(GCTScript) Add technical analysis support via script bindings (#467)

* added mfi and example

* renamed to moving average

* converted to array return type and added obv and mfi

* started work on test coverage

* test coverage added for rsi & mfi

* test coverage added for all indicators removed go mod replace moved to append helper method

* moved all indicators to new appendTo and increased test coverage

* added additional test and bumped go-talib to latest commi

* go.mod update

* linter fixes

* go mod clean up

* small fixes

* reverted changes from previous attempt to rework as data is still incorrect now passing full OHLCV data back to script binding

* testing new structure of passing full ohlcv data

* started linking ohlcv to gctscript

* OHCLV link up completed reworking passing back to indicators started

* OHCLV link up completed reworking passing back to indicators started

* added test coverage for tofloat

* linter fixes (gofmt)

* removed unused value

* improved test coverage

* added correct detection for 1w added ParseInterval test coverage moved OHCLV string to const

* removed unused value

* first round of changes addressed

* all indicators have been split with packages named after each indicator and a new calculate() method added

* linters

* fixed tests

* added check to check ta is running in validator for uploading

* Added test data for OHLCV testing new indicator interface for wrapper

* typed const to float64

* reworked validator data to generate previous timestamps

* rewored macd to return slice of array

* adding bbands linking and example

* why didn't this pick it up before :D

* bumped up total number of modules for test

* moved parseIndicator to exchange added comments

* test coverage added for ParseMAType & ParseIndicatorSelector

* gofmt

* WIP changes

* updated tests for bbands  & obv bumped to latest go-talib

* move multiple use strong to const

* reverted rpc.pb.go to master

* added 4w option

* removed selector from obv as unneeded

* improved test coverage and reworked all indicator methods on how they pass errors back

* order incoming OHCLV data

* revert go.mod

* removed verbose toggles

* added spot asset type

* removed 4w as its unused/uncommon

* renamed

* reworked further tests

* converted all examples to use coinbasepro for consistency

* updated all date ranges to 2019 + 6 months

* backported binance OHLCV wrapper from #479

* removed o

* rounded numbers

* chnage requests addressed and attempt to fix MACD... today has been really unproctive code wise :D

* Migrated to gct-ta library

* Corrected test import

* wording changes on test

* removed TA lib from go.mod

* PR changes addressed

Removed parallel running from tests due to slight possibility in very extreme cases TestExecution might not be set to the expected value and will cause lower test coverage

* removed pkg folder

* bumped gct-ta version

* gct-ta version bump
This commit is contained in:
Andrew
2020-04-24 15:36:49 +10:00
committed by GitHub
parent 63635e2ee8
commit 70615279bd
36 changed files with 1882 additions and 12 deletions

View File

@@ -17,6 +17,7 @@ import (
"github.com/thrasher-corp/gocryptotrader/currency"
exchange "github.com/thrasher-corp/gocryptotrader/exchanges"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/exchanges/kline"
"github.com/thrasher-corp/gocryptotrader/exchanges/request"
"github.com/thrasher-corp/gocryptotrader/exchanges/websocket/wshandler"
"github.com/thrasher-corp/gocryptotrader/log"
@@ -193,7 +194,7 @@ func (b *Binance) GetAggregatedTrades(symbol string, limit int) ([]AggregatedTra
// endTime: endTime filter for the kline data
func (b *Binance) GetSpotKline(arg KlinesRequestParams) ([]CandleStick, error) {
var resp interface{}
var kline []CandleStick
var klineData []CandleStick
params := url.Values{}
params.Set("symbol", arg.Symbol)
@@ -211,7 +212,7 @@ func (b *Binance) GetSpotKline(arg KlinesRequestParams) ([]CandleStick, error) {
path := fmt.Sprintf("%s%s?%s", b.API.Endpoints.URL, candleStick, params.Encode())
if err := b.SendHTTPRequest(path, limitDefault, &resp); err != nil {
return kline, err
return klineData, err
}
for _, responseData := range resp.([]interface{}) {
@@ -219,7 +220,12 @@ func (b *Binance) GetSpotKline(arg KlinesRequestParams) ([]CandleStick, error) {
for i, individualData := range responseData.([]interface{}) {
switch i {
case 0:
candle.OpenTime = individualData.(float64)
tempTime := individualData.(float64)
var err error
candle.OpenTime, err = convert.TimeFromUnixTimestampFloat(tempTime)
if err != nil {
return klineData, err
}
case 1:
candle.Open, _ = strconv.ParseFloat(individualData.(string), 64)
case 2:
@@ -231,7 +237,12 @@ func (b *Binance) GetSpotKline(arg KlinesRequestParams) ([]CandleStick, error) {
case 5:
candle.Volume, _ = strconv.ParseFloat(individualData.(string), 64)
case 6:
candle.CloseTime = individualData.(float64)
tempTime := individualData.(float64)
var err error
candle.CloseTime, err = convert.TimeFromUnixTimestampFloat(tempTime)
if err != nil {
return klineData, err
}
case 7:
candle.QuoteAssetVolume, _ = strconv.ParseFloat(individualData.(string), 64)
case 8:
@@ -242,9 +253,9 @@ func (b *Binance) GetSpotKline(arg KlinesRequestParams) ([]CandleStick, error) {
candle.TakerBuyQuoteAssetVolume, _ = strconv.ParseFloat(individualData.(string), 64)
}
}
kline = append(kline, candle)
klineData = append(klineData, candle)
}
return kline, nil
return klineData, nil
}
// GetAveragePrice returns current average price for a symbol.
@@ -728,3 +739,38 @@ func (b *Binance) MaintainWsAuthStreamKey() error {
HTTPRecording: b.HTTPRecording,
})
}
func parseInterval(in time.Duration) (TimeInterval, error) {
switch in {
case kline.OneMin:
return TimeIntervalMinute, nil
case kline.ThreeMin:
return TimeIntervalThreeMinutes, nil
case kline.FiveMin:
return TimeIntervalFiveMinutes, nil
case kline.FifteenMin:
return TimeIntervalFifteenMinutes, nil
case kline.ThirtyMin:
return TimeIntervalThirtyMinutes, nil
case kline.OneHour:
return TimeIntervalHour, nil
case kline.TwoHour:
return TimeIntervalTwoHours, nil
case kline.FourHour:
return TimeIntervalFourHours, nil
case kline.SixHour:
return TimeIntervalSixHours, nil
case kline.OneHour * 8:
return TimeIntervalEightHours, nil
case kline.TwelveHour:
return TimeIntervalTwelveHours, nil
case kline.OneDay:
return TimeIntervalDay, nil
case kline.ThreeDay:
return TimeIntervalThreeDays, nil
case kline.OneWeek:
return TimeIntervalWeek, nil
default:
return TimeIntervalMinute, errInvalidInterval
}
}

View File

@@ -2,12 +2,14 @@ package binance
import (
"testing"
"time"
"github.com/thrasher-corp/gocryptotrader/common"
"github.com/thrasher-corp/gocryptotrader/core"
"github.com/thrasher-corp/gocryptotrader/currency"
exchange "github.com/thrasher-corp/gocryptotrader/exchanges"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/exchanges/kline"
"github.com/thrasher-corp/gocryptotrader/exchanges/order"
"github.com/thrasher-corp/gocryptotrader/portfolio/withdraw"
)
@@ -790,3 +792,133 @@ func TestExecutionTypeToOrderStatus(t *testing.T) {
}
}
}
func TestGetHistoricCandles(t *testing.T) {
if mockTests {
t.Skip("skipping test under mock as its covered by GetSpotKlines()")
}
currencyPair := currency.NewPairFromString("BTCUSDT")
start := time.Date(2017, 8, 18, 0, 0, 0, 0, time.UTC)
end := start.AddDate(0, 6, 0)
_, err := b.GetHistoricCandles(currencyPair, asset.Spot, start, end, kline.OneDay)
if err != nil {
t.Fatal(err)
}
}
func TestParseInterval(t *testing.T) {
testCases := []struct {
name string
interval time.Duration
expected TimeInterval
err error
}{
{
"OneMin",
kline.OneMin,
TimeIntervalMinute,
nil,
},
{
"ThreeMin",
kline.ThreeMin,
TimeIntervalThreeMinutes,
nil,
},
{
"FiveMin",
kline.FiveMin,
TimeIntervalFiveMinutes,
nil,
},
{
"FifteenMin",
kline.FifteenMin,
TimeIntervalFifteenMinutes,
nil,
},
{
"ThirtyMin",
kline.ThirtyMin,
TimeIntervalThirtyMinutes,
nil,
},
{
"OneHour",
kline.OneHour,
TimeIntervalHour,
nil,
},
{
"TwoHour",
kline.TwoHour,
TimeIntervalTwoHours,
nil,
},
{
"FourHour",
kline.FourHour,
TimeIntervalFourHours,
nil,
},
{
"SixHour",
kline.SixHour,
TimeIntervalSixHours,
nil,
},
{
"EightHour",
kline.OneHour * 8,
TimeIntervalEightHours,
nil,
},
{
"TwelveHour",
kline.TwelveHour,
TimeIntervalTwelveHours,
nil,
},
{
"OneDay",
kline.OneDay,
TimeIntervalDay,
nil,
},
{
"ThreeDay",
kline.ThreeDay,
TimeIntervalThreeDays,
nil,
},
{
"OneWeek",
kline.OneWeek,
TimeIntervalWeek,
nil,
},
{
"default",
time.Hour * 1337,
TimeIntervalHour,
errInvalidInterval,
},
}
for x := range testCases {
test := testCases[x]
t.Run(test.name, func(t *testing.T) {
v, err := parseInterval(test.interval)
if err != nil {
if err != test.err {
t.Fatal(err)
}
} else {
if v != test.expected {
t.Fatalf("%v: received %v expected %v", test.name, v, test.expected)
}
}
})
}
}

View File

@@ -1,9 +1,14 @@
package binance
import (
"errors"
"time"
"github.com/thrasher-corp/gocryptotrader/currency"
)
var errInvalidInterval = errors.New("invalid interval")
// Response holds basic binance api response data
type Response struct {
Code int `json:"code"`
@@ -208,13 +213,13 @@ type AggregatedTrade struct {
// CandleStick holds kline data
type CandleStick struct {
OpenTime float64
OpenTime time.Time
Open float64
High float64
Low float64
Close float64
Volume float64
CloseTime float64
CloseTime time.Time
QuoteAssetVolume float64
TradeCount float64
TakerBuyAssetVolume float64

View File

@@ -674,5 +674,38 @@ func (b *Binance) ValidateCredentials() error {
// GetHistoricCandles returns candles between a time period for a set time interval
func (b *Binance) GetHistoricCandles(pair currency.Pair, a asset.Item, start, end time.Time, interval time.Duration) (kline.Item, error) {
return kline.Item{}, common.ErrNotYetImplemented
intervalToString, err := parseInterval(interval)
if err != nil {
return kline.Item{}, err
}
klineParams := KlinesRequestParams{
Interval: intervalToString,
Symbol: b.FormatExchangeCurrency(pair, a).String(),
StartTime: start.Unix() * 1000,
EndTime: end.Unix() * 1000,
}
candles, err := b.GetSpotKline(klineParams)
if err != nil {
return kline.Item{}, err
}
ret := kline.Item{
Exchange: b.Name,
Pair: pair,
Asset: a,
Interval: interval,
}
for x := range candles {
ret.Candles = append(ret.Candles, kline.Candle{
Time: candles[x].OpenTime,
Open: candles[x].Open,
High: candles[x].Close,
Low: candles[x].Low,
Close: candles[x].Close,
Volume: candles[x].Volume,
})
}
return ret, nil
}

View File

@@ -79,10 +79,10 @@ func TestGetTrades(t *testing.T) {
func TestGetHistoricRatesGranularityCheck(t *testing.T) {
end := time.Now().UTC()
start := end.Add(-time.Second * 300)
start := end.Add(-time.Hour * 24)
p := currency.NewPair(currency.BTC, currency.USD)
_, err := c.GetHistoricCandles(p, asset.Spot, start, end, time.Minute)
_, err := c.GetHistoricCandles(p, asset.Spot, start, end, time.Hour)
if err != nil {
t.Fatal(err)
}

View File

@@ -0,0 +1,11 @@
fmt := import("fmt")
exch := import("exchange")
t := import("times")
load := func() {
start := t.add(t.now(), -t.hour*24)
ohlcvData := exch.ohlcv("coinbasepro", "BTC-USD", "-", "SPOT", start, t.now(), "1h")
fmt.println(ohlcvData)
}
load()

View File

@@ -0,0 +1,15 @@
fmt := import("fmt")
exch := import("exchange")
t := import("times")
atr := import("indicator/atr")
load := func() {
start := t.date(2017, 8 , 17, 0 , 0 , 0, 0)
end := t.add_date(start, 0, 6 , 0)
ohlcvData := exch.ohlcv("binance", "BTC-USDT", "-", "SPOT", start, end, "1d")
ret := atr.calculate(ohlcvData.candles, 14)
fmt.println(ret)
}
load()

View File

@@ -0,0 +1,15 @@
fmt := import("fmt")
exch := import("exchange")
t := import("times")
bbands := import("indicator/bbands")
load := func() {
start := t.date(2017, 8 , 17 , 0 , 0 , 0, 0)
end := t.add_date(start, 0, 6 , 0)
ohlcvData := exch.ohlcv("binance", "BTC-USDT", "-", "SPOT", start, end, "1d")
ret := bbands.calculate("close", ohlcvData.candles, 20, 2.0, 2.0, "sma")
fmt.println(ret)
}
load()

View File

@@ -0,0 +1,19 @@
fmt := import("fmt")
exch := import("exchange")
t := import("times")
sma := import("indicator/sma")
ema := import("indicator/ema")
load := func() {
start := t.date(2017, 8 , 17 , 0 , 0 , 0, 0)
end := t.add_date(start, 0, 6 , 0)
ohlcvData := exch.ohlcv("binance", "BTC-USDT", "-", "SPOT", start, end, "1d")
ret := ema.calculate(ohlcvData.candles, 9)
fmt.println(ret)
ret = sma.calculate(ohlcvData.candles, 9)
fmt.println(ret)
}
load()

View File

@@ -0,0 +1,15 @@
fmt := import("fmt")
exch := import("exchange")
t := import("times")
macd := import("indicator/macd")
load := func() {
start := t.date(2017, 8 , 17 , 0 , 0 , 0, 0)
end := t.add_date(start, 0, 6 , 0)
ohlcvData := exch.ohlcv("binance", "BTC-USDT", "-", "SPOT", start, end, "1d")
ret := macd.calculate(ohlcvData.candles, 12, 26, 9)
fmt.println(ret)
}
load()

View File

@@ -0,0 +1,15 @@
fmt := import("fmt")
exch := import("exchange")
t := import("times")
mfi := import("indicator/mfi")
load := func() {
start := t.date(2017, 8 , 17 , 0 , 0 , 0, 0)
end := t.add_date(start, 0, 6 , 0)
ohlcvData := exch.ohlcv("binance", "BTC-USDT", "-", "SPOT", start, end, "1d")
ret := mfi.calculate(ohlcvData.candles, 14)
fmt.println(ret)
}
load()

View File

@@ -0,0 +1,16 @@
fmt := import("fmt")
exch := import("exchange")
t := import("times")
obv := import("indicator/obv")
load := func() {
start := t.date(2017, 8 , 17 , 0 , 0 , 0, 0)
end := t.add_date(start, 0, 6 , 0)
ohlcvData := exch.ohlcv("binance", "BTC-USDT", "-", "SPOT", start, end, "1d")
ret := obv.calculate(ohlcvData.candles)
fmt.println(ret)
}
load()

View File

@@ -0,0 +1,15 @@
fmt := import("fmt")
exch := import("exchange")
t := import("times")
rsi := import("indicator/rsi")
load := func() {
start := t.date(2017, 8 , 17 , 0 , 0 , 0, 0)
end := t.add_date(start, 0, 6 , 0)
ohlcvData := exch.ohlcv("binance", "BTC-USDT", "-", "SPOT", start, end, "1d")
ret := rsi.calculate(ohlcvData.candles, 14)
fmt.println(ret)
}
load()

View File

@@ -3,8 +3,10 @@ package gct
import (
"fmt"
"strings"
"time"
objects "github.com/d5/tengo/v2"
"github.com/thrasher-corp/gocryptotrader/common"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/exchanges/order"
@@ -24,6 +26,7 @@ var exchangeModule = map[string]objects.Object{
"ordersubmit": &objects.UserFunction{Name: "ordersubmit", Value: ExchangeOrderSubmit},
"withdrawcrypto": &objects.UserFunction{Name: "withdrawcrypto", Value: ExchangeWithdrawCrypto},
"withdrawfiat": &objects.UserFunction{Name: "withdrawfiat", Value: ExchangeWithdrawFiat},
"ohlcv": &objects.UserFunction{Name: "ohlcv", Value: exchangeOHLCV},
}
// ExchangeOrderbook returns orderbook for requested exchange & currencypair
@@ -494,3 +497,93 @@ func ExchangeWithdrawFiat(args ...objects.Object) (objects.Object, error) {
return &objects.String{Value: rtn}, nil
}
func exchangeOHLCV(args ...objects.Object) (objects.Object, error) {
if len(args) != 7 {
return nil, objects.ErrWrongNumArguments
}
exchangeName, ok := objects.ToString(args[0])
if !ok {
return nil, fmt.Errorf(ErrParameterConvertFailed, exchangeName)
}
currencyPair, ok := objects.ToString(args[1])
if !ok {
return nil, fmt.Errorf(ErrParameterConvertFailed, currencyPair)
}
delimiter, ok := objects.ToString(args[2])
if !ok {
return nil, fmt.Errorf(ErrParameterConvertFailed, delimiter)
}
assetTypeParam, ok := objects.ToString(args[3])
if !ok {
return nil, fmt.Errorf(ErrParameterConvertFailed, assetTypeParam)
}
startTime, ok := objects.ToTime(args[4])
if !ok {
return nil, fmt.Errorf(ErrParameterConvertFailed, startTime)
}
endTime, ok := objects.ToTime(args[5])
if !ok {
return nil, fmt.Errorf(ErrParameterConvertFailed, endTime)
}
intervalStr, ok := objects.ToString(args[6])
if !ok {
return nil, fmt.Errorf(ErrParameterConvertFailed, endTime)
}
interval, err := parseInterval(intervalStr)
if err != nil {
return nil, err
}
pairs := currency.NewPairDelimiter(currencyPair, delimiter)
assetType := asset.Item(assetTypeParam)
ret, err := wrappers.GetWrapper().OHLCV(exchangeName, pairs, assetType, startTime, endTime, interval)
if err != nil {
return nil, err
}
var candles objects.Array
for x := range ret.Candles {
candle := &objects.Array{}
candle.Value = append(candle.Value, &objects.Time{Value: ret.Candles[x].Time},
&objects.Float{Value: ret.Candles[x].Open},
&objects.Float{Value: ret.Candles[x].High},
&objects.Float{Value: ret.Candles[x].Low},
&objects.Float{Value: ret.Candles[x].Close},
&objects.Float{Value: ret.Candles[x].Volume},
)
candles.Value = append(candles.Value, candle)
}
retValue := make(map[string]objects.Object, 5)
retValue["exchange"] = &objects.String{Value: ret.Exchange}
retValue["pair"] = &objects.String{Value: ret.Pair.String()}
retValue["asset"] = &objects.String{Value: ret.Asset.String()}
retValue["intervals"] = &objects.String{Value: ret.Interval.String()}
retValue["candles"] = &candles
return &objects.Map{
Value: retValue,
}, nil
}
// parseInterval will parse the interval param of indictors that have them and convert to time.Duration
func parseInterval(in string) (time.Duration, error) {
if !common.StringDataContainsInsensitive(supportedDurations, in) {
return time.Nanosecond, errInvalidInterval
}
switch in {
case "1d":
in = "24h"
case "3d":
in = "72h"
case "1w":
in = "168h"
}
return time.ParseDuration(in)
}

View File

@@ -5,6 +5,7 @@ import (
"os"
"reflect"
"testing"
"time"
objects "github.com/d5/tengo/v2"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules"
@@ -268,3 +269,44 @@ func TestExchangeWithdrawFiat(t *testing.T) {
t.Fatal(err)
}
}
func TestParseInterval(t *testing.T) {
v, err := parseInterval("1h")
if err != nil {
t.Fatal(err)
}
if v != time.Hour {
t.Fatalf("unexpected value return expected %v received %v", time.Hour, v)
}
v, err = parseInterval("1d")
if err != nil {
t.Fatal(err)
}
if v != time.Hour*24 {
t.Fatalf("unexpected value return expected %v received %v", time.Hour*24, v)
}
v, err = parseInterval("3d")
if err != nil {
t.Fatal(err)
}
if v != time.Hour*72 {
t.Fatalf("unexpected value return expected %v received %v", time.Hour*72, v)
}
v, err = parseInterval("1w")
if err != nil {
t.Fatal(err)
}
if v != time.Hour*168 {
t.Fatalf("unexpected value return expected %v received %v", time.Hour*168, v)
}
_, err = parseInterval("6m")
if err != nil {
if !errors.Is(err, errInvalidInterval) {
t.Fatal(err)
}
}
}

View File

@@ -1,6 +1,8 @@
package gct
import (
"errors"
"github.com/d5/tengo/v2"
)
@@ -9,6 +11,9 @@ const (
ErrParameterConvertFailed = "%v failed conversion"
)
var errInvalidInterval = errors.New("invalid interval")
var supportedDurations = []string{"1m", "3m", "5m", "15m", "30m", "1h", "2h", "4h", "6h", "12h", "24h", "1d", "3d", "1w"}
// Modules map of all loadable modules
var Modules = map[string]map[string]tengo.Object{
"exchange": exchangeModule,

View File

@@ -3,8 +3,8 @@ package loader
import (
"github.com/d5/tengo/v2"
"github.com/d5/tengo/v2/stdlib"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules/gct"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules/ta"
)
// GetModuleMap returns the module map that includes all modules
@@ -19,6 +19,13 @@ func GetModuleMap() *tengo.ModuleMap {
}
}
taModuleList := ta.AllModuleNames()
for _, name := range taModuleList {
if mod := ta.Modules[name]; mod != nil {
modules.AddBuiltinModule(name, mod)
}
}
stdLib := stdlib.AllModuleNames()
for _, name := range stdLib {
if mod := stdlib.BuiltinModules[name]; mod != nil {

View File

@@ -0,0 +1,80 @@
package indicators
import (
"errors"
"fmt"
"math"
"strings"
objects "github.com/d5/tengo/v2"
"github.com/thrasher-corp/gct-ta/indicators"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules"
"github.com/thrasher-corp/gocryptotrader/gctscript/wrappers/validator"
)
// AtrModule range indicator commands
var AtrModule = map[string]objects.Object{
"calculate": &objects.UserFunction{Name: "calculate", Value: atr},
}
func atr(args ...objects.Object) (objects.Object, error) {
if len(args) != 2 {
return nil, objects.ErrWrongNumArguments
}
r := &objects.Array{}
if validator.IsTestExecution.Load() == true {
return r, nil
}
ohlcvInput := objects.ToInterface(args[0])
ohlcvInputData, valid := ohlcvInput.([]interface{})
if !valid {
return nil, fmt.Errorf(modules.ErrParameterConvertFailed, OHLCV)
}
ohlcvData := make([][]float64, 6)
var allErrors []string
for x := range ohlcvInputData {
t := ohlcvInputData[x].([]interface{})
value, err := toFloat64(t[2])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[2] = append(ohlcvData[2], value)
value, err = toFloat64(t[3])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[3] = append(ohlcvData[3], value)
value, err = toFloat64(t[4])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[4] = append(ohlcvData[4], value)
value, err = toFloat64(t[5])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[5] = append(ohlcvData[5], value)
}
inTimePeriod, ok := objects.ToInt(args[1])
if !ok {
allErrors = append(allErrors, fmt.Sprintf(modules.ErrParameterConvertFailed, inTimePeriod))
}
if len(allErrors) > 0 {
return nil, errors.New(strings.Join(allErrors, ", "))
}
ret := indicators.ATR(ohlcvData[2], ohlcvData[3], ohlcvData[4], inTimePeriod)
for x := range ret {
r.Value = append(r.Value, &objects.Float{Value: math.Round(ret[x]*100) / 100})
}
return r, nil
}

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@@ -0,0 +1,118 @@
package indicators
import (
"errors"
"fmt"
"math"
"strings"
objects "github.com/d5/tengo/v2"
"github.com/thrasher-corp/gct-ta/indicators"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules"
"github.com/thrasher-corp/gocryptotrader/gctscript/wrappers/validator"
)
// BBandsModule bollinger bands indicator commands
var BBandsModule = map[string]objects.Object{
"calculate": &objects.UserFunction{Name: "calculate", Value: bbands},
}
func bbands(args ...objects.Object) (objects.Object, error) {
if len(args) != 6 {
return nil, objects.ErrWrongNumArguments
}
var ret objects.Array
if validator.IsTestExecution.Load() == true {
return &ret, nil
}
ohlcIndicatorType, ok := objects.ToString(args[0])
if !ok {
return nil, fmt.Errorf(modules.ErrParameterConvertFailed, ohlcIndicatorType)
}
selector, errIndSelector := ParseIndicatorSelector(ohlcIndicatorType)
if errIndSelector != nil {
return nil, errIndSelector
}
ohlcvInput := objects.ToInterface(args[1])
ohlcvInputData, valid := ohlcvInput.([]interface{})
if !valid {
return nil, fmt.Errorf(modules.ErrParameterConvertFailed, OHLCV)
}
ohlcvData := make([][]float64, 6)
var allErrors []string
for x := range ohlcvInputData {
t := ohlcvInputData[x].([]interface{})
value, err := toFloat64(t[2])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[2] = append(ohlcvData[2], value)
value, err = toFloat64(t[3])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[3] = append(ohlcvData[3], value)
value, err = toFloat64(t[4])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[4] = append(ohlcvData[4], value)
value, err = toFloat64(t[5])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[5] = append(ohlcvData[5], value)
}
inTimePeriod, ok := objects.ToInt(args[2])
if !ok {
allErrors = append(allErrors, fmt.Sprintf(modules.ErrParameterConvertFailed, inTimePeriod))
}
inNbDevUp, ok := objects.ToFloat64(args[3])
if !ok {
allErrors = append(allErrors, fmt.Sprintf(modules.ErrParameterConvertFailed, inNbDevUp))
}
inNbDevDn, ok := objects.ToFloat64(args[4])
if !ok {
allErrors = append(allErrors, fmt.Sprintf(modules.ErrParameterConvertFailed, inNbDevDn))
}
inMAType, ok := objects.ToString(args[5])
if !ok {
allErrors = append(allErrors, fmt.Sprintf(modules.ErrParameterConvertFailed, inMAType))
}
if len(allErrors) > 0 {
return nil, errors.New(strings.Join(allErrors, ", "))
}
MAType, err := ParseMAType(inMAType)
if err != nil {
return nil, err
}
retUpper, retMiddle, retLower := indicators.BBANDS(ohlcvData[selector], inTimePeriod, inNbDevDn, inNbDevDn, MAType)
for x := range retMiddle {
temp := &objects.Array{}
temp.Value = append(temp.Value, &objects.Float{Value: math.Round(retMiddle[x]*100) / 100})
if retUpper != nil {
temp.Value = append(temp.Value, &objects.Float{Value: math.Round(retUpper[x]*100) / 100})
}
if retLower != nil {
temp.Value = append(temp.Value, &objects.Float{Value: math.Round(retLower[x]*100) / 100})
}
ret.Value = append(ret.Value, temp)
}
return &ret, nil
}

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@@ -0,0 +1,63 @@
package indicators
import (
"errors"
"fmt"
"math"
"strings"
objects "github.com/d5/tengo/v2"
"github.com/thrasher-corp/gct-ta/indicators"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules"
"github.com/thrasher-corp/gocryptotrader/gctscript/wrappers/validator"
)
// EMAModule EMA indicator commands
var EMAModule = map[string]objects.Object{
"calculate": &objects.UserFunction{Name: "calculate", Value: ema},
}
func ema(args ...objects.Object) (objects.Object, error) {
if len(args) != 2 {
return nil, objects.ErrWrongNumArguments
}
r := &objects.Array{}
if validator.IsTestExecution.Load() == true {
return r, nil
}
ohlcvInput := objects.ToInterface(args[0])
ohlcvInputData, valid := ohlcvInput.([]interface{})
if !valid {
return nil, fmt.Errorf(modules.ErrParameterConvertFailed, OHLCV)
}
var ohlcvClose []float64
var allErrors []string
for x := range ohlcvInputData {
t := ohlcvInputData[x].([]interface{})
value, err := toFloat64(t[4])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvClose = append(ohlcvClose, value)
}
inTimePeriod, ok := objects.ToInt(args[1])
if !ok {
allErrors = append(allErrors, fmt.Sprintf(modules.ErrParameterConvertFailed, inTimePeriod))
}
if len(allErrors) > 0 {
return nil, errors.New(strings.Join(allErrors, ", "))
}
ret := indicators.EMA(ohlcvClose, inTimePeriod)
for x := range ret {
r.Value = append(r.Value, &objects.Float{Value: math.Round(ret[x]*100) / 100})
}
return r, nil
}

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@@ -0,0 +1,61 @@
package indicators
import (
"errors"
"fmt"
"strings"
"github.com/thrasher-corp/gct-ta/indicators"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules"
)
// OHLCV locale string for OHLCV data conversion failure
const OHLCV = "OHLCV data"
var errInvalidSelector = errors.New("invalid selector")
func toFloat64(data interface{}) (float64, error) {
switch d := data.(type) {
case float64:
return d, nil
case int:
return float64(d), nil
case int32:
return float64(d), nil
case int64:
return float64(d), nil
default:
return 0, fmt.Errorf(modules.ErrParameterConvertFailed, d)
}
}
// ParseIndicatorSelector returns indicator number from string for slice selection
func ParseIndicatorSelector(in string) (int, error) {
switch in {
case "open":
return 1, nil
case "high":
return 2, nil
case "low":
return 3, nil
case "close":
return 4, nil
case "vol":
return 5, nil
default:
return 0, errInvalidSelector
}
}
// ParseMAType returns moving average from sring
func ParseMAType(in string) (indicators.MaType, error) {
in = strings.ToLower(in)
switch in {
case "sma":
return indicators.Sma, nil
case "ema":
return indicators.Ema, nil
default:
return 0, errInvalidSelector
}
}

View File

@@ -0,0 +1,563 @@
package indicators
import (
"errors"
"math/rand"
"os"
"reflect"
"testing"
"time"
objects "github.com/d5/tengo/v2"
"github.com/thrasher-corp/gct-ta/indicators"
"github.com/thrasher-corp/gocryptotrader/gctscript/wrappers/validator"
)
const errFailedConversion = "0 failed conversion"
var (
ohlcvData = &objects.Array{}
ohlcvDataInvalid = &objects.Array{}
testString = "1D10TH0R53"
)
func TestMain(m *testing.M) {
for x := 0; x < 100; x++ {
v := rand.Float64()
candle := &objects.Array{}
candle.Value = append(candle.Value, &objects.Time{Value: time.Now()},
&objects.Float{Value: v},
&objects.Float{Value: v + float64(x)},
&objects.Float{Value: v - float64(x)},
&objects.Float{Value: v},
&objects.Float{Value: v},
)
ohlcvData.Value = append(ohlcvData.Value, candle)
}
for x := 0; x < 5; x++ {
candle := &objects.Array{}
candle.Value = append(candle.Value, &objects.String{Value: testString},
&objects.String{Value: testString},
&objects.String{Value: testString},
&objects.String{Value: testString},
&objects.String{Value: testString},
&objects.String{Value: testString},
)
ohlcvDataInvalid.Value = append(ohlcvDataInvalid.Value, candle)
}
os.Exit(m.Run())
}
func TestMfi(t *testing.T) {
_, err := mfi()
if err != nil {
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Error(err)
}
}
v := &objects.String{Value: testString}
_, err = mfi(ohlcvData, v)
if err != nil {
if err.Error() != errFailedConversion {
t.Error(err)
}
}
_, err = mfi(ohlcvDataInvalid, &objects.Int{Value: 14})
if err == nil {
t.Error("expected conversion failed error")
}
_, err = mfi(ohlcvData, &objects.Int{Value: 14})
if err != nil {
t.Error(err)
}
_, err = mfi(v, &objects.Int{Value: 14})
if err != nil {
if err.Error() != "OHLCV data failed conversion" {
t.Error(err)
}
}
validator.IsTestExecution.Store(true)
ret, err := mfi(ohlcvData, &objects.Int{Value: 10})
if err != nil {
t.Fatal(err)
}
if (ret == &objects.Array{}) {
t.Error("expected empty Array on test execution received data")
}
validator.IsTestExecution.Store(false)
}
func TestRsi(t *testing.T) {
_, err := rsi()
if err != nil {
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Error(err)
}
}
v := &objects.String{Value: testString}
_, err = rsi(ohlcvData, v)
if err != nil {
if err.Error() != errFailedConversion {
t.Error(err)
}
}
_, err = rsi(ohlcvData, &objects.Int{Value: 14})
if err != nil {
t.Error(err)
}
_, err = rsi(v, &objects.Int{Value: 14})
if err == nil {
if err.Error() != "OHLCV data failed conversion" {
t.Error(err)
}
}
_, err = rsi(ohlcvDataInvalid, &objects.Int{Value: 14})
if err == nil {
if err.Error() != "OHLCV data failed conversion" {
t.Error(err)
}
}
validator.IsTestExecution.Store(true)
ret, err := rsi(ohlcvData, &objects.Int{Value: 14})
if err != nil {
t.Fatal(err)
}
if (ret == &objects.Array{}) {
t.Error("expected empty Array on test execution received data")
}
validator.IsTestExecution.Store(false)
}
func TestEMA(t *testing.T) {
_, err := ema()
if err != nil {
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Error(err)
}
}
v := &objects.String{Value: testString}
_, err = ema(ohlcvData, v)
if err != nil {
if err.Error() != errFailedConversion {
t.Error(err)
}
}
_, err = ema(ohlcvData, &objects.Int{Value: 14})
if err != nil {
t.Error(err)
}
_, err = ema(ohlcvDataInvalid, &objects.String{Value: testString})
if err == nil {
t.Error("expected conversion failed error")
}
_, err = ema(&objects.String{Value: testString}, &objects.String{Value: testString})
if err == nil {
t.Error("expected conversion failed error")
}
validator.IsTestExecution.Store(true)
ret, err := ema(ohlcvData, &objects.Int{Value: 14})
if err != nil {
t.Fatal(err)
}
if (ret == &objects.Array{}) {
t.Error("expected empty Array on test execution received data")
}
validator.IsTestExecution.Store(false)
}
func TestSMA(t *testing.T) {
_, err := sma()
if err != nil {
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Error(err)
}
}
v := &objects.String{Value: testString}
_, err = sma(ohlcvData, v)
if err != nil {
if err.Error() != errFailedConversion {
t.Error(err)
}
}
_, err = sma(ohlcvData, &objects.Int{Value: 14})
if err != nil {
t.Error(err)
}
_, err = sma(ohlcvDataInvalid, &objects.String{Value: testString})
if err == nil {
t.Error("expected conversion failed error")
}
_, err = sma(&objects.String{Value: testString}, &objects.String{Value: testString})
if err == nil {
t.Error("expected conversion failed error")
}
validator.IsTestExecution.Store(true)
ret, err := sma(ohlcvData, &objects.Int{Value: 14})
if err != nil {
t.Fatal(err)
}
if (ret == &objects.Array{}) {
t.Error("expected empty Array on test execution received data")
}
validator.IsTestExecution.Store(false)
}
func TestMACD(t *testing.T) {
_, err := macd()
if err != nil {
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Error(err)
}
}
v := &objects.String{Value: testString}
_, err = macd(ohlcvData, &objects.Int{Value: 12}, &objects.Int{Value: 26}, v)
if err != nil {
if err.Error() != errFailedConversion {
t.Error(err)
}
}
_, err = macd(ohlcvData, &objects.Int{Value: 12}, &objects.Int{Value: 26}, &objects.Int{Value: 9})
if err != nil {
t.Error(err)
}
_, err = macd(ohlcvDataInvalid,
&objects.String{Value: testString},
&objects.String{Value: testString},
&objects.String{Value: testString})
if err == nil {
t.Error("expected conversion failed error")
}
_, err = macd(&objects.String{Value: testString},
&objects.String{Value: testString},
&objects.String{Value: testString},
&objects.String{Value: testString})
if err == nil {
t.Error("expected conversion failed error")
}
validator.IsTestExecution.Store(true)
ret, err := macd(ohlcvData, &objects.Int{Value: 12}, &objects.Int{Value: 26}, &objects.Int{Value: 9})
if err != nil {
t.Fatal(err)
}
if (ret == &objects.Array{}) {
t.Error("expected empty Array on test execution received data")
}
validator.IsTestExecution.Store(false)
}
func TestAtr(t *testing.T) {
_, err := atr()
if err != nil {
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Error(err)
}
}
v := &objects.String{Value: testString}
_, err = atr(ohlcvData, v)
if err != nil {
if err.Error() != errFailedConversion {
t.Error(err)
}
}
_, err = atr(ohlcvData, &objects.Int{Value: 14})
if err != nil {
t.Error(err)
}
_, err = atr(v, &objects.Int{Value: 14})
if err == nil {
t.Error("expected conversion failed error")
}
_, err = atr(ohlcvDataInvalid, &objects.Int{Value: 14})
if err == nil {
t.Error("expected conversion failed error")
}
validator.IsTestExecution.Store(true)
ret, err := atr(ohlcvData, &objects.Int{Value: 14})
if err != nil {
t.Fatal(err)
}
if (ret == &objects.Array{}) {
t.Error("expected empty Array on test execution received data")
}
validator.IsTestExecution.Store(false)
}
func TestBbands(t *testing.T) {
_, err := bbands()
if err != nil {
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Error(err)
}
}
_, err = bbands(&objects.String{Value: testString}, ohlcvData,
&objects.Int{Value: 5},
&objects.Float{Value: 2.0},
&objects.Float{Value: 2.0},
&objects.String{Value: "sma"})
if err != nil {
if err != errInvalidSelector {
t.Error(err)
}
}
_, err = bbands(&objects.String{Value: "close"}, ohlcvData,
&objects.Int{Value: 5},
&objects.Float{Value: 2.0},
&objects.Float{Value: 2.0},
&objects.String{Value: "sma"})
if err != nil {
t.Error(err)
}
validator.IsTestExecution.Store(true)
ret, err := bbands(&objects.String{Value: "close"}, ohlcvData,
&objects.Int{Value: 5},
&objects.Float{Value: 2.0},
&objects.Float{Value: 2.0},
&objects.String{Value: "sma"})
if err != nil {
t.Error(err)
}
if (ret == &objects.Array{}) {
t.Error("expected empty Array on test execution received data")
}
validator.IsTestExecution.Store(false)
_, err = bbands(&objects.String{Value: "close"}, ohlcvDataInvalid,
&objects.String{Value: testString},
&objects.String{Value: testString},
&objects.String{Value: testString},
objects.UndefinedValue)
if err == nil {
t.Error("expected conversion failed error")
}
_, err = bbands(&objects.String{Value: "close"}, &objects.String{Value: testString},
&objects.String{Value: testString},
&objects.String{Value: testString},
&objects.String{Value: testString},
&objects.String{Value: "ema"})
if err == nil {
t.Error("expected conversion failed error")
}
_, err = bbands(&objects.String{Value: "close"}, ohlcvData,
&objects.Int{Value: 5},
&objects.Float{Value: 2.0},
&objects.Float{Value: 2.0},
&objects.String{Value: testString})
if err != nil {
if !errors.Is(err, errInvalidSelector) {
t.Error(err)
}
}
_, err = bbands(objects.UndefinedValue, ohlcvData,
&objects.Int{Value: 5},
&objects.Float{Value: 2.0},
&objects.Float{Value: 2.0},
&objects.String{Value: testString})
if err == nil {
t.Error("expected conversion failed error")
}
}
func TestOBV(t *testing.T) {
_, err := obv()
if err != nil {
if !errors.Is(err, objects.ErrWrongNumArguments) {
t.Error(err)
}
}
_, err = obv(ohlcvData)
if err != nil {
t.Error(err)
}
_, err = obv(ohlcvDataInvalid)
if err == nil {
t.Error("expected conversion failed error")
}
_, err = obv(&objects.String{Value: testString})
if err == nil {
t.Error("expected conversion failed error")
}
validator.IsTestExecution.Store(true)
ret, err := obv(ohlcvData)
if err != nil {
t.Fatal(err)
}
if (ret == &objects.Array{}) {
t.Error("expected empty Array on test execution received data")
}
validator.IsTestExecution.Store(false)
}
func TestToFloat64(t *testing.T) {
value := 54.0
v, err := toFloat64(value)
if err != nil {
t.Fatal(err)
}
if reflect.TypeOf(v).Kind() != reflect.Float64 {
t.Fatalf("expected toFloat to return kind float64 received: %v", reflect.TypeOf(v).Kind())
}
v, err = toFloat64(int(value))
if err != nil {
t.Fatal(err)
}
if reflect.TypeOf(v).Kind() != reflect.Float64 {
t.Fatalf("expected toFloat to return kind float64 received: %v", reflect.TypeOf(v).Kind())
}
v, err = toFloat64(int32(value))
if err != nil {
t.Fatal(err)
}
if reflect.TypeOf(v).Kind() != reflect.Float64 {
t.Fatalf("expected toFloat to return kind float64 received: %v", reflect.TypeOf(v).Kind())
}
v, err = toFloat64(int64(value))
if err != nil {
t.Fatal(err)
}
if reflect.TypeOf(v).Kind() != reflect.Float64 {
t.Fatalf("expected toFloat to return kind float64 received: %v", reflect.TypeOf(v).Kind())
}
_, err = toFloat64("54")
if err == nil {
t.Fatalf("attempting to convert a string should fail but test passed")
}
}
func TestParseIndicatorSelector(t *testing.T) {
testCases := []struct {
name string
expected int
err error
}{
{
"open",
1,
nil,
},
{
"high",
2,
nil,
},
{
"low",
3,
nil,
},
{
"close",
4,
nil,
},
{
"vol",
5,
nil,
},
{
"invalid",
0,
errInvalidSelector,
},
}
for _, tests := range testCases {
test := tests
t.Run(test.name, func(t *testing.T) {
v, err := ParseIndicatorSelector(test.name)
if err != nil {
if err != test.err {
t.Fatal(err)
}
}
if v != test.expected {
t.Fatalf("expected %v received %v", test.expected, v)
}
})
}
}
func TestParseMAType(t *testing.T) {
testCases := []struct {
name string
expected indicators.MaType
err error
}{
{
"sma",
indicators.Sma,
nil,
},
{
"ema",
indicators.Ema,
nil,
},
{
"no",
indicators.Sma,
errInvalidSelector,
},
}
for _, tests := range testCases {
test := tests
t.Run(test.name, func(t *testing.T) {
v, err := ParseMAType(test.name)
if err != nil {
if err != test.err {
t.Fatal(err)
}
}
if v != test.expected {
t.Fatalf("expected %v received %v", test.expected, v)
}
})
}
}

View File

@@ -0,0 +1,80 @@
package indicators
import (
"errors"
"fmt"
"math"
"strings"
objects "github.com/d5/tengo/v2"
"github.com/thrasher-corp/gct-ta/indicators"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules"
"github.com/thrasher-corp/gocryptotrader/gctscript/wrappers/validator"
)
// MACDModule MACD indicator commands
var MACDModule = map[string]objects.Object{
"calculate": &objects.UserFunction{Name: "calculate", Value: macd},
}
func macd(args ...objects.Object) (objects.Object, error) {
if len(args) != 4 {
return nil, objects.ErrWrongNumArguments
}
r := &objects.Array{}
if validator.IsTestExecution.Load() == true {
return r, nil
}
ohlcvInput := objects.ToInterface(args[0])
ohlcvInputData, valid := ohlcvInput.([]interface{})
if !valid {
return nil, fmt.Errorf(modules.ErrParameterConvertFailed, OHLCV)
}
var ohlcvClose []float64
var allErrors []string
for x := range ohlcvInputData {
t := ohlcvInputData[x].([]interface{})
value, err := toFloat64(t[4])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvClose = append(ohlcvClose, value)
}
inFastPeriod, ok := objects.ToInt(args[1])
if !ok {
allErrors = append(allErrors, fmt.Sprintf(modules.ErrParameterConvertFailed, inFastPeriod))
}
inSlowPeriod, ok := objects.ToInt(args[2])
if !ok {
allErrors = append(allErrors, fmt.Sprintf(modules.ErrParameterConvertFailed, inSlowPeriod))
}
inTimePeriod, ok := objects.ToInt(args[3])
if !ok {
allErrors = append(allErrors, fmt.Sprintf(modules.ErrParameterConvertFailed, inTimePeriod))
}
if len(allErrors) > 0 {
return nil, errors.New(strings.Join(allErrors, ", "))
}
macd, macdSignal, macdHist := indicators.MACD(ohlcvClose, inFastPeriod, inSlowPeriod, inTimePeriod)
for x := range macdHist {
tempMACD := &objects.Array{}
tempMACD.Value = append(tempMACD.Value, &objects.Float{Value: math.Round(macdHist[x]*100) / 100})
if macd != nil {
tempMACD.Value = append(tempMACD.Value, &objects.Float{Value: math.Round(macd[x]*100) / 100})
}
if macdSignal != nil {
tempMACD.Value = append(tempMACD.Value, &objects.Float{Value: math.Round(macdSignal[x]*100) / 100})
}
r.Value = append(r.Value, tempMACD)
}
return r, nil
}

View File

@@ -0,0 +1,78 @@
package indicators
import (
"errors"
"fmt"
"math"
"strings"
objects "github.com/d5/tengo/v2"
"github.com/thrasher-corp/gct-ta/indicators"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules"
"github.com/thrasher-corp/gocryptotrader/gctscript/wrappers/validator"
)
// MfiModule index indicator commands
var MfiModule = map[string]objects.Object{
"calculate": &objects.UserFunction{Name: "calculate", Value: mfi},
}
func mfi(args ...objects.Object) (objects.Object, error) {
if len(args) != 2 {
return nil, objects.ErrWrongNumArguments
}
r := &objects.Array{}
if validator.IsTestExecution.Load() == true {
return r, nil
}
ohlcvInput := objects.ToInterface(args[0])
ohlcvInputData, valid := ohlcvInput.([]interface{})
if !valid {
return nil, fmt.Errorf(modules.ErrParameterConvertFailed, OHLCV)
}
ohlcvData := make([][]float64, 6)
var allErrors []string
for x := range ohlcvInputData {
t := ohlcvInputData[x].([]interface{})
value, err := toFloat64(t[2])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[2] = append(ohlcvData[2], value)
value, err = toFloat64(t[3])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[3] = append(ohlcvData[3], value)
value, err = toFloat64(t[4])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[4] = append(ohlcvData[4], value)
value, err = toFloat64(t[5])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[5] = append(ohlcvData[5], value)
}
if len(allErrors) > 0 {
return nil, errors.New(strings.Join(allErrors, ", "))
}
inTimePeriod, ok := objects.ToInt(args[1])
if !ok {
return nil, fmt.Errorf(modules.ErrParameterConvertFailed, inTimePeriod)
}
ret := indicators.MFI(ohlcvData[2], ohlcvData[3], ohlcvData[4], ohlcvData[5], inTimePeriod)
for x := range ret {
r.Value = append(r.Value, &objects.Float{Value: math.Round(ret[x]*100) / 100})
}
return r, nil
}

View File

@@ -0,0 +1,75 @@
package indicators
import (
"errors"
"fmt"
"math"
"strings"
objects "github.com/d5/tengo/v2"
"github.com/thrasher-corp/gct-ta/indicators"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules"
"github.com/thrasher-corp/gocryptotrader/gctscript/wrappers/validator"
)
// ObvModule volume indicator commands
var ObvModule = map[string]objects.Object{
"calculate": &objects.UserFunction{Name: "calculate", Value: obv},
}
func obv(args ...objects.Object) (objects.Object, error) {
if len(args) != 1 {
return nil, objects.ErrWrongNumArguments
}
r := &objects.Array{}
if validator.IsTestExecution.Load() == true {
return r, nil
}
ohlcvInput := objects.ToInterface(args[0])
ohlcvInputData, valid := ohlcvInput.([]interface{})
if !valid {
return nil, fmt.Errorf(modules.ErrParameterConvertFailed, OHLCV)
}
ohlcvData := make([][]float64, 6)
var allErrors []string
for x := range ohlcvInputData {
t := ohlcvInputData[x].([]interface{})
value, err := toFloat64(t[2])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[2] = append(ohlcvData[2], value)
value, err = toFloat64(t[3])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[3] = append(ohlcvData[3], value)
value, err = toFloat64(t[4])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[4] = append(ohlcvData[4], value)
value, err = toFloat64(t[5])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvData[5] = append(ohlcvData[5], value)
}
if len(allErrors) > 0 {
return nil, errors.New(strings.Join(allErrors, ", "))
}
ret := indicators.OBV(ohlcvData[4], ohlcvData[5])
for x := range ret {
temp := &objects.Float{Value: math.Round(ret[x]*100) / 100}
r.Value = append(r.Value, temp)
}
return r, nil
}

View File

@@ -0,0 +1,63 @@
package indicators
import (
"errors"
"fmt"
"math"
"strings"
objects "github.com/d5/tengo/v2"
"github.com/thrasher-corp/gct-ta/indicators"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules"
"github.com/thrasher-corp/gocryptotrader/gctscript/wrappers/validator"
)
// RsiModule relative strength index indicator commands
var RsiModule = map[string]objects.Object{
"calculate": &objects.UserFunction{Name: "calculate", Value: rsi},
}
func rsi(args ...objects.Object) (objects.Object, error) {
if len(args) != 2 {
return nil, objects.ErrWrongNumArguments
}
r := &objects.Array{}
if validator.IsTestExecution.Load() == true {
return r, nil
}
ohlcvInput := objects.ToInterface(args[0])
ohlcvInputData, valid := ohlcvInput.([]interface{})
if !valid {
return nil, fmt.Errorf(modules.ErrParameterConvertFailed, OHLCV)
}
var ohlcvClose []float64
var allErrors []string
for x := range ohlcvInputData {
t := ohlcvInputData[x].([]interface{})
value, err := toFloat64(t[4])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvClose = append(ohlcvClose, value)
}
inTimePeriod, ok := objects.ToInt(args[1])
if !ok {
return nil, fmt.Errorf(modules.ErrParameterConvertFailed, inTimePeriod)
}
if len(allErrors) > 0 {
return nil, errors.New(strings.Join(allErrors, ", "))
}
ret := indicators.RSI(ohlcvClose, inTimePeriod)
for x := range ret {
r.Value = append(r.Value, &objects.Float{Value: math.Round(ret[x]*100) / 100})
}
return r, nil
}

View File

@@ -0,0 +1,61 @@
package indicators
import (
"errors"
"fmt"
"math"
"strings"
objects "github.com/d5/tengo/v2"
"github.com/thrasher-corp/gct-ta/indicators"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules"
"github.com/thrasher-corp/gocryptotrader/gctscript/wrappers/validator"
)
// SMAModule simple moving average indicator commands
var SMAModule = map[string]objects.Object{
"calculate": &objects.UserFunction{Name: "calculate", Value: sma},
}
func sma(args ...objects.Object) (objects.Object, error) {
if len(args) != 2 {
return nil, objects.ErrWrongNumArguments
}
r := &objects.Array{}
if validator.IsTestExecution.Load() == true {
return r, nil
}
ohlcvInput := objects.ToInterface(args[0])
ohlcvInputData, valid := ohlcvInput.([]interface{})
if !valid {
return nil, fmt.Errorf(modules.ErrParameterConvertFailed, OHLCV)
}
var ohlcvClose []float64
var allErrors []string
for x := range ohlcvInputData {
t := ohlcvInputData[x].([]interface{})
value, err := toFloat64(t[4])
if err != nil {
allErrors = append(allErrors, err.Error())
}
ohlcvClose = append(ohlcvClose, value)
}
inTimePeriod, ok := objects.ToInt(args[1])
if !ok {
allErrors = append(allErrors, fmt.Sprintf(modules.ErrParameterConvertFailed, inTimePeriod))
}
if len(allErrors) > 0 {
return nil, errors.New(strings.Join(allErrors, ", "))
}
ret := indicators.SMA(ohlcvClose, inTimePeriod)
for x := range ret {
r.Value = append(r.Value, &objects.Float{Value: math.Round(ret[x]*100) / 100})
}
return r, nil
}

View File

@@ -0,0 +1,10 @@
package ta
// AllModuleNames returns a list of all default module names.
func AllModuleNames() []string {
var names []string
for name := range Modules {
names = append(names, name)
}
return names
}

View File

@@ -0,0 +1,17 @@
package ta
import (
"reflect"
"testing"
)
func TestGetModuleMap(t *testing.T) {
x := AllModuleNames()
xType := reflect.TypeOf(x).Kind()
if xType != reflect.Slice {
t.Fatalf("AllModuleNames() should return slice instead received: %v", x)
}
if len(x) != 8 {
t.Fatalf("unexpected results received expected 7 received: %v", len(x))
}
}

View File

@@ -0,0 +1,18 @@
package ta
import (
"github.com/d5/tengo/v2"
"github.com/thrasher-corp/gocryptotrader/gctscript/modules/ta/indicators"
)
// Modules map of all loadable modules
var Modules = map[string]map[string]tengo.Object{
"indicator/bbands": indicators.BBandsModule,
"indicator/macd": indicators.MACDModule,
"indicator/ema": indicators.EMAModule,
"indicator/sma": indicators.SMAModule,
"indicator/rsi": indicators.RsiModule,
"indicator/obv": indicators.ObvModule,
"indicator/mfi": indicators.MfiModule,
"indicator/atr": indicators.AtrModule,
}

View File

@@ -1,15 +1,24 @@
package modules
import (
"time"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/exchanges/account"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/exchanges/kline"
"github.com/thrasher-corp/gocryptotrader/exchanges/order"
"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
"github.com/thrasher-corp/gocryptotrader/exchanges/ticker"
"github.com/thrasher-corp/gocryptotrader/portfolio/withdraw"
)
const (
// ErrParameterConvertFailed error to return when type conversion fails
ErrParameterConvertFailed = "%v failed conversion"
ErrParameterWithPositionConvertFailed = "%v at position %v failed conversion"
)
// Wrapper instance of GCT to use for modules
var Wrapper GCT
@@ -32,6 +41,7 @@ type Exchange interface {
DepositAddress(exch string, currencyCode currency.Code) (string, error)
WithdrawalFiatFunds(exch, bankAccountID string, request *withdraw.Request) (out string, err error)
WithdrawalCryptoFunds(exch string, request *withdraw.Request) (out string, err error)
OHLCV(exch string, pair currency.Pair, item asset.Item, start, end time.Time, interval time.Duration) (kline.Item, error)
}
// SetModuleWrapper link the wrapper and interface to use for modules

View File

@@ -3,13 +3,16 @@ package exchange
import (
"errors"
"fmt"
"sort"
"strconv"
"time"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/engine"
exchange "github.com/thrasher-corp/gocryptotrader/exchanges"
"github.com/thrasher-corp/gocryptotrader/exchanges/account"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/exchanges/kline"
"github.com/thrasher-corp/gocryptotrader/exchanges/order"
"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
"github.com/thrasher-corp/gocryptotrader/exchanges/ticker"
@@ -207,3 +210,21 @@ func (e Exchange) WithdrawalCryptoFunds(exch string, request *withdraw.Request)
}
return resp.Exchange.ID, nil
}
// OHLCV returns open high low close volume candles for requested exchange/pair/asset/start & end time
func (e Exchange) OHLCV(exch string, pair currency.Pair, item asset.Item, start, end time.Time, interval time.Duration) (kline.Item, error) {
ex, err := e.GetExchange(exch)
if err != nil {
return kline.Item{}, err
}
ret, err := ex.GetHistoricCandles(pair, item, start, end, interval)
if err != nil {
return kline.Item{}, err
}
sort.Slice(ret.Candles, func(i, j int) bool {
return ret.Candles[i].Time.Before(ret.Candles[j].Time)
})
return ret, nil
}

View File

@@ -1,17 +1,27 @@
package validator
import (
"math/rand"
"time"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/exchanges/account"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/exchanges/kline"
"github.com/thrasher-corp/gocryptotrader/exchanges/order"
"github.com/thrasher-corp/gocryptotrader/exchanges/orderbook"
"github.com/thrasher-corp/gocryptotrader/exchanges/ticker"
"github.com/thrasher-corp/gocryptotrader/portfolio/withdraw"
)
const (
validatorOpen float64 = 5000
validatorHigh float64 = 6000
validatorLow float64 = 5500
validatorClose float64 = 5700
validatorVol float64 = 10
)
// Exchanges validator for test execution/scripts
func (w Wrapper) Exchanges(enabledOnly bool) []string {
if enabledOnly {
@@ -212,3 +222,41 @@ func (w Wrapper) WithdrawalFiatFunds(exch, _ string, _ *withdraw.Request) (out s
return "123", nil
}
// OHLCV returns open high low close volume candles for requested exchange/pair/asset/start & end time
func (w Wrapper) OHLCV(exch string, p currency.Pair, a asset.Item, start, end time.Time, i time.Duration) (kline.Item, error) {
if exch == exchError.String() {
return kline.Item{}, errTestFailed
}
var candles []kline.Candle
candles = append(candles, kline.Candle{
Time: start,
Open: validatorOpen,
High: validatorHigh,
Low: validatorLow,
Close: validatorClose,
Volume: validatorVol,
})
for x := 1; x < 200; x++ {
r := validatorLow + rand.Float64()*(validatorHigh-validatorLow)
candle := kline.Candle{
Time: candles[x-1].Time.Add(-i),
Open: r,
High: r,
Low: r,
Close: r,
Volume: r,
}
candles = append(candles, candle)
}
return kline.Item{
Exchange: exch,
Pair: p,
Asset: a,
Interval: i,
Candles: candles,
}, nil
}

View File

@@ -2,9 +2,11 @@ package validator
import (
"testing"
"time"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/exchanges/kline"
"github.com/thrasher-corp/gocryptotrader/exchanges/order"
)
@@ -204,3 +206,15 @@ func TestWrapper_WithdrawalFiatFunds(t *testing.T) {
t.Fatal("expected WithdrawalCryptoFunds to return error with invalid name")
}
}
func TestWrapper_OHLCV(t *testing.T) {
c := currency.NewPairDelimiter(pairs, delimiter)
_, err := testWrapper.OHLCV("test", c, asset.Spot, time.Now().Add(-24*time.Hour), time.Now(), kline.OneDay)
if err != nil {
t.Fatal(err)
}
_, err = testWrapper.OHLCV(exchError.String(), c, asset.Spot, time.Now().Add(-24*time.Hour), time.Now(), kline.OneDay)
if err == nil {
t.Fatal("expected OHLCV to return error with invalid name")
}
}

2
go.mod
View File

@@ -17,6 +17,8 @@ require (
github.com/pkg/errors v0.9.1
github.com/pquerna/otp v1.2.0
github.com/spf13/viper v1.6.3
github.com/stretchr/testify v1.5.1 // indirect
github.com/thrasher-corp/gct-ta v0.0.0-20200423101437-dc6b098dc762
github.com/thrasher-corp/goose v2.7.0-rc4.0.20191002032028-0f2c2a27abdb+incompatible
github.com/thrasher-corp/sqlboiler v1.0.1-0.20191001234224-71e17f37a85e
github.com/toorop/go-pusher v0.0.0-20180521062818-4521e2eb39fb

4
go.sum
View File

@@ -213,8 +213,12 @@ github.com/stretchr/testify v1.3.0 h1:TivCn/peBQ7UY8ooIcPgZFpTNSz0Q2U6UrFlUfqbe0
github.com/stretchr/testify v1.3.0/go.mod h1:M5WIy9Dh21IEIfnGCwXGc5bZfKNJtfHm1UVUgZn+9EI=
github.com/stretchr/testify v1.4.0 h1:2E4SXV/wtOkTonXsotYi4li6zVWxYlZuYNCXe9XRJyk=
github.com/stretchr/testify v1.4.0/go.mod h1:j7eGeouHqKxXV5pUuKE4zz7dFj8WfuZ+81PSLYec5m4=
github.com/stretchr/testify v1.5.1 h1:nOGnQDM7FYENwehXlg/kFVnos3rEvtKTjRvOWSzb6H4=
github.com/stretchr/testify v1.5.1/go.mod h1:5W2xD1RspED5o8YsWQXVCued0rvSQ+mT+I5cxcmMvtA=
github.com/subosito/gotenv v1.2.0 h1:Slr1R9HxAlEKefgq5jn9U+DnETlIUa6HfgEzj0g5d7s=
github.com/subosito/gotenv v1.2.0/go.mod h1:N0PQaV/YGNqwC0u51sEeR/aUtSLEXKX9iv69rRypqCw=
github.com/thrasher-corp/gct-ta v0.0.0-20200423101437-dc6b098dc762 h1:y+GonaRLfYBos8e//YiPi9aJQ/InsERnf3dmEZftKQE=
github.com/thrasher-corp/gct-ta v0.0.0-20200423101437-dc6b098dc762/go.mod h1:z51vdK6i7okTmwu9tPh9+W8nqPWv80B/nMZUCX17fwY=
github.com/thrasher-corp/goose v2.7.0-rc4.0.20191002032028-0f2c2a27abdb+incompatible h1:SPqQlzFu3g4P9wK2iwJaWVLJWcQ5rYc43rvXBJ8RSCY=
github.com/thrasher-corp/goose v2.7.0-rc4.0.20191002032028-0f2c2a27abdb+incompatible/go.mod h1:2Bb/y0SpnUWOlPU5kDz+ctvb3w/mzuAVqxy7JPfBzgw=
github.com/thrasher-corp/sqlboiler v1.0.1-0.20191001234224-71e17f37a85e h1:4kYBo2YhqqFY7aZPPEhrtPTMoAq4iCsoDITd3jseRbY=