Merge pull request c9s#823 from c9s/refactor/indicator-api

refactor: refactor bollinger band indicator with the new series extend component

pkg/indicator/boll.go

@@ -3,9 +3,6 @@ package indicator
 import (
 	"time"
 
-	log "github.com/sirupsen/logrus"
-	"gonum.org/v1/gonum/stat"
-
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -24,13 +21,15 @@ Bollinger Bands Technical indicator guide:
 
 //go:generate callbackgen -type BOLL
 type BOLL struct {
+	types.SeriesBase
 	types.IntervalWindow
 
-	// times of Std, generally it's 2
+	// K is the multiplier of Std, generally it's 2
 	K float64
 
-	SMA      types.Float64Slice
-	StdDev   types.Float64Slice
+	SMA    *SMA
+	StdDev *StdDev
+
 	UpBand   types.Float64Slice
 	DownBand types.Float64Slice
 
@@ -50,11 +49,11 @@ func (inc *BOLL) GetDownBand() types.SeriesExtend {
 }
 
 func (inc *BOLL) GetSMA() types.SeriesExtend {
-	return types.NewSeries(&inc.SMA)
+	return types.NewSeries(inc.SMA)
 }
 
 func (inc *BOLL) GetStdDev() types.SeriesExtend {
-	return types.NewSeries(&inc.StdDev)
+	return inc.StdDev
 }
 
 func (inc *BOLL) LastUpBand() float64 {
@@ -73,64 +72,49 @@ func (inc *BOLL) LastDownBand() float64 {
 	return inc.DownBand[len(inc.DownBand)-1]
 }
 
-func (inc *BOLL) LastStdDev() float64 {
-	if len(inc.StdDev) == 0 {
-		return 0.0
-	}
-
-	return inc.StdDev[len(inc.StdDev)-1]
-}
-
-func (inc *BOLL) LastSMA() float64 {
-	if len(inc.SMA) > 0 {
-		return inc.SMA[len(inc.SMA)-1]
-	}
-	return 0.0
-}
-
-func (inc *BOLL) CalculateAndUpdate(kLines []types.KLine) {
-	if len(kLines) < inc.Window {
-		return
-	}
-
-	var index = len(kLines) - 1
-	var kline = kLines[index]
-
-	if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
-		return
+func (inc *BOLL) Update(value float64) {
+	if inc.SMA == nil {
+		inc.SeriesBase.Series = inc
+		inc.SMA = &SMA{IntervalWindow: inc.IntervalWindow}
 	}
 
-	var recentK = kLines[index-(inc.Window-1) : index+1]
-	sma, err := calculateSMA(recentK, inc.Window, KLineClosePriceMapper)
-	if err != nil {
-		log.WithError(err).Error("SMA error")
-		return
+	if inc.StdDev == nil {
+		inc.StdDev = &StdDev{IntervalWindow: inc.IntervalWindow}
 	}
 
-	inc.SMA.Push(sma)
+	inc.SMA.Update(value)
+	inc.StdDev.Update(value)
 
-	var prices []float64
-	for _, k := range recentK {
-		prices = append(prices, k.Close.Float64())
-	}
-
-	var std = stat.StdDev(prices, nil)
-	inc.StdDev.Push(std)
-
-	var band = inc.K * std
+	var sma = inc.SMA.Last()
+	var stdDev = inc.StdDev.Last()
+	var band = inc.K * stdDev
 
 	var upBand = sma + band
-	inc.UpBand.Push(upBand)
-
 	var downBand = sma - band
+
+	inc.UpBand.Push(upBand)
 	inc.DownBand.Push(downBand)
+}
 
-	// update end time
-	inc.EndTime = kLines[index].EndTime.Time()
+func (inc *BOLL) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+}
 
-	// log.Infof("update boll: sma=%f, up=%f, down=%f", sma, upBand, downBand)
+func (inc *BOLL) CalculateAndUpdate(allKLines []types.KLine) {
+	var last = allKLines[len(allKLines)-1]
+
+	if inc.SMA == nil {
+		for _, k := range allKLines {
+			if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
+				continue
+			}
+			inc.PushK(k)
+		}
+	} else {
+		inc.PushK(last)
+	}
 
-	inc.EmitUpdate(sma, upBand, downBand)
+	inc.EmitUpdate(inc.SMA.Last(), inc.UpBand.Last(), inc.DownBand.Last())
 }
 
 func (inc *BOLL) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {

pkg/indicator/boll_test.go

@@ -4,9 +4,10 @@ import (
 	"encoding/json"
 	"testing"
 
+	"github.com/stretchr/testify/assert"
+
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
-	"github.com/stretchr/testify/assert"
 )
 
 /*
@@ -60,8 +61,8 @@ func TestBOLL(t *testing.T) {
 		t.Run(tt.name, func(t *testing.T) {
 			boll := BOLL{IntervalWindow: types.IntervalWindow{Window: tt.window}, K: tt.k}
 			boll.CalculateAndUpdate(tt.kLines)
-			assert.InDelta(t, tt.up, boll.LastUpBand(), Delta)
-			assert.InDelta(t, tt.down, boll.LastDownBand(), Delta)
+			assert.InDelta(t, tt.up, boll.UpBand.Last(), Delta)
+			assert.InDelta(t, tt.down, boll.DownBand.Last(), Delta)
 		})
 	}
 

pkg/indicator/stddev.go

@@ -0,0 +1,85 @@
+package indicator
+
+import (
+	"time"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+//go:generate callbackgen -type StdDev
+type StdDev struct {
+	types.SeriesBase
+	types.IntervalWindow
+	Values    types.Float64Slice
+	rawValues *types.Queue
+
+	EndTime         time.Time
+	updateCallbacks []func(value float64)
+}
+
+func (inc *StdDev) Last() float64 {
+	if inc.Values.Length() == 0 {
+		return 0.0
+	}
+	return inc.Values.Last()
+}
+
+func (inc *StdDev) Index(i int) float64 {
+	if i >= inc.Values.Length() {
+		return 0.0
+	}
+
+	return inc.Values.Index(i)
+}
+
+func (inc *StdDev) Length() int {
+	return inc.Values.Length()
+}
+
+var _ types.SeriesExtend = &StdDev{}
+
+func (inc *StdDev) Update(value float64) {
+	if inc.rawValues == nil {
+		inc.rawValues = types.NewQueue(inc.Window)
+		inc.SeriesBase.Series = inc
+	}
+
+	inc.rawValues.Update(value)
+
+	var std = inc.rawValues.Stdev()
+	inc.Values.Push(std)
+}
+
+func (inc *StdDev) PushK(k types.KLine) {
+	inc.Update(k.Close.Float64())
+	inc.EndTime = k.EndTime.Time()
+}
+
+func (inc *StdDev) CalculateAndUpdate(allKLines []types.KLine) {
+	var last = allKLines[len(allKLines)-1]
+
+	if inc.rawValues == nil {
+		for _, k := range allKLines {
+			if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
+				continue
+			}
+			inc.PushK(k)
+		}
+	} else {
+		inc.PushK(last)
+	}
+
+	inc.EmitUpdate(inc.Values.Last())
+}
+
+func (inc *StdDev) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.CalculateAndUpdate(window)
+}
+
+func (inc *StdDev) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/strategy/bollmaker/strategy.go

@@ -278,9 +278,9 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
 	baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency]
 	quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency]
 
-	downBand := s.defaultBoll.LastDownBand()
-	upBand := s.defaultBoll.LastUpBand()
-	sma := s.defaultBoll.LastSMA()
+	downBand := s.defaultBoll.DownBand.Last()
+	upBand := s.defaultBoll.UpBand.Last()
+	sma := s.defaultBoll.SMA.Last()
 	log.Infof("%s bollinger band: up %f sma %f down %f", s.Symbol, upBand, sma, downBand)
 
 	bandPercentage := calculateBandPercentage(upBand, downBand, sma, midPrice.Float64())
@@ -349,7 +349,7 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
 	// WHEN: price breaks the upper band (price > window 2) == strongUpTrend
 	// THEN: we apply strongUpTrend skew
 	if s.TradeInBand {
-		if !inBetween(midPrice.Float64(), s.neutralBoll.LastDownBand(), s.neutralBoll.LastUpBand()) {
+		if !inBetween(midPrice.Float64(), s.neutralBoll.DownBand.Last(), s.neutralBoll.UpBand.Last()) {
 			log.Infof("tradeInBand is set, skip placing orders when the price is outside of the band")
 			return
 		}
@@ -402,7 +402,7 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
 		canSell = false
 	}
 
-	if s.BuyBelowNeutralSMA && midPrice.Float64() > s.neutralBoll.LastSMA() {
+	if s.BuyBelowNeutralSMA && midPrice.Float64() > s.neutralBoll.SMA.Last() {
 		canBuy = false
 	}
 

pkg/strategy/bollmaker/trend.go

@@ -12,7 +12,7 @@ const (
 )
 
 func detectPriceTrend(inc *indicator.BOLL, price float64) PriceTrend {
-	if inBetween(price, inc.LastDownBand(), inc.LastUpBand()) {
+	if inBetween(price, inc.DownBand.Last(), inc.UpBand.Last()) {
 		return NeutralTrend
 	}
 

pkg/strategy/rsmaker/strategy.go

@@ -336,9 +336,9 @@ func (s *Strategy) placeOrders(ctx context.Context, midPrice fixedpoint.Value, k
 	// baseBalance, hasBaseBalance := balances[s.Market.BaseCurrency]
 	// quoteBalance, hasQuoteBalance := balances[s.Market.QuoteCurrency]
 
-	downBand := s.defaultBoll.LastDownBand()
-	upBand := s.defaultBoll.LastUpBand()
-	sma := s.defaultBoll.LastSMA()
+	downBand := s.defaultBoll.DownBand.Last()
+	upBand := s.defaultBoll.UpBand.Last()
+	sma := s.defaultBoll.SMA.Last()
 	log.Infof("bollinger band: up %f sma %f down %f", upBand, sma, downBand)
 
 	bandPercentage := calculateBandPercentage(upBand, downBand, sma, midPrice.Float64())

pkg/strategy/xmaker/strategy.go

@@ -305,8 +305,8 @@ func (s *Strategy) updateQuote(ctx context.Context, orderExecutionRouter bbgo.Or
 	var pips = s.Pips
 
 	if s.EnableBollBandMargin {
-		lastDownBand := fixedpoint.NewFromFloat(s.boll.LastDownBand())
-		lastUpBand := fixedpoint.NewFromFloat(s.boll.LastUpBand())
+		lastDownBand := fixedpoint.NewFromFloat(s.boll.DownBand.Last())
+		lastUpBand := fixedpoint.NewFromFloat(s.boll.UpBand.Last())
 
 		if lastUpBand.IsZero() || lastDownBand.IsZero() {
 			log.Warnf("bollinger band value is zero, skipping")