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kline.go
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kline.go
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package kline
import (
"fmt"
"time"
"github.com/shopspring/decimal"
"github.com/thrasher-corp/gocryptotrader/backtester/data"
"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/event"
"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/kline"
gctcommon "github.com/thrasher-corp/gocryptotrader/common"
gctkline "github.com/thrasher-corp/gocryptotrader/exchanges/kline"
)
// NewDataFromKline returns a new struct
func NewDataFromKline() *DataFromKline {
return &DataFromKline{
Base: &data.Base{},
}
}
// HasDataAtTime verifies checks the underlying range data
// To determine whether there is any candle data present at the time provided
func (d *DataFromKline) HasDataAtTime(t time.Time) (bool, error) {
isLive, err := d.Base.IsLive()
if err != nil {
return false, err
}
if isLive {
var s []data.Event
s, err = d.GetStream()
if err != nil {
return false, err
}
for i := range s {
if s[i].GetTime().Equal(t) {
return true, nil
}
}
return false, nil
}
if d.RangeHolder == nil {
return false, fmt.Errorf("%w RangeHolder", gctcommon.ErrNilPointer)
}
return d.RangeHolder.HasDataAtDate(t), nil
}
// Load sets the candle data to the stream for processing
func (d *DataFromKline) Load() error {
if d.Item == nil || len(d.Item.Candles) == 0 {
return errNoCandleData
}
klineData := make([]data.Event, len(d.Item.Candles))
for i := range d.Item.Candles {
newKline := &kline.Kline{
Base: &event.Base{
Offset: int64(i + 1),
Exchange: d.Item.Exchange,
Time: d.Item.Candles[i].Time.UTC(),
Interval: d.Item.Interval,
CurrencyPair: d.Item.Pair,
AssetType: d.Item.Asset,
UnderlyingPair: d.Item.UnderlyingPair,
},
Open: decimal.NewFromFloat(d.Item.Candles[i].Open),
High: decimal.NewFromFloat(d.Item.Candles[i].High),
Low: decimal.NewFromFloat(d.Item.Candles[i].Low),
Close: decimal.NewFromFloat(d.Item.Candles[i].Close),
Volume: decimal.NewFromFloat(d.Item.Candles[i].Volume),
ValidationIssues: d.Item.Candles[i].ValidationIssues,
}
klineData[i] = newKline
}
return d.SetStream(klineData)
}
// AppendResults adds a candle item to the data stream and sorts it to ensure it is all in order
func (d *DataFromKline) AppendResults(ki *gctkline.Item) error {
if ki == nil {
return fmt.Errorf("%w kline item", gctcommon.ErrNilPointer)
}
err := d.Item.EqualSource(ki)
if err != nil {
return err
}
var gctCandles []gctkline.Candle
stream, err := d.Base.GetStream()
if err != nil {
return err
}
candleLoop:
for x := range ki.Candles {
for y := range stream {
if stream[y].GetTime().Equal(ki.Candles[x].Time) {
continue candleLoop
}
}
gctCandles = append(gctCandles, ki.Candles[x])
}
if len(gctCandles) == 0 {
return nil
}
klineData := make([]data.Event, len(gctCandles))
for i := range gctCandles {
d.Item.Candles = append(d.Item.Candles, gctCandles[i])
newKline := &kline.Kline{
Base: &event.Base{
Exchange: d.Item.Exchange,
Interval: d.Item.Interval,
CurrencyPair: d.Item.Pair,
AssetType: d.Item.Asset,
UnderlyingPair: d.Item.UnderlyingPair,
Time: gctCandles[i].Time.UTC(),
},
Open: decimal.NewFromFloat(gctCandles[i].Open),
High: decimal.NewFromFloat(gctCandles[i].High),
Low: decimal.NewFromFloat(gctCandles[i].Low),
Close: decimal.NewFromFloat(gctCandles[i].Close),
Volume: decimal.NewFromFloat(gctCandles[i].Volume),
}
klineData[i] = newKline
}
err = d.AppendStream(klineData...)
if err != nil {
return err
}
d.Item.RemoveDuplicates()
d.Item.SortCandlesByTimestamp(false)
if d.RangeHolder != nil {
d.RangeHolder, err = gctkline.CalculateCandleDateRanges(d.Item.Candles[0].Time, d.Item.Candles[len(d.Item.Candles)-1].Time.Add(d.Item.Interval.Duration()), d.Item.Interval, uint32(d.RangeHolder.Limit))
if err != nil {
return err
}
// offline data check when there is a known range
// live data does not need this
return d.RangeHolder.SetHasDataFromCandles(d.Item.Candles)
}
return nil
}
// StreamOpen returns all Open prices from the beginning until the current iteration
func (d *DataFromKline) StreamOpen() ([]decimal.Decimal, error) {
s, err := d.History()
if err != nil {
return nil, err
}
ret := make([]decimal.Decimal, len(s))
for x := range s {
ret[x] = s[x].GetOpenPrice()
}
return ret, nil
}
// StreamHigh returns all High prices from the beginning until the current iteration
func (d *DataFromKline) StreamHigh() ([]decimal.Decimal, error) {
s, err := d.History()
if err != nil {
return nil, err
}
ret := make([]decimal.Decimal, len(s))
for x := range s {
ret[x] = s[x].GetHighPrice()
}
return ret, nil
}
// StreamLow returns all Low prices from the beginning until the current iteration
func (d *DataFromKline) StreamLow() ([]decimal.Decimal, error) {
s, err := d.History()
if err != nil {
return nil, err
}
ret := make([]decimal.Decimal, len(s))
for x := range s {
ret[x] = s[x].GetLowPrice()
}
return ret, nil
}
// StreamClose returns all Close prices from the beginning until the current iteration
func (d *DataFromKline) StreamClose() ([]decimal.Decimal, error) {
s, err := d.History()
if err != nil {
return nil, err
}
ret := make([]decimal.Decimal, len(s))
for x := range s {
ret[x] = s[x].GetClosePrice()
}
return ret, nil
}
// StreamVol returns all Volume prices from the beginning until the current iteration
func (d *DataFromKline) StreamVol() ([]decimal.Decimal, error) {
s, err := d.History()
if err != nil {
return nil, err
}
ret := make([]decimal.Decimal, len(s))
for x := range s {
ret[x] = s[x].GetVolume()
}
return ret, nil
}