indicator: canonicalize the CalculateAndUpdate method call

also fix the xmaker boll indicator preloading
kauandotnet · Jul 14, 2022 · c27f416 · c27f416
1 parent ce3f7a3
commit c27f416
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Showing 12 changed files with 53 additions and 21 deletions.
diff --git a/pkg/indicator/ad.go b/pkg/indicator/ad.go
@@ -59,7 +59,7 @@ func (inc *AD) Length() int {
 
 var _ types.SeriesExtend = &AD{}
 
-func (inc *AD) calculateAndUpdate(kLines []types.KLine) {
+func (inc *AD) CalculateAndUpdate(kLines []types.KLine) {
 	for _, k := range kLines {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
@@ -70,12 +70,13 @@ func (inc *AD) calculateAndUpdate(kLines []types.KLine) {
 	inc.EmitUpdate(inc.Last())
 	inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
 }
+
 func (inc *AD) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
 	if inc.Interval != interval {
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *AD) Bind(updater KLineWindowUpdater) {

diff --git a/pkg/indicator/alma.go b/pkg/indicator/alma.go
@@ -75,7 +75,7 @@ func (inc *ALMA) Length() int {
 
 var _ types.SeriesExtend = &ALMA{}
 
-func (inc *ALMA) calculateAndUpdate(allKLines []types.KLine) {
+func (inc *ALMA) CalculateAndUpdate(allKLines []types.KLine) {
 	if inc.input == nil {
 		for _, k := range allKLines {
 			inc.Update(k.Close.Float64())
@@ -91,7 +91,7 @@ func (inc *ALMA) handleKLineWindowUpdate(interval types.Interval, window types.K
 	if inc.Interval != interval {
 		return
 	}
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *ALMA) Bind(updater KLineWindowUpdater) {

diff --git a/pkg/indicator/alma_test.go b/pkg/indicator/alma_test.go
@@ -52,7 +52,7 @@ func Test_ALMA(t *testing.T) {
 				Offset:         0.9,
 				Sigma:          6,
 			}
-			alma.calculateAndUpdate(tt.kLines)
+			alma.CalculateAndUpdate(tt.kLines)
 			assert.InDelta(t, tt.want, alma.Last(), Delta)
 			assert.InDelta(t, tt.next, alma.Index(1), Delta)
 			assert.Equal(t, tt.all, alma.Length())

diff --git a/pkg/indicator/atr.go b/pkg/indicator/atr.go
@@ -20,6 +20,8 @@ type ATR struct {
 	UpdateCallbacks []func(value float64)
 }
 
+var _ types.SeriesExtend = &ATR{}
+
 func (inc *ATR) Update(high, low, cloze float64) {
 	if inc.Window <= 0 {
 		panic("window must be greater than 0")
@@ -72,17 +74,20 @@ func (inc *ATR) Length() int {
 	if inc.RMA == nil {
 		return 0
 	}
+
 	return inc.RMA.Length()
 }
 
-var _ types.SeriesExtend = &ATR{}
+func (inc *ATR) PushK(k types.KLine) {
+	inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+}
 
 func (inc *ATR) CalculateAndUpdate(kLines []types.KLine) {
 	for _, k := range kLines {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+		inc.PushK(k)
 	}
 
 	inc.EmitUpdate(inc.Last())

diff --git a/pkg/indicator/atrp.go b/pkg/indicator/atrp.go
@@ -87,12 +87,17 @@ func (inc *ATRP) Length() int {
 
 var _ types.SeriesExtend = &ATRP{}
 
+func (inc *ATRP) PushK(k types.KLine) {
+	inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+}
+
 func (inc *ATRP) CalculateAndUpdate(kLines []types.KLine) {
 	for _, k := range kLines {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+
+		inc.PushK(k)
 	}
 
 	inc.EmitUpdate(inc.Last())

diff --git a/pkg/indicator/boll.go b/pkg/indicator/boll.go
@@ -88,7 +88,7 @@ func (inc *BOLL) LastSMA() float64 {
 	return 0.0
 }
 
-func (inc *BOLL) Update(kLines []types.KLine) {
+func (inc *BOLL) CalculateAndUpdate(kLines []types.KLine) {
 	if len(kLines) < inc.Window {
 		return
 	}
@@ -142,7 +142,7 @@ func (inc *BOLL) handleKLineWindowUpdate(interval types.Interval, window types.K
 		return
 	}
 
-	inc.Update(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *BOLL) Bind(updater KLineWindowUpdater) {

diff --git a/pkg/indicator/boll_test.go b/pkg/indicator/boll_test.go
@@ -59,7 +59,7 @@ func TestBOLL(t *testing.T) {
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
 			boll := BOLL{IntervalWindow: types.IntervalWindow{Window: tt.window}, K: tt.k}
-			boll.Update(tt.kLines)
+			boll.CalculateAndUpdate(tt.kLines)
 			assert.InDelta(t, tt.up, boll.LastUpBand(), Delta)
 			assert.InDelta(t, tt.down, boll.LastDownBand(), Delta)
 		})

diff --git a/pkg/indicator/dmi.go b/pkg/indicator/dmi.go
@@ -87,15 +87,19 @@ func (inc *DMI) Length() int {
 	return inc.ADX.Length()
 }
 
+func (inc *DMI) PushK(k types.KLine) {
+	inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+}
+
 func (inc *DMI) calculateAndUpdate(allKLines []types.KLine) {
 	if inc.ADX == nil {
 		for _, k := range allKLines {
-			inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+			inc.PushK(k)
 			inc.EmitUpdate(inc.DIPlus.Last(), inc.DIMinus.Last(), inc.ADX.Last())
 		}
 	} else {
 		k := allKLines[len(allKLines)-1]
-		inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+		inc.PushK(k)
 		inc.EmitUpdate(inc.DIPlus.Last(), inc.DIMinus.Last(), inc.ADX.Last())
 	}
 }

diff --git a/pkg/indicator/inf.go b/pkg/indicator/inf.go
@@ -0,0 +1,11 @@
+package indicator
+
+import "github.com/c9s/bbgo/pkg/types"
+
+type KLineWindowUpdater interface {
+	OnKLineWindowUpdate(func(interval types.Interval, window types.KLineWindow))
+}
+
+type KLineCloseHandler interface {
+	OnKLineClosed(func(k types.KLine))
+}
diff --git a/pkg/indicator/supertrend.go b/pkg/indicator/supertrend.go
@@ -1,10 +1,11 @@
 package indicator
 
 import (
-	"github.com/sirupsen/logrus"
 	"math"
 	"time"
 
+	"github.com/sirupsen/logrus"
+
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -50,6 +51,7 @@ func (inc *Supertrend) Index(i int) float64 {
 func (inc *Supertrend) Length() int {
 	return len(inc.trendPrices)
 }
+
 func (inc *Supertrend) Update(highPrice, lowPrice, closePrice float64) {
 	if inc.Window <= 0 {
 		panic("window must be greater than 0")
@@ -127,12 +129,17 @@ func (inc *Supertrend) GetSignal() types.Direction {
 
 var _ types.SeriesExtend = &Supertrend{}
 
-func (inc *Supertrend) calculateAndUpdate(kLines []types.KLine) {
+func (inc *Supertrend) PushK(k types.KLine) {
+	inc.Update(k.GetHigh().Float64(), k.GetLow().Float64(), k.GetClose().Float64())
+}
+
+func (inc *Supertrend) CalculateAndUpdate(kLines []types.KLine) {
 	for _, k := range kLines {
 		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
 			continue
 		}
-		inc.Update(k.GetHigh().Float64(), k.GetLow().Float64(), k.GetClose().Float64())
+
+		inc.PushK(k)
 	}
 
 	inc.EmitUpdate(inc.Last())
@@ -144,7 +151,7 @@ func (inc *Supertrend) handleKLineWindowUpdate(interval types.Interval, window t
 		return
 	}
 
-	inc.calculateAndUpdate(window)
+	inc.CalculateAndUpdate(window)
 }
 
 func (inc *Supertrend) Bind(updater KLineWindowUpdater) {

diff --git a/pkg/indicator/util.go b/pkg/indicator/util.go
@@ -24,6 +24,3 @@ func MapKLinePrice(kLines []types.KLine, f KLinePriceMapper) (prices []float64)
 	return prices
 }
 
-type KLineWindowUpdater interface {
-	OnKLineWindowUpdate(func(interval types.Interval, window types.KLineWindow))
-}
diff --git a/pkg/strategy/xmaker/strategy.go b/pkg/strategy/xmaker/strategy.go
@@ -693,7 +693,9 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
 
 	if store, ok := s.sourceSession.MarketDataStore(s.Symbol); ok {
 		if klines, ok2 := store.KLinesOfInterval(s.BollBandInterval); ok2 {
-			s.boll.Update(*klines)
+			for i := 0; i < len(*klines); i++ {
+				s.boll.CalculateAndUpdate((*klines)[0 : i+1])
+			}
 		}
 	}