Merge pull request c9s#505 from zenixls2/feature/series

feature: add pinescript series interface

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/bbgo/marketdatastore.go

@@ -11,26 +11,26 @@ type MarketDataStore struct {
 	Symbol string
 
 	// KLineWindows stores all loaded klines per interval
-	KLineWindows map[types.Interval]types.KLineWindow `json:"-"`
+	KLineWindows map[types.Interval]*types.KLineWindow `json:"-"`
 
-	kLineWindowUpdateCallbacks []func(interval types.Interval, kline types.KLineWindow)
+	kLineWindowUpdateCallbacks []func(interval types.Interval, klines types.KLineWindow)
 }
 
 func NewMarketDataStore(symbol string) *MarketDataStore {
 	return &MarketDataStore{
 		Symbol: symbol,
 
 		// KLineWindows stores all loaded klines per interval
-		KLineWindows: make(map[types.Interval]types.KLineWindow, len(types.SupportedIntervals)), // 12 interval, 1m,5m,15m,30m,1h,2h,4h,6h,12h,1d,3d,1w
+		KLineWindows: make(map[types.Interval]*types.KLineWindow, len(types.SupportedIntervals)), // 12 interval, 1m,5m,15m,30m,1h,2h,4h,6h,12h,1d,3d,1w
 	}
 }
 
-func (store *MarketDataStore) SetKLineWindows(windows map[types.Interval]types.KLineWindow) {
+func (store *MarketDataStore) SetKLineWindows(windows map[types.Interval]*types.KLineWindow) {
 	store.KLineWindows = windows
 }
 
 // KLinesOfInterval returns the kline window of the given interval
-func (store *MarketDataStore) KLinesOfInterval(interval types.Interval) (kLines types.KLineWindow, ok bool) {
+func (store *MarketDataStore) KLinesOfInterval(interval types.Interval) (kLines *types.KLineWindow, ok bool) {
 	kLines, ok = store.KLineWindows[interval]
 	return kLines, ok
 }
@@ -50,14 +50,15 @@ func (store *MarketDataStore) handleKLineClosed(kline types.KLine) {
 func (store *MarketDataStore) AddKLine(kline types.KLine) {
 	window, ok := store.KLineWindows[kline.Interval]
 	if !ok {
-		window = make(types.KLineWindow, 0, 1000)
+		var tmp = make(types.KLineWindow, 0, 1000)
+		store.KLineWindows[kline.Interval] = &tmp
+		window = &tmp
 	}
 	window.Add(kline)
 
-	if len(window) > MaxNumOfKLines {
-		window = window[MaxNumOfKLinesTruncate-1:]
+	if len(*window) > MaxNumOfKLines {
+		*window = (*window)[MaxNumOfKLinesTruncate-1:]
 	}
 
-	store.KLineWindows[kline.Interval] = window
-	store.EmitKLineWindowUpdate(kline.Interval, window)
+	store.EmitKLineWindowUpdate(kline.Interval, *window)
 }

pkg/cmd/backtest.go

@@ -365,7 +365,7 @@ var BacktestCmd = &cobra.Command{
 
 				startPrice, ok := session.StartPrice(symbol)
 				if !ok {
-					return fmt.Errorf("start price not found: %s, %s", symbol, exchangeName)
+					return fmt.Errorf("start price not found: %s, %s. run --sync first", symbol, exchangeName)
 				}
 
 				lastPrice, ok := session.LastPrice(symbol)

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)
@@ -41,6 +46,20 @@ func (inc *AD) Last() float64 {
 	return inc.Values[len(inc.Values)-1]
 }
 
+func (inc *AD) Index(i int) float64 {
+	length := len(inc.Values)
+	if length == 0 || length-i-1 < 0 {
+		return 0
+	}
+	return inc.Values[length-i-1]
+}
+
+func (inc *AD) Length() int {
+	return len(inc.Values)
+}
+
+var _ types.Series = &AD{}
+
 func (inc *AD) calculateAndUpdate(kLines []types.KLine) {
 	for _, k := range kLines {
 		if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {

pkg/indicator/boll.go

@@ -39,6 +39,24 @@ type BOLL struct {
 	updateCallbacks []func(sma, upBand, downBand float64)
 }
 
+type BandType int
+
+func (inc *BOLL) GetUpBand() types.Series {
+	return &inc.UpBand
+}
+
+func (inc *BOLL) GetDownBand() types.Series {
+	return &inc.DownBand
+}
+
+func (inc *BOLL) GetSMA() types.Series {
+	return &inc.SMA
+}
+
+func (inc *BOLL) GetStdDev() types.Series {
+	return &inc.StdDev
+}
+
 func (inc *BOLL) LastUpBand() float64 {
 	if len(inc.UpBand) == 0 {
 		return 0.0

pkg/indicator/ewma.go

@@ -44,6 +44,18 @@ func (inc *EWMA) Last() float64 {
 	return inc.Values[len(inc.Values)-1]
 }
 
+func (inc *EWMA) Index(i int) float64 {
+	if i >= len(inc.Values) {
+		return 0
+	}
+
+	return inc.Values[len(inc.Values)-1-i]
+}
+
+func (inc *EWMA) Length() int {
+	return len(inc.Values)
+}
+
 func (inc *EWMA) calculateAndUpdate(allKLines []types.KLine) {
 	if len(allKLines) < inc.Window {
 		// we can't calculate
@@ -149,3 +161,5 @@ func (inc *EWMA) handleKLineWindowUpdate(interval types.Interval, window types.K
 func (inc *EWMA) Bind(updater KLineWindowUpdater) {
 	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
 }
+
+var _ types.Series = &EWMA{}

pkg/indicator/line.go

@@ -0,0 +1,76 @@
+package indicator
+
+import (
+	"time"
+
+	"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
+	end         float64
+	startIndex  int
+	endIndex    int
+	currentTime time.Time
+	Interval    types.Interval
+}
+
+func (l *Line) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if interval != l.Interval {
+		return
+	}
+	newTime := window.Last().EndTime.Time()
+	delta := int(newTime.Sub(l.currentTime).Minutes()) / l.Interval.Minutes()
+	l.startIndex += delta
+	l.endIndex += delta
+	l.currentTime = newTime
+}
+
+func (l *Line) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(l.handleKLineWindowUpdate)
+}
+
+func (l *Line) Last() float64 {
+	return (l.end-l.start) / float64(l.startIndex - l.endIndex) * float64(l.endIndex) + l.end
+}
+
+func (l *Line) Index(i int) float64 {
+	return (l.end-l.start) / float64(l.startIndex - l.endIndex) * float64(l.endIndex - i) + l.end
+}
+
+func (l *Line) Length() int {
+	if l.startIndex > l.endIndex {
+		return l.startIndex - l.endIndex
+	} else {
+		return l.endIndex - l.startIndex
+	}
+}
+
+func (l *Line) SetXY1(index int, value float64) {
+	l.startIndex = index
+	l.start = value
+}
+
+func (l *Line) SetXY2(index int, value float64) {
+	l.endIndex = index
+	l.end = value
+}
+
+func NewLine(startIndex int, startValue float64, endIndex int, endValue float64, interval types.Interval) *Line {
+	return &Line{
+		start:       startValue,
+		end:         endValue,
+		startIndex:  startIndex,
+		endIndex:    endIndex,
+		currentTime: time.Time{},
+		Interval:    interval,
+	}
+}
+
+var _ types.Series = &Line{}

pkg/indicator/macd.go

@@ -89,3 +89,34 @@ func (inc *MACD) handleKLineWindowUpdate(interval types.Interval, window types.K
 func (inc *MACD) Bind(updater KLineWindowUpdater) {
 	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
 }
+
+type MACDValues struct {
+	*MACD
+}
+
+func (inc *MACDValues) Last() float64 {
+	if len(inc.Values) == 0 {
+		return 0.0
+	}
+	return inc.Values[len(inc.Values)-1]
+}
+
+func (inc *MACDValues) Index(i int) float64 {
+	length := len(inc.Values)
+	if length == 0 || length-1-i < 0 {
+		return 0.0
+	}
+	return inc.Values[length-1+i]
+}
+
+func (inc *MACDValues) Length() int {
+	return len(inc.Values)
+}
+
+func (inc *MACD) MACD() types.Series {
+	return &MACDValues{inc}
+}
+
+func (inc *MACD) Singals() types.Series {
+	return &inc.SignalLine
+}