quota

package module
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 Go to latest Published: Dec 28, 2021 License: Apache-2.0 Imports: 15 Imported by: 0

README

Quota

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Quota of candles

A time series to help you with your trading bot.

Documentation

Overview

Package quota will provide fundamental concept and utils to operate with financial time-series data, specially supports crypto-currencies.

Index

Constants

View Source 
const (
	// SourceOpen determines open Source
	SourceOpen = Source("open")
	// SourceHigh determines open Source
	SourceHigh = Source("high")
	// SourceLow determines open Source
	SourceLow = Source("low")
	// SourceClose determines open Source
	SourceClose = Source("close")
	// SourceVolume determines open Source
	SourceVolume = Source("volume")

	// SourceOpenHigh determines oh2 Source
	SourceOpenHigh = Source("oh2")
	// SourceOpenLow determines ol2 Source
	SourceOpenLow = Source("ol2")
	// SourceOpenClose determines oc2 Source
	SourceOpenClose = Source("oc2")
	// SourceHighLow determines hl2 Source
	SourceHighLow = Source("hl2")
	// SourceHighClose determines hc2 Source
	SourceHighClose = Source("hc2")
	// SourceLowClose determines lc2 Source
	SourceLowClose = Source("lc2")

	// SourceOpenHighLow determines ohl3 Source
	SourceOpenHighLow = Source("ohl3")
	// SourceOpenHighClose determines ohc3 Source
	SourceOpenHighClose = Source("ohc3")
	// SourceOpenLowClose determines olc3 Source
	SourceOpenLowClose = Source("olc3")
	// SourceHighLowClose determines hlc3 Source
	SourceHighLowClose = Source("hlc3")

	// SourceOpenHighLowClose determines ohlc4 Source
	SourceOpenHighLowClose = Source("ohlc4")

	// PositionBuy determines buy PositionType
	PositionBuy = PositionType("Buy")
	// PositionSell determines sell PositionType
	PositionSell = PositionType("Sell")

	// TradeStatusOpen determines open TradeStatus
	TradeStatusOpen = TradeStatus("Open")
	// TradeStatusClose determines close TradeStatus
	TradeStatusClose = TradeStatus("Close")

	// ExitCauseStopLossTriggered determines stop loss triggered on trade.
	ExitCauseStopLossTriggered = ExitCause("Stop loss")
	// ExitCauseTakeProfitTriggered determines take profit triggered on trade.
	ExitCauseTakeProfitTriggered = ExitCause("Take profit")
	// ExitCauseMarket determines trade closed by market.
	ExitCauseMarket = ExitCause("Market")
)
View Source 
const (
	REDIS_KEY_PREFIX     = "holiday"      // The prefix for all keys.
	REDIS_TIMESTAMPS_KEY = "%s:timestamp" // The key for the timestamps.
	REDIS_KEY_FORMAT     = "%s:%s:%s:%d"  // The format of the redis key. The first parameter is the prefix, the second is the symbol, the third is the interval and the fourth is the timestamp.
)

Variables

View Source 
var (
	// ErrInvalidCandleData occurs on Candle operations.
	ErrInvalidCandleData = errors.New("invalid data provided for candle").(CandleError)
	// ErrNotEnoughCandles occurs when there is not enough Candle in Quota to operate.
	ErrNotEnoughCandles = errors.New("not enough candles to operate").(CandleError)
)

Functions

func NewCandle 

func NewCandle(open, high, low, close, volume float64, symbol string, barSize okex.BarSize, openTime, closeTime time.Time, previous, next *Candle) (candle *Candle, err CandleError)

NewCandle returns a pointer to a fresh candle with provided data.

func SerializeCandle 

func SerializeCandle(c *Candle) (data string, err error)

SerializeCandle serializes the given candle.

func SerilizeQuota 

func SerilizeQuota(q *Quota) (data string, err error)

SerializeQuota serializes the given quota.

Types

type Candle 

type Candle struct {
	Open       float64                  `json:"open"`
	High       float64                  `json:"high"`
	Low        float64                  `json:"low"`
	Close      float64                  `json:"close"`
	Volume     float64                  `json:"volume"`
	Score      float64                  `json:"score"`
	Symbol     string                   `json:"symbol"`
	BarSize    okex.BarSize             `json:"barSize"`
	Indicators map[IndicatorTag]float64 `json:"indicators"`
	OpenTime   time.Time                `json:"open_time"`
	CloseTime  time.Time                `json:"close_time"`
	Next       *Candle                  `json:"-"`
	Previous   *Candle                  `json:"-"`
}

Candle is the main structure which contains a group of useful candlestick data.

func DeserializeCandle 

func DeserializeCandle(data string) (c *Candle, err error)

DeserializeCandle deserializes the given data.

func (*Candle) AddIndicator 

func (c *Candle) AddIndicator(tag IndicatorTag, value float64)

AddIndicator adds unimplementedIndicator value by the given name into the candle.

func (*Candle) CrossedOver 

func (c *Candle) CrossedOver(fastSource, slowSource Source) bool

CrossedOver checks if fast source crossed over the slow source.

fastSource > slowSource prevFastSource <= prevSlowSource

func (*Candle) CrossedUnder 

func (c *Candle) CrossedUnder(fastSource, slowSource Source) bool

CrossedUnder checks if fast source crossed under the slow source.

fastSource < slowSource prevFastSource >= prevSlowSource

func (*Candle) Csv 

func (c *Candle) Csv(indicators ...IndicatorTag) (csv string)

Csv returns csv row of the candle.

func (*Candle) Get 

func (c *Candle) Get(source Source) (float64, bool)

Get Retrieves the value of the target field on the candle.

func (*Candle) IsAbove 

func (c *Candle) IsAbove(source Source) bool

IsAbove checks if candle is above of the source.

O,H,L,C > source

func (*Candle) IsBearish 

func (c *Candle) IsBearish() bool

IsBearish checks if candle is bearish.

O < C,

func (*Candle) IsBelow 

func (c *Candle) IsBelow(source Source) bool

IsBelow checks if candle is below of the source.

O,H,L,C < source

func (*Candle) IsBullish 

func (c *Candle) IsBullish() bool

IsBullish checks if candle is bullish.

O > C,

func (*Candle) IsMiddle 

func (c *Candle) IsMiddle(source Source) bool

IsMiddle checks if source is passed through middle of the candle.

O >= source H > source L < source C <= source

func (*Candle) TouchedDown 

func (c *Candle) TouchedDown(source Source) bool

TouchedDown checks if candle closed above the source but the Low shadow touched the source.

O,H,C > source L <= source

func (*Candle) TouchedUp 

func (c *Candle) TouchedUp(source Source) bool

TouchedUp checks if candle close above the source but the High shadow touched the source.

H >= source O,L,C < source

type CandleChannel 

type CandleChannel chan *Candle

CandleChannel to pass Candle through it

type CandleError 

type CandleError error

CandleError will occur on Candle's operations

type EnterChannel 

type EnterChannel chan EnterSignal

EnterChannel to pass EnterSignal through it

type EnterSignal 

type EnterSignal struct {
	Symbol     string
	Score      float64
	Quote      float64
	TakeProfit float64
	Stoploss   float64
	Cause      string
	Candle     Candle
}

EnterSignal is a signal for entering into positions

type ExitCause 

type ExitCause string

ExitCause indicates why the position has been closed for

type ExitChannel 

type ExitChannel chan ExitSignal

ExitChannel to pass ExitSignal through it

type ExitSignal 

type ExitSignal struct {
	Trade  *Trade
	Candle *Candle
	Cause  ExitCause
}

ExitSignal is a signal for exiting from positions

type InMemoryStorage 

type InMemoryStorage struct {
	Q *Quota
	// contains filtered or unexported fields
}

InMemoryStorage is an in-memory implementation of the Storage interface.

func NewInMemoryStorage 

func NewInMemoryStorage(symbol string, interval time.Duration) *InMemoryStorage

NewInMemoryStorage creates a new InMemoryStorage instance.

func (*InMemoryStorage) All 

func (s *InMemoryStorage) All() (*Quota, error)

All returns all the data in the storage.

func (*InMemoryStorage) Close 

func (s *InMemoryStorage) Close() error

Close closes the storage.

func (*InMemoryStorage) Delete 

func (s *InMemoryStorage) Delete(c *Candle) error

Delete deletes the value for the given key.

func (*InMemoryStorage) Get 

func (s *InMemoryStorage) Get(openTime time.Time) (*Candle, error)

Get returns the value for the given key.

func (*InMemoryStorage) GetByIndex 

func (s *InMemoryStorage) GetByIndex(index int) (*Candle, error)

GetByIndex retrieves candle from the storage by index.

func (*InMemoryStorage) PersistOlds 

func (s *InMemoryStorage) PersistOlds(persist Storage, size int) error

PersistOlds will store the old candles into a persistance storage and remove them from the quota.

func (*InMemoryStorage) Put 

func (s *InMemoryStorage) Put(c ...*Candle) error

Put stores the given value for the given key.

func (*InMemoryStorage) Update 

func (s *InMemoryStorage) Update(c ...*Candle) error

Update updates the value for the given key.

type Indicator 

type Indicator interface {
	Add(q *Quota, c *Candle) (ok bool)
	Is(tag IndicatorTag) bool
}

Indicator indicates how an UnimplementedIndicator should be implemented.

type IndicatorTag 

type IndicatorTag string

IndicatorTag specifies each UnimplementedIndicator for others.

type MarketType 

type MarketType string

MarketType indicates the market type

type PositionType 

type PositionType string

PositionType indicates position direction

type Quota 

type Quota []*Candle

Quota is the group of candles and make time-series.

func DeserializeQuota 

func DeserializeQuota(data string) (q *Quota, err error)

DeserializeQuota deserializes the given data.

func NewQuoteFromCsv 

func NewQuoteFromCsv(filename string, symbol string, barSize okex.BarSize) (*Quota, error)

NewQuoteFromCsv reads quote from csv file.

func (*Quota) AddIndicator 

func (q *Quota) AddIndicator(tag IndicatorTag, values []float64) error

AddIndicator adds unimplementedIndicator values by the given tag into the quota.

func (*Quota) BarSize 

func (q *Quota) BarSize() okex.BarSize

BarSize will return the okex.BarSize of candles.

func (*Quota) Csv 

func (q *Quota) Csv(indicators ...IndicatorTag) (csv string)

Csv returns csv formatted string of whole quote.

func (*Quota) Find 

func (q *Quota) Find(timestamp int64) (*Candle, int)

Find searches for a candle, and its index among Quota by its symbol and provided timestamp.

func (*Quota) Get 

func (q *Quota) Get(source Source) []float64

Get retrieves value of target field on all candles.

func (*Quota) IndicatorTags 

func (q *Quota) IndicatorTags() []IndicatorTag

IndicatorTags returns a list of indicators used in quota.

func (*Quota) Merge 

func (q *Quota) Merge(target *Quota)

Merge target quota into the current quota, rewrite duplicates and sort it.

func (*Quota) ScoreByAbove 

func (q *Quota) ScoreByAbove(source Source, score float64)

ScoreByAbove scores candles by checking if candles are above source.

func (*Quota) ScoreByBands 

func (q *Quota) ScoreByBands(source Source, score float64)

ScoreByBands scores candles by checking touching and turning back into the band.

func (*Quota) ScoreByBearish 

func (q *Quota) ScoreByBearish(score float64)

ScoreByBearish scores candles by if candle is bearish

func (*Quota) ScoreByBelow 

func (q *Quota) ScoreByBelow(source Source, score float64)

ScoreByBelow scores candles by checking if candles are below source.

func (*Quota) ScoreByBullish 

func (q *Quota) ScoreByBullish(score float64)

ScoreByBullish scores candles by checking if candles are bullish.

func (*Quota) ScoreByCross 

func (q *Quota) ScoreByCross(fastSource, slowSource Source, score float64)

ScoreByCross scores candles by checking sources both crosses over and under condition on each of them.

func (*Quota) ScoreByCrossOver 

func (q *Quota) ScoreByCrossOver(fastSource, slowSource Source, score float64)

ScoreByCrossOver scores candles by checking sources cross over condition on each of them.

func (*Quota) ScoreByCrossUnder 

func (q *Quota) ScoreByCrossUnder(fastSource, slowSource Source, score float64)

ScoreByCrossUnder scores candles by checking sources cross under condition on each of them.

func (*Quota) ScoreByMiddle 

func (q *Quota) ScoreByMiddle(source Source, score float64)

ScoreByMiddle scores candles by checking if candles are middle of the source.

func (*Quota) ScoreBySupportResistance 

func (q *Quota) ScoreBySupportResistance(source Source, score float64)

ScoreBySupportResistance scores candles by checking support/resistance line reaction.

func (*Quota) ScoreByTouchDown 

func (q *Quota) ScoreByTouchDown(source Source, score float64)

ScoreByTouchDown scores candles by checking if candles are touching down source.

func (*Quota) ScoreByTouchUp 

func (q *Quota) ScoreByTouchUp(source Source, score float64)

ScoreByTouchUp scores candles by checking if candles are touching up source.

func (*Quota) Sort 

func (q *Quota) Sort()

Sort runs through the quota and reorder candles by the open time.

func (*Quota) Symbol 

func (q *Quota) Symbol() string

Symbol will return the symbol of candles.

func (*Quota) Sync 

func (q *Quota) Sync(open, high, low, close, volume float64, openTime, closeTime time.Time, sCandle ...*Candle) (candle *Candle, err CandleError)

Sync searches the quota for provided candle and update it if it exists, otherwise, it will append to end of the quota.

If you want to update a candle directly then pass sCandle.

func (*Quota) WriteToCsv 

func (q *Quota) WriteToCsv(filename string, indicators ...IndicatorTag) error

WriteToCsv writes down whole quote into a csv file.

type RedisStorage 

type RedisStorage struct {
	// contains filtered or unexported fields
}

RedisStorage is a storage implementation that uses Redis as a backend.

func NewRedisStorage 

func NewRedisStorage(symbol string, interval time.Duration, config map[string]interface{}, ctx context.Context) *RedisStorage

NewRedisStorage creates a new RedisStorage instance.

func (*RedisStorage) All 

func (s *RedisStorage) All() (*Quota, error)

Implemenet the Storage interface for RedisStorage. All returns all the values.

func (*RedisStorage) Close 

func (s *RedisStorage) Close() error

Close closes the RedisStorage instance.

func (*RedisStorage) Delete 

func (s *RedisStorage) Delete(c *Candle) error

Delete removes the value for the given key.

func (*RedisStorage) Get 

func (s *RedisStorage) Get(openTime time.Time) (*Candle, error)

Get retrieves the value for the given key.

func (*RedisStorage) GetByIndex 

func (s *RedisStorage) GetByIndex(index int) (*Candle, error)

GetByIndex retrieves candle from the storage by index.

func (*RedisStorage) PersistOlds 

func (s *RedisStorage) PersistOlds(persist Storage, size int) error

PersistOlds will store the old candles into a persistance storage and remove them from the quota.

func (*RedisStorage) Put 

func (s *RedisStorage) Put(c ...*Candle) error

Put stores the value for the given key.

func (*RedisStorage) Update 

func (s *RedisStorage) Update(candle ...*Candle) error

Update updates the value for the given key.

type Source 

type Source string

Source is a target field on candle.

type SourceError 

type SourceError error

SourceError will occur on Source's operations

type Storage 

type Storage interface {
	// All returns all the candle in the storage.
	All() (*Quota, error)

	// Get retrieves candle from the storage.
	Get(openTime time.Time) (*Candle, error)

	// GetByIndex retrieves candle from the storage by index.
	GetByIndex(index int) (*Candle, error)

	// Put stores the given candle in the storage.
	Put(candle ...*Candle) error

	// Update updates candle in the storage.
	Update(candle ...*Candle) error

	// Delete removes the candle from the storage.
	Delete(candle *Candle) error

	// Close closes the storage.
	Close() error

	// PersistOlds will store the old candles into a persistance storage and remove them from the quota.
	PersistOlds(persist Storage, size int) error
}

Storage is an interface for storing and retrieving candles.

type Trade 

type Trade struct {
	ID                string
	Coin              string
	Base              string
	Driver            string
	Quote             float64
	Size              float64
	Entry             float64
	Exit              float64
	ProfitPrice       float64
	ProfitPercentage  float64
	StopLossPercent   float64
	StopLossPrice     float64
	TakeProfitPercent float64
	TakeProfitPrice   float64
	Position          PositionType
	Status            TradeStatus
	OpenCandle        *Candle
	CloseCandle       *Candle
	OpenAt            *time.Time
	CloseAt           *time.Time
}

Trade represents a real world trade

func NewTrade 

func NewTrade(id, driver, coin, base string, position PositionType, quote, entry, sl, tp float64, openCandle *Candle) *Trade

NewTrade returns a pointer to a fresh trade.

func (*Trade) Close 

func (t *Trade) Close(price float64, candle *Candle)

Close closes an active trade.

func (Trade) String 

func (t Trade) String() string

String Stringify the trade.

type TradeError 

type TradeError error

TradeError will occur on Trade's operations

type TradeStatus 

type TradeStatus string

TradeStatus indicates the trade status

type Trader 

type Trader interface {
	Open(coin, base string, position PositionType, quote, entry, sl, tp float64, openCandle *Candle) *Trade
	Close(id string, exit float64, closeCandle *Candle)
	Start() TradeError
	EntryWatcher()
	ExitWatcher()
	CloseWatcher()
}

Trader determines how a trader should be implemented.

type Trades 

type Trades []*Trade

Trades is just a group of Trade just an in memory storage

func (Trades) Find 

func (t Trades) Find(id string) (*Trade, int)

Find searches for a trade, and its index among all trades.

type TradesChannel 

type TradesChannel chan *Trade

TradesChannel to pass Trade through it

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