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feat(plot): include support for indicators
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@rodrigo-brito
rodrigo-brito committed Oct 3, 2021
1 parent 0776d00 commit 0b69e8e
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Showing 4 changed files with 149 additions and 22 deletions.
4 changes: 3 additions & 1 deletion examples/backtesting/main.go
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Original file line number Diff line number Diff line change
Expand Up @@ -56,7 +56,9 @@ func main() {

chart := plot.NewChart(plot.WithIndicators(
plot.EMA(9, "red"),
plot.RSI(14, "purple"),
plot.EMA(80, "orange"),
plot.RSI(14, "green"),
plot.Stoch(8, 3, "red", "blue"),
))

bot, err := ninjabot.NewBot(
Expand Down
15 changes: 11 additions & 4 deletions plot/assets/chart.html
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Original file line number Diff line number Diff line change
Expand Up @@ -12,6 +12,11 @@
</head>
<script defer src="/assets/chart.js"></script>
<style>
body {
margin: 0;
padding: 0;
}

.coin {
background: rgb(68 122 219);
padding: 10px;
Expand Down Expand Up @@ -41,11 +46,13 @@
}
</style>
<body>
<ul>
{{range $val := .pairs}}
<nav class="menu">
<ul>
{{range $val := .pairs}}
<li><a class="coin" href="/?pair={{ $val }}">{{ $val }}</a></li>
{{end}}
</ul>
{{end}}
</ul>
</nav>
<div id="graph"></div>
</body>
</html>
75 changes: 65 additions & 10 deletions plot/assets/chart.js
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Original file line number Diff line number Diff line change
Expand Up @@ -18,8 +18,8 @@ document.addEventListener("DOMContentLoaded", function () {
low: unpack(data.candles, "low"),
high: unpack(data.candles, "high"),
type: "candlestick",
xaxis: "x",
yaxis: "y",
xaxis: "x1",
yaxis: "y1",
};

const points = [];
Expand All @@ -42,6 +42,8 @@ document.addEventListener("DOMContentLoaded", function () {
y: candle.low,
xref: "x",
yref: "y",
xaxis: "x1",
yaxis: "y1",
text: "B",
hovertext: `${order.time}
<br>ID: ${order.id}
Expand Down Expand Up @@ -70,6 +72,7 @@ document.addEventListener("DOMContentLoaded", function () {
annotation.ay = -20;
annotation.valign = "top";
}

annotations.push(annotation);
});
});
Expand All @@ -80,6 +83,8 @@ document.addEventListener("DOMContentLoaded", function () {
name: "Buy Points",
x: unpack(buyPoints, "time"),
y: unpack(buyPoints, "position"),
xaxis: "x1",
yaxis: "y1",
mode: 'markers',
type: 'scatter',
marker: {
Expand All @@ -90,31 +95,81 @@ document.addEventListener("DOMContentLoaded", function () {
name: "Sell Points",
x: unpack(sellPoints, "time"),
y: unpack(sellPoints, "position"),
xaxis: "x1",
yaxis: "y1",
mode: 'markers',
type: 'scatter',
marker: {
color: "red",
}
};

var layout = {
dragmode: "pan",
const standaloneIndicators = data.indicators.reduce((total, indicator) => {
if (!indicator.overlay) {
return total + 1;
}
return total;
}, 0);

let layout = {
template: "ggplot2",
dragmode: "zoom",
margin: {
r: 10,
t: 25,
b: 40,
l: 60,
},
showlegend: true,
xaxis: {
autorange: true
autorange: true,
rangeslider: {visible: false},
showline: true,
anchor: standaloneIndicators > 0 ? "y2" : "y1"
},
yaxis: {
autorange: true
domain: standaloneIndicators > 0 ? [0.5, 1] : [0, 1],
autorange: true,
mirror: true,
showline: true,
gridcolor: "#ddd"
},
hovermode: "x unified",
annotations: annotations,
};

Plotly.newPlot("graph", [candleStickData, buyData, sellData], layout);
let plotData = [candleStickData, buyData, sellData];
const indicatorsHeight = 0.49/standaloneIndicators;
let standaloneIndicatorIndex = 0;
data.indicators.forEach((indicator) => {
const axisNumber = standaloneIndicatorIndex+2;
if (!indicator.overlay) {
const heightStart = standaloneIndicatorIndex * indicatorsHeight;
layout["yaxis"+axisNumber] = {
domain: [heightStart, heightStart + indicatorsHeight],
autorange: true,
mirror: true,
showline: true,
linecolor: "black",
title: indicator.name
};
standaloneIndicatorIndex++;
}

indicator.metrics.forEach(metric => {
const data = {
title: indicator.name,
name: indicator.name + (metric.name && " - " + metric.name),
x: metric.time,
y: metric.value,
type: metric.style,
color: metric.color,
xaxis: "x1",
yaxis: "y1",
};
if (!indicator.overlay) {
data.yaxis = "y"+axisNumber;
}
plotData.push(data);
})
});
Plotly.newPlot("graph", plotData, layout);
})
});
77 changes: 70 additions & 7 deletions plot/indicator.go
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Original file line number Diff line number Diff line change
Expand Up @@ -47,14 +47,17 @@ func (e ema) Overlay() bool {
}

func (e *ema) Load(dataframe *model.Dataframe) {
e.Values = talib.Ema(dataframe.Close, e.Period)
e.Time = dataframe.Time
if len(dataframe.Time) < e.Period {
return
}

e.Values = talib.Ema(dataframe.Close, e.Period)[e.Period:]
e.Time = dataframe.Time[e.Period:]
}

func (e ema) Metrics() []Metric {
return []Metric{
{
Name: "value",
Style: "line",
Color: e.Color,
Values: e.Values,
Expand All @@ -64,7 +67,7 @@ func (e ema) Metrics() []Metric {
}

func RSI(period int, color string) Indicator {
return &ema{
return &rsi{
Period: period,
Color: color,
}
Expand All @@ -86,18 +89,78 @@ func (e rsi) Overlay() bool {
}

func (e *rsi) Load(dataframe *model.Dataframe) {
e.Values = talib.Rsi(dataframe.Close, e.Period)
e.Time = dataframe.Time
if len(dataframe.Time) < e.Period {
return
}

e.Values = talib.Rsi(dataframe.Close, e.Period)[e.Period:]
e.Time = dataframe.Time[e.Period:]
}

func (e rsi) Metrics() []Metric {
return []Metric{
{
Name: "value",
Color: e.Color,
Style: "line",
Values: e.Values,
Time: e.Time,
},
}
}

func Stoch(k, d int, colork, colord string) Indicator {
return &stoch{
PeriodK: k,
PeriodD: d,
ColorK: colork,
ColorD: colord,
}
}

type stoch struct {
PeriodK int
PeriodD int
ColorK string
ColorD string
ValuesK model.Series
ValuesD model.Series
Time []time.Time
}

func (e stoch) Name() string {
return fmt.Sprintf("STOCH(%d, %d)", e.PeriodK, e.PeriodD)
}

func (e stoch) Overlay() bool {
return false
}

func (e *stoch) Load(dataframe *model.Dataframe) {
if len(dataframe.Time) < e.PeriodK+e.PeriodD {
return
}

e.ValuesK, e.ValuesD = talib.Stoch(dataframe.High, dataframe.Low, dataframe.Close, e.PeriodK, e.PeriodD, talib.SMA, e.PeriodD, talib.SMA)
e.ValuesK = e.ValuesK[e.PeriodK+e.PeriodD:]
e.ValuesD = e.ValuesD[e.PeriodK+e.PeriodD:]
e.Time = dataframe.Time[e.PeriodK+e.PeriodD:]
}

func (e stoch) Metrics() []Metric {
return []Metric{
{
Color: e.ColorK,
Name: "K",
Style: "line",
Values: e.ValuesK,
Time: e.Time,
},
{
Color: e.ColorD,
Name: "D",
Style: "line",
Values: e.ValuesD,
Time: e.Time,
},
}
}

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