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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,135 @@ | ||
| package bbgo | ||
|
|
||
| import ( | ||
| "github.com/sirupsen/logrus" | ||
|
|
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| "github.com/c9s/bbgo/pkg/indicator" | ||
| "github.com/c9s/bbgo/pkg/types" | ||
| "github.com/c9s/bbgo/pkg/util" | ||
| ) | ||
|
|
||
| var ( | ||
| debugEWMA = false | ||
| debugSMA = false | ||
| debugBOLL = false | ||
| ) | ||
|
|
||
| func init() { | ||
| // when using --dotenv option, the dotenv is loaded from command.PersistentPreRunE, not init. | ||
| // hence here the env var won't enable the debug flag | ||
| util.SetEnvVarBool("DEBUG_EWMA", &debugEWMA) | ||
| util.SetEnvVarBool("DEBUG_SMA", &debugSMA) | ||
| util.SetEnvVarBool("DEBUG_BOLL", &debugBOLL) | ||
| } | ||
|
|
||
| type StandardIndicatorSet struct { | ||
| Symbol string | ||
| // Standard indicators | ||
| // interval -> window | ||
| sma map[types.IntervalWindow]*indicator.SMA | ||
| ewma map[types.IntervalWindow]*indicator.EWMA | ||
| boll map[types.IntervalWindowBandWidth]*indicator.BOLL | ||
| stoch map[types.IntervalWindow]*indicator.STOCH | ||
| volatility map[types.IntervalWindow]*indicator.Volatility | ||
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| stream types.Stream | ||
| store *MarketDataStore | ||
| } | ||
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| func NewStandardIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *StandardIndicatorSet { | ||
| return &StandardIndicatorSet{ | ||
| Symbol: symbol, | ||
| sma: make(map[types.IntervalWindow]*indicator.SMA), | ||
| ewma: make(map[types.IntervalWindow]*indicator.EWMA), | ||
| boll: make(map[types.IntervalWindowBandWidth]*indicator.BOLL), | ||
| stoch: make(map[types.IntervalWindow]*indicator.STOCH), | ||
| store: store, | ||
| stream: stream, | ||
| } | ||
| } | ||
|
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| // BOLL returns the bollinger band indicator of the given interval, the window and bandwidth | ||
| func (set *StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandWidth float64) *indicator.BOLL { | ||
| iwb := types.IntervalWindowBandWidth{IntervalWindow: iw, BandWidth: bandWidth} | ||
| inc, ok := set.boll[iwb] | ||
| if !ok { | ||
| inc = &indicator.BOLL{IntervalWindow: iw, K: bandWidth} | ||
|
|
||
| if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok { | ||
| inc.LoadK(*klines) | ||
| } | ||
|
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| if debugBOLL { | ||
| inc.OnUpdate(func(sma float64, upBand float64, downBand float64) { | ||
| logrus.Infof("%s BOLL %s: sma=%f up=%f down=%f", set.Symbol, iw.String(), sma, upBand, downBand) | ||
| }) | ||
| } | ||
|
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| inc.BindK(set.stream, set.Symbol, iw.Interval) | ||
| set.boll[iwb] = inc | ||
| } | ||
|
|
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| return inc | ||
| } | ||
|
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||
| // SMA returns the simple moving average indicator of the given interval and the window size. | ||
| func (set *StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA { | ||
| inc, ok := set.sma[iw] | ||
| if !ok { | ||
| inc = &indicator.SMA{IntervalWindow: iw} | ||
|
|
||
| if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok { | ||
| inc.LoadK(*klines) | ||
| } | ||
|
|
||
| if debugSMA { | ||
| inc.OnUpdate(func(value float64) { | ||
| logrus.Infof("%s SMA %s: %f", set.Symbol, iw.String(), value) | ||
| }) | ||
| } | ||
|
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| inc.BindK(set.stream, set.Symbol, iw.Interval) | ||
| set.sma[iw] = inc | ||
| } | ||
|
|
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| return inc | ||
| } | ||
|
|
||
| // EWMA returns the exponential weighed moving average indicator of the given interval and the window size. | ||
| func (set *StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA { | ||
| inc, ok := set.ewma[iw] | ||
| if !ok { | ||
| inc = &indicator.EWMA{IntervalWindow: iw} | ||
|
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||
| if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok { | ||
| inc.LoadK(*klines) | ||
| } | ||
|
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||
| if debugEWMA { | ||
| inc.OnUpdate(func(value float64) { | ||
| logrus.Infof("%s EWMA %s: value=%f", set.Symbol, iw.String(), value) | ||
| }) | ||
| } | ||
|
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| inc.BindK(set.stream, set.Symbol, iw.Interval) | ||
| set.ewma[iw] = inc | ||
| } | ||
|
|
||
| return inc | ||
| } | ||
|
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| func (set *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH { | ||
| inc, ok := set.stoch[iw] | ||
| if !ok { | ||
| inc = &indicator.STOCH{IntervalWindow: iw} | ||
|
|
||
| if klines, ok := set.store.KLinesOfInterval(iw.Interval); ok { | ||
| inc.LoadK(*klines) | ||
| } | ||
|
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||
| inc.BindK(set.stream, set.Symbol, iw.Interval) | ||
| set.stoch[iw] = inc | ||
| } | ||
|
|
||
| return inc | ||
| } |
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