all: refactor and rename indicator.MACD to indicator.MACDLegacy

pkg/bbgo/standard_indicator_set.go

@@ -29,7 +29,7 @@ type StandardIndicatorSet struct {
 	// interval -> window
 	iwbIndicators  map[types.IntervalWindowBandWidth]*indicator.BOLL
 	iwIndicators   map[indicatorKey]indicator.KLinePusher
-	macdIndicators map[indicator.MACDConfig]*indicator.MACD
+	macdIndicators map[indicator.MACDConfig]*indicator.MACDLegacy
 
 	stream types.Stream
 	store  *MarketDataStore
@@ -47,7 +47,7 @@ func NewStandardIndicatorSet(symbol string, stream types.Stream, store *MarketDa
 		stream:         stream,
 		iwIndicators:   make(map[indicatorKey]indicator.KLinePusher),
 		iwbIndicators:  make(map[types.IntervalWindowBandWidth]*indicator.BOLL),
-		macdIndicators: make(map[indicator.MACDConfig]*indicator.MACD),
+		macdIndicators: make(map[indicator.MACDConfig]*indicator.MACDLegacy),
 	}
 }
 
@@ -154,14 +154,14 @@ func (s *StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandWidth float64)
 	return inc
 }
 
-func (s *StandardIndicatorSet) MACD(iw types.IntervalWindow, shortPeriod, longPeriod int) *indicator.MACD {
+func (s *StandardIndicatorSet) MACD(iw types.IntervalWindow, shortPeriod, longPeriod int) *indicator.MACDLegacy {
 	config := indicator.MACDConfig{IntervalWindow: iw, ShortPeriod: shortPeriod, LongPeriod: longPeriod}
 
 	inc, ok := s.macdIndicators[config]
 	if ok {
 		return inc
 	}
-	inc = &indicator.MACD{MACDConfig: config}
+	inc = &indicator.MACDLegacy{MACDConfig: config}
 	s.macdIndicators[config] = inc
 	s.initAndBind(inc, config.IntervalWindow.Interval)
 	return inc

pkg/indicator/float64updater.go

@@ -0,0 +1,6 @@
+package indicator
+
+//go:generate callbackgen -type Float64Updater
+type Float64Updater struct {
+	updateCallbacks []func(v float64)
+}

pkg/indicator/klinestream.go

@@ -0,0 +1,37 @@
+package indicator
+
+import "github.com/c9s/bbgo/pkg/types"
+
+const MaxNumOfKLines = 4_000
+
+//go:generate callbackgen -type KLineStream
+type KLineStream struct {
+	updateCallbacks []func(k types.KLine)
+
+	kLines []types.KLine
+}
+
+// AddSubscriber adds the subscriber function and push histrical data to the subscriber
+func (s *KLineStream) AddSubscriber(f func(k types.KLine)) {
+	if len(s.kLines) > 0 {
+		// push historical klines to the subscriber
+	}
+
+	s.OnUpdate(f)
+}
+
+// KLines creates a KLine stream that pushes the klines to the subscribers
+func KLines(source types.Stream) *KLineStream {
+	s := &KLineStream{}
+
+	source.OnKLineClosed(func(k types.KLine) {
+		s.kLines = append(s.kLines, k)
+
+		if len(s.kLines) > MaxNumOfKLines {
+			s.kLines = s.kLines[len(s.kLines)-1-MaxNumOfKLines:]
+		}
+		s.EmitUpdate(k)
+	})
+
+	return s
+}

pkg/indicator/macd2.go

@@ -23,50 +23,6 @@ signal := EMA(macd, 16)
 histogram := Subtract(macd, signal)
 */
 
-//go:generate callbackgen -type KLineStream
-type KLineStream struct {
-	updateCallbacks []func(k types.KLine)
-}
-
-func KLines(source types.Stream) *KLineStream {
-	stream := &KLineStream{}
-	source.OnKLineClosed(stream.EmitUpdate)
-	return stream
-}
-
-type KLineSource interface {
-	OnUpdate(f func(k types.KLine))
-}
-
-type PriceStream struct {
-	types.SeriesBase
-	Float64Updater
-
-	slice  floats.Slice
-	mapper KLineValueMapper
-}
-
-func Price(source KLineSource, mapper KLineValueMapper) *PriceStream {
-	s := &PriceStream{
-		mapper: mapper,
-	}
-	s.SeriesBase.Series = s.slice
-	source.OnUpdate(func(k types.KLine) {
-		v := s.mapper(k)
-		s.slice.Push(v)
-		s.EmitUpdate(v)
-	})
-	return s
-}
-
-func ClosePrices(source KLineSource) *PriceStream {
-	return Price(source, KLineClosePriceMapper)
-}
-
-func OpenPrices(source KLineSource) *PriceStream {
-	return Price(source, KLineOpenPriceMapper)
-}
-
 type Float64Source interface {
 	types.Series
 	OnUpdate(f func(v float64))
@@ -104,11 +60,6 @@ func (s *EWMAStream) calculate(v float64) float64 {
 	return (1.0-m)*last + m*v
 }
 
-//go:generate callbackgen -type Float64Updater
-type Float64Updater struct {
-	updateCallbacks []func(v float64)
-}
-
 type SubtractStream struct {
 	Float64Updater
 	types.SeriesBase

pkg/indicator/macd2_test.go

@@ -26,9 +26,5 @@ func TestSubtract(t *testing.T) {
 
 	assert.Equal(t, len(subtract.a), len(subtract.b))
 	assert.Equal(t, len(subtract.a), len(subtract.c))
-	assert.Equal(t, subtract.c[0], subtract.a[0]-subtract.b[0])
-
-	t.Logf("subtract.a: %+v", subtract.a)
-	t.Logf("subtract.b: %+v", subtract.b)
-	t.Logf("subtract.c: %+v", subtract.c)
+	assert.InDelta(t, subtract.c[0], subtract.a[0]-subtract.b[0], 0.0001)
 }

pkg/indicator/macd.go → pkg/indicator/macdlegacy.go

@@ -27,20 +27,19 @@ type MACDConfig struct {
 	LongPeriod int `json:"long"`
 }
 
-//go:generate callbackgen -type MACD
-type MACD struct {
+//go:generate callbackgen -type MACDLegacy
+type MACDLegacy struct {
 	MACDConfig
 
 	Values                         floats.Slice `json:"-"`
 	fastEWMA, slowEWMA, signalLine *EWMA
 	Histogram                      floats.Slice `json:"-"`
 
-	EndTime time.Time
-
 	updateCallbacks []func(macd, signal, histogram float64)
+	EndTime         time.Time
 }
 
-func (inc *MACD) Update(x float64) {
+func (inc *MACDLegacy) Update(x float64) {
 	if len(inc.Values) == 0 {
 		// apply default values
 		inc.fastEWMA = &EWMA{IntervalWindow: types.IntervalWindow{Window: inc.ShortPeriod}}
@@ -76,35 +75,35 @@ func (inc *MACD) Update(x float64) {
 	inc.EmitUpdate(macd, signal, histogram)
 }
 
-func (inc *MACD) Last() float64 {
+func (inc *MACDLegacy) Last() float64 {
 	if len(inc.Values) == 0 {
 		return 0.0
 	}
 
 	return inc.Values[len(inc.Values)-1]
 }
 
-func (inc *MACD) Length() int {
+func (inc *MACDLegacy) Length() int {
 	return len(inc.Values)
 }
 
-func (inc *MACD) PushK(k types.KLine) {
+func (inc *MACDLegacy) PushK(k types.KLine) {
 	inc.Update(k.Close.Float64())
 }
 
-func (inc *MACD) MACD() types.SeriesExtend {
-	out := &MACDValues{MACD: inc}
+func (inc *MACDLegacy) MACD() types.SeriesExtend {
+	out := &MACDValues{MACDLegacy: inc}
 	out.SeriesBase.Series = out
 	return out
 }
 
-func (inc *MACD) Singals() types.SeriesExtend {
+func (inc *MACDLegacy) Singals() types.SeriesExtend {
 	return inc.signalLine
 }
 
 type MACDValues struct {
 	types.SeriesBase
-	*MACD
+	*MACDLegacy
 }
 
 func (inc *MACDValues) Last() float64 {

pkg/indicator/macd_test.go → pkg/indicator/macdlegacy_test.go

@@ -40,7 +40,7 @@ func Test_calculateMACD(t *testing.T) {
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
 			iw := types.IntervalWindow{Window: 9}
-			macd := MACD{MACDConfig: MACDConfig{IntervalWindow: iw, ShortPeriod: 12, LongPeriod: 26}}
+			macd := MACDLegacy{MACDConfig: MACDConfig{IntervalWindow: iw, ShortPeriod: 12, LongPeriod: 26}}
 			for _, k := range tt.kLines {
 				macd.PushK(k)
 			}

pkg/indicator/price.go

@@ -0,0 +1,47 @@
+package indicator
+
+import (
+	"github.com/c9s/bbgo/pkg/datatype/floats"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type KLineSource interface {
+	OnUpdate(f func(k types.KLine))
+}
+
+type PriceStream struct {
+	types.SeriesBase
+	Float64Updater
+
+	slice  floats.Slice
+	mapper KLineValueMapper
+}
+
+func Price(source KLineSource, mapper KLineValueMapper) *PriceStream {
+	s := &PriceStream{
+		mapper: mapper,
+	}
+	s.SeriesBase.Series = s.slice
+	source.OnUpdate(func(k types.KLine) {
+		v := s.mapper(k)
+		s.slice.Push(v)
+		s.EmitUpdate(v)
+	})
+	return s
+}
+
+func ClosePrices(source KLineSource) *PriceStream {
+	return Price(source, KLineClosePriceMapper)
+}
+
+func LowPrices(source KLineSource) *PriceStream {
+	return Price(source, KLineLowPriceMapper)
+}
+
+func HighPrices(source KLineSource) *PriceStream {
+	return Price(source, KLineHighPriceMapper)
+}
+
+func OpenPrices(source KLineSource) *PriceStream {
+	return Price(source, KLineOpenPriceMapper)
+}

pkg/strategy/pivotshort/failedbreakhigh.go

@@ -47,7 +47,7 @@ type FailedBreakHigh struct {
 
 	MACDDivergence *MACDDivergence `json:"macdDivergence"`
 
-	macd *indicator.MACD
+	macd *indicator.MACDLegacy
 
 	macdTopDivergence bool