valentineus/overnight-trading-bot
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fourth version
Deploy / Test, build and deploy (push) Failing after 3m7s
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This commit is contained in:
Valentin Popov
2026-06-08 07:36:52 +00:00
parent 52a935b8b4
commit b9efa98758
20 changed files with 824 additions and 91 deletions
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internal/features/pipeline.go
+22 -3
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@@ -40,7 +40,8 @@ func NewPipeline(repo repository.Repository, cfg PipelineConfig) Pipeline {
func (p Pipeline) Recompute(ctx context.Context, instrument domain.Instrument, tradeDate time.Time, spread SpreadResult) (domain.FeatureSet, error) {
from := tradeDate.AddDate(0, 0, -p.cfg.RollingLong-5)
candles, err := p.repo.ListDailyCandles(ctx, instrument.InstrumentUID, from, tradeDate)
to := dateOnly(tradeDate).AddDate(0, 0, -1)
candles, err := p.repo.ListDailyCandles(ctx, instrument.InstrumentUID, from, to)
if err != nil {
return domain.FeatureSet{}, err
}
@@ -74,8 +75,9 @@ func (p Pipeline) intervalVolume(ctx context.Context, instrument domain.Instrume
if lookback <= 0 {
lookback = defaultIntervalVolumeLookback
}
from := window.Start.On(date.AddDate(0, 0, -lookback), loc).UTC()
to := window.End.On(date, loc).UTC()
toDate := dateOnly(date).AddDate(0, 0, -1)
from := window.Start.On(toDate.AddDate(0, 0, -lookback+1), loc).UTC()
to := window.End.On(toDate, loc).UTC()
candles, err := p.repo.ListMinuteCandles(ctx, instrument.InstrumentUID, from, to)
if err != nil {
return decimal.Zero, err
@@ -84,6 +86,7 @@ func (p Pipeline) intervalVolume(ctx context.Context, instrument domain.Instrume
}
func Compute(instrument domain.Instrument, candles []domain.Candle, tradeDate time.Time, spread SpreadResult, cfg PipelineConfig, entryVolume, exitVolume decimal.Decimal) (domain.FeatureSet, error) {
candles = historicalDailyCandles(candles, tradeDate)
if len(candles) < 2 {
return domain.FeatureSet{}, fmt.Errorf("need at least 2 candles, got %d", len(candles))
}
@@ -138,6 +141,22 @@ func Compute(instrument domain.Instrument, candles []domain.Candle, tradeDate ti
}, nil
}
func historicalDailyCandles(candles []domain.Candle, tradeDate time.Time) []domain.Candle {
tradeDay := dateOnly(tradeDate)
out := make([]domain.Candle, 0, len(candles))
for _, candle := range candles {
if dateOnly(candle.TradeDate).Before(tradeDay) {
out = append(out, candle)
}
}
return out
}
func dateOnly(ts time.Time) time.Time {
year, month, day := ts.UTC().Date()
return time.Date(year, month, day, 0, 0, 0, 0, time.UTC)
}
func IntervalVolume(candles []domain.Candle, lot int64) decimal.Decimal {
if lot <= 0 {
return decimal.Zero