trade_knife

package module
v0.0.6 Latest Latest
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 Go to latest Published: Aug 12, 2021 License: Apache-2.0 Imports: 22 Imported by: 0

README

Trade Knife

Switzer knife on your trading times

More info to come soon.

Documentation

Overview

Package trade_knife will provide fundamental concept and utils to operate with financial time-series data.

Index

Constants

View Source 
const (
	// Intervals
	Interval1m  = Interval("1m")
	Interval3m  = Interval("3m")
	Interval5m  = Interval("5m")
	Interval15m = Interval("15m")
	Interval30m = Interval("30m")
	Interval1h  = Interval("1h")
	Interval2h  = Interval("2h")
	Interval4h  = Interval("4h")
	Interval6h  = Interval("6h")
	Interval8h  = Interval("8h")
	Interval12h = Interval("12h")
	Interval1d  = Interval("1d")
	Interval3d  = Interval("3d")
	Interval1w  = Interval("1w")
	Interval1M  = Interval("1M")

	// single sources
	SourceOpen   = Source("open")
	SourceHigh   = Source("high")
	SourceLow    = Source("low")
	SourceClose  = Source("close")
	SourceVolume = Source("volume")

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

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

	// all together
	SourceOpenHighLowClose = Source("ohlc4")

	// Position types
	PositionBuy  = PositionType("Buy")
	PositionSell = PositionType("Sell")

	// Trade statuses
	TradeStatusOpen  = TradeStatus("Open")
	TradeStatusClose = TradeStatus("Close")

	// Exit signals
	ExitCauseStopLossTriggered   = ExitCause("Stop loss")
	ExitCauseTakeProfitTriggered = ExitCause("Take profit")
	ExitCauseMarket              = ExitCause("Market")
)

Variables

View Source 
var (
	ErrInvalidCandleData = errors.New("invalid data provided for candle").(CandleError)
	ErrNotEnoughCandles  = errors.New("not enough candles to operate").(CandleError)
	ErrInvalidSource     = errors.New("invalid source provided").(SourceError)
)

Functions

func HPFilter 

func HPFilter(values []float64, lambda float64) []float64

Filter the given values by Hodrick-Prescott filter.

https://www.google.com/url?sa=t&rct=j&q=&esrc=s&source=web&cd=&cad=rja&uact=8&ved=2ahUKEwjorp3ls6byAhUHDOwKHX27DwgQFnoECAcQAQ&url=https%3A%2F%2Fen.wikipedia.org%2Fwiki%2FHodrick%25E2%2580%2593Prescott_filter&usg=AOvVaw24zh7DousHxEoH5CpSHpIJ

func HPIndicator 

func HPIndicator(values []float64, lambda float64, length int) []float64

Calculate HP filter for each entry by group of last [length] candles.

func NewCandle 

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

Returns a pointer to a fresh candle with provided data.

func Plot 

func Plot(quote Quote, width, height vg.Length, extension string, indicators []string) (io.WriterTo, error)

Returns a writer of candlestick plot image.

Types

type Candle 

type Candle struct {
	Symbol     string             `json:"symbol"`
	Open       float64            `json:"open"`
	High       float64            `json:"high"`
	Low        float64            `json:"low"`
	Close      float64            `json:"close"`
	Volume     float64            `json:"volume"`
	Score      float64            `json:"score"`
	Indicators map[string]float64 `json:"indicators"`
	Interval   Interval           `json:"interval"`
	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 (*Candle) AddIndicator 

func (c *Candle) AddIndicator(name string, value float64)

Add indicator value by the given name into the candle.

func (*Candle) Csv 

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

Returns csv row of the candle.

func (*Candle) Get 

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

Retrieve the value of the target field on the candle.

func (*Candle) IndicatorsCrossedOver 

func (c *Candle) IndicatorsCrossedOver(fastIndicator, slowIndicator string) bool

Check if fast indicator crossed over the slow indicator.

FastIndicator > SlowIndicator PrevFastIndicator <= PrevSlowIndicator

func (*Candle) IndicatorsCrossedUnder 

func (c *Candle) IndicatorsCrossedUnder(fastIndicator, slowIndicator string) bool

FastIndicator < SlowIndicator PrevFastIndicator >= PrevSlowIndicator

func (*Candle) IsAboveIndicator 

func (c *Candle) IsAboveIndicator(indicator string) bool

Check if candle is above of the indicator

O,H,L,C > Indicator

func (*Candle) IsBelowIndicator 

func (c *Candle) IsBelowIndicator(indicator string) bool

Check if candle is below of the indicator.

O,H,L,C < Indicator

func (*Candle) IsIndicatorMiddle 

func (c *Candle) IsIndicatorMiddle(indicator string) bool

Check if indicator is passed through middle of the candle

O >= Indicator, H > Indicator, L < Indicator, C <= Indicator,

func (*Candle) TouchedDownIndicator 

func (c *Candle) TouchedDownIndicator(indicator string) bool

Check if candle closed above the indicator but the Low shadow touched the indicator.

O,H,C > Indicator L <= Indicator

func (*Candle) TouchedUpIndicator 

func (c *Candle) TouchedUpIndicator(indicator string) bool

Check if candle close above the indicator but the High shadow touched the indicator. H >= Indicator O,L,C < Indicator

type CandleChannel 

type CandleChannel chan *Candle

type CandleError 

type CandleError error

type EnterCause 

type EnterCause string

type EnterChannel 

type EnterChannel chan EnterSignal

type EnterSignal 

type EnterSignal struct {
	Score      float64
	Cause      EnterCause
	Candle     *Candle
	Quote      float64
	TakeProfit float64
	Stoploss   float64
}

type ExitCause 

type ExitCause string

type ExitChannel 

type ExitChannel chan ExitSignal

type ExitSignal 

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

type Interval 

type Interval string

Interval is the timeframe concept and determines duration of each candle.

func (Interval) Duration 

func (i Interval) Duration() time.Duration

Returns actual duration of the interval.

func (Interval) GetPeriod 

func (i Interval) GetPeriod(ts int64) (ot *time.Time, ct *time.Time, err error)

Returns the open and close time which the interval can fit in.

type PaperTrader 

type PaperTrader struct {
	Trades Trades

	BuyScoreTrigger  float64
	SellScoreTrigger float64
	CloseOnOpposite  bool
	Cross            bool
	Debug            bool
	// contains filtered or unexported fields
}

PaperTrader exchange papertrade driver.

func NewPaperTrader 

func NewPaperTrader(candleChannel CandleChannel, entryChannel EnterChannel, buyscoreTrigger, sellscoreTrigger float64, closeOnOpposite, cross bool) *PaperTrader

Returns a pointer to fresh binance papertrade driver.

func (*PaperTrader) Close 

func (pt *PaperTrader) Close(id, exit float64, closeCandle *Candle)

Close an open trade immediately.

func (*PaperTrader) CloseWatcher 

func (pt *PaperTrader) CloseWatcher()

Watch for close signals and close the trade immediately.

func (*PaperTrader) EntryWatcher 

func (pt *PaperTrader) EntryWatcher()

Watch for entry signals and open proper positions.

func (*PaperTrader) ExitWatcher 

func (pt *PaperTrader) ExitWatcher()

Watch for exit signals and and fire proper close signals.

func (*PaperTrader) Open 

func (pt *PaperTrader) Open(id, symbol, base string, quote, entry float64, position PositionType, sl, tp float64, openCandle *Candle) *Trade

Create a new trade immediately.

func (*PaperTrader) Start 

func (pt *PaperTrader) Start() TradeError

Launch all watchers of the driver.

type PositionType 

type PositionType string

type Quote 

type Quote []*Candle

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

func NewQuoteFromBinanceDelivery 

func NewQuoteFromBinanceDelivery(apiKey, secretKey, symbol string, interval Interval, openTimestamp ...int64) (*Quote, error)

Fetches quote from binace delivery market.

func NewQuoteFromBinanceFutures 

func NewQuoteFromBinanceFutures(apiKey, secretKey, symbol string, interval Interval, openTimestamp ...int64) (*Quote, error)

Fetches quote from binace futures market.

func NewQuoteFromBinanceSpot 

func NewQuoteFromBinanceSpot(apiKey, secretKey, symbol string, interval Interval, openTimestamp ...int64) (*Quote, error)

Fetches quote from binance spot market.

func NewQuoteFromCsv 

func NewQuoteFromCsv(filename string) (*Quote, error)

Read quote from csv file.

func (*Quote) AddIndicator 

func (q *Quote) AddIndicator(name string, values []float64) error

Add indicator values by the given name into the quote.

func (Quote) Csv 

func (q Quote) Csv(indicators ...string) (csv string)

Returns csv formated string of whole quote.

func (*Quote) Find 

func (q *Quote) Find(symbol string, timestamp int64) (*Candle, int)

Search for a candle and it's index amoung Quote by it's symbol and provided timestamp.

func (*Quote) Get 

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

Retrieve value of target field on all candles.

func (*Quote) IndicatorNames 

func (q *Quote) IndicatorNames() []string

Returns a list of indicators used in quote.

func (*Quote) Merge 

func (q *Quote) Merge(target *Quote)

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

func (*Quote) RefreshBinanceDelivery 

func (q *Quote) RefreshBinanceDelivery(apiKey, secretKey string) error

Fetch all delivery candles after last candle including itself.

func (*Quote) RefreshBinanceFutures 

func (q *Quote) RefreshBinanceFutures(apiKey, secretKey string) error

Fetch all futures candles after last candle including itself.

func (*Quote) RefreshBinanceSpot 

func (q *Quote) RefreshBinanceSpot(apiKey, secretKey string) error

Fetch all spot candles after last candle including itself.

func (*Quote) ScoreByCrossIndicators 

func (q *Quote) ScoreByCrossIndicators(score float64, fastIndicator, slowIndicator string, fastSource, slowSource Source)

Score candles by checking indicators cross over condition on each of them.

func (*Quote) Sort 

func (q *Quote) Sort()

Run through the quote and reorder candles by the open time.

func (*Quote) Sync 

func (q *Quote) Sync(symbol string, interval Interval, open, high, low, close, volume float64, openTime, closeTime time.Time, sCandle ...*Candle) (candle *Candle, err CandleError)

Search the quote for provided candle and update it if it exists, otherwise it will append to end of the quote.

If you want to update a candle directly then pass sCandle

func (*Quote) SyncBinanceDelivery 

func (q *Quote) SyncBinanceDelivery(update CandleChannel) (doneC chan struct{}, err error)

Will sync quote with latest binance spot kline info.

func (*Quote) SyncBinanceFutures 

func (q *Quote) SyncBinanceFutures(update CandleChannel) (doneC chan struct{}, err error)

Will sync quote with latest binance futures kline info.

func (*Quote) SyncBinanceSpot 

func (q *Quote) SyncBinanceSpot(update CandleChannel) (doneC chan struct{}, err error)

Will sync quote with latest binance spot kline info.

func (Quote) WriteToCsv 

func (q Quote) WriteToCsv(filename string, indicators ...string) error

Writes down whole quote into a csv file.

type Source 

type Source string

Source is a target field on candle.

type SourceError 

type SourceError error

type Trade 

type Trade struct {
	Id                string
	Driver            string
	Symbol            string
	Base              string
	Quote             float64
	Amount            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
}

func NewTrade 

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

returns a pointer to a fresh trade.

func (*Trade) Close 

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

Close an active trade.

func (Trade) String 

func (t Trade) String() string

Stringify the trade.

type TradeError 

type TradeError error

type TradeStatus 

type TradeStatus string

type Trader 

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

Interface to determine how a trader should implements.

type Trades 

type Trades []*Trade

func (Trades) Find 

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

Search for a trade and it's index amoung all trades.

type TradesChannel 

type TradesChannel chan *Trade

Source Files

View all Source files

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