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129 lines
4.3 KiB
Markdown
129 lines
4.3 KiB
Markdown
How To Use Builtin Indicators and Create New Indicators
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**NOTE THAT V1 INDICATOR WILL BE DEPRECATED, USE V2 INDICATOR INSTEAD**
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### Built-in Indicators
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In bbgo session, we already have several indicators defined inside.
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We could refer to the live-data without the worriedness of handling market data subscription.
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To use the builtin ones, we could refer the `StandardIndicatorSet` type:
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```go
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// defined in pkg/bbgo/session.go
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(*StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandwidth float64) *indicator.BOLL
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(*StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA
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(*StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA
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(*StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH
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(*StandardIndicatorSet) VOLATILITY(iw types.IntervalWindow) *indicator.VOLATILITY
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```
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and to get the `*StandardIndicatorSet` from `ExchangeSession`, just need to call:
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```go
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indicatorSet, ok := session.StandardIndicatorSet("BTCUSDT") // param: symbol
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```
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in your strategy's `Run` function.
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And in `Subscribe` function in strategy, just subscribe the `KLineChannel` on the interval window of the indicator you want to query, you should be able to acquire the latest number on the indicators.
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However, what if you want to use the indicators not defined in `StandardIndicatorSet`? For example, the `AD` indicator defined in `pkg/indicators/ad.go`?
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Here's a simple example in what you should write in your strategy code:
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```go
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import (
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"context"
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"fmt"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/indicator"
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)
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type Strategy struct {}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol. types.SubscribeOptions{Interval: "1m"})
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}
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func (s *Strategy) Run(ctx context.Context, oe bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// first we need to get market data store(cached market data) from the exchange session
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st, ok := session.MarketDataStore(s.Symbol)
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if !ok {
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...
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return err
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}
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// setup the time frame size
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window := types.IntervalWindow{Window: 10, Interval: types.Interval1m}
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// construct AD indicator
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AD := &indicator.AD{IntervalWindow: window}
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// bind indicator to the data store, so that our callback could be triggered
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AD.Bind(st)
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AD.OnUpdate(func (ad float64) {
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fmt.Printf("now we've got ad: %f, total length: %d\n", ad, AD.Length())
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})
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}
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```
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#### To Contribute
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try to create new indicators in `pkg/indicator/` folder, and add compilation hint of go generator:
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```go
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// go:generate callbackgen -type StructName
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type StructName struct {
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...
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updateCallbacks []func(value float64)
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}
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```
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And implement required interface methods:
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```go
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func (inc *StructName) Update(value float64) {
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// indicator calculation here...
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// push value...
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}
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func (inc *StructName) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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}
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// custom function
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func (inc *StructName) CalculateAndUpdate(kLines []types.KLine) {
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if len(inc.Values) == 0 {
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// preload or initialization
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for _, k := range allKLines {
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.Last())
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} else {
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// update new value only
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(calculatedValue) // produce data, broadcast to the subscribers
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}
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}
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// custom function
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func (inc *StructName) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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// filter on interval
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inc.CalculateAndUpdate(window)
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}
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// required
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func (inc *StructName) Bind(updator KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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```
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The `KLineWindowUpdater` interface is currently defined in `pkg/indicator/ewma.go` and may be moved out in the future.
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Once the implementation is done, run `go generate` to generate the callback functions of the indicator.
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You should be able to implement your strategy and use the new indicator in the same way as `AD`.
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#### Generalize
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In order to provide indicator users a lower learning curve, we've designed the `types.Series` interface. We recommend indicator developers to also implement the `types.Series` interface to provide richer functionality on the computed result. To have deeper understanding how `types.Series` works, please refer to [doc/development/series.md](./series.md)
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