add updater to indicators

rahulmr · Dec 3, 2020 · f4aee52 · f4aee52
1 parent 17fd6a4
commit f4aee52
Show file tree

Hide file tree

Showing 5 changed files with 47 additions and 4 deletions.
diff --git a/pkg/indicator/ema.go → pkg/indicator/ewma.go b/pkg/indicator/ema.go → pkg/indicator/ewma.go
@@ -6,10 +6,13 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+//go:generate callbackgen -type EWMA
 type EWMA struct {
 	types.IntervalWindow
-	Values   Float64Slice
-	EndTime  time.Time
+	Values  Float64Slice
+	EndTime time.Time
+
+	UpdateCallbacks []func(value float64)
 }
 
 func (inc *EWMA) Last() float64 {
@@ -32,18 +35,20 @@ func (inc *EWMA) calculateAndUpdate(kLines []types.KLine) {
 		return
 	}
 
+	inc.EndTime = kLines[index].EndTime
+
 	var recentK = kLines[index-(inc.Window-1) : index+1]
 	if len(inc.Values) > 0 {
 		var previousEWMA = inc.Values[len(inc.Values)-1]
 		var ewma = lastK.Close*multiplier + previousEWMA*(1-multiplier)
 		inc.Values.Push(ewma)
+		inc.EmitUpdate(ewma)
 	} else {
 		// The first EWMA is actually SMA
 		var sma = calculateSMA(recentK)
 		inc.Values.Push(sma)
+		inc.EmitUpdate(sma)
 	}
-
-	inc.EndTime = kLines[index].EndTime
 }
 
 type KLineWindowUpdater interface {

diff --git a/pkg/indicator/ewma_callbacks.go b/pkg/indicator/ewma_callbacks.go
diff --git a/pkg/indicator/sma.go b/pkg/indicator/sma.go
@@ -14,10 +14,14 @@ func (s *Float64Slice) Push(v float64) {
 
 var zeroTime time.Time
 
+
+//go:generate callbackgen -type SMA
 type SMA struct {
 	types.IntervalWindow
 	Values  Float64Slice
 	EndTime time.Time
+
+	UpdateCallbacks []func(value float64)
 }
 
 func (inc *SMA) Last() float64 {
@@ -40,6 +44,8 @@ func (inc *SMA) calculateAndUpdate(kLines []types.KLine) {
 	var sma = calculateSMA(recentK)
 	inc.Values.Push(sma)
 	inc.EndTime = kLines[index].EndTime
+
+	inc.EmitUpdate(sma)
 }
 
 func (inc *SMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {

diff --git a/pkg/indicator/sma_callbacks.go b/pkg/indicator/sma_callbacks.go
diff --git a/pkg/strategy/movingstop/strategy.go b/pkg/strategy/movingstop/strategy.go
@@ -141,6 +141,8 @@ func (s *Strategy) place(ctx context.Context, orderExecutor *bbgo.ExchangeOrderE
 		stopPrice = stopPrice * s.StopPriceRatio.Float64()
 	}
 
+	log.Infof("placing movingstop order %s at stop price %f, quantity %f", s.Symbol, stopPrice, quantity.Float64())
+
 	retOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
 		Symbol:    s.Symbol,
 		Side:      types.SideTypeSell,