mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 08:11:08 +00:00
135 lines
3.5 KiB
Go
135 lines
3.5 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"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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var (
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debugEWMA = false
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debugSMA = false
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debugBOLL = false
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)
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func init() {
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// when using --dotenv option, the dotenv is loaded from command.PersistentPreRunE, not init.
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// hence here the env var won't enable the debug flag
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util.SetEnvVarBool("DEBUG_EWMA", &debugEWMA)
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util.SetEnvVarBool("DEBUG_SMA", &debugSMA)
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util.SetEnvVarBool("DEBUG_BOLL", &debugBOLL)
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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[types.IntervalWindow]*indicator.SMA
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ewma map[types.IntervalWindow]*indicator.EWMA
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boll map[types.IntervalWindowBandWidth]*indicator.BOLL
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stoch map[types.IntervalWindow]*indicator.STOCH
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stream types.Stream
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store *MarketDataStore
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}
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func NewStandardIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *StandardIndicatorSet {
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return &StandardIndicatorSet{
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Symbol: symbol,
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sma: make(map[types.IntervalWindow]*indicator.SMA),
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ewma: make(map[types.IntervalWindow]*indicator.EWMA),
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boll: make(map[types.IntervalWindowBandWidth]*indicator.BOLL),
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stoch: make(map[types.IntervalWindow]*indicator.STOCH),
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store: store,
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stream: stream,
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}
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}
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// BOLL returns the bollinger band indicator of the given interval, the window and bandwidth
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func (set *StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandWidth float64) *indicator.BOLL {
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iwb := types.IntervalWindowBandWidth{IntervalWindow: iw, BandWidth: bandWidth}
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inc, ok := set.boll[iwb]
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if !ok {
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inc = &indicator.BOLL{IntervalWindow: iw, K: bandWidth}
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if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
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inc.LoadK(*klines)
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}
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if debugBOLL {
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inc.OnUpdate(func(sma float64, upBand float64, downBand float64) {
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logrus.Infof("%s BOLL %s: sma=%f up=%f down=%f", set.Symbol, iw.String(), sma, upBand, downBand)
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})
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}
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inc.BindK(set.stream, set.Symbol, iw.Interval)
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set.boll[iwb] = inc
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}
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return inc
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}
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// SMA returns the simple moving average indicator of the given interval and the window size.
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func (set *StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA {
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inc, ok := set.sma[iw]
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if !ok {
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inc = &indicator.SMA{IntervalWindow: iw}
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if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
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inc.LoadK(*klines)
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}
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if debugSMA {
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inc.OnUpdate(func(value float64) {
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logrus.Infof("%s SMA %s: %f", set.Symbol, iw.String(), value)
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})
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}
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inc.BindK(set.stream, set.Symbol, iw.Interval)
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set.sma[iw] = inc
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}
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return inc
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}
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// EWMA returns the exponential weighed moving average indicator of the given interval and the window size.
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func (set *StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA {
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inc, ok := set.ewma[iw]
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if !ok {
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inc = &indicator.EWMA{IntervalWindow: iw}
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if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
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inc.LoadK(*klines)
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}
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if debugEWMA {
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inc.OnUpdate(func(value float64) {
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logrus.Infof("%s EWMA %s: value=%f", set.Symbol, iw.String(), value)
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})
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}
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inc.BindK(set.stream, set.Symbol, iw.Interval)
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set.ewma[iw] = inc
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}
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return inc
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}
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func (set *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH {
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inc, ok := set.stoch[iw]
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if !ok {
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inc = &indicator.STOCH{IntervalWindow: iw}
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if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok {
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inc.LoadK(*klines)
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}
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inc.BindK(set.stream, set.Symbol, iw.Interval)
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set.stoch[iw] = inc
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}
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return inc
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}
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