fix: ad NaN error. feature: Line indicator init functions. feature: i…

…ndicator manual

doc/development/indicator.md

@@ -0,0 +1,100 @@
+How To Use Builtin Indicators and Create New Indicators
+-------------------------------------------------------
+
+### Built-in Indicators
+In bbgo session, we already have several indicators defined inside.
+We could refer to the live-data without the worriedness of handling market data subscription.
+To use the builtin ones, we could refer the `StandardIndicatorSet` type:
+
+```go
+// defined in pkg/bbgo/session.go
+(*StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandwidth float64) *indicator.BOLL
+(*StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA
+(*StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA
+(*StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH
+(*StandardIndicatorSet) VOLATILITY(iw types.IntervalWindow) *indicator.VOLATILITY
+```
+
+and to get the `*StandardIndicatorSet` from `ExchangeSession`, just need to call:
+```go
+indicatorSet, ok := session.StandardIndicatorSet("BTCUSDT") // param: symbol
+```
+in your strategy's `Run` function.
+
+
+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.
+
+However, what if you want to use the indicators not defined in `StandardIndicatorSet`? For example, the `AD` indicator defined in `pkg/indicators/ad.go`?
+
+Here's a simple example in what you should write in your strategy code:
+```go
+import (
+	"context"
+	"fmt"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/c9s/bbgo/pkg/indicator"
+)
+
+type Strategy struct {}
+
+func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
+	session.Subscribe(types.KLineChannel, s.Symbol. types.SubscribeOptions{Interval: "1m"})
+}
+
+func (s *Strategy) Run(ctx context.Context, oe bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	// first we need to get market data store(cached market data) from the exchange session
+	st, ok := session.MarketDataStore(s.Symbol)
+	if !ok {
+		...
+		return err
+	}
+	// setup the time frame size
+	window := types.IntervalWindow{Window: 10, Interval: types.Interval1m}
+	// construct AD indicator
+	AD := &indicator.AD{IntervalWindow: window}
+	// bind indicator to the data store, so that our callback could be triggered
+	AD.Bind(st)
+	AD.OnUpdate(func (ad float64) {
+		fmt.Printf("now we've got ad: %f, total length: %d\n", ad, AD.Length())
+	})
+}
+```
+
+#### To Contribute
+
+try to create new indicators in `pkg/indicator/` folder, and add compilation hint of go generator:
+```go
+// go:generate callbackgen -type StructName
+type StructName struct {
+	...
+	UpdateCallbacks []func(value float64)
+}
+
+```
+And implement required interface methods:
+```go
+// custom function
+func (inc *StructName) calculateAndUpdate(kLines []types.KLine) {
+	// calculation...
+	// assign the result to calculatedValue
+	inc.EmitUpdate(calculatedValue) // produce data, broadcast to the subscribers
+}
+
+// custom function
+func (inc *StructName) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	// filter on interval
+	inc.calculateAndUpdate(window)
+}
+
+// required
+func (inc *StructName) Bind(updator KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}
+```
+
+The `KLineWindowUpdater` interface is currently defined in `pkg/indicator/ewma.go` and may be moved out in the future.
+
+Once the implementation is done, run `go generate` to generate the callback functions of the indicator.
+You should be able to implement your strategy and use the new indicator in the same way as `AD`.

pkg/indicator/ad.go

@@ -23,12 +23,17 @@ type AD struct {
 }
 
 func (inc *AD) Update(kLine types.KLine) {
-	close := kLine.Close.Float64()
+	cloze := kLine.Close.Float64()
 	high := kLine.High.Float64()
 	low := kLine.Low.Float64()
 	volume := kLine.Volume.Float64()
 
-	moneyFlowVolume := ((2*close - high - low) / (high - low)) * volume
+	var moneyFlowVolume float64
+	if high == low {
+		moneyFlowVolume = 0
+	} else {
+		moneyFlowVolume = ((2*cloze - high - low) / (high - low)) * volume
+	}
 
 	ad := inc.Last() + moneyFlowVolume
 	inc.Values.Push(ad)
@@ -43,10 +48,10 @@ func (inc *AD) Last() float64 {
 
 func (inc *AD) Index(i int) float64 {
 	length := len(inc.Values)
-	if length == 0 || length - i - 1 < 0 {
+	if length == 0 || length-i-1 < 0 {
 		return 0
 	}
-	return inc.Values[length - i - 1]
+	return inc.Values[length-i-1]
 }
 
 func (inc *AD) Length() int {

pkg/indicator/line.go

@@ -6,6 +6,11 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+// Line indicator is a utility that helps to simulate either the
+// 1. trend
+// 2. support
+// 3. resistance
+// of the market data, defined with series interface
 type Line struct {
 	types.IntervalWindow
 	start       float64
@@ -39,4 +44,25 @@ func (l *Line) Length() int {
 	return int(l.startTime.Sub(l.currentTime).Minutes()) / l.Interval.Minutes()
 }
 
+func (l *Line) SetX1(value float64, startTime time.Time) {
+	l.startTime = startTime
+	l.start = value
+}
+
+func (l *Line) SetX2(value float64, endTime time.Time) {
+	l.endTime = endTime
+	l.end = value
+}
+
+func NewLine(startValue float64, startTime time.Time, endValue float64, endTime time.Time, interval types.Interval) *Line {
+	return &Line{
+		start:       startValue,
+		end:         endValue,
+		startTime:   startTime,
+		endTime:     endTime,
+		currentTime: endTime,
+		Interval:    interval,
+	}
+}
+
 var _ types.Series = &Line{}

pkg/indicator/rsi.go

@@ -65,10 +65,10 @@ func (inc *RSI) Last() float64 {
 
 func (inc *RSI) Index(i int) float64 {
 	length := len(inc.Values)
-	if length <= 0 || length - i - 1 < 0 {
+	if length <= 0 || length-i-1 < 0 {
 		return 0.0
 	}
-	return inc.Values[length - i - 1]
+	return inc.Values[length-i-1]
 }
 
 func (inc *RSI) Length() int {

pkg/indicator/sma.go

@@ -32,11 +32,11 @@ func (inc *SMA) Last() float64 {
 
 func (inc *SMA) Index(i int) float64 {
 	length := len(inc.Values)
-	if length == 0 || length - i - 1 < 0 {
+	if length == 0 || length-i-1 < 0 {
 		return 0.0
 	}
 
-	return inc.Values[length - i - 1]
+	return inc.Values[length-i-1]
 }
 
 func (inc *SMA) Length() int {

pkg/indicator/stoch.go

@@ -105,10 +105,10 @@ func (inc *DSeries) Length() int {
 
 func (inc *DSeries) Index(i int) float64 {
 	length := len(inc.D)
-	if length == 0 || length - i - 1 < 0 {
+	if length == 0 || length-i-1 < 0 {
 		return 0
 	}
-	return inc.D[length - i - 1]
+	return inc.D[length-i-1]
 }
 
 var _ types.Series = &DSeries{}
@@ -123,10 +123,10 @@ func (inc *KSeries) Last() float64 {
 
 func (inc *KSeries) Index(i int) float64 {
 	length := len(inc.K)
-	if length == 0 || length - i - 1 < 0 {
+	if length == 0 || length-i-1 < 0 {
 		return 0
 	}
-	return inc.K[length - i - 1]
+	return inc.K[length-i-1]
 }
 
 func (inc *KSeries) Length() int {

pkg/indicator/vwap.go

@@ -37,11 +37,11 @@ func (inc *VWAP) Last() float64 {
 
 func (inc *VWAP) Index(i int) float64 {
 	length := len(inc.Values)
-	if length == 0 || length - i - 1 < 0 {
+	if length == 0 || length-i-1 < 0 {
 		return 0
 	}
 
-	return inc.Values[length - i - 1]
+	return inc.Values[length-i-1]
 }
 
 func (inc *VWAP) Length() int {

pkg/indicator/vwma.go

@@ -36,10 +36,10 @@ func (inc *VWMA) Last() float64 {
 
 func (inc *VWMA) Index(i int) float64 {
 	length := len(inc.Values)
-	if length == 0 || length - i - 1 < 0 {
+	if length == 0 || length-i-1 < 0 {
 		return 0
 	}
-	return inc.Values[length - i - 1]
+	return inc.Values[length-i-1]
 }
 
 func (inc *VWMA) Length() int {