bbgo_origin/bbgo/kline.go
2020-06-10 13:53:31 +08:00

199 lines
3.8 KiB
Go

package bbgo
import (
"fmt"
"math"
)
type KLineEvent struct {
EventBase
Symbol string `json:"s"`
KLine *KLine `json:"k,omitempty"`
}
type KLine struct {
StartTime int64 `json:"t"`
EndTime int64 `json:"T"`
Symbol string `json:"s"`
Interval string `json:"i"`
Open string `json:"o"`
Close string `json:"c"`
High string `json:"h"`
Low string `json:"l"`
Volume string `json:"V"` // taker buy base asset volume (like 10 BTC)
QuoteVolume string `json:"Q"` // taker buy quote asset volume (like 1000USDT)
LastTradeID int `json:"L"`
NumberOfTrades int `json:"n"`
Closed bool `json:"x"`
}
func (k KLine) Mid() float64 {
return (k.GetHigh() + k.GetLow()) / 2
}
// green candle with open and close near high price
func (k KLine) BounceUp() bool {
mid := k.Mid()
trend := k.GetTrend()
thickness := k.GetThickness()
return trend > 0 && k.GetOpen() > mid && k.GetClose() > mid && thickness < (1.0/4.0)
}
// red candle with open and close near low price
func (k KLine) BounceDown() bool {
mid := k.Mid()
trend := k.GetTrend()
thickness := k.GetThickness()
return trend > 0 && k.GetOpen() < mid && k.GetClose() < mid && thickness < (1.0/4.0)
}
func (k KLine) GetTrend() int {
o := k.GetOpen()
c := k.GetClose()
if c > o {
return 1
} else if c < o {
return -1
}
return 0
}
func (k KLine) GetHigh() float64 {
return MustParseFloat(k.High)
}
func (k KLine) GetLow() float64 {
return MustParseFloat(k.Low)
}
func (k KLine) GetOpen() float64 {
return MustParseFloat(k.Open)
}
func (k KLine) GetClose() float64 {
return MustParseFloat(k.Close)
}
func (k KLine) GetMaxChange() float64 {
return k.GetHigh() - k.GetLow()
}
func (k KLine) GetThickness() float64 {
return math.Abs(k.GetChange()) / math.Abs(k.GetMaxChange())
}
func (k KLine) GetChange() float64 {
return k.GetClose() - k.GetOpen()
}
func (k KLine) String() string {
return fmt.Sprintf("%s %s Open: % 14s Close: % 14s High: % 14s Low: % 14s Volume: % 15s Change: % 11f Max Change: % 11f", k.Symbol, k.Interval, k.Open, k.Close, k.High, k.Low, k.Volume, k.GetChange(), k.GetMaxChange())
}
type KLineWindow []KLine
func (k KLineWindow) Len() int {
return len(k)
}
func (k KLineWindow) GetOpen() float64 {
return k[0].GetOpen()
}
func (k KLineWindow) GetClose() float64 {
end := len(k) - 1
return k[end].GetClose()
}
func (k KLineWindow) GetHigh() float64 {
high := k.GetOpen()
for _, line := range k {
val := line.GetHigh()
if val > high {
high = val
}
}
return high
}
func (k KLineWindow) GetLow() float64 {
low := k.GetOpen()
for _, line := range k {
val := line.GetHigh()
if val < low {
low = val
}
}
return low
}
func (k KLineWindow) GetChange() float64 {
return k.GetClose() - k.GetOpen()
}
func (k KLineWindow) GetMaxChange() float64 {
return k.GetHigh() - k.GetLow()
}
func (k KLineWindow) GetTrend() int {
o := k.GetOpen()
c := k.GetClose()
if c > o {
return 1
} else if c < o {
return -1
}
return 0
}
func (k KLineWindow) Mid() float64 {
return k.GetHigh() - k.GetLow()/2
}
// green candle with open and close near high price
func (k KLineWindow) BounceUp() bool {
mid := k.Mid()
trend := k.GetTrend()
return trend > 0 && k.GetOpen() > mid && k.GetClose() > mid
}
// red candle with open and close near low price
func (k KLineWindow) BounceDown() bool {
mid := k.Mid()
trend := k.GetTrend()
return trend > 0 && k.GetOpen() < mid && k.GetClose() < mid
}
func (k *KLineWindow) Add(line KLine) {
*k = append(*k, line)
}
func (k KLineWindow) Take(size int) KLineWindow {
return k[:size]
}
func (k KLineWindow) Tail(size int) KLineWindow {
if len(k) <= size {
return k[:]
}
return k[len(k) - size:]
}
func (k *KLineWindow) Truncate(size int) {
if len(*k) <= size {
return
}
end := len(*k) - 1
start := end - size
if start < 0 {
start = 0
}
*k = (*k)[end-5 : end]
}