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technical_analysis: TWAP & VWAP + TA methods to candles and link to existing RPC server for GCTCLI prototyping (#970)
* kline: add weighted price helpers for candles * twap/vwap: basic implementation and hook to rpc for protype * ta: cont implementation. (WIP) * kline: Add tests * kline: add helpers * ta: full impl. * kline: remove support for macd and add in correlation-coefficient handling * rpc: change naming convention * linter: fix * protolinter: fix * linter: ++ * kline: reinstate macd handling after adding in check * glorious: nits * gctcl: linter * Update exchanges/kline/weighted_price.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * glorious: nits * glorious: nits v2.0 * kline: fix test * huobi-tests: shift from next quarter to this weeks contracts as they were erroring out in tests. * btcmarkets: update supported kline intervals * zb: fix test * rpcserver: fix bug and tests Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io> Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
This commit is contained in:
Ryan O'Hara-Reid
GitHub
354
exchanges/kline/technical_analysis.go
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354
exchanges/kline/technical_analysis.go
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@@ -0,0 +1,354 @@
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package kline
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import (
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"errors"
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"fmt"
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"github.com/thrasher-corp/gct-ta/indicators"
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)
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var (
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errInvalidPeriod = errors.New("invalid period")
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errNoData = errors.New("no data")
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errInvalidDeviationMultiplier = errors.New("invalid deviation multiplier")
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errNilOHLC = errors.New("nil OHLC data")
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errInvalidDataSetLengths = errors.New("invalid data set lengths")
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errNotEnoughData = errors.New("not enough data to derive signal")
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)
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// OHLC is a connector for technical analysis usage
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type OHLC struct {
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Open []float64
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High []float64
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Low []float64
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Close []float64
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Volume []float64
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}
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// GetOHLC returns the entire subset of candles as a friendly type for gct
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// technical analysis usage.
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func (k *Item) GetOHLC() *OHLC {
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ohlc := &OHLC{
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Open: make([]float64, len(k.Candles)),
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High: make([]float64, len(k.Candles)),
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Low: make([]float64, len(k.Candles)),
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Close: make([]float64, len(k.Candles)),
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Volume: make([]float64, len(k.Candles)),
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}
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for x := range k.Candles {
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ohlc.Open[x] = k.Candles[x].Open
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ohlc.High[x] = k.Candles[x].High
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ohlc.Low[x] = k.Candles[x].Low
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ohlc.Close[x] = k.Candles[x].Close
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ohlc.Volume[x] = k.Candles[x].Volume
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}
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return ohlc
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}
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// GetAverageTrueRange returns the Average True Range for the given period.
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func (k *Item) GetAverageTrueRange(period int64) ([]float64, error) {
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return k.GetOHLC().GetAverageTrueRange(period)
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}
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// GetAverageTrueRange returns the Average True Range for the given period.
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func (o *OHLC) GetAverageTrueRange(period int64) ([]float64, error) {
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if o == nil {
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return nil, fmt.Errorf("get average true range %w", errNilOHLC)
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}
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if period <= 0 {
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return nil, fmt.Errorf("get average true range %w", errInvalidPeriod)
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}
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if len(o.High) == 0 {
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return nil, fmt.Errorf("get average true range high %w", errNoData)
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}
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if len(o.Low) == 0 {
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return nil, fmt.Errorf("get average true range low %w", errNoData)
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}
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if len(o.Close) == 0 {
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return nil, fmt.Errorf("get average true range close %w", errNoData)
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}
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if int(period) > len(o.Close) {
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return nil, fmt.Errorf("get average true range close %w exceeds data length, please reduce",
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errInvalidPeriod)
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}
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return indicators.ATR(o.High, o.Low, o.Close, int(period)), nil
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}
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// GetBollingerBands returns Bollinger Bands for the given period.
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func (k *Item) GetBollingerBands(period int64, nbDevUp, nbDevDown float64, m indicators.MaType) (*Bollinger, error) {
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return k.GetOHLC().GetBollingerBands(period, nbDevUp, nbDevDown, m)
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}
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// Bollinger defines a return type for the bollinger bands
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type Bollinger struct {
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Upper []float64
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Middle []float64
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Lower []float64
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}
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// GetBollingerBands returns Bollinger Bands for the given period.
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func (o *OHLC) GetBollingerBands(period int64, nbDevUp, nbDevDown float64, m indicators.MaType) (*Bollinger, error) {
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if o == nil {
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return nil, fmt.Errorf("get bollinger bands %w", errNilOHLC)
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}
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if period <= 0 {
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return nil, fmt.Errorf("get bollinger bands %w", errInvalidPeriod)
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}
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if nbDevUp <= 0 {
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return nil, fmt.Errorf("get bollinger bands %w upper limit", errInvalidDeviationMultiplier)
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}
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if nbDevDown <= 0 {
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return nil, fmt.Errorf("get bollinger bands %w lower limit", errInvalidDeviationMultiplier)
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}
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if len(o.Close) == 0 {
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return nil, fmt.Errorf("get bollinger bands close %w", errNoData)
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}
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if int(period) > len(o.Close) { // TODO: Investigate the panic when this protection is removed.
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return nil, fmt.Errorf("get bollinger bands %w '%v' should not exceed close data length '%v'",
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errInvalidPeriod, period, len(o.Close))
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}
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var bands Bollinger
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bands.Upper, bands.Middle, bands.Lower = indicators.BBANDS(o.Close,
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int(period),
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nbDevUp,
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nbDevDown,
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m)
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return &bands, nil
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}
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// GetCorrelationCoefficient returns GetCorrelation Coefficient against another
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// candle data set for the given period.
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func (k *Item) GetCorrelationCoefficient(other *Item, period int64) ([]float64, error) {
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return k.GetOHLC().GetCorrelationCoefficient(other.GetOHLC(), period)
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}
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// GetCorrelationCoefficient returns GetCorrelation Coefficient against another
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// candle data set for the given period.
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func (o *OHLC) GetCorrelationCoefficient(other *OHLC, period int64) ([]float64, error) {
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if o == nil {
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return nil, fmt.Errorf("get correlation coefficient %w", errNilOHLC)
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}
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if period <= 0 {
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return nil, fmt.Errorf("get correlation coefficient %w", errInvalidPeriod)
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}
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if period == 1 {
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// TODO: Check correlation calculation.
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return nil, fmt.Errorf("get correlation coefficient %w using period 1 results in NaN return",
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errInvalidPeriod)
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}
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if other == nil {
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return nil, fmt.Errorf("get correlation coefficient %w", errNilOHLC)
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}
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if len(o.Close) == 0 {
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return nil, fmt.Errorf("get correlation coefficient close %w", errNoData)
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}
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if len(other.Close) == 0 {
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return nil, fmt.Errorf("get correlation coefficient comparison close %w", errNoData)
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}
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if int(period) > len(o.Close) || int(period) > len(other.Close) {
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return nil, fmt.Errorf("get correlation coefficient %w exceeds data length, please reduce",
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errInvalidPeriod)
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}
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if len(o.Close) != len(other.Close) {
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return nil,
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fmt.Errorf("get correlation coefficient comparison close %w between data sets",
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errInvalidDataSetLengths)
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}
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return indicators.CorrelationCoefficient(o.Close, other.Close, int(period)), nil
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}
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// GetSimpleMovingAverageOnClose returns MA the close prices set for the given
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// period.
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func (k *Item) GetSimpleMovingAverageOnClose(period int64) ([]float64, error) {
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ohlc := k.GetOHLC()
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return ohlc.GetSimpleMovingAverage(ohlc.Close, period)
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}
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// GetSimpleMovingAverage returns MA for the supplied price set for the given
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// period.
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func (o *OHLC) GetSimpleMovingAverage(option []float64, period int64) ([]float64, error) {
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if o == nil {
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return nil, fmt.Errorf("get simple moving average %w", errNilOHLC)
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}
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if period <= 0 {
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return nil, fmt.Errorf("get simple moving average %w", errInvalidPeriod)
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}
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if len(option) == 0 {
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return nil, fmt.Errorf("get simple moving average %w", errNoData)
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}
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if int(period) > len(option) {
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return nil, fmt.Errorf("get simple moving average %w exceeds data length, please reduce",
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errInvalidPeriod)
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}
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return indicators.SMA(option, int(period)), nil
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}
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// GetExponentialMovingAverageOnClose returns the EMA on the close price set for
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// the given period.
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func (k *Item) GetExponentialMovingAverageOnClose(period int64) ([]float64, error) {
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ohlc := k.GetOHLC()
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return ohlc.GetExponentialMovingAverage(ohlc.Close, period)
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}
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// GetExponentialMovingAverage returns the EMA on the supplied price set for the
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// given period.
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func (o *OHLC) GetExponentialMovingAverage(option []float64, period int64) ([]float64, error) {
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if o == nil {
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return nil, fmt.Errorf("get exponential moving average %w", errNilOHLC)
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}
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if period <= 0 {
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return nil, fmt.Errorf("get exponential moving average %w", errInvalidPeriod)
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}
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if len(option) == 0 {
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return nil, fmt.Errorf("get exponential moving average %w", errNoData)
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}
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if int(period) > len(option) {
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return nil, fmt.Errorf("get exponential moving average %w exceeds data length, please reduce",
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errInvalidPeriod)
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}
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return indicators.EMA(option, int(period)), nil
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}
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// MACD defines MACD values
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type MACD struct {
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Results []float64
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SignalVals []float64
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Histogram []float64
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}
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// GetMovingAverageConvergenceDivergenceOnClose returns the
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// MACD (macd, signal period vals, histogram) for the given price
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// set and the parameters fast, slow signal time periods.
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func (k *Item) GetMovingAverageConvergenceDivergenceOnClose(fast, slow, signal int64) (*MACD, error) {
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ohlc := k.GetOHLC()
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return ohlc.GetMovingAverageConvergenceDivergence(ohlc.Close, fast, slow, signal)
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}
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// GetMovingAverageConvergenceDivergence returns the
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// MACD (macd, signal period vals, histogram) for the given price
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// set and the parameters fast, slow signal time periods.
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func (o *OHLC) GetMovingAverageConvergenceDivergence(option []float64, fast, slow, signal int64) (*MACD, error) {
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if o == nil {
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return nil, fmt.Errorf("get macd %w", errNilOHLC)
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}
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if fast <= 0 {
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return nil, fmt.Errorf("get macd %w fast", errInvalidPeriod)
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}
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if slow <= 0 {
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return nil, fmt.Errorf("get macd %w slow", errInvalidPeriod)
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}
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if fast >= slow {
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return nil, fmt.Errorf("get macd %w fast should not be equal or exceed slow", errInvalidPeriod)
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}
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if signal <= 0 {
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return nil, fmt.Errorf("get macd %w signal", errInvalidPeriod)
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}
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if len(option) == 0 {
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return nil, fmt.Errorf("get macd %w", errNoData)
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}
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if len(option) < int(slow+signal-2) {
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return nil, fmt.Errorf("get macd %w %v data points are less than minimum %v length requirement derived from the slow %v and signal %v period subtract two, increase end date or scale down granularity",
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errNotEnoughData,
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len(option),
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slow+signal-2,
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slow,
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signal)
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}
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var macd MACD
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macd.Results, macd.SignalVals, macd.Histogram = indicators.MACD(option,
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int(fast),
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int(slow),
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int(signal))
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return &macd, nil
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}
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// GetMoneyFlowIndex returns Money Flow Index for the given period.
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func (k *Item) GetMoneyFlowIndex(period int64) ([]float64, error) {
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return k.GetOHLC().GetMoneyFlowIndex(period)
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}
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// GetMoneyFlowIndex returns Money Flow Index for the given period.
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func (o *OHLC) GetMoneyFlowIndex(period int64) ([]float64, error) {
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if o == nil {
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return nil, fmt.Errorf("get money flow index %w", errNilOHLC)
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}
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if period <= 0 {
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return nil, fmt.Errorf("get money flow index %w", errInvalidPeriod)
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}
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highLen := len(o.High)
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if highLen == 0 {
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return nil, fmt.Errorf("get money flow index %w for high", errNoData)
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}
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lowLen := len(o.Low)
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if lowLen == 0 {
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return nil, fmt.Errorf("get money flow index %w for low", errNoData)
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}
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closeLen := len(o.Close)
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if closeLen == 0 {
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return nil, fmt.Errorf("get money flow index %w for close", errNoData)
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}
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volLen := len(o.Volume)
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if volLen == 0 {
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return nil, fmt.Errorf("get money flow index %w for volume", errNoData)
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}
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if highLen != closeLen || lowLen != closeLen || volLen != closeLen {
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// TODO: Investigate the panic when this protection is removed.
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// This is very unstable with incorrect lengths.
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return nil, fmt.Errorf("get money flow index %w", errInvalidDataSetLengths)
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}
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if int(period) >= len(o.Close) {
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// TODO: Investigate the panic when this protection is removed.
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return nil, fmt.Errorf("get money flow index %w '%v' should not exceed or equal close data length '%v'",
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errInvalidPeriod, period, len(o.Close))
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}
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return indicators.MFI(o.High, o.Low, o.Close, o.Volume, int(period)), nil
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}
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// GetOnBalanceVolume returns On Balance Volume.
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func (k *Item) GetOnBalanceVolume() ([]float64, error) {
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return k.GetOHLC().GetOnBalanceVolume()
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}
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// GetOnBalanceVolume returns On Balance Volume.
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func (o *OHLC) GetOnBalanceVolume() ([]float64, error) {
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if o == nil {
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return nil, fmt.Errorf("get on balance volume %w", errNilOHLC)
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}
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if len(o.Close) == 0 {
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return nil, fmt.Errorf("get on balance volume %w for close", errNoData)
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}
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if len(o.Volume) == 0 {
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return nil, fmt.Errorf("get on balance volume %w for volume", errNoData)
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}
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return indicators.OBV(o.Close, o.Volume), nil
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}
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// GetRelativeStrengthIndexOnClose returns the relative strength index from the
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// given price set and period.
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func (k *Item) GetRelativeStrengthIndexOnClose(period int64) ([]float64, error) {
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ohlc := k.GetOHLC()
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return ohlc.GetRelativeStrengthIndex(ohlc.Close, period)
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}
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// GetRelativeStrengthIndex returns the relative strength index from the the
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// given price set and period.
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func (o *OHLC) GetRelativeStrengthIndex(option []float64, period int64) ([]float64, error) {
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if o == nil {
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return nil, fmt.Errorf("get relative strength index %w", errNilOHLC)
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}
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if period <= 1 {
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return nil, fmt.Errorf("get relative strength index %w cannot be equal or below 1", errInvalidPeriod)
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}
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if len(option) <= 2 {
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// TODO: Check why 2 data points causes panic.
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return nil, fmt.Errorf("get relative strength index %w, requires atleast 3 data points", errNotEnoughData)
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}
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if int(period) > len(option) {
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return nil, fmt.Errorf("get exponential moving average %w exceeds data length, please reduce",
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errInvalidPeriod)
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}
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return indicators.RSI(option, int(period)), nil
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}
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