strategy/pivotshort: add failed break high

pkg/bbgo/standard_indicator_set.go

@@ -24,18 +24,23 @@ type StandardIndicatorSet struct {
 	// Standard indicators
 	// interval -> window
 	iwbIndicators map[types.IntervalWindowBandWidth]*indicator.BOLL
-	iwIndicators  map[types.IntervalWindow]indicator.KLinePusher
+	iwIndicators  map[indicatorKey]indicator.KLinePusher
 
 	stream types.Stream
 	store  *MarketDataStore
 }
 
+type indicatorKey struct {
+	iw types.IntervalWindow
+	id string
+}
+
 func NewStandardIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *StandardIndicatorSet {
 	return &StandardIndicatorSet{
 		Symbol:        symbol,
 		store:         store,
 		stream:        stream,
-		iwIndicators:  make(map[types.IntervalWindow]indicator.KLinePusher),
+		iwIndicators:  make(map[indicatorKey]indicator.KLinePusher),
 		iwbIndicators: make(map[types.IntervalWindowBandWidth]*indicator.BOLL),
 	}
 }
@@ -50,69 +55,77 @@ func (s *StandardIndicatorSet) initAndBind(inc indicator.KLinePusher, interval t
 	s.stream.OnKLineClosed(types.KLineWith(s.Symbol, interval, inc.PushK))
 }
 
-func (s *StandardIndicatorSet) allocateSimpleIndicator(t indicator.KLinePusher, iw types.IntervalWindow) indicator.KLinePusher {
-	inc, ok := s.iwIndicators[iw]
+func (s *StandardIndicatorSet) allocateSimpleIndicator(t indicator.KLinePusher, iw types.IntervalWindow, id string) indicator.KLinePusher {
+	k := indicatorKey{
+		iw: iw,
+		id: id,
+	}
+	inc, ok := s.iwIndicators[k]
 	if ok {
 		return inc
 	}
 
 	inc = t
 	s.initAndBind(inc, iw.Interval)
-	s.iwIndicators[iw] = inc
+	s.iwIndicators[k] = inc
 	return t
 }
 
 // SMA is a helper function that returns the simple moving average indicator of the given interval and the window size.
 func (s *StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA {
-	inc := s.allocateSimpleIndicator(&indicator.SMA{IntervalWindow: iw}, iw)
+	inc := s.allocateSimpleIndicator(&indicator.SMA{IntervalWindow: iw}, iw, "sma")
 	return inc.(*indicator.SMA)
 }
 
 // EWMA is a helper function that returns the exponential weighed moving average indicator of the given interval and the window size.
 func (s *StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA {
-	inc := s.allocateSimpleIndicator(&indicator.EWMA{IntervalWindow: iw}, iw)
+	inc := s.allocateSimpleIndicator(&indicator.EWMA{IntervalWindow: iw}, iw, "ewma")
 	return inc.(*indicator.EWMA)
 }
 
 // VWMA
 func (s *StandardIndicatorSet) VWMA(iw types.IntervalWindow) *indicator.VWMA {
-	inc := s.allocateSimpleIndicator(&indicator.VWMA{IntervalWindow: iw}, iw)
+	inc := s.allocateSimpleIndicator(&indicator.VWMA{IntervalWindow: iw}, iw, "vwma")
 	return inc.(*indicator.VWMA)
 }
 
+func (s *StandardIndicatorSet) PivotHigh(iw types.IntervalWindow) *indicator.PivotHigh {
+	inc := s.allocateSimpleIndicator(&indicator.PivotHigh{IntervalWindow: iw}, iw, "pivothigh")
+	return inc.(*indicator.PivotHigh)
+}
 
 func (s *StandardIndicatorSet) PivotLow(iw types.IntervalWindow) *indicator.PivotLow {
-	inc := s.allocateSimpleIndicator(&indicator.PivotLow{IntervalWindow: iw}, iw)
+	inc := s.allocateSimpleIndicator(&indicator.PivotLow{IntervalWindow: iw}, iw, "pivotlow")
 	return inc.(*indicator.PivotLow)
 }
 
 func (s *StandardIndicatorSet) ATR(iw types.IntervalWindow) *indicator.ATR {
-	inc := s.allocateSimpleIndicator(&indicator.ATR{IntervalWindow: iw}, iw)
+	inc := s.allocateSimpleIndicator(&indicator.ATR{IntervalWindow: iw}, iw, "atr")
 	return inc.(*indicator.ATR)
 }
 
 func (s *StandardIndicatorSet) ATRP(iw types.IntervalWindow) *indicator.ATRP {
-	inc := s.allocateSimpleIndicator(&indicator.ATRP{IntervalWindow: iw}, iw)
+	inc := s.allocateSimpleIndicator(&indicator.ATRP{IntervalWindow: iw}, iw, "atrp")
 	return inc.(*indicator.ATRP)
 }
 
 func (s *StandardIndicatorSet) EMV(iw types.IntervalWindow) *indicator.EMV {
-	inc := s.allocateSimpleIndicator(&indicator.EMV{IntervalWindow: iw}, iw)
+	inc := s.allocateSimpleIndicator(&indicator.EMV{IntervalWindow: iw}, iw, "emv")
 	return inc.(*indicator.EMV)
 }
 
 func (s *StandardIndicatorSet) CCI(iw types.IntervalWindow) *indicator.CCI {
-	inc := s.allocateSimpleIndicator(&indicator.CCI{IntervalWindow: iw}, iw)
+	inc := s.allocateSimpleIndicator(&indicator.CCI{IntervalWindow: iw}, iw, "cci")
 	return inc.(*indicator.CCI)
 }
 
 func (s *StandardIndicatorSet) HULL(iw types.IntervalWindow) *indicator.HULL {
-	inc := s.allocateSimpleIndicator(&indicator.HULL{IntervalWindow: iw}, iw)
+	inc := s.allocateSimpleIndicator(&indicator.HULL{IntervalWindow: iw}, iw, "hull")
 	return inc.(*indicator.HULL)
 }
 
 func (s *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH {
-	inc := s.allocateSimpleIndicator(&indicator.STOCH{IntervalWindow: iw}, iw)
+	inc := s.allocateSimpleIndicator(&indicator.STOCH{IntervalWindow: iw}, iw, "stoch")
 	return inc.(*indicator.STOCH)
 }
 

pkg/indicator/pivothigh.go

@@ -0,0 +1,65 @@
+package indicator
+
+import (
+	"time"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+//go:generate callbackgen -type PivotHigh
+type PivotHigh struct {
+	types.SeriesBase
+
+	types.IntervalWindow
+
+	Highs  floats.Slice
+	Values floats.Slice
+	EndTime time.Time
+
+	updateCallbacks []func(value float64)
+}
+
+func (inc *PivotHigh) Length() int {
+	return inc.Values.Length()
+}
+
+func (inc *PivotHigh) Last() float64 {
+	if len(inc.Values) == 0 {
+		return 0.0
+	}
+
+	return inc.Values.Last()
+}
+
+func (inc *PivotHigh) Update(value float64) {
+	if len(inc.Highs) == 0 {
+		inc.SeriesBase.Series = inc
+	}
+
+	inc.Highs.Push(value)
+
+	if len(inc.Highs) < inc.Window {
+		return
+	}
+
+	low, ok := calculatePivotHigh(inc.Highs, inc.Window, inc.RightWindow)
+	if !ok {
+		return
+	}
+
+	if low > 0.0 {
+		inc.Values.Push(low)
+	}
+}
+
+func (inc *PivotHigh) PushK(k types.KLine) {
+	if k.EndTime.Before(inc.EndTime) {
+		return
+	}
+
+	inc.Update(k.Low.Float64())
+	inc.EndTime = k.EndTime.Time()
+	inc.EmitUpdate(inc.Last())
+}
+