicatorSets map[string]*StandardIndicatorSet
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tradeReporter *TradeReporter
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}
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func NewExchangeSession(name string, exchange types.Exchange) *ExchangeSession {
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return &ExchangeSession{
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Name: name,
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Exchange: exchange,
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Stream: exchange.NewStream(),
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Account: &types.Account{},
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Subscriptions: make(map[types.Subscription]types.Subscription),
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markets: make(map[string]types.Market),
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Trades: make(map[string][]types.Trade),
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lastPrices: make(map[string]float64),
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marketDataStores: make(map[string]*store.MarketDataStore),
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}
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}
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func (session *ExchangeSession) StandardIndicatorSet(symbol string) (*StandardIndicatorSet, bool) {
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set, ok := session.standardIndicatorSets[symbol]
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return set, ok
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}
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// MarketDataStore returns the market data store of a symbol
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func (session *ExchangeSession) MarketDataStore(symbol string) (s *store.MarketDataStore, ok bool) {
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s, ok = session.marketDataStores[symbol]
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return s, ok
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}
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func (session *ExchangeSession) LastPrice(symbol string) (price float64, ok bool) {
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price, ok = session.lastPrices[symbol]
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return price, ok
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}
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func (session *ExchangeSession) Market(symbol string) (market types.Market, ok bool) {
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market, ok = session.markets[symbol]
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return market, ok
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}
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func (session *ExchangeSession) ReportTrade(notifier Notifier) *TradeReporter {
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session.tradeReporter = NewTradeReporter(notifier)
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return session.tradeReporter
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}
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// Subscribe save the subscription info, later it will be assigned to the stream
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func (session *ExchangeSession) Subscribe(channel types.Channel, symbol string, options types.SubscribeOptions) *ExchangeSession {
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sub := types.Subscription{
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Channel: channel,
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Symbol: symbol,
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Options: options,
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}
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session.Subscriptions[sub] = sub
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return session
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}
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