STRATEGY: Detect abnormal volume increases using isolation forest #1863
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pkg/strategy/sentinel/math.go
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| return sum / float64(len(floats)) | ||
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| func calculateMovingMeanAndStdDev(samples []float64, length int) (float64, float64) { |
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I will add std dev method for floats.Slice
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This pull request introduces a new trading strategy named "Sentinel" and includes various changes to support its implementation. The most important changes include the addition of the configuration for the Sentinel strategy, updates to dependencies, and the implementation of the strategy itself.
Configuration and Dependencies:
config/sentinel.yaml: Added configuration for sessions, persistence, and exchange strategies, including settings for the Sentinel strategy.go.mod: Addedgithub.com/narumiruna/go-iforestas an indirect dependency.pkg/cmd/strategy/builtin.go: Imported the Sentinel strategy to make it available for use.Sentinel Strategy Implementation:
pkg/strategy/sentinel/strategy.go: Implemented the Sentinel strategy, including methods for initialization, default settings, subscription to market data, and running the strategy. The strategy uses an Isolation Forest algorithm to detect anomalies in trading volumes.Utility Functions:
pkg/datatype/floats/slice.go: AddedVarandStdmethods to theSlicetype to calculate variance and standard deviation, which are used in the Sentinel strategy.