all: move v2 indicator to indicator/v2

pkg/bbgo/indicator_set.go

@@ -3,7 +3,7 @@ package bbgo
 import (
 	"github.com/sirupsen/logrus"
 
-	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/c9s/bbgo/pkg/indicator/v2"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -16,8 +16,8 @@ type IndicatorSet struct {
 	store  *MarketDataStore
 
 	// caches
-	kLines      map[types.Interval]*indicator.KLineStream
-	closePrices map[types.Interval]*indicator.PriceStream
+	kLines      map[types.Interval]*indicatorv2.KLineStream
+	closePrices map[types.Interval]*indicatorv2.PriceStream
 }
 
 func NewIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *IndicatorSet {
@@ -26,17 +26,17 @@ func NewIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore)
 		store:  store,
 		stream: stream,
 
-		kLines:      make(map[types.Interval]*indicator.KLineStream),
-		closePrices: make(map[types.Interval]*indicator.PriceStream),
+		kLines:      make(map[types.Interval]*indicatorv2.KLineStream),
+		closePrices: make(map[types.Interval]*indicatorv2.PriceStream),
 	}
 }
 
-func (i *IndicatorSet) KLines(interval types.Interval) *indicator.KLineStream {
+func (i *IndicatorSet) KLines(interval types.Interval) *indicatorv2.KLineStream {
 	if kLines, ok := i.kLines[interval]; ok {
 		return kLines
 	}
 
-	kLines := indicator.KLines(i.stream, i.Symbol, interval)
+	kLines := indicatorv2.KLines(i.stream, i.Symbol, interval)
 	if kLinesWindow, ok := i.store.KLinesOfInterval(interval); ok {
 		kLines.BackFill(*kLinesWindow)
 	} else {
@@ -47,60 +47,60 @@ func (i *IndicatorSet) KLines(interval types.Interval) *indicator.KLineStream {
 	return kLines
 }
 
-func (i *IndicatorSet) OPEN(interval types.Interval) *indicator.PriceStream {
-	return indicator.OpenPrices(i.KLines(interval))
+func (i *IndicatorSet) OPEN(interval types.Interval) *indicatorv2.PriceStream {
+	return indicatorv2.OpenPrices(i.KLines(interval))
 }
 
-func (i *IndicatorSet) HIGH(interval types.Interval) *indicator.PriceStream {
-	return indicator.HighPrices(i.KLines(interval))
+func (i *IndicatorSet) HIGH(interval types.Interval) *indicatorv2.PriceStream {
+	return indicatorv2.HighPrices(i.KLines(interval))
 }
 
-func (i *IndicatorSet) LOW(interval types.Interval) *indicator.PriceStream {
-	return indicator.LowPrices(i.KLines(interval))
+func (i *IndicatorSet) LOW(interval types.Interval) *indicatorv2.PriceStream {
+	return indicatorv2.LowPrices(i.KLines(interval))
 }
 
-func (i *IndicatorSet) CLOSE(interval types.Interval) *indicator.PriceStream {
+func (i *IndicatorSet) CLOSE(interval types.Interval) *indicatorv2.PriceStream {
 	if closePrices, ok := i.closePrices[interval]; ok {
 		return closePrices
 	}
 
-	closePrices := indicator.ClosePrices(i.KLines(interval))
+	closePrices := indicatorv2.ClosePrices(i.KLines(interval))
 	i.closePrices[interval] = closePrices
 	return closePrices
 }
 
-func (i *IndicatorSet) VOLUME(interval types.Interval) *indicator.PriceStream {
-	return indicator.Volumes(i.KLines(interval))
+func (i *IndicatorSet) VOLUME(interval types.Interval) *indicatorv2.PriceStream {
+	return indicatorv2.Volumes(i.KLines(interval))
 }
 
-func (i *IndicatorSet) RSI(iw types.IntervalWindow) *indicator.RSIStream {
-	return indicator.RSI2(i.CLOSE(iw.Interval), iw.Window)
+func (i *IndicatorSet) RSI(iw types.IntervalWindow) *indicatorv2.RSIStream {
+	return indicatorv2.RSI2(i.CLOSE(iw.Interval), iw.Window)
 }
 
-func (i *IndicatorSet) EMA(iw types.IntervalWindow) *indicator.EWMAStream {
+func (i *IndicatorSet) EMA(iw types.IntervalWindow) *indicatorv2.EWMAStream {
 	return i.EWMA(iw)
 }
 
-func (i *IndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMAStream {
-	return indicator.EWMA2(i.CLOSE(iw.Interval), iw.Window)
+func (i *IndicatorSet) EWMA(iw types.IntervalWindow) *indicatorv2.EWMAStream {
+	return indicatorv2.EWMA2(i.CLOSE(iw.Interval), iw.Window)
 }
 
-func (i *IndicatorSet) STOCH(iw types.IntervalWindow, dPeriod int) *indicator.StochStream {
-	return indicator.Stoch2(i.KLines(iw.Interval), iw.Window, dPeriod)
+func (i *IndicatorSet) STOCH(iw types.IntervalWindow, dPeriod int) *indicatorv2.StochStream {
+	return indicatorv2.Stoch(i.KLines(iw.Interval), iw.Window, dPeriod)
 }
 
-func (i *IndicatorSet) BOLL(iw types.IntervalWindow, k float64) *indicator.BOLLStream {
-	return indicator.BOLL2(i.CLOSE(iw.Interval), iw.Window, k)
+func (i *IndicatorSet) BOLL(iw types.IntervalWindow, k float64) *indicatorv2.BOLLStream {
+	return indicatorv2.BOLL(i.CLOSE(iw.Interval), iw.Window, k)
 }
 
-func (i *IndicatorSet) MACD(interval types.Interval, shortWindow, longWindow, signalWindow int) *indicator.MACDStream {
-	return indicator.MACD2(i.CLOSE(interval), shortWindow, longWindow, signalWindow)
+func (i *IndicatorSet) MACD(interval types.Interval, shortWindow, longWindow, signalWindow int) *indicatorv2.MACDStream {
+	return indicatorv2.MACD2(i.CLOSE(interval), shortWindow, longWindow, signalWindow)
 }
 
-func (i *IndicatorSet) ATR(interval types.Interval, window int) *indicator.ATRStream {
-	return indicator.ATR2(i.KLines(interval), window)
+func (i *IndicatorSet) ATR(interval types.Interval, window int) *indicatorv2.ATRStream {
+	return indicatorv2.ATR2(i.KLines(interval), window)
 }
 
-func (i *IndicatorSet) ATRP(interval types.Interval, window int) *indicator.ATRPStream {
-	return indicator.ATRP2(i.KLines(interval), window)
+func (i *IndicatorSet) ATRP(interval types.Interval, window int) *indicatorv2.ATRPStream {
+	return indicatorv2.ATRP2(i.KLines(interval), window)
 }

pkg/indicator/ewma.go

@@ -76,9 +76,9 @@ func (inc *EWMA) PushK(k types.KLine) {
 	inc.EmitUpdate(inc.Last(0))
 }
 
-func CalculateKLinesEMA(allKLines []types.KLine, priceF KLineValueMapper, window int) float64 {
+func CalculateKLinesEMA(allKLines []types.KLine, priceF types.KLineValueMapper, window int) float64 {
 	var multiplier = 2.0 / (float64(window) + 1)
-	return ewma(MapKLinePrice(allKLines, priceF), multiplier)
+	return ewma(types.MapKLinePrice(allKLines, priceF), multiplier)
 }
 
 // see https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp

pkg/indicator/ewma_test.go

@@ -1027,7 +1027,7 @@ func buildKLines(prices []fixedpoint.Value) (klines []types.KLine) {
 func Test_calculateEWMA(t *testing.T) {
 	type args struct {
 		allKLines []types.KLine
-		priceF    KLineValueMapper
+		priceF    types.KLineValueMapper
 		window    int
 	}
 	var input []fixedpoint.Value
@@ -1043,7 +1043,7 @@ func Test_calculateEWMA(t *testing.T) {
 			name: "ETHUSDT EMA 7",
 			args: args{
 				allKLines: buildKLines(input),
-				priceF:    KLineClosePriceMapper,
+				priceF:    types.KLineClosePriceMapper,
 				window:    7,
 			},
 			want: 571.72, // with open price, binance desktop returns 571.45, trading view returns 570.8957, for close price, binance mobile returns 571.72
@@ -1052,7 +1052,7 @@ func Test_calculateEWMA(t *testing.T) {
 			name: "ETHUSDT EMA 25",
 			args: args{
 				allKLines: buildKLines(input),
-				priceF:    KLineClosePriceMapper,
+				priceF:    types.KLineClosePriceMapper,
 				window:    25,
 			},
 			want: 571.30,
@@ -1061,7 +1061,7 @@ func Test_calculateEWMA(t *testing.T) {
 			name: "ETHUSDT EMA 99",
 			args: args{
 				allKLines: buildKLines(input),
-				priceF:    KLineClosePriceMapper,
+				priceF:    types.KLineClosePriceMapper,
 				window:    99,
 			},
 			want: 577.62, // binance mobile uses 577.58

pkg/indicator/ghfilter_test.go

@@ -6070,7 +6070,7 @@ func Test_GHFilter(t *testing.T) {
 func Test_GHFilterEstimationAccurate(t *testing.T) {
 	type args struct {
 		allKLines []types.KLine
-		priceF    KLineValueMapper
+		priceF    types.KLineValueMapper
 		window    int
 	}
 	var klines []types.KLine

pkg/indicator/pivot.go

@@ -52,7 +52,7 @@ func (inc *Pivot) CalculateAndUpdate(klines []types.KLine) {
 
 	recentT := klines[end-(inc.Window-1) : end+1]
 
-	l, h, err := calculatePivot(recentT, inc.Window, KLineLowPriceMapper, KLineHighPriceMapper)
+	l, h, err := calculatePivot(recentT, inc.Window, types.KLineLowPriceMapper, types.KLineHighPriceMapper)
 	if err != nil {
 		log.WithError(err).Error("can not calculate pivots")
 		return
@@ -90,7 +90,7 @@ func (inc *Pivot) Bind(updater KLineWindowUpdater) {
 	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
 }
 
-func calculatePivot(klines []types.KLine, window int, valLow KLineValueMapper, valHigh KLineValueMapper) (float64, float64, error) {
+func calculatePivot(klines []types.KLine, window int, valLow types.KLineValueMapper, valHigh types.KLineValueMapper) (float64, float64, error) {
 	length := len(klines)
 	if length == 0 || length < window {
 		return 0., 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
@@ -115,11 +115,3 @@ func calculatePivot(klines []types.KLine, window int, valLow KLineValueMapper, v
 
 	return pl, ph, nil
 }
-
-func KLineLowPriceMapper(k types.KLine) float64 {
-	return k.Low.Float64()
-}
-
-func KLineHighPriceMapper(k types.KLine) float64 {
-	return k.High.Float64()
-}

pkg/indicator/util.go

@@ -7,7 +7,7 @@ func max(x, y int) int {
 	return y
 }
 
-func min(x, y int) int {
+func Min(x, y int) int {
 	if x < y {
 		return x
 	}

pkg/indicator/v2_atr.go → pkg/indicator/v2/atr.go

@@ -1,4 +1,4 @@
-package indicator
+package indicatorv2
 
 type ATRStream struct {
 	// embedded struct

pkg/indicator/v2_atr_test.go → pkg/indicator/v2/atr_test.go

@@ -1,4 +1,4 @@
-package indicator
+package indicatorv2
 
 import (
 	"encoding/json"

pkg/indicator/v2_atrp.go → pkg/indicator/v2/atrp.go

@@ -1,12 +1,14 @@
-package indicator
+package indicatorv2
+
+import "github.com/c9s/bbgo/pkg/types"
 
 type ATRPStream struct {
-	*Float64Series
+	*types.Float64Series
 }
 
 func ATRP2(source KLineSubscription, window int) *ATRPStream {
 	s := &ATRPStream{
-		Float64Series: NewFloat64Series(),
+		Float64Series: types.NewFloat64Series(),
 	}
 	tr := TR2(source)
 	atr := RMA2(tr, window, true)

pkg/indicator/v2_boll.go → pkg/indicator/v2/boll.go

@@ -1,10 +1,14 @@
-package indicator
+package indicatorv2
+
+import (
+	"github.com/c9s/bbgo/pkg/types"
+)
 
 type BOLLStream struct {
 	// the band series
-	*Float64Series
+	*types.Float64Series
 
-	UpBand, DownBand *Float64Series
+	UpBand, DownBand *types.Float64Series
 
 	window int
 	k      float64
@@ -20,15 +24,15 @@ type BOLLStream struct {
 //
 //	-> calculate SMA
 //	-> calculate stdDev -> calculate bandWidth -> get latest SMA -> upBand, downBand
-func BOLL2(source Float64Source, window int, k float64) *BOLLStream {
+func BOLL(source types.Float64Source, window int, k float64) *BOLLStream {
 	// bind these indicators before our main calculator
 	sma := SMA2(source, window)
-	stdDev := StdDev2(source, window)
+	stdDev := StdDev(source, window)
 
 	s := &BOLLStream{
-		Float64Series: NewFloat64Series(),
-		UpBand:        NewFloat64Series(),
-		DownBand:      NewFloat64Series(),
+		Float64Series: types.NewFloat64Series(),
+		UpBand:        types.NewFloat64Series(),
+		DownBand:      types.NewFloat64Series(),
 		window:        window,
 		k:             k,
 		SMA:           sma,