refactor(series): move to individual module

example/backtesting/main.go

@@ -80,5 +80,8 @@ func main() {
 	// Print bot results
 	bot.Summary()
 	wallet.Summary()
-	chart.Start()
+	err = chart.Start()
+	if err != nil {
+		log.Fatal(err)
+	}
 }

example/strategy.go

@@ -13,34 +13,34 @@ type MyStrategy struct{}
 func (e MyStrategy) Init(settings model.Settings) {}
 
 func (e MyStrategy) Timeframe() string {
-	return "1d"
+	return "1h"
 }
 
 func (e MyStrategy) WarmupPeriod() int {
-	return 9
+	return 21
 }
 
-func (e MyStrategy) Indicators(dataframe *model.Dataframe) {
-	dataframe.Metadata["ema"] = talib.Ema(dataframe.Close, 9)
+func (e MyStrategy) Indicators(df *model.Dataframe) {
+	df.Metadata["ema9"] = talib.Ema(df.Close, 9)
+	df.Metadata["ema21"] = talib.Ema(df.Close, 21)
 }
 
-func (e *MyStrategy) OnCandle(dataframe *model.Dataframe, broker exchange.Broker) {
-	closePrice := model.Last(dataframe.Close, 0)
-	log.Info("New Candle = ", dataframe.Pair, dataframe.LastUpdate, closePrice)
+func (e *MyStrategy) OnCandle(df *model.Dataframe, broker exchange.Broker) {
+	closePrice := df.Close.Last(0)
+	log.Info("New Candle = ", df.Pair, df.LastUpdate, closePrice)
 
-	assetPosition, quotePosition, err := broker.Position(dataframe.Pair)
+	assetPosition, quotePosition, err := broker.Position(df.Pair)
 	if err != nil {
 		log.Error(err)
 	}
 
-	if quotePosition > 1000 && // minimum size
-		assetPosition*closePrice < 10 && // no position
-		model.Last(dataframe.Metadata["ema"], 0) > model.Last(dataframe.Metadata["ema"], 1) {
-		size := 1000 / closePrice
-		_, err := broker.OrderMarket(model.SideTypeBuy, dataframe.Pair, size)
+	buyAmount := 4000.0
+	if quotePosition > buyAmount && df.Metadata["ema9"].Crossover(df.Metadata["ema21"]) {
+		size := buyAmount / closePrice
+		_, err := broker.OrderMarket(model.SideTypeBuy, df.Pair, size)
 		if err != nil {
 			log.WithFields(map[string]interface{}{
-				"pair":  dataframe.Pair,
+				"pair":  df.Pair,
 				"side":  model.SideTypeBuy,
 				"close": closePrice,
 				"asset": assetPosition,
@@ -50,12 +50,12 @@ func (e *MyStrategy) OnCandle(dataframe *model.Dataframe, broker exchange.Broker
 		}
 	}
 
-	if assetPosition*closePrice > 10 && // minimum size
-		model.Last(dataframe.Metadata["ema"], 0) < model.Last(dataframe.Metadata["ema"], 1) {
-		_, err := broker.OrderMarket(model.SideTypeSell, dataframe.Pair, assetPosition)
+	if assetPosition*closePrice > 10 && // minimum tradable size
+		df.Metadata["ema9"].Crossunder(df.Metadata["ema21"]) {
+		_, err := broker.OrderMarket(model.SideTypeSell, df.Pair, assetPosition)
 		if err != nil {
 			log.WithFields(map[string]interface{}{
-				"pair":  dataframe.Pair,
+				"pair":  df.Pair,
 				"side":  model.SideTypeSell,
 				"close": closePrice,
 				"asset": assetPosition,

pkg/model/model.go

@@ -3,6 +3,8 @@ package model
 import (
 	"fmt"
 	"time"
+
+	"github.com/rodrigo-brito/ninjabot/pkg/series"
 )
 
 type SideType string
@@ -43,17 +45,17 @@ type Balance struct {
 type Dataframe struct {
 	Pair string
 
-	Close  []float64
-	Open   []float64
-	High   []float64
-	Low    []float64
-	Volume []float64
+	Close  series.Series
+	Open   series.Series
+	High   series.Series
+	Low    series.Series
+	Volume series.Series
 
 	Time       []time.Time
 	LastUpdate time.Time
 
 	// Custom user metadata
-	Metadata map[string][]float64
+	Metadata map[string]series.Series
 }
 
 type Candle struct {

pkg/model/series.go

@@ -5,10 +5,6 @@ import (
 	"strings"
 )
 
-func Last(series []float64, index int) float64 {
-	return series[len(series)-index-1]
-}
-
 func NumDecPlaces(v float64) int64 {
 	s := strconv.FormatFloat(v, 'f', -1, 64)
 	i := strings.IndexByte(s, '.')

pkg/series/series.go

@@ -0,0 +1,26 @@
+package series
+
+type Series []float64
+
+func (s Series) Values() []float64 {
+	return s
+}
+
+func (s Series) Last(position int) float64 {
+	return s[len(s)-1-position]
+}
+
+func (s Series) LastValues(size int) []float64 {
+	if l := len(s); l > size {
+		return s[l-size:]
+	}
+	return s
+}
+
+func (s Series) Crossover(ref Series) bool {
+	return s.Last(0) > ref.Last(0) && s.Last(1) <= ref.Last(1)
+}
+
+func (s Series) Crossunder(ref Series) bool {
+	return s.Last(0) <= ref.Last(0) && s.Last(1) > ref.Last(1)
+}

pkg/series/series_test.go

@@ -0,0 +1,25 @@
+package series
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/require"
+)
+
+func TestSeries_Last(t *testing.T) {
+	series := Series([]float64{1, 2, 3, 4, 5})
+	require.Equal(t, 5.0, series.Last(0))
+	require.Equal(t, 3.0, series.Last(2))
+}
+
+func TestSeries_LastValues(t *testing.T) {
+	t.Run("with value", func(t *testing.T) {
+		series := Series([]float64{1, 2, 3, 4, 5})
+		require.Equal(t, []float64{4, 5}, series.LastValues(2))
+	})
+
+	t.Run("empty", func(t *testing.T) {
+		series := Series([]float64{})
+		require.Empty(t, series.LastValues(2))
+	})
+}

pkg/strategy/controller.go

@@ -3,6 +3,7 @@ package strategy
 import (
 	"github.com/rodrigo-brito/ninjabot/pkg/exchange"
 	"github.com/rodrigo-brito/ninjabot/pkg/model"
+	"github.com/rodrigo-brito/ninjabot/pkg/series"
 )
 
 type Strategy interface {
@@ -26,7 +27,7 @@ func NewStrategyController(pair string, settings model.Settings, strategy Strate
 	strategy.Init(settings)
 	dataframe := &model.Dataframe{
 		Pair:     pair,
-		Metadata: make(map[string][]float64),
+		Metadata: make(map[string]series.Series),
 	}
 
 	return &Controller{