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79 lines
2.2 KiB
Go
79 lines
2.2 KiB
Go
package bbgo
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import "github.com/c9s/bbgo/pkg/types"
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const MaxNumOfKLines = 5_000
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const MaxNumOfKLinesTruncate = 100
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const CapacityOfKLineWindowLimit = 5_000
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// MarketDataStore receives and maintain the public market data of a single symbol
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//go:generate callbackgen -type MarketDataStore
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type MarketDataStore struct {
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Symbol string
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// KLineWindows stores all loaded klines per interval
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KLineWindows map[types.Interval]*types.KLineWindow `json:"-"`
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kLineWindowUpdateCallbacks []func(interval types.Interval, klines types.KLineWindow)
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kLineClosedCallbacks []func(k types.KLine)
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}
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func NewMarketDataStore(symbol string) *MarketDataStore {
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return &MarketDataStore{
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Symbol: symbol,
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// KLineWindows stores all loaded klines per interval
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KLineWindows: make(map[types.Interval]*types.KLineWindow, len(types.SupportedIntervals)), // 13 interval, 1s,1m,5m,15m,30m,1h,2h,4h,6h,12h,1d,3d,1w
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}
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}
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func (store *MarketDataStore) SetKLineWindows(windows map[types.Interval]*types.KLineWindow) {
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store.KLineWindows = windows
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}
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// KLinesOfInterval returns the kline window of the given interval
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func (store *MarketDataStore) KLinesOfInterval(interval types.Interval) (kLines *types.KLineWindow, ok bool) {
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kLines, ok = store.KLineWindows[interval]
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return kLines, ok
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}
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func (store *MarketDataStore) BindStream(stream types.Stream) {
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stream.OnKLineClosed(store.handleKLineClosed)
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}
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func (store *MarketDataStore) handleKLineClosed(kline types.KLine) {
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if kline.Symbol != store.Symbol {
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return
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}
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store.AddKLine(kline)
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}
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func (store *MarketDataStore) AddKLine(k types.KLine) {
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window, ok := store.KLineWindows[k.Interval]
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if !ok {
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var tmp = make(types.KLineWindow, 0, 1000)
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store.KLineWindows[k.Interval] = &tmp
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window = &tmp
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}
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window.Add(k)
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truncateKLineWindowIfNeeded(window)
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store.EmitKLineClosed(k)
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store.EmitKLineWindowUpdate(k.Interval, *window)
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}
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func truncateKLineWindowIfNeeded(window *types.KLineWindow) {
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lenOfWindow := len(*window)
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capOfWindow := cap(*window)
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if lenOfWindow == capOfWindow && capOfWindow > CapacityOfKLineWindowLimit {
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size := CapacityOfKLineWindowLimit / 2
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start := lenOfWindow - size
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copy(*window, (*window)[start:])
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*window = (*window)[:size]
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}
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}
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