155 lines
4.2 KiB
Go
155 lines
4.2 KiB
Go
package indicator
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import (
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"math"
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"time"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/datatype/bools"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/datatype/floats"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
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)
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// based on "UT Bot Alerts by QuantNomad" from tradingview
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//go:generate callbackgen -type UtBotAlert
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type UtBotAlert struct {
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types.IntervalWindow
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KeyValue float64 `json:"keyValue"` // Should be ATRMultiplier
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Values []types.Direction
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buyValue bools.BoolSlice
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sellValue bools.BoolSlice
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AverageTrueRange *ATR // Value must be set when initialized in strategy
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xATRTrailingStop floats.Slice
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pos types.Direction // NB: This is currently not in use (kept in case of expanding as it is in the tradingview version)
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previousPos types.Direction // NB: This is currently not in use (kept in case of expanding as it is in the tradingview version)
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previousClosePrice float64
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EndTime time.Time
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UpdateCallbacks []func(value types.Direction)
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}
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func NewUtBotAlert(iw types.IntervalWindow, keyValue float64) *UtBotAlert {
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return &UtBotAlert{
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IntervalWindow: iw,
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KeyValue: keyValue,
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AverageTrueRange: &ATR{
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IntervalWindow: iw,
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},
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}
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}
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func (inc *UtBotAlert) Last() types.Direction {
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length := len(inc.Values)
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if length > 0 {
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return inc.Values[length-1]
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}
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return types.DirectionNone
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}
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func (inc *UtBotAlert) Index(i int) types.Direction {
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length := inc.Length()
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if length == 0 || length-i-1 < 0 {
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return 0
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}
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return inc.Values[length-i-1]
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}
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func (inc *UtBotAlert) Length() int {
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return len(inc.Values)
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}
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func (inc *UtBotAlert) Update(highPrice, lowPrice, closePrice float64) {
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if inc.Window <= 0 {
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panic("window must be greater than 0")
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}
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// Update ATR
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inc.AverageTrueRange.Update(highPrice, lowPrice, closePrice)
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nLoss := inc.AverageTrueRange.Last(0) * inc.KeyValue
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// xATRTrailingStop
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if inc.xATRTrailingStop.Length() == 0 {
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// For first run
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inc.xATRTrailingStop.Update(0)
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} else if closePrice > inc.xATRTrailingStop.Last(1) && inc.previousClosePrice > inc.xATRTrailingStop.Last(1) {
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inc.xATRTrailingStop.Update(math.Max(inc.xATRTrailingStop.Last(1), closePrice-nLoss))
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} else if closePrice < inc.xATRTrailingStop.Last(1) && inc.previousClosePrice < inc.xATRTrailingStop.Last(1) {
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inc.xATRTrailingStop.Update(math.Min(inc.xATRTrailingStop.Last(1), closePrice+nLoss))
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} else if closePrice > inc.xATRTrailingStop.Last(1) {
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inc.xATRTrailingStop.Update(closePrice - nLoss)
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} else {
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inc.xATRTrailingStop.Update(closePrice + nLoss)
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}
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// pos
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if inc.previousClosePrice < inc.xATRTrailingStop.Last(1) && closePrice > inc.xATRTrailingStop.Last(1) {
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inc.pos = types.DirectionUp
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} else if inc.previousClosePrice > inc.xATRTrailingStop.Last(1) && closePrice < inc.xATRTrailingStop.Last(1) {
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inc.pos = types.DirectionDown
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} else {
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inc.pos = inc.previousPos
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}
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above := closePrice > inc.xATRTrailingStop.Last(0) && inc.previousClosePrice < inc.xATRTrailingStop.Last(1)
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below := closePrice < inc.xATRTrailingStop.Last(0) && inc.previousClosePrice > inc.xATRTrailingStop.Last(1)
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buy := closePrice > inc.xATRTrailingStop.Last(0) && above // buy
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sell := closePrice < inc.xATRTrailingStop.Last(0) && below // sell
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inc.buyValue.Push(buy)
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inc.sellValue.Push(sell)
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if buy {
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inc.Values = append(inc.Values, types.DirectionUp)
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} else if sell {
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inc.Values = append(inc.Values, types.DirectionDown)
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} else {
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inc.Values = append(inc.Values, types.DirectionNone)
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}
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// Update last prices
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inc.previousClosePrice = closePrice
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inc.previousPos = inc.pos
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}
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// GetSignal returns signal (down, none or up)
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func (inc *UtBotAlert) GetSignal() types.Direction {
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length := len(inc.Values)
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if length > 0 {
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return inc.Values[length-1]
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}
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return types.DirectionNone
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}
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func (inc *UtBotAlert) PushK(k types.KLine) {
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if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
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return
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}
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inc.Update(k.GetHigh().Float64(), k.GetLow().Float64(), k.GetClose().Float64())
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.Last())
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}
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func (inc *UtBotAlert) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
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target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
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}
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// LoadK calculates the initial values
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func (inc *UtBotAlert) LoadK(allKLines []types.KLine) {
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for _, k := range allKLines {
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inc.PushK(k)
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}
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}
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