Indicators: Add support for correlation coefficient (#519)

* Add support for correlation coefficient code

* Bump ta depends

* Bump gct-ta depends version

gctscript/examples/ta/correlation.gct

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

gctscript/modules/gct/common.go

@@ -53,6 +53,8 @@ func WriteAsCSV(args ...objects.Object) (objects.Object, error) {
 			temp, err = convertRSI(args[i])
 		case indicators.SimpleMovingAverage:
 			temp, err = convertSMA(args[i])
+		case indicators.CorrelationCoefficient:
+			temp, err = convertCorrelationCoefficient(args[i])
 		case indicators.OHLCV:
 			temp, err = convertOHLCV(args[i])
 			front = true
@@ -387,6 +389,32 @@ func convertSMA(a objects.Object) ([][]string, error) {
 	return bucket, nil
 }
 
+func convertCorrelationCoefficient(a objects.Object) ([][]string, error) {
+	obj, ok := objects.ToInterface(a).(*indicators.Correlation)
+	if !ok {
+		return nil, errors.New("casting failure")
+	}
+
+	var bucket = [][]string{
+		{
+			indicators.CorrelationCoefficient,
+		},
+		{
+			fmt.Sprintf("Period:%d", obj.Period),
+		},
+	}
+
+	var val string
+	for i := range obj.Value {
+		val, ok = objects.ToString(obj.Value[i])
+		if !ok {
+			return nil, errors.New("cannot convert object to string")
+		}
+		bucket = append(bucket, []string{val})
+	}
+	return bucket, nil
+}
+
 func convertOHLCV(a objects.Object) ([][]string, error) {
 	obj, ok := objects.ToInterface(a).(*OHLCV)
 	if !ok {

gctscript/modules/gct/common_test.go

@@ -12,16 +12,17 @@ import (
 )
 
 var (
-	atrPayload    = &indicators.ATR{Array: oneElement}
-	bbandsPayload = &indicators.BBands{Array: threeElement}
-	emaPayload    = &indicators.EMA{Array: oneElement}
-	macdPayload   = &indicators.MACD{Array: threeElement}
-	mfiPayload    = &indicators.MFI{Array: oneElement}
-	obvPayload    = &indicators.OBV{Array: oneElement}
-	rsiPayload    = &indicators.RSI{Array: oneElement}
-	smaPayload    = &indicators.SMA{Array: oneElement}
-	ohlcPayload   = &OHLCV{Map: ohlcdata}
-	unhandled     = &objects.Array{}
+	atrPayload         = &indicators.ATR{Array: oneElement}
+	bbandsPayload      = &indicators.BBands{Array: threeElement}
+	emaPayload         = &indicators.EMA{Array: oneElement}
+	macdPayload        = &indicators.MACD{Array: threeElement}
+	mfiPayload         = &indicators.MFI{Array: oneElement}
+	obvPayload         = &indicators.OBV{Array: oneElement}
+	rsiPayload         = &indicators.RSI{Array: oneElement}
+	smaPayload         = &indicators.SMA{Array: oneElement}
+	correlationPayload = &indicators.Correlation{Array: oneElement}
+	ohlcPayload        = &OHLCV{Map: ohlcdata}
+	unhandled          = &objects.Array{}
 
 	oneElement = objects.Array{
 		Value: []objects.Object{
@@ -157,6 +158,7 @@ func TestCommonWriteToCSV(t *testing.T) {
 		obvPayload,
 		rsiPayload,
 		smaPayload,
+		correlationPayload,
 		ohlcPayload)
 	if err != nil {
 		t.Fatal(err)

gctscript/modules/ta/indicators/correlation.go

@@ -0,0 +1,91 @@
+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"
+)
+
+// CorrelationCoefficientModule indicator commands
+var CorrelationCoefficientModule = map[string]objects.Object{
+	"calculate": &objects.UserFunction{Name: "calculate", Value: correlationCoefficient},
+}
+
+// CorrelationCoefficient is the string constant
+const CorrelationCoefficient = "Correlation Coefficient"
+
+// Correlation defines a custom correlation coefficient indicator tengo object
+type Correlation struct {
+	objects.Array
+	Period int
+}
+
+// TypeName returns the name of the custom type.
+func (c *Correlation) TypeName() string {
+	return CorrelationCoefficient
+}
+
+func correlationCoefficient(args ...objects.Object) (objects.Object, error) {
+	if len(args) != 3 {
+		return nil, objects.ErrWrongNumArguments
+	}
+
+	r := new(Correlation)
+	if validator.IsTestExecution.Load() == true {
+		return r, nil
+	}
+
+	var allErrors []string
+	ohlcvProcessor := func(args []objects.Object, idx int) ([]float64, error) {
+		ohlcvInput := objects.ToInterface(args[idx])
+		ohlcvInputData, valid := ohlcvInput.([]interface{})
+		if !valid {
+			return nil, fmt.Errorf(modules.ErrParameterConvertFailed, OHLCV)
+		}
+
+		var ohlcvClose []float64
+		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)
+		}
+		return ohlcvClose, nil
+	}
+
+	closures1, err := ohlcvProcessor(args, 0)
+	if err != nil {
+		return nil, err
+	}
+
+	closures2, err := ohlcvProcessor(args, 1)
+	if err != nil {
+		return nil, err
+	}
+
+	inTimePeriod, ok := objects.ToInt(args[2])
+	if !ok {
+		allErrors = append(allErrors, fmt.Sprintf(modules.ErrParameterConvertFailed, inTimePeriod))
+	}
+
+	if len(allErrors) > 0 {
+		return nil, errors.New(strings.Join(allErrors, ", "))
+	}
+
+	r.Period = inTimePeriod
+
+	ret := indicators.CorrelationCoefficient(closures1, closures2, inTimePeriod)
+	for x := range ret {
+		r.Value = append(r.Value, &objects.Float{Value: math.Round(ret[x]*100) / 100})
+	}
+
+	return r, nil
+}

gctscript/modules/ta/ta_test.go

@@ -11,7 +11,7 @@ func TestGetModuleMap(t *testing.T) {
 	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))
+	if len(x) != 9 {
+		t.Fatalf("unexpected results received expected 9 received: %v", len(x))
 	}
 }

gctscript/modules/ta/ta_types.go

@@ -7,12 +7,13 @@ import (
 
 // 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,
+	"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,
+	"indicator/correlationcoefficient": indicators.CorrelationCoefficientModule,
 }