talib4g

package module
v0.0.0-...-5264412 Latest Latest
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 Go to latest Published: Mar 30, 2018 License: MIT Imports: 9 Imported by: 0

README

Talib4g

Talib4g is a library for technical analysis for Go! It provides a suite of tools and frameworks to analyze financial data and make trading decisions.

Features

  • Basic and advanced technical analysis indicators
  • Profit and trade analysis
  • Strategy building

Installation

$ go get github.com/sdcoffey/talib4g

Quickstart

series := talib4g.NewTimeSeries()

// fetch this from your preferred exchange
dataset := [][]string{
	// Timestamp, Open, Close, High, Low, volume
	{"1234567", "1", "2", "3", "5", "6"},
}

for _, datum := range dataset {
	start, _ := strconv.ParseInt(datum[0], 10, 64)
	period := talib4g.NewTimePeriodD(time.Unix(start, 0), time.Hour*24)

	candle := talib4g.NewCandle(period)
	candle.OpenPrice = big.NewFromString(datum[1])
	candle.ClosePrice = big.NewFromString(datum[2])
	candle.MaxPrice = big.NewFromString(datum[3])
	candle.MinPrice = big.NewFromString(datum[4])

	series.AddCandle(candle)
}

closePrices := talib4g.NewClosePriceIndicator(series)
movingAverage := talib4g.NewEMAIndicator(closePrices, 10) // Create an exponential moving average with a window of 10

fmt.Println(movingAverage.Calculate(0).FormattedString(2))

Creating trading strategies

indicator := talib4g.NewClosePriceIndicator(series)

// record trades on this object
record := talib4g.NewTradingRecord()

entryConstant := talib4g.NewConstantIndicator(30)
exitConstant := talib4g.NewConstantIndicator(10)

// Is satisfied when the price ema moves above 30 and the current position is new
entryRule := talib4g.And(
	talib4g.NewCrossUpIndicatorRule(entryConstant, indicator),
	talib4g.NewPositionNewRule())
	
// Is satisfied when the price ema moves below 10 and the current position is open
exitRule := talib4g.And(
	talib4g.NewCrossDownIndicatorRule(indicator, exitConstant),
	talib4g.NewPositionOpenRule()) 

strategy := talib4g.RuleStrategy{
	UnstablePeriod: 10, // Period before which ShouldEnter and ShouldExit will always return false
	EntryRule:      entryRule,
	ExitRule:       exitRule,
}

strategy.ShouldEnter(0, record) // returns false

Credits

Talib4g is heavily influenced by the great ta4j. Many of the ideas and frameworks in this library owe their genesis to the great work done over there.

License

Talib4g is released under the MIT license. See LICENSE for details.

Documentation

Index

Constants

View Source 
const SimpleDateFormat = "01/02/2006"
View Source 
const SimpleDateTimeFormat = "01/02/2006T15:04:05"

Variables

This section is empty.

Functions

func Abs 

func Abs(b int) int

func Max 

func Max(i, j int) int

func Min 

func Min(i, j int) int

func Pow 

func Pow(i, j int) int

Types

type Analysis 

type Analysis interface {
	Analyze(*TradingRecord) float64
}

type AverageProfitAnalysis 

type AverageProfitAnalysis string

func (AverageProfitAnalysis) Analyze 

func (apa AverageProfitAnalysis) Analyze(record *TradingRecord) float64

type BuyAndHoldAnalysis 

type BuyAndHoldAnalysis struct {
	*TimeSeries
	StartingMoney float64
}

func (BuyAndHoldAnalysis) Analyze 

func (baha BuyAndHoldAnalysis) Analyze(record *TradingRecord) float64

type Candle 

type Candle struct {
	Period     TimePeriod
	OpenPrice  big.Decimal `json:",string"`
	ClosePrice big.Decimal `json:",string"`
	MaxPrice   big.Decimal `json:",string"`
	MinPrice   big.Decimal `json:",string"`
	Volume     big.Decimal `json:",string"`
	TradeCount uint
}

func NewCandle 

func NewCandle(period TimePeriod) (c *Candle)

func (*Candle) AddTrade 

func (c *Candle) AddTrade(tradeAmount, tradePrice big.Decimal)

func (*Candle) String 

func (c *Candle) String() string

type DecreaseRule 

type DecreaseRule struct {
	Indicator
}

func (DecreaseRule) IsSatisfied 

func (dr DecreaseRule) IsSatisfied(index int, record *TradingRecord) bool

type IncreaseRule 

type IncreaseRule struct {
	Indicator
}

func (IncreaseRule) IsSatisfied 

func (ir IncreaseRule) IsSatisfied(index int, record *TradingRecord) bool

type Indicator 

type Indicator interface {
	Calculate(int) big.Decimal
}

func NewAverageGainsIndicator 

func NewAverageGainsIndicator(indicator Indicator, window int) Indicator

Returns a new average gains indicator, which returns the average gains up until that index. @param price indicator should not be > 1 derivation removed from a timeseries, i.e., a ClosePriceIndicator, VolumeIndicator, etc

func NewAverageLossesIndicator 

func NewAverageLossesIndicator(indicator Indicator, window int) Indicator

Returns a new average losses indicator, which returns the average losses up until that index. @param price indicator should not be > 1 derivation removed from a timeseries, i.e., a ClosePriceIndicator, VolumeIndicator, etc

func NewCCIIndicator 

func NewCCIIndicator(ts *TimeSeries, window int) Indicator

Returns a new Commodity Channel Index Indicator http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:commodity_channel_index_cci

func NewClosePriceIndicator 

func NewClosePriceIndicator(series *TimeSeries) Indicator

func NewConstantIndicator 

func NewConstantIndicator(constant float64) Indicator

func NewCrossIndicator 

func NewCrossIndicator(upper, lower Indicator) Indicator

Returns a new CrossIndicator, which, given an index, determines whether a lower indicator has crossed an upper one

func NewCumulativeGainsIndicator 

func NewCumulativeGainsIndicator(indicator Indicator, window int) Indicator

func NewCumulativeLossesIndicator 

func NewCumulativeLossesIndicator(indicator Indicator, window int) Indicator

func NewDifferenceIndicator 

func NewDifferenceIndicator(minuend, subtrahend Indicator) Indicator

func NewEMAIndicator 

func NewEMAIndicator(indicator Indicator, window int) Indicator

Returns a new Exponential Moving Average Calculator http://www.investopedia.com/terms/e/ema.asp

func NewFixedIndicator 

func NewFixedIndicator(vals ...float64) Indicator

func NewHighPriceIndicator 

func NewHighPriceIndicator(series *TimeSeries) Indicator

func NewLowPriceIndicator 

func NewLowPriceIndicator(series *TimeSeries) Indicator

func NewMACDHistogramIndicator 

func NewMACDHistogramIndicator(macdIdicator Indicator, signalLinewindow int) Indicator

Returns a new Moving Average Convergence-Divergence histogram incicator, the result of which is the macd indicator minus it's @param signalLinewindow EMA http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:macd-histogram

func NewMACDIndicator 

func NewMACDIndicator(baseIndicator Indicator, shortwindow, longwindow int) Indicator

Returns a new Moving Average Convergence-Divergence indicator http://www.investopedia.com/terms/m/macd.asp

func NewMeanDeviationIndicator 

func NewMeanDeviationIndicator(indicator Indicator, window int) Indicator

Returns a new mean deviation indicator

func NewOpenPriceIndicator 

func NewOpenPriceIndicator(series *TimeSeries) Indicator

func NewPercentChangeIndicator 

func NewPercentChangeIndicator(indicator Indicator) Indicator

func NewRelativeStrengthIndexIndicator 

func NewRelativeStrengthIndexIndicator(indicator Indicator, timeframe int) Indicator

func NewRelativeStrengthIndicator 

func NewRelativeStrengthIndicator(indicator Indicator, timeframe int) Indicator

func NewRelativeVigorIndexIndicator 

func NewRelativeVigorIndexIndicator(series *TimeSeries) Indicator

func NewRelativeVigorSignalLine 

func NewRelativeVigorSignalLine(series *TimeSeries) Indicator

func NewSimpleMovingAverage 

func NewSimpleMovingAverage(indicator Indicator, window int) Indicator

func NewTypicalPriceIndicator 

func NewTypicalPriceIndicator(series *TimeSeries) Indicator

func NewVolumeIndicator 

func NewVolumeIndicator(series *TimeSeries) Indicator

type LogTradesAnalysis 

type LogTradesAnalysis struct {
	io.Writer
}

func (LogTradesAnalysis) Analyze 

func (lta LogTradesAnalysis) Analyze(record *TradingRecord) float64

type NumTradesAnalysis 

type NumTradesAnalysis string

func (NumTradesAnalysis) Analyze 

func (nta NumTradesAnalysis) Analyze(record *TradingRecord) float64

type Order 

type Order struct {
	Type          OrderSide
	Security      string
	Price         big.Decimal
	Amount        big.Decimal
	ExecutionTime time.Time
	FeePercentage big.Decimal
}

func NewOrder 

func NewOrder(orderType OrderSide) (o *Order)

type OrderSide 

type OrderSide int
const (
	BUY OrderSide = iota
	SELL
)

type OverIndicatorRule 

type OverIndicatorRule struct {
	First  Indicator
	Second Indicator
}

func (OverIndicatorRule) IsSatisfied 

func (this OverIndicatorRule) IsSatisfied(index int, record *TradingRecord) bool

type PercentGainAnalysis 

type PercentGainAnalysis struct{}

func (PercentGainAnalysis) Analyze 

func (pga PercentGainAnalysis) Analyze(record *TradingRecord) float64

type PeriodProfitAnalysis 

type PeriodProfitAnalysis time.Duration

func (PeriodProfitAnalysis) Analyze 

func (ppa PeriodProfitAnalysis) Analyze(record *TradingRecord) float64

type Position 

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

A pair of two Order objects

func NewPosition 

func NewPosition(openOrder *Order) (t *Position)

func (*Position) CostBasis 

func (p *Position) CostBasis() big.Decimal

func (*Position) Enter 

func (p *Position) Enter(order *Order)

func (*Position) EntranceOrder 

func (p *Position) EntranceOrder() *Order

func (*Position) Exit 

func (p *Position) Exit(order *Order)

func (*Position) ExitOrder 

func (p *Position) ExitOrder() *Order

func (*Position) ExitValue 

func (p *Position) ExitValue() big.Decimal

func (*Position) IsClosed 

func (p *Position) IsClosed() bool

func (*Position) IsLong 

func (p *Position) IsLong() bool

func (*Position) IsNew 

func (p *Position) IsNew() bool

func (*Position) IsOpen 

func (p *Position) IsOpen() bool

func (*Position) IsShort 

func (p *Position) IsShort() bool

type ProfitableTradesAnalysis 

type ProfitableTradesAnalysis string

func (ProfitableTradesAnalysis) Analyze 

func (pta ProfitableTradesAnalysis) Analyze(record *TradingRecord) float64

type Rule 

type Rule interface {
	IsSatisfied(index int, record *TradingRecord) bool
}

func And 

func And(r1, r2 Rule) Rule

func NewCrossDownIndicatorRule 

func NewCrossDownIndicatorRule(upper, lower Indicator) Rule

func NewCrossUpIndicatorRule 

func NewCrossUpIndicatorRule(upper, lower Indicator) Rule

func NewPercentChangeRule 

func NewPercentChangeRule(indicator Indicator, percent float64) Rule

func NewPositionNewRule 

func NewPositionNewRule() Rule

func NewPositionOpenRule 

func NewPositionOpenRule() Rule

func NewStopLossRule 

func NewStopLossRule(series *TimeSeries, lossTolerance float64) Rule

Returns a new stop loss rule based on a timeseries and a loss tolerance The loss tolerance should be a number between -1 and 1, where negative values represent a loss and vice versa.

func Or 

func Or(r1, r2 Rule) Rule

type RuleStrategy 

type RuleStrategy struct {
	EntryRule      Rule
	ExitRule       Rule
	UnstablePeriod int
}

func (RuleStrategy) ShouldEnter 

func (this RuleStrategy) ShouldEnter(index int, record *TradingRecord) bool

func (RuleStrategy) ShouldExit 

func (this RuleStrategy) ShouldExit(index int, record *TradingRecord) bool

type StopLossRule 

type StopLossRule struct {
	Indicator
	// contains filtered or unexported fields
}

func (StopLossRule) IsSatisfied 

func (slr StopLossRule) IsSatisfied(index int, record *TradingRecord) bool

type Strategy 

type Strategy interface {
	ShouldEnter(index int, record *TradingRecord) bool
	ShouldExit(index int, record *TradingRecord) bool
}

type TimePeriod 

type TimePeriod struct {
	Start time.Time
	End   time.Time
}

func NewTimePeriod 

func NewTimePeriod(start, end time.Time) TimePeriod

func NewTimePeriodD 

func NewTimePeriodD(start time.Time, period time.Duration) TimePeriod

func Parse 

func Parse(timerange string) (tr TimePeriod, err error)

Support SimpleDateTimeFormat:SimpleDateTimeFormat SimpleDateTimeFormat: (to now) SimpleDateFormat: SimpleDateFormat:SimpleDateFormat

func (TimePeriod) Advance 

func (tp TimePeriod) Advance(iterations int) TimePeriod

func (TimePeriod) Format 

func (tp TimePeriod) Format(layout string) string

func (TimePeriod) Length 

func (tp TimePeriod) Length() time.Duration

func (TimePeriod) Since 

func (tp TimePeriod) Since(other TimePeriod) time.Duration

func (TimePeriod) String 

func (tp TimePeriod) String() string

type TimeSeries 

type TimeSeries struct {
	Candles []*Candle
}

func NewTimeSeries 

func NewTimeSeries() (t *TimeSeries)

func RandomTimeSeries 

func RandomTimeSeries(size int) *TimeSeries

func (*TimeSeries) AddCandle 

func (ts *TimeSeries) AddCandle(candle *Candle) bool

func (*TimeSeries) LastCandle 

func (ts *TimeSeries) LastCandle() *Candle

func (*TimeSeries) LastIndex 

func (ts *TimeSeries) LastIndex() int

type TotalProfitAnalysis 

type TotalProfitAnalysis float64

func (TotalProfitAnalysis) Analyze 

func (tps TotalProfitAnalysis) Analyze(record *TradingRecord) float64

type TradingRecord 

type TradingRecord struct {
	Trades []*Position
	// contains filtered or unexported fields
}

func NewTradingRecord 

func NewTradingRecord() (t *TradingRecord)

func (*TradingRecord) CurrentPosition 

func (this *TradingRecord) CurrentPosition() *Position

func (*TradingRecord) Enter 

func (this *TradingRecord) Enter(price, amount, feePercentage big.Decimal, security string, time time.Time)

func (*TradingRecord) Exit 

func (this *TradingRecord) Exit(price, amount, feePercentage big.Decimal, security string, time time.Time)

func (*TradingRecord) LastTrade 

func (this *TradingRecord) LastTrade() *Position

type UnderIndicatorRule 

type UnderIndicatorRule struct {
	First  Indicator
	Second Indicator
}

func (UnderIndicatorRule) IsSatisfied 

func (this UnderIndicatorRule) IsSatisfied(index int, record *TradingRecord) bool

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