/
quick_example.clj
96 lines (86 loc) · 4.16 KB
/
quick_example.clj
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(ns quick-example
(:require [bortexz.graphcom :as g]
[bortexz.tacos :as ta]
[bortexz.tacos.timeseries :as ts]))
(let [new-candles (g/input-node)
;; `tl` is called a `timeline`, and controls new keys to be updated for indicators. In this case, delta-source
;; creates both a timeline node and a timeseries node from an input. The timeline will ensure that only incoming
;; new timestamps are calculated for all indicators using it, while the `src` will accumulate the new values
;; from input, up to max-size timestamps.
[tl src] (ta/delta-source {:input new-candles} {:max-size 10})
;; `spread-map` takes a timeseries node of maps and returns map of nodes with each key extracted into its own
;; timeseries node
{:keys [high low close]} (ta/spread-map tl src {:ks [:close :high :low]
:transform double})
;; sma indicator
sma (ta/simple-moving-average tl {:src close} {:period 3})
;; bb returns 3 nodes, each for each band, they can be combined together into a map with `sources-map`, which
;; does the contrary to `spread-map`, takes map of indicators, and returns node of timeseries with values as a
;; map containing all sources values
[upper-bb mid-bb low-bb] (ta/bollinger-bands tl {:src close} {:period 3 :multiplier 2})
bb (ta/sources-map tl {:upper upper-bb :middle mid-bb :lower low-bb})
;; atr indicator
atr (ta/average-true-range tl {:high high :low low :close close} {:period 3})
;; create graphcom graph and context
g (g/graph {:input new-candles
:candles src
:sma sma
:bb bb
:atr atr})
ctx (g/context g)
;; sample candles batches. Timeseries are currently avl/sorted-maps.
candles1 (ts/create
[[1 {:open 5 :close 7 :high 9 :low 4}]
[2 {:open 7 :close 6 :high 8 :low 5}]
[3 {:open 6 :close 8 :high 11 :low 3}]])
candles2 (ts/create
[[4 {:open 8 :close 10 :high 12 :low 7}]
[5 {:open 10 :close 9 :high 10 :low 8}]
[6 {:open 9 :close 13 :high 14 :low 9}]
[7 {:open 13 :close 12 :high 15 :low 11}]])
candles3 (ts/create
[[7 {:open 12 :close 10 :high 13 :low 9}]
[8 {:open 10 :close 8 :high 11 :low 8}]
[9 {:open 8 :close 14 :high 15 :low 7}]])]
;; compute the graph inserting each candles, get final values
(-> ctx
(g/process {:input candles1})
(g/process {:input candles2})
(g/process {:input candles3})
(g/values)
(select-keys [:candles :sma :bb :atr])))
; -> result
{:candles
{1 {:open 5, :close 7, :high 9, :low 4},
2 {:open 7, :close 6, :high 8, :low 5},
3 {:open 6, :close 8, :high 11, :low 3},
4 {:open 8, :close 10, :high 12, :low 7},
5 {:open 10, :close 9, :high 10, :low 8},
6 {:open 9, :close 13, :high 14, :low 9},
7 {:open 12, :close 10, :high 13, :low 9},
8 {:open 10, :close 8, :high 11, :low 8},
9 {:open 8, :close 14, :high 15, :low 7}}
;; Nil values are removed, many indicators need a minimum number of previous values on their source to compute
;; a value.
:sma
{3 7.0,
4 8.0,
5 9.0,
6 10.666666666666666,
7 10.666666666666666,
8 10.333333333333334,
9 10.666666666666666},
:bb
{3 {:upper 8.632993161855453, :middle 7.0, :lower 5.3670068381445475},
4 {:upper 11.265986323710905, :middle 8.0, :lower 4.734013676289096},
5 {:upper 10.632993161855453, :middle 9.0, :lower 7.3670068381445475},
6 {:upper 14.066013009061855, :middle 10.666666666666666, :lower 7.267320324271476},
7 {:upper 14.066013009061855, :middle 10.666666666666666, :lower 7.267320324271476},
8 {:upper 14.442942668645985, :middle 10.333333333333334, :lower 6.223723998020683},
9 {:upper 15.655543182365253, :middle 10.666666666666666, :lower 5.677790150968078}},
:atr
{5 5.333333333333333,
6 5.222222222222222,
7 4.814814814814815,
8 4.209876543209877,
9 5.473251028806585}}