Easier TaLib integration 3

docs/THIRDPARTY.adoc

@@ -1,6 +1,6 @@
 = Third Party Open Source
 
-_Roboquant_ couldn't have been developed without the use of free and open source third party software. This document list some great open software libraries and other artefacts used in roboquant.
+_Roboquant_ couldn't have been developed without the use of free and open source third party software. This document lists some great open software libraries and other artefacts used in roboquant.
 
 == Software
 * https://kotlinlang.org[Kotlin]: modern, concise and safe programming language that makes writing code a joy.

docs/TODO.adoc

@@ -20,7 +20,7 @@ Version 0.8 is all about making sure that (back-)testing works, and the most com
 * [x] Add documentation on how to install and get started
 * [x] Support for advanced order types
 * [x] Add info on key design concepts behind the software, so it becomes easier to contribute
-* [x] Bring back Interactive Brokers integration. The code was already developed but due to license restrictions the TwsApi.jar file could not be included with roboquant.
+* [x] Bring back Interactive Brokers integration. The code was already developed, but due to license restrictions the TwsApi.jar file could not be included with roboquant.
 * [x] See how to best fit crypto trading with current account structure
 
 == Version 0.9.x (2022)
@@ -51,6 +51,6 @@ The topics mentioned here are some of the ideas for the future releases:
 * [ ] More ready-to-use strategies out of the box
 * [ ] Add more advanced slippage- and fee-models
 * [ ] More complex deep learning strategies
-* [ ] Right now messages and formats support English format only, add L10N/I18N support
+* [ ] Right now messages support the English format only, add L10N/I18N support
 * [ ] Make video(s) that show the steps to develop and test your own strategies
 * [ ] Come up with a way users can easily share strategies, code snippets and other best practices

roboquant-ta/src/main/kotlin/org/roboquant/ta/RSIStrategy.kt

@@ -56,17 +56,21 @@ class RSIStrategy(
      * @see RecordingStrategy.generate
      */
     override fun generate(event: Event): List<Signal> {
-        history.addAll(event, windowSize + 1, "CLOSE")
+        history.addAll(event, 1, "CLOSE")
         val result = mutableListOf<Signal>()
         for (asset in event.prices.keys) {
             val data = history.getValue(asset)
-            if (data.isFull()) {
-                val rsi = taLib.rsi(data.toDoubleArray(), windowSize)
-                record(asset.symbol, rsi)
-                if (rsi > highThreshold)
-                    result.add(Signal(asset, Rating.SELL))
-                else if (rsi < lowThreshold)
-                    result.add(Signal(asset, Rating.BUY))
+            try {
+                if (data.isFull()) {
+                    val rsi = taLib.rsi(data.toDoubleArray(), windowSize)
+                    record(asset.symbol, rsi)
+                    if (rsi > highThreshold)
+                        result.add(Signal(asset, Rating.SELL))
+                    else if (rsi < lowThreshold)
+                        result.add(Signal(asset, Rating.BUY))
+                }
+            } catch (ex: InsufficientData) {
+                data.increaeseCapacity(ex.minSize)
             }
         }
         return result

roboquant-ta/src/main/kotlin/org/roboquant/ta/TaLibIndicator.kt

@@ -68,7 +68,7 @@ class TaLibIndicator  (
          * Return a `Relative Strength Indicator` for the provided [barCount]
          */
         fun rsi(barCount: Int = 10) : TaLibIndicator {
-            return TaLibIndicator() {
+            return TaLibIndicator {
                 mapOf("rsi$barCount" to rsi(it, barCount))
             }
         }
@@ -77,7 +77,7 @@ class TaLibIndicator  (
          * Return a `Bollinger Bands` Indicator for the provided [barCount]
          */
         fun bbands(barCount: Int = 10) : TaLibIndicator {
-            return TaLibIndicator() {
+            return TaLibIndicator {
                 val (high, mid, low) = bbands(it, barCount)
                 val prefix = "bb$barCount"
                 mapOf("$prefix.low" to low, "$prefix.high" to high, "$prefix.mid" to mid)
@@ -88,7 +88,7 @@ class TaLibIndicator  (
          * Return an `Exponential Moving Average` Indicator for the provided [barCount]
          */
         fun ema(barCount: Int = 10) : TaLibIndicator {
-            return TaLibIndicator() {
+            return TaLibIndicator {
                 mapOf("ema$barCount" to ema(it, barCount))
             }
         }
@@ -97,7 +97,7 @@ class TaLibIndicator  (
          * Return a `Simple Moving Average` Indicator for the provided [barCount]
          */
         fun sma(barCount: Int = 10) : TaLibIndicator {
-            return TaLibIndicator() {
+            return TaLibIndicator {
                 mapOf("sma$barCount" to sma(it, barCount))
             }
         }
@@ -106,7 +106,7 @@ class TaLibIndicator  (
          * Return a `Money Flow In` Indicator for the provided [barCount]
          */
         fun mfi(barCount: Int = 10) : TaLibIndicator {
-            return TaLibIndicator() {
+            return TaLibIndicator {
                 mapOf("mfi$barCount" to mfi(it, barCount))
             }
         }
@@ -115,7 +115,7 @@ class TaLibIndicator  (
          * Return a `Stochastic` Indicator for the provided periods
          */
         fun stochastic(fastKPeriod: Int = 5, slowKPeriod: Int = 3, slowDPeriod : Int = slowKPeriod) : TaLibIndicator {
-            return TaLibIndicator() {
+            return TaLibIndicator {
                 val (d, k) = stoch(it, fastKPeriod, slowKPeriod, slowDPeriod = slowDPeriod)
                 mapOf("stochatic.d" to d, "stochatic.k" to k)
             }

roboquant-ta/src/main/kotlin/org/roboquant/ta/TaLibMetric.kt

@@ -40,7 +40,6 @@ class TaLibMetric(
 
     private val buffers = mutableMapOf<Asset, PriceBarSerie>()
     private val taLib = TaLib()
-    // private val logger: Logger = Logging.getLogger(TALibMetric::class)
 
     /**
      * @see Metric.calculate

roboquant-ta/src/main/kotlin/org/roboquant/ta/TaLibSignalStrategy.kt

@@ -55,7 +55,7 @@ class TaLibSignalStrategy(
          * Breakout strategy that supports different entry and exit periods
          */
         fun breakout(entryPeriod: Int = 100, exitPeriod: Int = 50): TaLibSignalStrategy {
-            return TaLibSignalStrategy() { asset, series ->
+            return TaLibSignalStrategy { asset, series ->
                 when {
                     recordHigh(series.high, entryPeriod) -> Signal(asset, Rating.BUY, SignalType.BOTH)
                     recordLow(series.low, entryPeriod) -> Signal(asset, Rating.SELL, SignalType.BOTH)
@@ -72,7 +72,7 @@ class TaLibSignalStrategy(
          */
         fun macd(): TaLibSignalStrategy {
 
-            val strategy = TaLibSignalStrategy() { asset, prices ->
+            val strategy = TaLibSignalStrategy { asset, prices ->
                 val (_, _, diff) = macd(prices, 12, 26, 9)
                 val (_, _, diff2) = macd(prices, 12, 26, 9, 1)
                 when {

roboquant/src/main/kotlin/org/roboquant/brokers/sim/PercentageFeeModel.kt

@@ -21,7 +21,8 @@ import java.time.Instant
 import kotlin.math.absoluteValue
 
 /**
- * Fee model using a fixed percentage fee of total absolute value of the execution.
+ * The PercentageFeeModel defines a percentage of total value as the fee. For every trade it will calculate to the
+ * total value and then use the [feePercentage] as the fee.
  *
  * @property feePercentage fee as a percentage of total execution cost, 0.01 = 1%. Default is 0.0
  * @constructor Create a new percentage fee model

roboquant/src/main/kotlin/org/roboquant/common/TimePeriod.kt

@@ -14,6 +14,8 @@
  * limitations under the License.
  */
 
+@file:Suppress("unused")
+
 package org.roboquant.common
 
 import java.time.*
@@ -27,6 +29,7 @@ private fun createDuration(hours: Int, minutes: Int, seconds: Int, nanos: Long):
     return result
 }
 
+
 @Deprecated("Renamed to TimePeriod", ReplaceWith("TimePeriod","org.roboquant.common.TimePeriod"))
 typealias TradingPeriod=TimePeriod