fix ewma calculation

pkg/bbgo/session.go

@@ -23,6 +23,8 @@ var (
 )
 
 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)
 }
@@ -411,6 +413,7 @@ func (session *ExchangeSession) initSymbol(ctx context.Context, environ *Environ
 	// always subscribe the 1m kline so we can make sure the connection persists.
 	klineSubscriptions[types.Interval1m] = struct{}{}
 
+	// Aggregate the intervals that we are using in the subscriptions.
 	for _, sub := range session.Subscriptions {
 		switch sub.Channel {
 		case types.BookChannel:

pkg/cmd/builtin.go

@@ -9,14 +9,15 @@ import (
 	_ "github.com/c9s/bbgo/pkg/strategy/flashcrash"
 	_ "github.com/c9s/bbgo/pkg/strategy/gap"
 	_ "github.com/c9s/bbgo/pkg/strategy/grid"
+	_ "github.com/c9s/bbgo/pkg/strategy/kline"
 	_ "github.com/c9s/bbgo/pkg/strategy/pricealert"
 	_ "github.com/c9s/bbgo/pkg/strategy/pricedrop"
 	_ "github.com/c9s/bbgo/pkg/strategy/schedule"
 	_ "github.com/c9s/bbgo/pkg/strategy/support"
 	_ "github.com/c9s/bbgo/pkg/strategy/swing"
 	_ "github.com/c9s/bbgo/pkg/strategy/techsignal"
 	_ "github.com/c9s/bbgo/pkg/strategy/xbalance"
-	_ "github.com/c9s/bbgo/pkg/strategy/xnav"
 	_ "github.com/c9s/bbgo/pkg/strategy/xmaker"
+	_ "github.com/c9s/bbgo/pkg/strategy/xnav"
 	_ "github.com/c9s/bbgo/pkg/strategy/xpuremaker"
 )

pkg/cmd/root.go

@@ -106,9 +106,7 @@ func init() {
 	RootCmd.PersistentFlags().String("ftx-api-key", "", "ftx api key")
 	RootCmd.PersistentFlags().String("ftx-api-secret", "", "ftx api secret")
 	RootCmd.PersistentFlags().String("ftx-subaccount", "", "subaccount name. Specify it if the credential is for subaccount.")
-}
 
-func Execute() {
 	viper.SetEnvKeyReplacer(strings.NewReplacer("-", "_"))
 
 	// Enable environment variable binding, the env vars are not overloaded yet.
@@ -129,7 +127,6 @@ func Execute() {
 			log.WithError(err).Fatal("failed to load config file")
 		}
 	*/
-
 	// Once the flags are defined, we can bind config keys with flags.
 	if err := viper.BindPFlags(RootCmd.PersistentFlags()); err != nil {
 		log.WithError(err).Errorf("failed to bind persistent flags. please check the flag settings.")
@@ -140,6 +137,9 @@ func Execute() {
 		log.WithError(err).Errorf("failed to bind local flags. please check the flag settings.")
 		return
 	}
+}
+
+func Execute() {
 
 	log.SetFormatter(&prefixed.TextFormatter{})
 

pkg/indicator/ewma.go

@@ -29,7 +29,7 @@ func (inc *EWMA) Update(value float64) {
 		inc.Values.Push(value)
 		return
 	} else if len(inc.Values) > MaxNumOfEWMA {
-		inc.Values = inc.Values[MaxNumOfEWMATruncateSize - 1:]
+		inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
 	}
 
 	ema := (1-multiplier)*inc.Last() + multiplier*value
@@ -54,31 +54,30 @@ func (inc *EWMA) calculateAndUpdate(allKLines []types.KLine) {
 	var dataLen = len(allKLines)
 	var multiplier = 2.0 / (float64(inc.Window) + 1)
 
-	// init the values from the kline data
-	var from = 1
+	// init the values fromNthK the kline data
+	var fromNthK = 1
 	if len(inc.Values) == 0 {
 		// for the first value, we should use the close price
 		inc.Values = []float64{priceF(allKLines[0])}
 	} else {
-		// from = len(inc.Values)
+		fromNthK = len(inc.Values)
 
 		// update ewma with the existing values
 		for i := dataLen - 1; i > 0; i-- {
 			var k = allKLines[i]
 			if k.StartTime.After(inc.LastOpenTime) {
-				from = i
+				fromNthK = i
 			} else {
 				break
 			}
 		}
 	}
 
-    if len(inc.Values) >= MaxNumOfEWMA {
-        TruncateSize := MaxNumOfEWMATruncateSize
-        inc.Values = inc.Values[TruncateSize:]
-    }
+	if len(inc.Values) >= MaxNumOfEWMA {
+		inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
+	}
 
-	for i := from; i < dataLen; i++ {
+	for i := fromNthK; i < dataLen; i++ {
 		var k = allKLines[i]
 		var ewma = priceF(k)*multiplier + (1-multiplier)*inc.Values[i-1]
 		inc.Values.Push(ewma)
@@ -87,7 +86,8 @@ func (inc *EWMA) calculateAndUpdate(allKLines []types.KLine) {
 	}
 
 	if len(inc.Values) != dataLen {
-		log.Warnf("%s EMA (%d) value length (%d) != all kline data length (%d)", inc.Interval, inc.Window, len(inc.Values), dataLen)
+		// check error
+		log.Warnf("%s EMA (%d) value length (%d) != kline window length (%d)", inc.Interval, inc.Window, len(inc.Values), dataLen)
 	}
 
 	v1 := math.Floor(inc.Values[len(inc.Values)-1]*100.0) / 100.0

pkg/indicator/sma.go

@@ -52,7 +52,7 @@ func (inc *SMA) calculateAndUpdate(kLines []types.KLine) {
 	inc.Values.Push(sma)
 
 	if len(inc.Values) > MaxNumOfSMA {
-		inc.Values = inc.Values[MaxNumOfSMATruncateSize - 1:]
+		inc.Values = inc.Values[MaxNumOfSMATruncateSize-1:]
 	}
 
 	inc.EndTime = kLines[index].EndTime

pkg/strategy/kline/strategy.go

@@ -0,0 +1,42 @@
+package kline
+
+import (
+	"context"
+	"github.com/sirupsen/logrus"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+const ID = "kline"
+
+var log = logrus.WithField("strategy", ID)
+
+func init() {
+	bbgo.RegisterStrategy(ID, &Strategy{})
+}
+
+type Strategy struct {
+	Symbol        string               `json:"symbol"`
+	MovingAverage types.IntervalWindow `json:"movingAverage"`
+}
+
+func (s *Strategy) ID() string {
+	return ID
+}
+
+func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
+	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.MovingAverage.Interval)})
+}
+
+func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
+		// skip k-lines from other symbols
+		if kline.Symbol != s.Symbol {
+			return
+		}
+
+		log.Infof("%s", kline.String())
+	})
+	return nil
+}