Merge pull request #1604 from anywhy/indicator_adx

FEATURE:[indicator] add adx indicator

pkg/bbgo/indicator_set.go

@@ -3,7 +3,7 @@ package bbgo
 import (
 	"github.com/sirupsen/logrus"
 
-	"github.com/c9s/bbgo/pkg/indicator/v2"
+	indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -108,3 +108,7 @@ func (i *IndicatorSet) ATR(interval types.Interval, window int) *indicatorv2.ATR
 func (i *IndicatorSet) ATRP(interval types.Interval, window int) *indicatorv2.ATRPStream {
 	return indicatorv2.ATRP2(i.KLines(interval), window)
 }
+
+func (i *IndicatorSet) ADX(interval types.Interval, window int) *indicatorv2.ADXStream {
+	return indicatorv2.ADX(i.KLines(interval), window)
+}

pkg/indicator/v2/adx.go

@@ -0,0 +1,72 @@
+package indicatorv2
+
+import (
+	"math"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type ADXStream struct {
+	*RMAStream
+
+	Plus, Minus *types.Float64Series
+
+	window            int
+	prevHigh, prevLow fixedpoint.Value
+}
+
+func ADX(source KLineSubscription, window int) *ADXStream {
+	var (
+		atr  = ATR2(source, window)
+		dmp  = types.NewFloat64Series()
+		dmn  = types.NewFloat64Series()
+		adx  = types.NewFloat64Series()
+		sdmp = RMA2(dmp, window, true)
+		sdmn = RMA2(dmn, window, true)
+		s    = &ADXStream{
+			window:    window,
+			Plus:      types.NewFloat64Series(),
+			Minus:     types.NewFloat64Series(),
+			prevHigh:  fixedpoint.Zero,
+			prevLow:   fixedpoint.Zero,
+			RMAStream: RMA2(adx, window, true),
+		}
+	)
+
+	source.AddSubscriber(func(k types.KLine) {
+		if s.prevHigh.IsZero() || s.prevLow.IsZero() {
+			s.prevHigh, s.prevLow = k.High, k.Low
+			return
+		}
+
+		up, dn := k.High.Sub(s.prevHigh), s.prevLow.Sub(k.Low)
+		if up.Compare(dn) > 0 && up.Float64() > 0 {
+			dmp.PushAndEmit(up.Float64())
+		} else {
+			dmp.PushAndEmit(0.0)
+		}
+		if dn.Compare(up) > 0 && dn.Float64() > 0 {
+			dmn.PushAndEmit(dn.Float64())
+		} else {
+			dmn.PushAndEmit(0.0)
+		}
+
+		s.Plus.PushAndEmit(sdmp.Last(0) * 100 / atr.Last(0))
+		s.Minus.PushAndEmit(sdmn.Last(0) * 100 / atr.Last(0))
+		dx := math.Abs(s.Plus.Last(0)-s.Minus.Last(0)) / (s.Plus.Last(0) + s.Minus.Last(0))
+		if !math.IsNaN(dx) {
+			adx.PushAndEmit(dx * 100.0)
+		} else {
+			adx.PushAndEmit(0.0)
+		}
+
+		s.prevHigh, s.prevLow = k.High, k.Low
+		s.Truncate()
+	})
+	return s
+}
+
+func (s *ADXStream) Truncate() {
+	s.Slice = s.Slice.Truncate(MaxNumOfRMA)
+}

pkg/indicator/v2/adx_test.go

@@ -0,0 +1,77 @@
+package indicatorv2
+
+import (
+	"encoding/json"
+	"math"
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+/*
+import pandas as pd
+import pandas_ta as ta
+
+	data = {
+		    "high": [40145.0, 40186.36, 40196.39, 40344.6, 40245.48, 40273.24, 40464.0, 40699.0, 40627.48, 40436.31, 40370.0, 40376.8, 40227.03, 40056.52, 39721.7, 39597.94, 39750.15, 39927.0, 40289.02, 40189.0],
+		    "low": [39870.71, 39834.98, 39866.31, 40108.31, 40016.09, 40094.66, 40105.0, 40196.48, 40154.99, 39800.0, 39959.21, 39922.98, 39940.02, 39632.0, 39261.39, 39254.63, 39473.91, 39555.51, 39819.0, 40006.84],
+		    "close": [40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99,39693.79, 39827.96, 40074.94, 40059.84]
+	}
+
+high = pd.Series(data['high'])
+low = pd.Series(data['low'])
+close = pd.Series(data['close'])
+result = ta.adx(high, low, close, length=7)
+print(result)
+*/
+func Test_ADX(t *testing.T) {
+	var bytes = []byte(`{
+	    "high": [40145.0, 40186.36, 40196.39, 40344.6, 40245.48, 40273.24, 40464.0, 40699.0, 40627.48, 40436.31, 40370.0, 40376.8, 40227.03, 40056.52, 39721.7, 39597.94, 39750.15, 39927.0, 40289.02, 40189.0],
+	    "low": [39870.71, 39834.98, 39866.31, 40108.31, 40016.09, 40094.66, 40105.0, 40196.48, 40154.99, 39800.0, 39959.21, 39922.98, 39940.02, 39632.0, 39261.39, 39254.63, 39473.91, 39555.51, 39819.0, 40006.84],
+	    "close": [40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99,39693.79, 39827.96, 40074.94, 40059.84]
+	}`)
+
+	var buildKLines = func(bytes []byte) (kLines []types.KLine) {
+		var prices map[string][]fixedpoint.Value
+		_ = json.Unmarshal(bytes, &prices)
+		for i, h := range prices["high"] {
+			kLine := types.KLine{High: h, Low: prices["low"][i], Close: prices["close"][i]}
+			kLines = append(kLines, kLine)
+		}
+		return kLines
+	}
+
+	tests := []struct {
+		name   string
+		kLines []types.KLine
+		window int
+		want   float64
+	}{
+		{
+			name:   "test_binance_btcusdt_1h",
+			kLines: buildKLines(bytes),
+			window: 7,
+			want:   34.83952,
+		},
+	}
+
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			stream := &types.StandardStream{}
+
+			kLines := KLines(stream, "", "")
+			adx := ADX(kLines, tt.window)
+
+			for _, k := range tt.kLines {
+				stream.EmitKLineClosed(k)
+			}
+
+			got := adx.Last(0)
+			diff := math.Trunc((got-tt.want)*100) / 100
+			if diff != 0 {
+				t.Errorf("ADX() = %v, want %v", got, tt.want)
+			}
+		})
+	}
+}