FEATURE: [indicator] adding a bunch of new v2 indicators

.gitignore

@@ -14,6 +14,7 @@
 *.out
 
 .idea
+.vscode
 
 # Dependency directories (remove the comment below to include it)
 # vendor/

go.mod

@@ -2,7 +2,7 @@
 
 module github.com/c9s/bbgo
 
-go 1.18
+go 1.20
 
 require (
 	github.com/DATA-DOG/go-sqlmock v1.5.0

pkg/bbgo/indicator_set.go

@@ -3,7 +3,7 @@ package bbgo
 import (
 	"github.com/sirupsen/logrus"
 
-	"github.com/c9s/bbgo/pkg/indicator/v2"
+	indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
 	"github.com/c9s/bbgo/pkg/types"
 )
 

pkg/datatype/floats/slice.go

@@ -36,6 +36,18 @@ func (s Slice) Max() float64 {
 	return floats.Max(s)
 }
 
+func (s Slice) IndexOfMaxValue() int {
+	maxIdx := 0
+	maxVal := s[0]
+	for i, val := range s {
+		if val > maxVal {
+			maxVal = val
+			maxIdx = i
+		}
+	}
+	return maxIdx
+}
+
 func (s Slice) Min() float64 {
 	return floats.Min(s)
 }
@@ -87,6 +99,17 @@ func (s Slice) Mean() (mean float64) {
 	return s.Sum() / float64(length)
 }
 
+/* Calculates the variance across the dataset of float64s */
+func (s Slice) Variance() float64 {
+	var variance = .0
+
+	for _, diff := range s {
+		variance += math.Pow(diff-s.Mean(), 2)
+	}
+
+	return variance / float64(len(s))
+}
+
 func (s Slice) Tail(size int) Slice {
 	length := len(s)
 	if length <= size {

pkg/exchange/bitget/bitgetapi/types.go

@@ -14,6 +14,7 @@ const (
 	OrderTypeMarket OrderType = "market"
 )
 
+// OrderSide represents the side of an order: Buy (long) or Sell (short).
 type OrderSide string
 
 const (

pkg/fixedpoint/helpers.go

@@ -13,3 +13,16 @@ func Avg(values []Value) (avg Value) {
 	avg = s.Div(NewFromInt(int64(len(values))))
 	return avg
 }
+
+// maxDiff is the maximum deviation between a and b to consider them approximately equal
+func ApproxEqual(a, b Value, maxDiff float64) bool {
+	// Calculate the absolute difference
+	diff := Abs(a.Sub(b))
+
+	// Define the small multiple
+	smallMultiple := a.Mul(NewFromFloat(maxDiff))
+
+	// Compare the absolute difference to the small multiple
+	cmp := diff.Compare(smallMultiple)
+	return cmp == -1 || cmp == 0
+}

pkg/indicator/util.go

@@ -1,6 +1,6 @@
 package indicator
 
-func max(x, y int) int {
+func Max(x, y int) int {
 	if x > y {
 		return x
 	}

pkg/indicator/v2/abondoned_baby.go

@@ -0,0 +1,68 @@
+package indicatorv2
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type AbondonedBabyStream struct {
+	*types.Float64Series
+
+	window int
+}
+
+func AbondonedBaby(source KLineSubscription) *AbondonedBabyStream {
+	s := &AbondonedBabyStream{
+		Float64Series: types.NewFloat64Series(),
+		window:        3,
+	}
+
+	source.AddSubscriber(func(kLine types.KLine) {
+
+		var (
+			i      = source.Length()
+			output = Neutral
+		)
+		if i < s.window {
+			s.PushAndEmit(output)
+			return
+		}
+		var (
+			one   = source.Last(2)
+			two   = source.Last(1)
+			three = source.Last(0)
+			abs   = fixedpoint.Abs((two.Close.Sub(two.Open).Div(two.Open))).Float64()
+		)
+
+		if one.Open.Float64() < one.Close.Float64() {
+			if one.High.Float64() < two.Low.Float64() {
+				if abs < threshold {
+					if three.Open.Float64() < two.Low.Float64() &&
+						three.Close.Float64() < three.Open.Float64() {
+						output = -1.0
+					}
+				}
+			}
+		}
+
+		if one.Open.Float64() > one.Close.Float64() {
+			if one.Low.Float64() > two.High.Float64() {
+				if abs <= threshold {
+					if three.Open.Float64() > two.High.Float64() &&
+						three.Close.Float64() > three.Open.Float64() {
+						output = 1.0
+					}
+				}
+			}
+		}
+
+		s.Float64Series.PushAndEmit(output)
+
+	})
+
+	return s
+}
+
+func (s *AbondonedBabyStream) Truncate() {
+	s.Slice = s.Slice.Truncate(MaxNumOfPattern)
+}

pkg/indicator/v2/abondoned_baby_test.go

@@ -0,0 +1,28 @@
+package indicatorv2
+
+import (
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func TestAbandonedBaby(t *testing.T) {
+	ts := []types.KLine{
+		{Open: n(90), Low: n(85), High: n(105), Close: n(100)},
+		{Open: n(125), Low: n(120), High: n(135), Close: n(130)},
+		{Open: n(110), Low: n(92), High: n(115), Close: n(95)},
+	}
+
+	stream := &types.StandardStream{}
+	kLines := KLines(stream, "", "")
+	ind := AbondonedBaby(kLines)
+
+	for _, candle := range ts {
+		stream.EmitKLineClosed(candle)
+	}
+	expectedBear := -1.0
+
+	if ind.Last(0) != expectedBear {
+		t.Errorf("TestAbandonedBaby Bear unexpected result: got %v want %v", ind.Last(0), expectedBear)
+	}
+}

pkg/indicator/v2/accumulation_distiribution.go

@@ -0,0 +1,47 @@
+package indicatorv2
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// Accumulation/Distribution Indicator (A/D). Cumulative indicator
+// that uses volume and price to assess whether a stock is
+// being accumulated or distributed.
+//
+// MFM = ((Closing - Low) - (High - Closing)) / (High - Low)
+// MFV = MFM * Period Volume
+// AD = Previous AD + CMFV
+type AccumulationDistributionStream struct {
+	*types.Float64Series
+}
+
+func AccumulationDistribution(source KLineSubscription) *AccumulationDistributionStream {
+	s := &AccumulationDistributionStream{
+		Float64Series: types.NewFloat64Series(),
+	}
+
+	source.AddSubscriber(func(v types.KLine) {
+		var (
+			i      = s.Slice.Length()
+			output = fixedpoint.NewFromInt(0)
+			cl     = v.Close.Sub(v.Low)
+			hc     = v.High.Sub(v.Close)
+			hl     = v.High.Sub(v.Low)
+		)
+
+		if i > 0 {
+			output = fixedpoint.NewFromFloat(s.Slice.Last(0))
+		}
+
+		output = output.Add(v.Volume.Mul(cl.Sub(hc).Div(hl)))
+
+		s.PushAndEmit(output.Float64())
+	})
+
+	return s
+}
+
+func (s *AccumulationDistributionStream) Truncate() {
+	s.Slice = s.Slice.Truncate(MaxNumOfMA)
+}

pkg/indicator/v2/accumulation_distiribution_test.go

@@ -0,0 +1,41 @@
+package indicatorv2
+
+import (
+	"encoding/json"
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func TestAccumulationDistribution(t *testing.T) {
+	high := []byte(`[62.3400,62.0500,62.2700,60.7900,59.9300,61.7500,60.0000,59.0000,59.0700,59.2200,58.7500,58.6500,58.4700,58.2500,58.3500,59.8600,59.5299,62.1000,62.1600,62.6700,62.3800,63.7300,63.8500,66.1500,65.3400,66.4800,65.2300,63.4000,63.1800,62.7000]`)
+	low := []byte(`[61.3700,60.6900,60.1000,58.6100,58.7120,59.8600,57.9700,58.0200,57.4800,58.3000,57.8276,57.8600,57.9100,57.8333,57.5300,58.5800,58.3000,58.5300,59.8000,60.9300,60.1500,62.2618,63.0000,63.5800,64.0700,65.2000,63.2100,61.8800,61.1100,61.2500]`)
+	close := []byte(`[62.1500,60.8100,60.4500,59.1800,59.2400,60.2000,58.4800,58.2400,58.6900,58.6500,58.4700,58.0200,58.1700,58.0700,58.1300,58.9400,59.1000,61.9200,61.3700,61.6800,62.0900,62.8900,63.5300,64.0100,64.7700,65.2200,63.2800,62.4000,61.5500,62.6900]`)
+	volume := []byte(`[7849.025,11692.075,10575.307,13059.128,20733.508,29630.096,17705.294,7259.203,10474.629,5203.714,3422.865,3962.15,4095.905,3766.006,4239.335,8039.979,6956.717,18171.552,22225.894,14613.509,12319.763,15007.69,8879.667,22693.812,10191.814,10074.152,9411.62,10391.69,8926.512,7459.575]`)
+	buildKLines := func(high, low, close, volume []fixedpoint.Value) (kLines []types.KLine) {
+		for i := range high {
+			kLines = append(kLines, types.KLine{High: high[i], Low: low[i], Close: close[i], Volume: volume[i]})
+		}
+		return kLines
+	}
+	var h, l, c, v []fixedpoint.Value
+	_ = json.Unmarshal(high, &h)
+	_ = json.Unmarshal(low, &l)
+	_ = json.Unmarshal(close, &c)
+	_ = json.Unmarshal(volume, &v)
+
+	expected := []float64{4774, -4855, -12019, -18249, -21006, -39976, -48785, -52785, -47317, -48561, -47216, -49574, -49866, -49354, -47389, -50907, -48813, -32474, -25128, -27144, -18028, -20193, -18000, -33099, -32056, -41816, -50575, -53856, -58988, -51631}
+	stream := &types.StandardStream{}
+	kLines := KLines(stream, "", "")
+	ind := AccumulationDistribution(kLines)
+	k := buildKLines(h, l, c, v)
+	for _, candle := range k {
+		stream.EmitKLineClosed(candle)
+	}
+	for i, v := range expected {
+		assert.InDelta(t, v, ind.Slice[i], 0.5, "Expected AccumulationDistribution.slice[%d] to be %v, but got %v", i, v, ind.Slice[i])
+	}
+}

pkg/indicator/v2/alma.go

@@ -0,0 +1,76 @@
+// Copyright 2022 The Coln Group Ltd
+// SPDX-License-Identifier: MIT
+
+package indicatorv2
+
+import (
+	"math"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+const (
+	// DefaultALMAOffset is the default offset for the ALMA indicator.
+	DefaultALMAOffset = 0.85
+
+	// DefaultALMASigma is the default sigma for the ALMA indicator.
+	DefaultALMASigma = 6
+)
+
+type ALMAStream struct {
+	// embedded struct
+	*types.Float64Series
+
+	sample []float64
+	offset float64
+	sigma  float64
+	window int
+}
+
+// ALMA is a modern low lag moving average.
+// Ported from https://www.tradingview.com/pine-script-reference/#fun_alma
+// NewALMA creates a new ALMA indicator with default parameters.
+func ALMA(source types.Float64Source, window int) *ALMAStream {
+	return ALMAWithSigma(source, window, DefaultALMAOffset, DefaultALMASigma)
+}
+
+// NewALMAWithSigma creates a new ALMA indicator with the given offset and sigma.
+func ALMAWithSigma(source types.Float64Source, window int, offset, sigma float64) *ALMAStream {
+	s := &ALMAStream{
+		Float64Series: types.NewFloat64Series(),
+		window:        window,
+		offset:        offset,
+		sigma:         sigma,
+	}
+	s.Bind(source, s)
+	return s
+}
+
+func (s *ALMAStream) Calculate(v float64) float64 {
+
+	s.sample = WindowAppend(s.sample, s.window-1, v)
+
+	if s.window < 1 {
+		return v
+	}
+	var (
+		length    = float64(s.window)
+		norm, sum float64
+		offset    = s.offset * (length - 1)
+		m         = math.Floor(offset)
+		sig       = length / s.sigma
+	)
+	for i := 0; i < len(s.sample); i++ {
+		pow := math.Pow(float64(i)-m, 2) / (math.Pow(sig, 2) * 2)
+		weight := math.Exp(-1 * pow)
+		norm += weight
+		sum += s.sample[i] * weight
+	}
+	ma := sum / norm
+
+	return ma
+}
+
+func (s *ALMAStream) Truncate() {
+	s.Slice = s.Slice.Truncate(MaxNumOfMA)
+}