models

package
v0.0.0-...-bbd37fe Latest Latest
Warning

This package is not in the latest version of its module.

 Go to latest Published: Jun 12, 2024 License: MIT Imports: 17 Imported by: 0

Documentation

Index

Constants

View Source 
const (
	PositionTypeLong  = "long"
	PositionTypeShort = "short"
)
View Source 
const AttrCluster = "cluster"
View Source 
const (
	Resolution1Min = "1m"
)
View Source 
const SecurityKeyName = "symbol"

Variables

This section is empty.

Functions

func CompareBarWithTimestamp 

func CompareBarWithTimestamp(bar *Bar, t time.Time) int

func CompareBarsByTimestamp 

func CompareBarsByTimestamp(a, b *Bar) int

func QuantityMeanStddev 

func QuantityMeanStddev(q *Quantity) (cluster.Point, error)

Types

type Bar 

type Bar struct {
	Timestamp  time.Time `json:"t"`
	Volume     uint64    `json:"v"`
	TradeCount uint64    `json:"n"`
	VWAP       float64   `json:"vw"`

	*OHLC
}

func NewBarFromAlpaca 

func NewBarFromAlpaca(alpacaBar marketdata.Bar) *Bar

func (*Bar) Date 

func (b *Bar) Date() date.Date

func (*Bar) HeikinAshi 

func (b *Bar) HeikinAshi(prev *OHLC) *OHLC

func (*Bar) Localize 

func (b *Bar) Localize()

type BarSet 

type BarSet struct {
	Date string `json:"date" bson:"_id"`
	Bars Bars   `json:"bars"`
}

func (*BarSet) GetKey 

func (db *BarSet) GetKey() string

func (*BarSet) Validate 

func (db *BarSet) Validate() []error

type Bars 

type Bars []*Bar

func LoadBars 

func LoadBars(r io.Reader) (Bars, error)

func LoadBarsFromFile 

func LoadBarsFromFile(fpath string) (Bars, error)

func LoadRunBars 

func LoadRunBars(
	ctx context.Context,
	symbol string,
	ts timespan.TimeSpan,
	loc *time.Location,
	load LoadBarsFunc,
	warmupPeriod int,
) (Bars, error)

func (Bars) BinarySearch 

func (bars Bars) BinarySearch(t time.Time) (int, bool)

func (Bars) ClosePrices 

func (bars Bars) ClosePrices() []float64

func (Bars) IndexForward 

func (bars Bars) IndexForward(t time.Time) (int, bool)

func (Bars) IndexReverse 

func (bars Bars) IndexReverse(t time.Time) (int, bool)

func (Bars) Last 

func (bars Bars) Last() *Bar

func (Bars) LastN 

func (bars Bars) LastN(n int) Bars

func (Bars) Localize 

func (bars Bars) Localize()

func (Bars) NextN 

func (bars Bars) NextN(index, n int) Bars

func (Bars) Store 

func (bars Bars) Store(w io.Writer) error

func (Bars) StoreToFile 

func (bars Bars) StoreToFile(fpath string) error

func (Bars) TimeSpan 

func (bars Bars) TimeSpan() timespan.TimeSpan

func (Bars) Timestamps 

func (bars Bars) Timestamps() []time.Time

type Collection 

type Collection interface {
	GetInfo() *CollectionInfo
	GetLocation() *time.Location
	GetFirstDate() date.Date
	GetLastDate() date.Date

	IsEmpty() bool

	LoadBars(start, endIncl date.Date) (Bars, error)
	StoreBars(Bars) error
}

type CollectionInfo 

type CollectionInfo struct {
	Symbol     string    `json:"symbol"`
	Resolution string    `json:"resolution"`
	TimeZone   string    `json:"timeZone"`
	StartDate  date.Date `json:"startDate"`
	CoreHours  *Hours    `json:"coreHours"`
}

type Direction 

type Direction int
const (
	DirNone Direction = iota
	DirDown
	DirUp
)

func (Direction) String 

func (d Direction) String() string

type Hours 

type Hours struct {
	Open  *TimeOfDay `json:"open"`
	Close *TimeOfDay `json:"close"`
}

type LoadBarsFunc 

type LoadBarsFunc func(ctx context.Context, d date.Date) (Bars, error)

type MakePointFunc 

type MakePointFunc func(q *Quantity) (cluster.Point, error)

type OHLC 

type OHLC struct {
	Open  float64 `json:"o"`
	High  float64 `json:"h"`
	Low   float64 `json:"l"`
	Close float64 `json:"c"`
}

func (*OHLC) Float64s 

func (ohlc *OHLC) Float64s() []float64

func (*OHLC) HL2 

func (ohlc *OHLC) HL2() float64

func (*OHLC) HLC3 

func (ohlc *OHLC) HLC3() float64

func (*OHLC) HLCC4 

func (ohlc *OHLC) HLCC4() float64

func (*OHLC) OCC3 

func (ohlc *OHLC) OCC3() float64

func (*OHLC) OHLC4 

func (ohlc *OHLC) OHLC4() float64

type Position 

type Position struct {
	Type       string     `json:"type"`
	Entry      *TimePrice `json:"entry"`
	Exit       *TimePrice `json:"exit"`
	ExitReason string     `json:"exitReason"`
	ClosedPL   float64    `json:"closedPL"`
}

func NewLongPosition 

func NewLongPosition(t time.Time, price float64) *Position

func NewShortPosition 

func NewShortPosition(t time.Time, price float64) *Position

func (*Position) Close 

func (p *Position) Close(t time.Time, price float64, reason string)

func (*Position) IsOpen 

func (p *Position) IsOpen() bool

func (*Position) Localize 

func (p *Position) Localize()

func (*Position) OpenProfitLoss 

func (p *Position) OpenProfitLoss(currentPrice float64) (float64, bool)

type PositionType 

type PositionType int

type Positions 

type Positions []*Position

func (Positions) Analyze 

func (ps Positions) Analyze() *PositionsAnalysis

func (Positions) Localize 

func (ps Positions) Localize()

func (Positions) Store 

func (ps Positions) Store(w io.Writer) error

func (Positions) StoreToFile 

func (ps Positions) StoreToFile(fpath string) error

type PositionsAnalysis 

type PositionsAnalysis struct {
	Winning, TotalPL float64
}

type Quantity 

type Quantity struct {
	Name       string           `json:"name"`
	Records    []QuantityRecord `json:"records"`
	Attributes map[string]any   `json:"attributes"`
}

func NewQuantity 

func NewQuantity(name string, records ...QuantityRecord) *Quantity

func (*Quantity) AddRecord 

func (q *Quantity) AddRecord(r QuantityRecord)

func (*Quantity) DropRecordsBefore 

func (q *Quantity) DropRecordsBefore(t time.Time)

func (*Quantity) FindRecord 

func (q *Quantity) FindRecord(t time.Time) (QuantityRecord, bool)

func (*Quantity) FindRecordsAfter 

func (q *Quantity) FindRecordsAfter(t time.Time) []QuantityRecord

func (*Quantity) IsEmpty 

func (q *Quantity) IsEmpty() bool

func (*Quantity) RecordValues 

func (q *Quantity) RecordValues() []float64

func (*Quantity) SortByTime 

func (q *Quantity) SortByTime()

type QuantityRecord 

type QuantityRecord = TimeValue[float64]

type Security 

type Security struct {
	Symbol   string `json:"symbol" bson:"_id"`
	Days     int    `json:"days"`
	TimeZone string `json:"timeZone"`
}

func (*Security) GetKey 

func (s *Security) GetKey() string

func (*Security) Validate 

func (s *Security) Validate() []error

type TimeOfDay 

type TimeOfDay struct {
	Hour   int
	Minute int
}

func (*TimeOfDay) MarshalJSON 

func (tod *TimeOfDay) MarshalJSON() ([]byte, error)

func (*TimeOfDay) MinuteOfDay 

func (tod *TimeOfDay) MinuteOfDay() int

func (*TimeOfDay) On 

func (tod *TimeOfDay) On(d date.Date, loc *time.Location) time.Time

func (*TimeOfDay) Parse 

func (tod *TimeOfDay) Parse(str string) error

func (*TimeOfDay) String 

func (tod *TimeOfDay) String() string

func (*TimeOfDay) UnmarshalJSON 

func (tod *TimeOfDay) UnmarshalJSON(d []byte) error

type TimePrice 

type TimePrice struct {
	Time  time.Time
	Price float64
}

type TimeSeries 

type TimeSeries struct {
	Quantities []*Quantity `json:"quantities"`
}

func NewTimeSeries 

func NewTimeSeries() *TimeSeries

func (*TimeSeries) AddQuantity 

func (ts *TimeSeries) AddQuantity(q *Quantity)

func (*TimeSeries) Cluster 

func (ts *TimeSeries) Cluster(k int, makePoint MakePointFunc) error

func (*TimeSeries) DropRecordsBefore 

func (ts *TimeSeries) DropRecordsBefore(t time.Time)

func (*TimeSeries) FindQuantity 

func (ts *TimeSeries) FindQuantity(name string) (*Quantity, bool)

func (*TimeSeries) IsEmpty 

func (ts *TimeSeries) IsEmpty() bool

func (*TimeSeries) SortByTime 

func (ts *TimeSeries) SortByTime() bool

type TimeValue 

type TimeValue[TValue any] struct {
	Time  time.Time `json:"t"`
	Value TValue    `json:"v"`
}

func NewTimeValue 

func NewTimeValue[TValue any](t time.Time, v TValue) TimeValue[TValue]

Source Files

View all Source files

Directories

Path Synopsis

Jump to

Keyboard shortcuts

? : This menu
/ : Search site
f or F : Jump to
y or Y : Canonical URL
go.dev uses cookies from Google to deliver and enhance the quality of its services and to analyze traffic. Learn more.