ml

Documentation

Index

• Constants
• Variables
• func CoinConfig(coins map[model.Coin]mlmodel.ConfigSegment) *mlmodel.Config
• func Config(coin ...model.Coin) *mlmodel.Config
• func ConfigKey(coin model.Coin, d int) model.Key
• func DeprecatedProcessor(index api.Index, shard storage.Shard, registry storage.EventRegistry, ...) func(u api.User, e api.Exchange) api.Processor
• func ForCoin(coin model.Coin, live bool) func(sgm mlmodel.SegmentConfig) mlmodel.SegmentConfig
• func ModelConfig(precision float64) mlmodel.Model
• func Processor(index api.Index, shard storage.Shard, strategy *processor.Strategy) func(u api.User, e api.Exchange) api.Processor
• func ReProcessor() (proc api.Processor, err error)
• func TraderConfig(live bool) mlmodel.Trader
• func WithConfig(coin map[model.Coin]bool) *mlmodel.Config
• type Collect
• type Collector
  • func NewCollector(shard storage.Shard, config mlmodel.Config, in, out Collect) (*Collector, error)
• type Performance
  • func (p Performance) String() string
  • func (p Performance) Value(lazy bool) float64
• type Tracker

Constants

const (
	DeprecatedName = "ml-network"
)

const (
	Name = "ml-network"
)

Variables

var SplitOnTrend = func(gap float64) Collect {
	threshold := gap
	return func(trade *model.TradeSignal) []float64 {
		trend := trade.Tick.StatsData.Trend.Price / trade.Tick.Price
		y := make([]float64, 3)
		if trend > threshold {
			y[0] = 1
		} else if trend < -1*threshold {
			y[2] = 1
		} else {
			y[1] = 1
		}
		return y
	}
}

Functions

func CoinConfig

func CoinConfig(coins map[model.Coin]mlmodel.ConfigSegment) *mlmodel.Config

func Config

func Config(coin ...model.Coin) *mlmodel.Config

func ConfigKey

func ConfigKey(coin model.Coin, d int) model.Key

func DeprecatedProcessor

func DeprecatedProcessor(index api.Index, shard storage.Shard, registry storage.EventRegistry, config *mlmodel.Config, networks ...net.ConstructNetwork) func(u api.User, e api.Exchange) api.Processor

Processor is the position processor main routine.

func ForCoin

func ForCoin(coin model.Coin, live bool) func(sgm mlmodel.SegmentConfig) mlmodel.SegmentConfig

func ModelConfig

func ModelConfig(precision float64) mlmodel.Model

func Processor

func Processor(index api.Index, shard storage.Shard, strategy *processor.Strategy) func(u api.User, e api.Exchange) api.Processor

Processor is the position processor main routine.

func ReProcessor

func ReProcessor() (proc api.Processor, err error)

func TraderConfig

func TraderConfig(live bool) mlmodel.Trader

func WithConfig

func WithConfig(coin map[model.Coin]bool) *mlmodel.Config

Types

type Collect

type Collect func(trade *model.TradeSignal) []float64

var CollectStats Collect = func(trade *model.TradeSignal) []float64 {

	trend := 100 * trade.Tick.StatsData.Trend.Price / trade.Tick.Price
	std := trade.Tick.StatsData.Std.Price / trade.Tick.Price
	volume := trade.Tick.StatsData.Std.Volume / trade.Tick.Volume
	size := float64(trade.Meta.Size)
	buyEvents := trade.Tick.StatsData.Buy.Count / size
	sellEvents := trade.Tick.StatsData.Sell.Count / size
	buyVolume := trade.Tick.StatsData.Buy.Volume / trade.Tick.Volume
	sellVolume := trade.Tick.StatsData.Sell.Volume / trade.Tick.Volume
	return []float64{trend, std, volume, buyVolume, buyEvents, sellVolume, sellEvents, size, trade.Tick.Price}
}

var Trend Collect = func(trade *model.TradeSignal) []float64 {

	trend := 100 * trade.Tick.StatsData.Trend.Price / trade.Tick.Price
	return []float64{trend, trade.Tick.Price}
}

type Collector

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

Collector collects trade stats based on the collector functions it groups previous trade stats, so we can join the previous and next stats and can effectively train a model

func NewCollector

func NewCollector(shard storage.Shard, config mlmodel.Config, in, out Collect) (*Collector, error)

type Performance

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

func (Performance) String

func (p Performance) String() string

func (Performance) Value

func (p Performance) Value(lazy bool) float64

type Tracker

type Tracker struct {
	Buffer      *buffer.MultiBuffer
	Performance map[mlmodel.Detail]Performance
	Prediction  map[mlmodel.Detail][][]float64
}