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111 lines
3.4 KiB
Go
111 lines
3.4 KiB
Go
package bbgo
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import (
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/indicator/v2"
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"github.com/c9s/bbgo/pkg/types"
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)
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// IndicatorSet is the v2 standard indicator set
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// This will replace StandardIndicator in the future
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type IndicatorSet struct {
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Symbol string
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stream types.Stream
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store *MarketDataStore
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// caches
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kLines map[types.Interval]*indicatorv2.KLineStream
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closePrices map[types.Interval]*indicatorv2.PriceStream
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}
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func NewIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *IndicatorSet {
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return &IndicatorSet{
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Symbol: symbol,
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store: store,
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stream: stream,
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kLines: make(map[types.Interval]*indicatorv2.KLineStream),
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closePrices: make(map[types.Interval]*indicatorv2.PriceStream),
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}
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}
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func (i *IndicatorSet) KLines(interval types.Interval) *indicatorv2.KLineStream {
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if kLines, ok := i.kLines[interval]; ok {
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return kLines
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}
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kLines := indicatorv2.KLines(i.stream, i.Symbol, interval)
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if kLinesWindow, ok := i.store.KLinesOfInterval(interval); ok {
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kLines.BackFill(*kLinesWindow)
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} else {
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logrus.Warnf("market data store %s kline history not found, unable to backfill the kline stream data", interval)
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}
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i.kLines[interval] = kLines
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return kLines
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}
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func (i *IndicatorSet) OPEN(interval types.Interval) *indicatorv2.PriceStream {
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return indicatorv2.OpenPrices(i.KLines(interval))
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}
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func (i *IndicatorSet) HIGH(interval types.Interval) *indicatorv2.PriceStream {
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return indicatorv2.HighPrices(i.KLines(interval))
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}
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func (i *IndicatorSet) LOW(interval types.Interval) *indicatorv2.PriceStream {
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return indicatorv2.LowPrices(i.KLines(interval))
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}
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func (i *IndicatorSet) CLOSE(interval types.Interval) *indicatorv2.PriceStream {
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if closePrices, ok := i.closePrices[interval]; ok {
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return closePrices
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}
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closePrices := indicatorv2.ClosePrices(i.KLines(interval))
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i.closePrices[interval] = closePrices
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return closePrices
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}
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func (i *IndicatorSet) VOLUME(interval types.Interval) *indicatorv2.PriceStream {
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return indicatorv2.Volumes(i.KLines(interval))
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}
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func (i *IndicatorSet) RSI(iw types.IntervalWindow) *indicatorv2.RSIStream {
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return indicatorv2.RSI2(i.CLOSE(iw.Interval), iw.Window)
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}
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func (i *IndicatorSet) EMA(iw types.IntervalWindow) *indicatorv2.EWMAStream {
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return i.EWMA(iw)
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}
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func (i *IndicatorSet) EWMA(iw types.IntervalWindow) *indicatorv2.EWMAStream {
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return indicatorv2.EWMA2(i.CLOSE(iw.Interval), iw.Window)
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}
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func (i *IndicatorSet) STOCH(iw types.IntervalWindow, dPeriod int) *indicatorv2.StochStream {
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return indicatorv2.Stoch(i.KLines(iw.Interval), iw.Window, dPeriod)
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}
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func (i *IndicatorSet) BOLL(iw types.IntervalWindow, k float64) *indicatorv2.BOLLStream {
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return indicatorv2.BOLL(i.CLOSE(iw.Interval), iw.Window, k)
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}
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func (i *IndicatorSet) Keltner(iw types.IntervalWindow, atrLength int) *indicatorv2.KeltnerStream {
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return indicatorv2.Keltner(i.KLines(iw.Interval), iw.Window, atrLength)
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}
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func (i *IndicatorSet) MACD(interval types.Interval, shortWindow, longWindow, signalWindow int) *indicatorv2.MACDStream {
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return indicatorv2.MACD2(i.CLOSE(interval), shortWindow, longWindow, signalWindow)
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}
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func (i *IndicatorSet) ATR(interval types.Interval, window int) *indicatorv2.ATRStream {
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return indicatorv2.ATR2(i.KLines(interval), window)
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}
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func (i *IndicatorSet) ATRP(interval types.Interval, window int) *indicatorv2.ATRPStream {
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return indicatorv2.ATRP2(i.KLines(interval), window)
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}
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