specification_pattern

package module
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 Go to latest Published: Oct 15, 2019 License: LGPL-3.0 Imports: 8 Imported by: 0

README

specification_pattern_go

The Specification Pattern is a pattern aimed for composing abstract conditions.

Check this amazing read by Eric Evans and Martin Fowler https://www.martinfowler.com/apsupp/spec.pdf which explains in details the advantages of the specification pattern over DDD and other architectural methods.

You can also learn more on the wikipedia page (don't forget to donate) https://en.wikipedia.org/wiki/Specification_pattern

This small demo shows how to implement the specification pattern in Go with a technical analysis example. As long as a struct implement the following interface, it can be reused and composed with other structs.


type IRule interface {
	IsCalculated(date int64) bool
	IsSatisfied(date int64) (bool, error)
	And(rule IRule) IRule
	Or(rule IRule) IRule
	Xor(rule IRule) IRule
	Negation() IRule
	// simplified
}

This is not a package aimed at production - merely an example of the specification pattern implementation.

This is hugely inspired by the ta4j java library https://github.com/ta4j/ta4j - which I took some of the resource testing data from.

The original code is proprietary (owned by me), and I stripped down the sensitive parts. - which is the reason why you still get remnants of caching implementation for high performance processing.

Technically the original code can be used this way:


// this is a dummy example

history := NewPerformanceAskBidTradeHistory()
cache := NewIndicatorCache(history)
ruleCache := NewRuleCache(history)

constant5 := NewIndicatorConstant(5, cache)
constant6 := NewIndicatorConstant(4, cache)

sma := NewIndicatorSMA(60, live, cache)

smaOver5 := NewOverIndicatorRule(sma, constant5, 0, rulecache)

smaOver6 := NewOverIndicatorRule(sma, constant6, 0, rulecache)
smaUnder6 := NewNotRule(smaOver64, ruleCache)

smaOver5AndSmaUnder6 := NewAndRule(smaOver5, smaUnder6, ruleCache)
smaOver5AndSmaUnder6.IsSatisfied(time.Now().Unix())

This code is certainly faster in some parts than the Java original:

For example, the SMA implementation of ta4j makes the SUM divided by the length every time to calculate it. https://github.com/ta4j/ta4j/blob/master/ta4j-core/src/main/java/org/ta4j/core/indicators/SMAIndicator.java

protected Num calculate(int index) {
    Num sum = getTimeSeries().numOf(0);
    for (int i = Math.max(0, index - barCount + 1); i <= index; i++) {
        sum = sum.plus(indicator.getValue(i));
    }

    final int realBarCount = Math.min(barCount, index + 1);
    return sum.dividedBy(getTimeSeries().numOf(realBarCount));
}

Instead my implementation uses the previous calculated value and do one addition and one subtraction instead. It is uglier - but faster.

I don't know how much faster it is, because I don't bother benchmarking Java code - but it certainly is.

Documentation

Index

Constants

This section is empty.

Variables

This section is empty.

Functions

func FloatToStringPrecision 

func FloatToStringPrecision(input_num float64, precision int) string

func PointToPeriod 

func PointToPeriod(nbPoints int) string

func StrToFloat 

func StrToFloat(input string) float64

Types

type AbstractRule 

type AbstractRule struct{}

type AndRule 

type AndRule struct {
	*CommonRule
	// contains filtered or unexported fields
}

func (*AndRule) IsSatisfied 

func (r *AndRule) IsSatisfied(date int64) (bool, error)

type AskBidTrade 

type AskBidTrade struct {
	InputDate time.Time
	Volume    float64
	Trade     Record
	Ask       Record
	Bid       Record
}

func NewAskBidTradeFromAskBid 

func NewAskBidTradeFromAskBid(askPrice float64, bidPrice float64, inputDate time.Time) *AskBidTrade

func NewAskBidTradeFromTrade 

func NewAskBidTradeFromTrade(transactionsPrice float64, volume float64, inputDate time.Time) *AskBidTrade

func (*AskBidTrade) GetBuyValue 

func (f *AskBidTrade) GetBuyValue() float64

func (*AskBidTrade) GetFromSource 

func (f *AskBidTrade) GetFromSource(source RecordDataSource) float64

func (*AskBidTrade) GetSellValue 

func (f *AskBidTrade) GetSellValue() float64

func (*AskBidTrade) HasZero 

func (f *AskBidTrade) HasZero() bool

func (*AskBidTrade) PingAsk 

func (f *AskBidTrade) PingAsk(askPrice float64, inputDate time.Time)

func (*AskBidTrade) PingBid 

func (f *AskBidTrade) PingBid(bidPrice float64, inputDate time.Time)

func (*AskBidTrade) PingTrade 

func (f *AskBidTrade) PingTrade(transactionPrice float64, volume float64, inputDate time.Time)

func (*AskBidTrade) Similar 

func (f *AskBidTrade) Similar(abd *AskBidTrade, percentage float64) bool

type BooleanRule 

type BooleanRule struct {
	*CommonRule
	// contains filtered or unexported fields
}

func (*BooleanRule) IsSatisfied 

func (r *BooleanRule) IsSatisfied(date int64) (bool, error)

type CommonRule 

type CommonRule struct {
	// contains filtered or unexported fields
}

func (*CommonRule) And 

func (cr *CommonRule) And(rule IRule) IRule

func (*CommonRule) Index 

func (cr *CommonRule) Index() int

func (*CommonRule) IsCalculated 

func (cr *CommonRule) IsCalculated(date int64) bool

func (*CommonRule) Name 

func (cr *CommonRule) Name() string

func (*CommonRule) Negation 

func (cr *CommonRule) Negation() IRule

func (*CommonRule) Or 

func (cr *CommonRule) Or(rule IRule) IRule

func (*CommonRule) SetIndex 

func (cr *CommonRule) SetIndex(index int)

func (*CommonRule) TriggerId 

func (cr *CommonRule) TriggerId() int

func (*CommonRule) Xor 

func (cr *CommonRule) Xor(rule IRule) IRule

type ConstantIndicator 

type ConstantIndicator struct {
	*IndicatorCommon
	// contains filtered or unexported fields
}

func (*ConstantIndicator) Calculate 

func (ind *ConstantIndicator) Calculate(date int64, add bool) error

type CrossDownIndicatorRule 

type CrossDownIndicatorRule struct {
	*CommonRule
	// contains filtered or unexported fields
}

func (*CrossDownIndicatorRule) IsSatisfied 

func (r *CrossDownIndicatorRule) IsSatisfied(date int64) (bool, error)

type CrossPosition 

type CrossPosition string
const (
	CrossPositionOver  CrossPosition = "Over"
	CrossPositionUnder CrossPosition = "Under"
	CrossPositionZero  CrossPosition = "Zero"
)

type CrossUpIndicatorRule 

type CrossUpIndicatorRule struct {
	*CommonRule
	// contains filtered or unexported fields
}

func (*CrossUpIndicatorRule) IsSatisfied 

func (r *CrossUpIndicatorRule) IsSatisfied(date int64) (bool, error)

type Crosser 

type Crosser struct {
	// contains filtered or unexported fields
}

func NewCrosser 

func NewCrosser(threshold float64, position CrossPosition) *Crosser

func (*Crosser) Calculate 

func (c *Crosser) Calculate(val1, val2 float64) (bool, error)

type DiffData 

type DiffData struct {
	Ratio float64
}

func NewDiffData 

func NewDiffData(val1, val2 float64) DiffData

func (*DiffData) IsZero 

func (d *DiffData) IsZero(zeroThreshold float64) bool

func (*DiffData) Sign 

func (d *DiffData) Sign(zeroThreshold float64) CrossPosition

type IIndicator 

type IIndicator interface {
	Calculate(date int64, add bool) error

	GetLastValues(nb int) []float64
	GetValue(index int) float64
	GetValues(fromIndex, toIndex int) []float64

	IsCalculated(date int64) bool
	Len() int
	Name() string
	SetCache(cache *IndicatorCache)
	SetHistory(history *PerformanceAskBidTradeHistory)
	Type() IndicatorType
	Values() []float64
	Val() float64
}

func NewIndicatorAbstractEma 

func NewIndicatorAbstractEma(indicatorType IndicatorType, source IIndicator, barCount float64, multiplier float64, cache *IndicatorCache) IIndicator

func NewIndicatorConstant 

func NewIndicatorConstant(constant float64, cache *IndicatorCache) IIndicator

func NewIndicatorEMA 

func NewIndicatorEMA(nbPoints float64, source IIndicator, cache *IndicatorCache) IIndicator

func NewIndicatorLive 

func NewIndicatorLive(source RecordDataSource, cache *IndicatorCache, history *PerformanceAskBidTradeHistory) IIndicator

func NewIndicatorMMA 

func NewIndicatorMMA(source IIndicator, barCount float64, cache *IndicatorCache) IIndicator

func NewIndicatorSMA 

func NewIndicatorSMA(nbPoints float64, source IIndicator, cache *IndicatorCache) IIndicator

type IRule 

type IRule interface {
	IsCalculated(date int64) bool
	IsSatisfied(date int64) (bool, error)
	And(rule IRule) IRule
	Or(rule IRule) IRule
	Xor(rule IRule) IRule
	Negation() IRule

	Index() int
	SetIndex(index int)
	Name() string
}

func NewAndRule 

func NewAndRule(rule1, rule2 IRule, cache *RuleCache) IRule

func NewBooleanRule 

func NewBooleanRule(val bool, cache *RuleCache) IRule

func NewCrossDownIndicatorRule 

func NewCrossDownIndicatorRule(indicator1, indicator2 IIndicator, threshold float64, cache *RuleCache) IRule

func NewCrossUpIndicatorRule 

func NewCrossUpIndicatorRule(indicator1, indicator2 IIndicator, threshold float64, cache *RuleCache) IRule

func NewNotRule 

func NewNotRule(rule IRule, cache *RuleCache) IRule

func NewOrRule 

func NewOrRule(rule1, rule2 IRule, cache *RuleCache) IRule

func NewOverIndicatorRule 

func NewOverIndicatorRule(indicator1, indicator2 IIndicator, thresholdInPercent float64, cache *RuleCache) IRule

* threshold is a percentage, for example threshold = 0.1, means 0.10%

if zero, it takes strict value ind1>ind2 otherwise - it takes percentage of ind1 > (1 + thresholdInPercent/100) * ind2

ind1 - ind2 -

func NewXorRule 

func NewXorRule(rule1, rule2 IRule, cache *RuleCache) IRule

type IndicatorAbstractEma 

type IndicatorAbstractEma struct {
	*IndicatorCommon
	// contains filtered or unexported fields
}

func (*IndicatorAbstractEma) Calculate 

func (ind *IndicatorAbstractEma) Calculate(date int64, add bool) error

type IndicatorCache 

type IndicatorCache struct {
	// contains filtered or unexported fields
}

func NewIndicatorCache 

func NewIndicatorCache(history *PerformanceAskBidTradeHistory) *IndicatorCache

func (*IndicatorCache) Calculate 

func (ic *IndicatorCache) Calculate(record *AskBidTrade, add bool) error

func (*IndicatorCache) Get 

func (ic *IndicatorCache) Get(name string) IIndicator

func (*IndicatorCache) GetFirstLive 

func (ic *IndicatorCache) GetFirstLive() IIndicator

func (*IndicatorCache) Has 

func (ic *IndicatorCache) Has(name string) bool

func (*IndicatorCache) History 

func (ic *IndicatorCache) History() *PerformanceAskBidTradeHistory

func (*IndicatorCache) List 

func (ic *IndicatorCache) List() []string

func (*IndicatorCache) Set 

func (ic *IndicatorCache) Set(indicator IIndicator)

type IndicatorCommon 

type IndicatorCommon struct {
	// contains filtered or unexported fields
}

func NewIndicatorCommon 

func NewIndicatorCommon(indicatorType IndicatorType, name string, sourceName string) *IndicatorCommon

func (*IndicatorCommon) GetLastValues 

func (ic *IndicatorCommon) GetLastValues(nb int) []float64

func (*IndicatorCommon) GetValue 

func (ic *IndicatorCommon) GetValue(index int) float64

func (*IndicatorCommon) GetValues 

func (ic *IndicatorCommon) GetValues(fromIndex, toIndex int) []float64

func (*IndicatorCommon) IsCalculated 

func (ic *IndicatorCommon) IsCalculated(date int64) bool

func (*IndicatorCommon) Len 

func (ic *IndicatorCommon) Len() int

func (*IndicatorCommon) Length 

func (ic *IndicatorCommon) Length() int

func (*IndicatorCommon) Name 

func (ic *IndicatorCommon) Name() string

func (*IndicatorCommon) SetCache 

func (ic *IndicatorCommon) SetCache(cache *IndicatorCache)

func (*IndicatorCommon) SetHistory 

func (ic *IndicatorCommon) SetHistory(history *PerformanceAskBidTradeHistory)

func (*IndicatorCommon) Type 

func (ic *IndicatorCommon) Type() IndicatorType

func (*IndicatorCommon) Val 

func (ic *IndicatorCommon) Val() float64

func (*IndicatorCommon) Values 

func (ic *IndicatorCommon) Values() []float64

type IndicatorLive 

type IndicatorLive struct {
	*IndicatorCommon
	// contains filtered or unexported fields
}

func (*IndicatorLive) Calculate 

func (sma *IndicatorLive) Calculate(date int64, add bool) error

func (*IndicatorLive) GetRecordSource 

func (sma *IndicatorLive) GetRecordSource() RecordSource

type IndicatorSMA 

type IndicatorSMA struct {
	*IndicatorCommon
	// contains filtered or unexported fields
}

func (*IndicatorSMA) Calculate 

func (sma *IndicatorSMA) Calculate(date int64, add bool) error

type IndicatorType 

type IndicatorType string
const (
	CONSTANT IndicatorType = "CONSTANT"
	BOOL     IndicatorType = "BOOL"
	SMA      IndicatorType = "SMA"
	EMA      IndicatorType = "EMA"
	ROC      IndicatorType = "ROC"
	LOSS     IndicatorType = "LOSS Average"
	OBV      IndicatorType = "OBV"
	RSI      IndicatorType = "RSI"
	LIVE     IndicatorType = "LIVE"
	EMPTY    IndicatorType = ""
	ADX      IndicatorType = "ADX"
	MMA      IndicatorType = "MMA"
)

type NotRule 

type NotRule struct {
	*CommonRule
}

func (*NotRule) IsSatisfied 

func (r *NotRule) IsSatisfied(date int64) (bool, error)

type OrRule 

type OrRule struct {
	*CommonRule
	// contains filtered or unexported fields
}

func (*OrRule) IsSatisfied 

func (r *OrRule) IsSatisfied(date int64) (bool, error)

type OverIndicatorRule 

type OverIndicatorRule struct {
	*CommonRule
	// contains filtered or unexported fields
}

func (*OverIndicatorRule) IsSatisfied 

func (r *OverIndicatorRule) IsSatisfied(date int64) (bool, error)

type PerformanceAskBidTradeHistory 

type PerformanceAskBidTradeHistory struct {
	Volumes      []float64 // 0
	TradeLow     []float64 // 1
	TradeHigh    []float64 // 2
	TradeOpen    []float64 // 3
	TradeClose   []float64 // 4
	AskLow       []float64 // 5
	AskHigh      []float64 // 6
	AskOpen      []float64 // 7
	AskClose     []float64 // 8
	BidLow       []float64 // 9
	BidHigh      []float64 // 10
	BidOpen      []float64 // 11
	BidClose     []float64 // 12
	InputDate    []time.Time
	InputDateStr []string
	// contains filtered or unexported fields
}

func NewPerformanceAskBidTradeHistory 

func NewPerformanceAskBidTradeHistory() *PerformanceAskBidTradeHistory

func (*PerformanceAskBidTradeHistory) Append 

func (p *PerformanceAskBidTradeHistory) Append(record *AskBidTrade)

func (*PerformanceAskBidTradeHistory) Current 

func (p *PerformanceAskBidTradeHistory) Current() *AskBidTrade

func (*PerformanceAskBidTradeHistory) GetPoint 

func (p *PerformanceAskBidTradeHistory) GetPoint(index int) (*AskBidTrade, error)

func (*PerformanceAskBidTradeHistory) IncludeCurrent 

func (p *PerformanceAskBidTradeHistory) IncludeCurrent(record *AskBidTrade) *PerformanceAskBidTradeHistory

func (*PerformanceAskBidTradeHistory) Len 

func (p *PerformanceAskBidTradeHistory) Len() int

func (*PerformanceAskBidTradeHistory) SetCurrent 

func (p *PerformanceAskBidTradeHistory) SetCurrent(record *AskBidTrade)

type Record 

type Record struct {
	Low   float64
	High  float64
	Open  float64
	Close float64
}

func NewEmptyRecord 

func NewEmptyRecord() Record

func NewRecord 

func NewRecord(previousRecord Record) Record

func (Record) IsZero 

func (r Record) IsZero() bool

func (Record) Similar 

func (r Record) Similar(record Record, percentage float64) bool

type RecordDataSource 

type RecordDataSource int
const (
	AskLow   RecordDataSource = 1
	AskHigh  RecordDataSource = 2
	AskClose RecordDataSource = 3
	BidLow   RecordDataSource = 4
	BidHigh  RecordDataSource = 5
	BidClose RecordDataSource = 6
	Volume   RecordDataSource = 7
	Invalid  RecordDataSource = 8
)

func (RecordDataSource) RecordSource 

func (r RecordDataSource) RecordSource() RecordSource

func (RecordDataSource) String 

func (r RecordDataSource) String() string

type RecordSource 

type RecordSource int
const (
	Ask RecordSource = 1
	Bid RecordSource = 2
)

func (RecordSource) String 

func (r RecordSource) String() string

type RuleCache 

type RuleCache struct {
	// contains filtered or unexported fields
}

Satisfaction cache

func NewRuleCache 

func NewRuleCache(history *PerformanceAskBidTradeHistory) *RuleCache

func (*RuleCache) AddBuyProcessor 

func (rc *RuleCache) AddBuyProcessor(ruleIndex int, processorIndex int)

func (*RuleCache) AddSellProcessor 

func (rc *RuleCache) AddSellProcessor(ruleIndex int, processorIndex int)

func (*RuleCache) Calculate 

func (rc *RuleCache) Calculate(date time.Time) error

func (*RuleCache) GetById 

func (rc *RuleCache) GetById(index int) IRule

func (*RuleCache) GetByName 

func (rc *RuleCache) GetByName(name string) IRule

func (*RuleCache) GetSatisfiedProcessors 

func (rc *RuleCache) GetSatisfiedProcessors() ([]int, []int)

func (*RuleCache) GetSatisfiedRules 

func (rc *RuleCache) GetSatisfiedRules() []string

func (*RuleCache) IsSatisfied 

func (rc *RuleCache) IsSatisfied(date int64, index int) (bool, error)

func (*RuleCache) Len 

func (rc *RuleCache) Len() int

func (*RuleCache) Set 

func (rc *RuleCache) Set(rule IRule) IRule

type SatisfactionStatus 

type SatisfactionStatus int

type XorRule 

type XorRule struct {
	*CommonRule
	// contains filtered or unexported fields
}

func (*XorRule) IsSatisfied 

func (r *XorRule) IsSatisfied(date int64) (bool, error)

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