Indicators

Indicators

The environment connect to influxdb to fetch candle and then process it at each timestep. The environment is plug with a CandleSet class which manage the candles data (buffer, timeframe, indicators computation, etc...)

We can easily map indicators to the candleSet when configuring an environment. A candleSetPlugin is define as:

{
  "label": "sma6h", // name of the indicator (any string)
  "opts": { // indicator opts
    "name": "sma", // indicator name (cf: src/indicators)
    "period": 10, // sma calculate on 10 candles
    "key": "close", // sma on which key (open/high/low/close/volume)
    "aggTime": "15m" // OPTIONAL: You can specify which candlestick timerange you want to get as parameter
  }
}

In the following example we define an environment with 2 indicators sma6h and var1hsma6h.

Be carrefull of the plugin order when using indicator in another indicator. (here first sma then diff)

      "env": {
        // Watch 2 currency (ETH/USDT, BTC/USDT) be carefull to import data using influx-crypto-watcher
        "watchList": [
          {"base": "BTC","quote": "USDT","exchange": "binance"}
          {"base": "ETH","quote": "USDT","exchange": "binance"}
        ],
        "aggTimes": ['15m', '4h', 1d'],
        "warmup": 1500,
        "batchSize": 10000,
        "bufferSize": 5000,
        "backtest": {
            "start": "2018-02-15 00:00:00",
            "stop": "2018-09-15 00:00:00"
        },
    	"candleSetPlugins": [
        {
          "label": "sma6h",
          "opts": {
            "name": "sma",
            "period": 360,
            "aggTime": "15m", // Will receive candles agg by 15 minutes (00:00, 00:15, 00:30, ...)
            "key": "close"
        }
      },
      {
        "label": "var1hsma6h",
        "opts": {
          "name": "diff",
          "period": 60,
          "key": "indicators.sma6h"
        }
      }
    ]
  }

You can easily create new indicators in src/indicators (the filename is use as indicator name).

type CandleIndicator = (label: string, opts: any) => CandleSetPlugin;

type CandleSetPlugin = (candles: Candle[], newCandle: Candle) => Promise<{ [name: string]: any }>;

Example:

Create a new file => src/indicators/divide

Then you must export a CandleIndicator.

This indicator is dividing the given key by the given factor

import { Candle } from '../_core/Env/CandleSet';
import { CandleIndicator } from './CandleIndicator';

const divide: CandleIndicator = (label: string, opts: any) => {
  // indicators static variables
  const scope = {};

  // Process function
  // This function is called with each new candle
  return async (candles: Candle[], newCandle: Candle) => {
    return { [label]:  newCandle[opts.key] / opts.factor};
  };
};

export default divide;

Then you can use it when configuring environment (here divide close by 2 and name it close-divide-by-2)

{
	"label": "close-divide-by-2",
	"opts": {
	  "name": "divide",
          "key": "close"
  	  "factor": 2,
 	}
}