[add] 新增roll和bolladxema策略
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89
config/bolladxema.yaml
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89
config/bolladxema.yaml
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@ -0,0 +1,89 @@
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persistence:
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json:
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directory: var/data
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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sessions:
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binance:
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exchange: binance
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envVarPrefix: BINANCE
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futures: true
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exchangeStrategies:
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- on: binance
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bolladxema:
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dryRun: false
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symbol: BTCUSDT
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interval: 5m
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leverage: 100.0
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enableADX: true
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adxHSingle: 40.0
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adxMSingle: 30.0
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adxLSingle: 25.0
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longCCI: -180.0
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shortCCI: 180.0
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amount: 12.0
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enablePause: false
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tradeStartHour: 0
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tradeEndHour: 0
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pauseTradeLoss: -10.0
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# 1:ATR 0:range
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profitType: 0
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profitHRange: 0.8%
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lossHRange: 0.5%
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profitMRange: 0.5%
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lossMRange: 0.5%
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profitLRange: 0.3%
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lossLRange: 0.3%
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atrProfitMultiple: 1.5
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atrLossMultiple: 1.5
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placeOrderType: 0
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stageHalfAmount:
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- 40
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- 60
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- 120.0
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- 360.0
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- 1080.0
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- 3240.0
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- 9720.0
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- 29160.0
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- 87480.0
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- 262440.0
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- 787320.0
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- 2361960.0
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- 7085880.0
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- 21257640.0
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bollinger:
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interval: "5m"
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window: 21
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bandWidth: 2.0
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emaSetting:
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interval: "5m"
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window: 20
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adxSetting:
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interval: "5m"
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window: 14
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atrSetting:
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interval: "5m"
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window: 14
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cciSetting:
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interval: "5m"
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window: 20
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backtest:
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startTime: "2022-01-01"
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endTime: "2025-03-01"
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symbols:
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- BTCUSDT
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sessions: [ binance ]
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# syncSecKLines: true
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accounts:
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binance:
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makerFeeRate: 0.02%
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takerFeeRate: 0.05%
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balances:
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BTC: 0.0
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USDT: 20.0
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71
config/roll.yaml
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71
config/roll.yaml
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@ -0,0 +1,71 @@
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persistence:
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json:
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directory: var/data
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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sessions:
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binance:
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exchange: binance
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envVarPrefix: BINANCE
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futures: true
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exchangeStrategies:
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- on: binance
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roll:
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symbol: BTCUSDT
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interval: 5m
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leverage: 100.0
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nrInterval: 5m
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cciInterval: 5m
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atrInterval: 5m
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nrCount: 4
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StrictMode: false
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longCCI: -180.0
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shortCCI: 180.0
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cciWindow: 20
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ATRWindow: 14
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tradeStartHour: 0
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tradeEndHour: 0
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pauseTradeLoss: -10.0
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enablePause: false
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dryRun: false
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placePriceType: 1
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profitOrderType: 0
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lossType: 0
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profitRange: 0.3%
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lossRange: 0.5%
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atrProfitRange: 1.0
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atrLossRange: 2.0
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midPriceRange: 0.003
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amount: 78.0
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stageHalfAmount:
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- 360.0
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- 1080.0
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- 3240.0
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- 9720.0
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- 29160.0
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- 87480.0
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- 262440.0
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- 787320.0
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- 2361960.0
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- 7085880.0
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- 21257640.0
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backtest:
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startTime: "2022-01-01"
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endTime: "2025-03-01"
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symbols:
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- BTCUSDT
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sessions: [binance]
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# syncSecKLines: true
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accounts:
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binance:
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makerFeeRate: 0.02%
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takerFeeRate: 0.05%
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balances:
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BTC: 0.0
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USDT: 20.0
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@ -6,6 +6,7 @@ import (
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_ "git.qtrade.icu/lychiyu/bbgo/pkg/strategy/audacitymaker"
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_ "git.qtrade.icu/lychiyu/bbgo/pkg/strategy/autoborrow"
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_ "git.qtrade.icu/lychiyu/bbgo/pkg/strategy/autobuy"
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_ "git.qtrade.icu/lychiyu/bbgo/pkg/strategy/bolladxema"
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_ "git.qtrade.icu/lychiyu/bbgo/pkg/strategy/bollgrid"
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_ "git.qtrade.icu/lychiyu/bbgo/pkg/strategy/bollmaker"
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_ "git.qtrade.icu/lychiyu/bbgo/pkg/strategy/convert"
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@ -34,6 +35,7 @@ import (
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_ "git.qtrade.icu/lychiyu/bbgo/pkg/strategy/pricedrop"
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_ "git.qtrade.icu/lychiyu/bbgo/pkg/strategy/random"
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_ "git.qtrade.icu/lychiyu/bbgo/pkg/strategy/rebalance"
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_ "git.qtrade.icu/lychiyu/bbgo/pkg/strategy/roll"
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_ "git.qtrade.icu/lychiyu/bbgo/pkg/strategy/rsicross"
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_ "git.qtrade.icu/lychiyu/bbgo/pkg/strategy/rsmaker"
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_ "git.qtrade.icu/lychiyu/bbgo/pkg/strategy/schedule"
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702
pkg/strategy/bolladxema/strategy.go
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702
pkg/strategy/bolladxema/strategy.go
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package bolladxema
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import (
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"context"
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"errors"
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"fmt"
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"git.qtrade.icu/lychiyu/bbgo/pkg/bbgo"
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"git.qtrade.icu/lychiyu/bbgo/pkg/exchange/binance"
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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indicatorv2 "git.qtrade.icu/lychiyu/bbgo/pkg/indicator/v2"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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"github.com/sirupsen/logrus"
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"strconv"
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"strings"
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"sync"
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"time"
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)
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/*
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布林带+ADX+EMA策略
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1. 布林带，判断是否在布林带内，在布林带上，做多，在布林带下，做空。
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2. ADX，判断是否在ADX区间内，在区间内，做多，在区间外，做空。
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3. EMA，判断是否在EMA区间内，在区间内，做多，在区间外，做空。
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4. 默认开仓量，默认止盈止损。
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*/
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const ID = "bolladxema"
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var log = logrus.WithField("strategy", ID)
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var ten = fixedpoint.NewFromInt(10)
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var Two = fixedpoint.NewFromInt(2)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type State struct {
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Counter int `json:"counter,omitempty"`
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}
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type BollingerSetting struct {
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types.IntervalWindow
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BandWidth float64 `json:"bandWidth"`
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}
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type Strategy struct {
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Environment *bbgo.Environment
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Market types.Market
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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exchange *binance.Exchange
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// persistence fields
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Position *types.Position `persistence:"position"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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TradeStats *types.TradeStats `persistence:"trade_stats"`
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DryRun bool `json:"dryRun"`
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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Leverage fixedpoint.Value `json:"leverage,omitempty"`
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ProfitType int `json:"profitType"`
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PlaceOrderType int `json:"placeOrderType"`
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EnablePause bool `json:"enablePause"`
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TradeStartHour int `json:"tradeStartHour"`
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TradeEndHour int `json:"tradeEndHour"`
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PauseTradeLoss fixedpoint.Value `json:"pauseTradeLoss"`
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ProfitHRange fixedpoint.Value `json:"profitHRange"`
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LossHRange fixedpoint.Value `json:"lossHRange"`
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ProfitMRange fixedpoint.Value `json:"profitMRange"`
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LossMRange fixedpoint.Value `json:"lossMRange"`
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ProfitLRange fixedpoint.Value `json:"profitLRange"`
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LossLRange fixedpoint.Value `json:"lossLRange"`
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AtrProfitMultiple float64 `json:"atrProfitMultiple"`
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AtrLossMultiple float64 `json:"atrLossMultiple"`
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EnableADX bool `json:"enableADX"`
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ADXHSingle float64 `json:"adxHSingle"`
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ADXMSingle float64 `json:"adxMSingle"`
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ADXLSingle float64 `json:"adxLSingle"`
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LongCCI fixedpoint.Value `json:"longCCI"`
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ShortCCI fixedpoint.Value `json:"shortCCI"`
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State *State `persistence:"state"`
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Bollinger *BollingerSetting `json:"bollinger"`
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EMASetting types.IntervalWindow `json:"emaSetting"`
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ADXSetting types.IntervalWindow `json:"adxSetting"`
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ATRSetting types.IntervalWindow `json:"atrSetting"`
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CCISetting types.IntervalWindow `json:"cciSetting"`
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StageHalfAmount []fixedpoint.Value `json:"stageHalfAmount"`
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bbgo.QuantityOrAmount
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// 当前的盈利阶段
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CurrentStage int
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Traded bool
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TradeSignal string
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TradeRetry int
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PauseTradeCount fixedpoint.Value
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// 最近一次暂停交易的时间
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PauseTradeTime time.Time
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// 总盈利
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TotalProfit fixedpoint.Value
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// 总手续费
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TotalFree fixedpoint.Value
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// 总交易次数
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TotalOrderCount int
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TotalProfitCount int
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TotalLossCount int
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LongOrder types.SubmitOrder
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LongProfitOrder types.SubmitOrder
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LongLossOrder types.SubmitOrder
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ShortOrder types.SubmitOrder
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ShortProfitOrder types.SubmitOrder
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ShortLossOrder types.SubmitOrder
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// 开仓
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OpenTrade []types.Trade
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// 清仓
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EndTrade []types.Trade
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OpenQuantity fixedpoint.Value
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EndQuantity fixedpoint.Value
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ADX *indicatorv2.ADXStream
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EMA *indicatorv2.EWMAStream
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BOLL *indicatorv2.BOLLStream
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ATR *indicatorv2.ATRStream
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CCI *indicatorv2.CCIStream
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bbgo.StrategyController
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}
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func (s *Strategy) Defaults() error {
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s.PauseTradeCount = fixedpoint.Zero
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s.TotalProfit = fixedpoint.Zero
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s.TotalFree = fixedpoint.Zero
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s.OpenQuantity = fixedpoint.Zero
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s.EndQuantity = fixedpoint.Zero
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s.PauseTradeTime = time.Now().Add(-24 * time.Hour)
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s.TradeRetry = 0
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s.Traded = false
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s.TradeSignal = ""
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return nil
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}
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// ID should return the identity of this strategy
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) InstanceID() string {
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return ID + ":" + s.Symbol
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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if s.Bollinger != nil && s.Bollinger.Interval != "" && s.Bollinger.Interval != s.Interval {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Bollinger.Interval})
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}
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if s.EMASetting.Interval != "" && s.EMASetting.Interval != s.Interval {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.EMASetting.Interval})
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}
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if s.ADXSetting.Interval != "" && s.ADXSetting.Interval != s.Interval {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.ADXSetting.Interval})
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}
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if s.ATRSetting.Interval != "" && s.ATRSetting.Interval != s.Interval {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.ATRSetting.Interval})
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}
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if !bbgo.IsBackTesting {
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session.Subscribe(types.BookTickerChannel, s.Symbol, types.SubscribeOptions{})
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}
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}
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func (s *Strategy) cancelOrders(ctx context.Context, symbol string) {
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if len(s.orderExecutor.ActiveMakerOrders().Orders()) <= 0 {
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return
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}
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log.Infof(fmt.Sprintf("[%s] the order is not filled, will cancel all orders", symbol))
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if err := s.orderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("failed to cancel orders")
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}
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s.Traded = false
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s.TradeSignal = ""
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s.TradeRetry = 0
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}
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func (s *Strategy) isTradeTime(ctx context.Context) bool {
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// 如果时间一致则表示不限制交易时间
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if s.TradeEndHour == s.TradeStartHour {
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return true
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}
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location, err := time.LoadLocation("Asia/Shanghai")
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if err != nil {
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return false
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}
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now := time.Now().In(location)
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hour := now.Hour()
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return !(hour >= s.TradeStartHour && hour < s.TradeEndHour)
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}
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func (s *Strategy) isPauseTrade(ctx context.Context) bool {
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if !s.EnablePause {
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return false
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}
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// 被暂停次数不为0，且最近一次的暂停时间和今天一致，则表示暂停
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if s.PauseTradeCount != fixedpoint.Zero && s.PauseTradeTime.Day() == time.Now().Day() {
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return true
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}
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// 总收益大于(暂停次数+1)*暂停亏损，则表示暂停
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if s.TotalProfit < s.PauseTradeLoss.Mul(s.PauseTradeCount.Add(fixedpoint.One)) {
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s.PauseTradeCount.Add(fixedpoint.One)
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s.PauseTradeTime = time.Now()
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return true
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}
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return false
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}
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func (s *Strategy) setInitialLeverage(ctx context.Context) error {
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log.Infof("setting futures leverage to %d", s.Leverage.Int()+1)
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var ok bool
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s.exchange, ok = s.session.Exchange.(*binance.Exchange)
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if !ok {
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return errors.New("not binance exchange, currently only support binance exchange")
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}
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futuresClient := s.exchange.GetFuturesClient()
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req := futuresClient.NewFuturesChangeInitialLeverageRequest()
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req.Symbol(s.Symbol)
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req.Leverage(s.Leverage.Int() + 1)
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resp, err := req.Do(ctx)
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if err != nil {
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return err
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}
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log.Infof("adjusted initial leverage: %+v", resp)
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return nil
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}
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func (s *Strategy) GetTradeSignal(k types.KLine, adx, bollUp, bollDown, ema, cciV float64) string {
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if k.High.Float64() >= bollUp && k.Low.Float64() <= bollDown {
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// k线跨越布林带，不入场
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return ""
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}
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// 小于最小ADX信号
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if s.EnableADX && adx < s.ADXLSingle {
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return ""
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}
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if k.Open >= k.Close && k.Low.Float64() <= bollDown && k.High.Float64() >= bollDown && k.Close.Float64() <= ema && cciV <= s.LongCCI.Float64() {
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// k线收跌，且触及下轨，但是最高价会在下轨上，并小于ema，开多
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return "long"
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}
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if k.Open <= k.Close && k.High.Float64() >= bollUp && k.Low.Float64() <= bollUp && k.Close.Float64() >= ema && cciV >= s.ShortCCI.Float64() {
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// k线收涨，且触及上轨，但是最高价会在上轨下，并大于ema，开空
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return "short"
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}
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return ""
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}
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func (s *Strategy) generateOrders(k types.KLine, bollDiff, adx float64) ([]types.SubmitOrder, error) {
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var orders []types.SubmitOrder
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symbol := k.Symbol
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// 止盈订单类型
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profitOrderType := types.OrderTypeTakeProfitMarket
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// 止损订单类型
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lossOrderType := types.OrderTypeStopMarket
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if s.PlaceOrderType == 1 {
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profitOrderType = types.OrderTypeStopMarket
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}
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if bbgo.IsBackTesting {
|
||||
profitOrderType = types.OrderTypeStopLimit
|
||||
lossOrderType = types.OrderTypeStopLimit
|
||||
}
|
||||
|
||||
// 下单价格
|
||||
placePrice := k.Close
|
||||
// 计算止损止盈价格，以ATR为基准或者固定百分比
|
||||
lossPrice := fixedpoint.Zero
|
||||
profitPrice := fixedpoint.Zero
|
||||
lastATR, err := strconv.ParseFloat(strconv.FormatFloat(s.ATR.Last(0), 'f', 6, 64), 64)
|
||||
|
||||
if err != nil {
|
||||
log.WithError(err).Error("failed parse atr last value float")
|
||||
lastATR = 0.0
|
||||
}
|
||||
|
||||
// 依据不同的adx来设置止盈止损
|
||||
profitRange := s.ProfitLRange
|
||||
lossRange := s.LossLRange
|
||||
if adx >= s.ADXHSingle {
|
||||
profitRange = s.ProfitHRange
|
||||
lossRange = s.LossHRange
|
||||
} else if adx >= s.ADXMSingle {
|
||||
profitRange = s.ProfitMRange
|
||||
lossRange = s.LossMRange
|
||||
}
|
||||
|
||||
//if bollDiff >= 0.03 {
|
||||
// profitRange = profitRange.Mul(fixedpoint.NewFromFloat(1.5))
|
||||
//}
|
||||
if s.TradeSignal == "long" {
|
||||
// 做多
|
||||
if s.ProfitType == 0 || s.ATR.Last(0) == 0.0 {
|
||||
lossPrice = placePrice.Mul(fixedpoint.One.Sub(lossRange))
|
||||
profitPrice = placePrice.Mul(fixedpoint.One.Add(profitRange))
|
||||
} else {
|
||||
lossPrice = placePrice.Sub(fixedpoint.Value(1e8 * lastATR * s.AtrLossMultiple))
|
||||
profitPrice = placePrice.Add(fixedpoint.Value(1e8 * lastATR * s.AtrProfitMultiple))
|
||||
}
|
||||
} else {
|
||||
//做空
|
||||
if s.ProfitType == 0 || s.ATR.Last(0) == 0.0 {
|
||||
lossPrice = placePrice.Mul(fixedpoint.One.Add(lossRange))
|
||||
profitPrice = placePrice.Mul(fixedpoint.One.Sub(profitRange))
|
||||
} else {
|
||||
lossPrice = placePrice.Add(fixedpoint.Value(1e8 * lastATR * s.AtrLossMultiple))
|
||||
profitPrice = placePrice.Sub(fixedpoint.Value(1e8 * lastATR * s.AtrProfitMultiple))
|
||||
}
|
||||
}
|
||||
|
||||
// 下单数量
|
||||
placeQuantity := s.QuantityOrAmount.CalculateQuantity(placePrice).Mul(s.Leverage)
|
||||
msg := fmt.Sprintf("%v, will place order, amount %v, price %v, quantity %v, lossprice %v, profitprice: %v, atr: %v", s.Symbol,
|
||||
s.QuantityOrAmount.Amount.Float64(), placePrice.Float64(), placeQuantity.Float64(), lossPrice.Float64(), profitPrice.Float64(),
|
||||
lastATR)
|
||||
bbgo.Notify(msg)
|
||||
|
||||
s.ShortOrder = types.SubmitOrder{
|
||||
Symbol: symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Type: types.OrderTypeLimit,
|
||||
Price: placePrice,
|
||||
PositionSide: types.PositionSideTypeShort,
|
||||
Quantity: placeQuantity,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
}
|
||||
|
||||
s.ShortProfitOrder = types.SubmitOrder{
|
||||
Symbol: symbol,
|
||||
Side: types.SideTypeBuy,
|
||||
Type: profitOrderType,
|
||||
PositionSide: types.PositionSideTypeShort,
|
||||
StopPrice: profitPrice,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
ClosePosition: true,
|
||||
}
|
||||
|
||||
s.ShortLossOrder = types.SubmitOrder{
|
||||
Symbol: symbol,
|
||||
Side: types.SideTypeBuy,
|
||||
Type: lossOrderType,
|
||||
PositionSide: types.PositionSideTypeShort,
|
||||
StopPrice: lossPrice,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
ClosePosition: true,
|
||||
}
|
||||
|
||||
s.LongOrder = types.SubmitOrder{
|
||||
Symbol: symbol,
|
||||
Side: types.SideTypeBuy,
|
||||
Type: types.OrderTypeLimit,
|
||||
Price: placePrice,
|
||||
PositionSide: types.PositionSideTypeLong,
|
||||
Quantity: placeQuantity,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
}
|
||||
|
||||
s.LongProfitOrder = types.SubmitOrder{
|
||||
Symbol: symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Type: profitOrderType,
|
||||
PositionSide: types.PositionSideTypeLong,
|
||||
StopPrice: profitPrice,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
ClosePosition: true,
|
||||
}
|
||||
|
||||
s.LongLossOrder = types.SubmitOrder{
|
||||
Symbol: symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Type: lossOrderType,
|
||||
PositionSide: types.PositionSideTypeLong,
|
||||
StopPrice: lossPrice,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
ClosePosition: true,
|
||||
}
|
||||
|
||||
if s.TradeSignal == "short" {
|
||||
// 挂空单
|
||||
orders = append(orders, s.ShortOrder)
|
||||
// 空单止盈
|
||||
orders = append(orders, s.ShortProfitOrder)
|
||||
// 空单止损
|
||||
orders = append(orders, s.ShortLossOrder)
|
||||
}
|
||||
|
||||
if s.TradeSignal == "long" {
|
||||
// 挂多单
|
||||
orders = append(orders, s.LongOrder)
|
||||
// 多单止盈
|
||||
orders = append(orders, s.LongProfitOrder)
|
||||
// 多单止损
|
||||
orders = append(orders, s.LongLossOrder)
|
||||
}
|
||||
|
||||
return orders, nil
|
||||
|
||||
}
|
||||
|
||||
func (s *Strategy) placeOrders(ctx context.Context, k types.KLine, bollDiff, adx float64) {
|
||||
if s.TradeSignal == "" {
|
||||
return
|
||||
}
|
||||
symbol := k.Symbol
|
||||
orders, err := s.generateOrders(k, bollDiff, adx)
|
||||
if err != nil {
|
||||
log.WithError(err).Error(fmt.Sprintf("failed to generate orders (%s)", symbol))
|
||||
return
|
||||
}
|
||||
log.Infof("orders: %+v", orders)
|
||||
|
||||
if s.DryRun {
|
||||
log.Infof("dry run, not submitting orders (%s)", symbol)
|
||||
return
|
||||
}
|
||||
|
||||
createdOrders, err := s.orderExecutor.SubmitOrders(ctx, orders...)
|
||||
if err != nil {
|
||||
log.WithError(err).Error(fmt.Sprintf("failed to submit orders (%s)", symbol))
|
||||
return
|
||||
}
|
||||
log.Infof("created orders (%s): %+v", symbol, createdOrders)
|
||||
return
|
||||
}
|
||||
|
||||
func (s *Strategy) notifyProfit(ctx context.Context, symbol string) {
|
||||
if s.EndQuantity != s.OpenQuantity {
|
||||
return
|
||||
}
|
||||
profit := fixedpoint.Zero
|
||||
openProfit := fixedpoint.Zero
|
||||
endProfit := fixedpoint.Zero
|
||||
free := fixedpoint.Zero
|
||||
|
||||
var openMsgs []string
|
||||
var endMsgs []string
|
||||
// 开仓成本
|
||||
for _, trade := range s.OpenTrade {
|
||||
openProfit = openProfit.Add(trade.Price.Mul(trade.Quantity))
|
||||
free = free.Add(trade.Fee)
|
||||
openMsgs = append(openMsgs, fmt.Sprintf("price：%v, quantity：%v, fee：%v；",
|
||||
trade.Price.Float64(), trade.Quantity.Float64(), trade.Fee.Float64()))
|
||||
}
|
||||
|
||||
// 清仓资产
|
||||
for _, trade := range s.EndTrade {
|
||||
endProfit = endProfit.Add(trade.Price.Mul(trade.Quantity))
|
||||
free = free.Add(trade.Fee)
|
||||
endMsgs = append(endMsgs, fmt.Sprintf("price：%v, quantity：%v, fee：%v；",
|
||||
trade.Price.Float64(), trade.Quantity.Float64(), trade.Fee.Float64()))
|
||||
}
|
||||
|
||||
side := s.OpenTrade[0].Side
|
||||
// 做多
|
||||
if side == types.SideTypeBuy {
|
||||
profit = endProfit.Sub(openProfit).Sub(free)
|
||||
}
|
||||
|
||||
// 做空
|
||||
if side == types.SideTypeSell {
|
||||
profit = openProfit.Sub(endProfit).Sub(free)
|
||||
}
|
||||
|
||||
msg := fmt.Sprintf("Trade finish：\n symbol: %s, signal：%v, profit：%v, fee：%v \n Trade details：\n OpenTrade：\n %s\n CloseTrade：\n %s",
|
||||
symbol, s.TradeSignal, profit.Float64(), free.Float64(), strings.Join(openMsgs, "\n"), strings.Join(endMsgs, "\n"))
|
||||
|
||||
s.updateAmount(ctx, profit)
|
||||
s.TotalProfit = s.TotalProfit.Add(profit)
|
||||
s.TotalFree = s.TotalFree.Add(free)
|
||||
s.TotalOrderCount += 1
|
||||
if profit > fixedpoint.Zero {
|
||||
s.TotalProfitCount += 1
|
||||
} else {
|
||||
s.TotalLossCount += 1
|
||||
}
|
||||
|
||||
log.Infof(msg)
|
||||
bbgo.Notify(msg)
|
||||
|
||||
// 重置
|
||||
s.OpenTrade = []types.Trade{}
|
||||
s.EndTrade = []types.Trade{}
|
||||
s.OpenQuantity = fixedpoint.Zero
|
||||
s.EndQuantity = fixedpoint.Zero
|
||||
|
||||
// 记得取消订单
|
||||
s.cancelOrders(ctx, symbol)
|
||||
|
||||
bbgo.Notify(fmt.Sprintf("%v, Total Count：%v, Profit：%v, Fee：%v, Profit Count：%v, Loss Count：%v", s.Symbol,
|
||||
s.TotalOrderCount, s.TotalProfit.Float64(), s.TotalFree.Float64(), s.TotalProfitCount, s.TotalLossCount))
|
||||
}
|
||||
|
||||
func (s *Strategy) updateAmount(ctx context.Context, profit fixedpoint.Value) {
|
||||
// 更新amount
|
||||
newAmount := s.QuantityOrAmount.Amount.Add(profit)
|
||||
// 如果当前的总金额大于阶梯上的某一个值，则更新为减半
|
||||
if newAmount >= s.StageHalfAmount[s.CurrentStage] {
|
||||
s.QuantityOrAmount.Amount = newAmount.Div(Two)
|
||||
bbgo.Notify(fmt.Sprintf("%v 结余资金：%v", s.Symbol, s.QuantityOrAmount.Amount.Float64()))
|
||||
s.CurrentStage += 1
|
||||
bbgo.Sync(ctx, s)
|
||||
return
|
||||
}
|
||||
s.QuantityOrAmount.Amount = newAmount
|
||||
}
|
||||
|
||||
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
||||
instanceID := s.InstanceID()
|
||||
// Initialize the default value for state
|
||||
if s.State == nil {
|
||||
s.State = &State{Counter: 1}
|
||||
}
|
||||
|
||||
if s.Position == nil {
|
||||
s.Position = types.NewPositionFromMarket(s.Market)
|
||||
}
|
||||
|
||||
if s.ProfitStats == nil {
|
||||
s.ProfitStats = types.NewProfitStats(s.Market)
|
||||
}
|
||||
|
||||
if s.TradeStats == nil {
|
||||
s.TradeStats = types.NewTradeStats(s.Symbol)
|
||||
}
|
||||
|
||||
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
|
||||
s.orderExecutor.BindEnvironment(s.Environment)
|
||||
s.orderExecutor.BindProfitStats(s.ProfitStats)
|
||||
// s.orderExecutor.BindTradeStats(s.TradeStats)
|
||||
s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
||||
bbgo.Sync(ctx, s)
|
||||
})
|
||||
s.orderExecutor.Bind()
|
||||
|
||||
bbgo.Notify("BTC滚仓布林带策略开始运行")
|
||||
|
||||
s.BOLL = session.Indicators(s.Symbol).BOLL(s.Bollinger.IntervalWindow, s.Bollinger.BandWidth)
|
||||
s.EMA = session.Indicators(s.Symbol).EMA(s.EMASetting)
|
||||
s.ADX = session.Indicators(s.Symbol).ADX(s.ADXSetting.Interval, s.ADXSetting.Window)
|
||||
s.ATR = session.Indicators(s.Symbol).ATR(s.ATRSetting.Interval, s.ATRSetting.Window)
|
||||
s.CCI = session.Indicators(s.Symbol).CCI(s.CCISetting.Interval, s.CCISetting.Window)
|
||||
session.MarketDataStream.OnKLineClosed(func(k types.KLine) {
|
||||
if k.Symbol != s.Symbol {
|
||||
return
|
||||
}
|
||||
adx := s.ADX.Last(0)
|
||||
|
||||
// 小于最小ADX信号
|
||||
if s.EnableADX && adx < s.ADXLSingle {
|
||||
return
|
||||
}
|
||||
|
||||
if !s.isTradeTime(ctx) || s.isPauseTrade(ctx) {
|
||||
//pauseMsg := fmt.Sprintf("暂停交易：总收益：%v, 暂停次数：%v, 暂停时间：%v; 暂停时间段：[%v, %v)",
|
||||
// s.TotalProfit.Float64(), s.PauseTradeCount.Float64(), s.PauseTradeTime, s.TradeStartHour,
|
||||
// s.TradeEndHour)
|
||||
//bbgo.Notify(pauseMsg)
|
||||
return
|
||||
}
|
||||
|
||||
if !s.Traded {
|
||||
// 如若在下一根k线未成交 则取消订单
|
||||
if s.TradeSignal != "" && s.TradeRetry > 1 {
|
||||
bbgo.Notify(fmt.Sprintf("Trade signal not traded, cancel orders: %s", s.Symbol))
|
||||
s.cancelOrders(ctx, s.Symbol)
|
||||
}
|
||||
|
||||
if s.TradeSignal != "" && s.TradeRetry <= 1 {
|
||||
s.TradeRetry = s.TradeRetry + 1
|
||||
}
|
||||
}
|
||||
|
||||
if s.TradeSignal != "" {
|
||||
return
|
||||
}
|
||||
|
||||
bollUp := s.BOLL.UpBand.Last(0)
|
||||
bolldown := s.BOLL.DownBand.Last(0)
|
||||
ema := s.EMA.Last(0)
|
||||
cciV := s.CCI.Last(0)
|
||||
signal := s.GetTradeSignal(k, adx, bollUp, bolldown, ema, cciV)
|
||||
if signal == "" {
|
||||
return
|
||||
}
|
||||
s.TradeSignal = signal
|
||||
msg := fmt.Sprintf("trade singal info, symbol：%s, single %s, time: %s,open：%f，close：%f, high：%f，low:%f, ema: %v, adx: %v, bollUp %f, bollDown %f, cci %f",
|
||||
s.Symbol, signal, k.EndTime, k.Open.Float64(), k.Close.Float64(), k.High.Float64(), k.Low.Float64(), ema, adx, bollUp, bolldown, cciV)
|
||||
bollDiff := (bollUp - bolldown) / bolldown
|
||||
s.placeOrders(ctx, k, bollDiff, adx)
|
||||
bbgo.Notify(msg)
|
||||
})
|
||||
|
||||
session.UserDataStream.OnOrderUpdate(func(order types.Order) {
|
||||
orderSymbol := order.Symbol
|
||||
if orderSymbol != s.Symbol {
|
||||
return
|
||||
}
|
||||
if order.Status == types.OrderStatusFilled {
|
||||
if order.Type == types.OrderTypeLimit && order.Side == types.SideTypeBuy {
|
||||
log.Infof("the long order is filled: %+v,id is %d, symbol is %s, type is %s, status is %s",
|
||||
order, order.OrderID, orderSymbol, order.Type, order.Status)
|
||||
s.Traded = true
|
||||
s.TradeRetry = 0
|
||||
bbgo.Notify("Order traded notify：\n symbol：%s, signal：%s, price：%s, quantity：%s", order.Symbol, s.TradeSignal,
|
||||
order.Price, order.Quantity)
|
||||
}
|
||||
if order.Type == types.OrderTypeLimit && order.Side == types.SideTypeSell {
|
||||
log.Infof("the short order is filled: %+v,id is %d, symbol is %s, type is %s, status is %s",
|
||||
order, order.OrderID, orderSymbol, order.Type, order.Status)
|
||||
s.Traded = true
|
||||
s.TradeRetry = 0
|
||||
bbgo.Notify("Order traded notify：\n symbol：%s, signal：%s, price：%s, quantity：%s", order.Symbol, s.TradeSignal,
|
||||
order.Price, order.Quantity)
|
||||
}
|
||||
|
||||
if order.Type == types.OrderTypeMarket {
|
||||
log.Infof("the loss or profit order is filled: %+v,id is %d, symbol is %s, type is %s, "+
|
||||
"status is %s", order, order.OrderID, orderSymbol, order.Type, order.Status)
|
||||
bbgo.Notify("Order stop profit or loss notify：\n %s", order.Symbol)
|
||||
s.Traded = false
|
||||
s.TradeRetry = 0
|
||||
s.TradeSignal = ""
|
||||
} else {
|
||||
log.Infof("the order is: %+v,id is %d, symbol is %s, type is %s, status is %s",
|
||||
order, order.OrderID, orderSymbol, order.Type, order.Status)
|
||||
}
|
||||
} else if order.Status == types.OrderStatusCanceled {
|
||||
log.Infof("canceled order %+v", order)
|
||||
}
|
||||
})
|
||||
|
||||
session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
|
||||
symbol := trade.Symbol
|
||||
if symbol != s.Symbol {
|
||||
return
|
||||
}
|
||||
if (trade.Side == types.SideTypeBuy && s.TradeSignal == "long") || (trade.Side == types.SideTypeSell && s.TradeSignal == "short") {
|
||||
s.OpenTrade = append(s.OpenTrade, trade)
|
||||
s.OpenQuantity = s.OpenQuantity.Add(trade.Quantity)
|
||||
}
|
||||
if (trade.Side == types.SideTypeSell && s.TradeSignal == "long") || (trade.Side == types.SideTypeBuy && s.TradeSignal == "short") {
|
||||
s.EndTrade = append(s.EndTrade, trade)
|
||||
s.EndQuantity = s.EndQuantity.Add(trade.Quantity)
|
||||
s.notifyProfit(ctx, symbol)
|
||||
}
|
||||
log.Infof("trade: symbol %s, side %s, price %f, fee %f, quantity %f, buyer %v, maker %v",
|
||||
symbol, trade.Side, trade.Price.Float64(), trade.Fee.Float64(), trade.Quantity.Float64(),
|
||||
trade.IsBuyer, trade.IsMaker)
|
||||
})
|
||||
|
||||
s.OnSuspend(func() {
|
||||
// Cancel active orders
|
||||
_ = s.orderExecutor.GracefulCancel(ctx)
|
||||
})
|
||||
|
||||
s.OnEmergencyStop(func() {
|
||||
// Cancel active orders
|
||||
_ = s.orderExecutor.GracefulCancel(ctx)
|
||||
// Close 100% position
|
||||
//_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
})
|
||||
|
||||
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
||||
defer wg.Done()
|
||||
|
||||
if err := s.orderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Error("unable to cancel open orders...")
|
||||
}
|
||||
|
||||
bbgo.Sync(ctx, s)
|
||||
})
|
||||
|
||||
return nil
|
||||
}
|
||||
751
pkg/strategy/roll/strategy.go
Normal file
751
pkg/strategy/roll/strategy.go
Normal file
|
|
@ -0,0 +1,751 @@
|
|||
package roll
|
||||
|
||||
import (
|
||||
"context"
|
||||
"errors"
|
||||
"fmt"
|
||||
"git.qtrade.icu/lychiyu/bbgo/pkg/bbgo"
|
||||
"git.qtrade.icu/lychiyu/bbgo/pkg/exchange/binance"
|
||||
"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
|
||||
indicatorv2 "git.qtrade.icu/lychiyu/bbgo/pkg/indicator/v2"
|
||||
"git.qtrade.icu/lychiyu/bbgo/pkg/types"
|
||||
"github.com/sirupsen/logrus"
|
||||
"strconv"
|
||||
"strings"
|
||||
"sync"
|
||||
"time"
|
||||
)
|
||||
|
||||
const ID = "roll"
|
||||
|
||||
var log = logrus.WithField("strategy", ID)
|
||||
var ten = fixedpoint.NewFromInt(10)
|
||||
var Two = fixedpoint.NewFromInt(2)
|
||||
var Delta = fixedpoint.NewFromFloat(0.00001)
|
||||
|
||||
func init() {
|
||||
bbgo.RegisterStrategy(ID, &Strategy{})
|
||||
}
|
||||
|
||||
type State struct {
|
||||
Counter int `json:"counter,omitempty"`
|
||||
}
|
||||
|
||||
type Strategy struct {
|
||||
Environment *bbgo.Environment
|
||||
Market types.Market
|
||||
|
||||
session *bbgo.ExchangeSession
|
||||
orderExecutor *bbgo.GeneralOrderExecutor
|
||||
|
||||
exchange *binance.Exchange
|
||||
|
||||
// persistence fields
|
||||
Position *types.Position `persistence:"position"`
|
||||
ProfitStats *types.ProfitStats `persistence:"profit_stats"`
|
||||
TradeStats *types.TradeStats `persistence:"trade_stats"`
|
||||
|
||||
Symbol string `json:"symbol"`
|
||||
Interval types.Interval `json:"interval"`
|
||||
Leverage fixedpoint.Value `json:"leverage,omitempty"`
|
||||
NRInterval types.Interval `json:"nrInterval" modifiable:"true"`
|
||||
CCIInterval types.Interval `json:"cciInterval" modifiable:"true"`
|
||||
ATRInterval types.Interval `json:"atrInterval" modifiable:"true"`
|
||||
NrCount int `json:"nrCount" modifiable:"true"`
|
||||
CCIWindow int `json:"cciWindow"`
|
||||
ATRWindow int `json:"atrWindow"`
|
||||
StrictMode bool `json:"strictMode" modifiable:"true"`
|
||||
TradeStartHour int `json:"tradeStartHour"`
|
||||
TradeEndHour int `json:"tradeEndHour"`
|
||||
PauseTradeLoss fixedpoint.Value `json:"pauseTradeLoss"`
|
||||
LongCCI fixedpoint.Value `json:"longCCI"`
|
||||
ShortCCI fixedpoint.Value `json:"shortCCI"`
|
||||
DryRun bool `json:"dryRun"`
|
||||
EnablePause bool `json:"enablePause"`
|
||||
PlacePriceType int `json:"placePriceType"`
|
||||
ProfitOrderType int `json:"profitOrderType"`
|
||||
LossType int `json:"lossType"`
|
||||
ProfitRange fixedpoint.Value `json:"profitRange"`
|
||||
LossRange fixedpoint.Value `json:"lossRange"`
|
||||
MidPriceRange float64 `json:"midPriceRange"`
|
||||
AtrProfitRange float64 `json:"atrProfitRange"`
|
||||
AtrLossRange float64 `json:"atrLossRange"`
|
||||
StageHalfAmount []fixedpoint.Value `json:"stageHalfAmount"`
|
||||
bbgo.QuantityOrAmount
|
||||
|
||||
nr *indicatorv2.NRStrean
|
||||
cci *indicatorv2.CCIStream
|
||||
atr *indicatorv2.ATRStream
|
||||
|
||||
// 当前的盈利阶段
|
||||
CurrentStage int
|
||||
|
||||
Traded bool
|
||||
TradeType string
|
||||
TradeRetry int
|
||||
PauseTradeCount fixedpoint.Value
|
||||
// 最近一次暂停交易的时间
|
||||
PauseTradeTime time.Time
|
||||
// 总盈利
|
||||
TotalProfit fixedpoint.Value
|
||||
// 总手续费
|
||||
TotalFree fixedpoint.Value
|
||||
// 总交易次数
|
||||
TotalOrderCount int
|
||||
TotalProfitCount int
|
||||
TotalLossCount int
|
||||
|
||||
LongOrder types.SubmitOrder
|
||||
LongProfitOrder types.SubmitOrder
|
||||
LongLossOrder types.SubmitOrder
|
||||
ShortOrder types.SubmitOrder
|
||||
ShortProfitOrder types.SubmitOrder
|
||||
ShortLossOrder types.SubmitOrder
|
||||
|
||||
// 开仓
|
||||
OpenTrade []types.Trade
|
||||
// 清仓
|
||||
EndTrade []types.Trade
|
||||
OpenQuantity fixedpoint.Value
|
||||
EndQuantity fixedpoint.Value
|
||||
|
||||
// State is a state of your strategy
|
||||
// When BBGO shuts down, everything in the memory will be dropped
|
||||
// If you need to store something and restore this information back,
|
||||
// Simply define the "persistence" tag
|
||||
State *State `persistence:"state"`
|
||||
|
||||
bbgo.StrategyController
|
||||
|
||||
getLastPrice func() fixedpoint.Value
|
||||
}
|
||||
|
||||
func (s *Strategy) Defaults() error {
|
||||
s.PauseTradeCount = fixedpoint.Zero
|
||||
s.TotalProfit = fixedpoint.Zero
|
||||
s.TotalFree = fixedpoint.Zero
|
||||
s.OpenQuantity = fixedpoint.Zero
|
||||
s.EndQuantity = fixedpoint.Zero
|
||||
s.PauseTradeTime = time.Now().Add(-24 * time.Hour)
|
||||
s.TradeRetry = 0
|
||||
return nil
|
||||
}
|
||||
|
||||
// ID should return the identity of this strategy
|
||||
func (s *Strategy) ID() string {
|
||||
return ID
|
||||
}
|
||||
|
||||
// InstanceID returns the identity of the current instance of this strategy.
|
||||
// You may have multiple instance of a strategy, with different symbols and settings.
|
||||
// This value will be used for persistence layer to separate the storage.
|
||||
//
|
||||
// Run:
|
||||
//
|
||||
// redis-cli KEYS "*"
|
||||
//
|
||||
// And you will see how this instance ID is used in redis.
|
||||
func (s *Strategy) InstanceID() string {
|
||||
return ID + ":" + s.Symbol
|
||||
}
|
||||
|
||||
func (s *Strategy) Initialize() error {
|
||||
return nil
|
||||
}
|
||||
|
||||
// Subscribe method subscribes specific market data from the given session.
|
||||
// Before BBGO is connected to the exchange, we need to collect what we want to subscribe.
|
||||
// Here the strategy needs kline data, so it adds the kline subscription.
|
||||
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
||||
// We want 1m kline data of the symbol
|
||||
// It will be BTCUSDT 1m if our s.Symbol is BTCUSDT
|
||||
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
|
||||
|
||||
if !bbgo.IsBackTesting {
|
||||
session.Subscribe(types.BookTickerChannel, s.Symbol, types.SubscribeOptions{})
|
||||
}
|
||||
}
|
||||
|
||||
// Position control
|
||||
|
||||
func (s *Strategy) CurrentPosition() *types.Position {
|
||||
return s.Position
|
||||
}
|
||||
|
||||
func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
|
||||
order := s.Position.NewMarketCloseOrder(percentage)
|
||||
if order == nil {
|
||||
return nil
|
||||
}
|
||||
order.Tag = "close"
|
||||
order.TimeInForce = ""
|
||||
balances := s.orderExecutor.Session().GetAccount().Balances()
|
||||
baseBalance := balances[s.Market.BaseCurrency].Available
|
||||
price := s.getLastPrice()
|
||||
if order.Side == types.SideTypeBuy {
|
||||
quoteAmount := balances[s.Market.QuoteCurrency].Available.Div(price)
|
||||
if order.Quantity.Compare(quoteAmount) > 0 {
|
||||
order.Quantity = quoteAmount
|
||||
}
|
||||
} else if order.Side == types.SideTypeSell && order.Quantity.Compare(baseBalance) > 0 {
|
||||
order.Quantity = baseBalance
|
||||
}
|
||||
order.MarginSideEffect = types.SideEffectTypeAutoRepay
|
||||
for {
|
||||
if s.Market.IsDustQuantity(order.Quantity, price) {
|
||||
return nil
|
||||
}
|
||||
_, err := s.orderExecutor.SubmitOrders(ctx, *order)
|
||||
if err != nil {
|
||||
order.Quantity = order.Quantity.Mul(fixedpoint.One.Sub(Delta))
|
||||
continue
|
||||
}
|
||||
return nil
|
||||
}
|
||||
|
||||
}
|
||||
|
||||
func (s *Strategy) cancelOrders(ctx context.Context, symbol string) {
|
||||
if len(s.orderExecutor.ActiveMakerOrders().Orders()) <= 0 {
|
||||
return
|
||||
}
|
||||
log.Infof(fmt.Sprintf("[%s] the order is not filled, will cancel all orders", symbol))
|
||||
if err := s.orderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("failed to cancel orders")
|
||||
}
|
||||
|
||||
s.Traded = false
|
||||
s.TradeType = ""
|
||||
s.TradeRetry = 0
|
||||
}
|
||||
|
||||
// isTradeTime 是否交易时间
|
||||
func (s *Strategy) isTradeTime(ctx context.Context) bool {
|
||||
// 如果时间一致则表示不限制交易时间
|
||||
if s.TradeEndHour == s.TradeStartHour {
|
||||
return true
|
||||
}
|
||||
location, err := time.LoadLocation("Asia/Shanghai")
|
||||
if err != nil {
|
||||
return false
|
||||
}
|
||||
now := time.Now().In(location)
|
||||
|
||||
hour := now.Hour()
|
||||
return !(hour >= s.TradeStartHour && hour < s.TradeEndHour)
|
||||
}
|
||||
|
||||
func (s *Strategy) isPauseTrade(ctx context.Context) bool {
|
||||
if !s.EnablePause {
|
||||
return false
|
||||
}
|
||||
// 被暂停次数不为0，且最近一次的暂停时间和今天一致，则表示暂停
|
||||
if s.PauseTradeCount != fixedpoint.Zero && s.PauseTradeTime.Day() == time.Now().Day() {
|
||||
return true
|
||||
}
|
||||
// 总收益大于(暂停次数+1)*暂停亏损，则表示暂停
|
||||
if s.TotalProfit < s.PauseTradeLoss.Mul(s.PauseTradeCount.Add(fixedpoint.One)) {
|
||||
s.PauseTradeCount.Add(fixedpoint.One)
|
||||
s.PauseTradeTime = time.Now()
|
||||
return true
|
||||
}
|
||||
|
||||
return false
|
||||
}
|
||||
|
||||
func (s *Strategy) setInitialLeverage(ctx context.Context) error {
|
||||
log.Infof("setting futures leverage to %d", s.Leverage.Int()+1)
|
||||
var ok bool
|
||||
s.exchange, ok = s.session.Exchange.(*binance.Exchange)
|
||||
if !ok {
|
||||
return errors.New("not binance exchange, currently only support binance exchange")
|
||||
}
|
||||
futuresClient := s.exchange.GetFuturesClient()
|
||||
req := futuresClient.NewFuturesChangeInitialLeverageRequest()
|
||||
req.Symbol(s.Symbol)
|
||||
req.Leverage(s.Leverage.Int() + 1)
|
||||
resp, err := req.Do(ctx)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
log.Infof("adjusted initial leverage: %+v", resp)
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) getPlacePrice(ctx context.Context, kline types.KLine) fixedpoint.Value {
|
||||
|
||||
placePrice := fixedpoint.Zero
|
||||
midPrice := (kline.High.Add(kline.Low)).Div(fixedpoint.One * 2)
|
||||
shouldMid := (((kline.High.Sub(kline.Low)).Div(kline.Low)).Abs()).Float64() <= s.MidPriceRange
|
||||
switch s.PlacePriceType {
|
||||
case 0:
|
||||
if s.TradeType == "long" {
|
||||
placePrice = kline.High
|
||||
} else if s.TradeType == "short" {
|
||||
placePrice = kline.Low
|
||||
}
|
||||
case 1:
|
||||
if s.TradeType == "long" {
|
||||
if !shouldMid {
|
||||
placePrice = kline.Low
|
||||
} else {
|
||||
placePrice = midPrice
|
||||
}
|
||||
} else if s.TradeType == "short" {
|
||||
if !shouldMid {
|
||||
placePrice = kline.High
|
||||
} else {
|
||||
placePrice = midPrice
|
||||
}
|
||||
}
|
||||
case 2:
|
||||
if s.TradeType == "long" {
|
||||
placePrice = midPrice
|
||||
} else if s.TradeType == "short" {
|
||||
placePrice = midPrice
|
||||
}
|
||||
}
|
||||
return placePrice
|
||||
}
|
||||
|
||||
func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]types.SubmitOrder, error) {
|
||||
var orders []types.SubmitOrder
|
||||
symbol := kline.Symbol
|
||||
|
||||
log.Infof(fmt.Sprintf("place order keline info: symbol %s, high %v, low %v, open %v, close %v", symbol,
|
||||
kline.High.Float64(), kline.Low.Float64(), kline.Open.Float64(), kline.Close.Float64()))
|
||||
// 获取下单价格
|
||||
|
||||
if s.TradeType == "" {
|
||||
return orders, nil
|
||||
}
|
||||
|
||||
// 获取下单价格
|
||||
placePrice := s.getPlacePrice(ctx, kline)
|
||||
|
||||
// 止盈订单类型
|
||||
profitOrderType := types.OrderTypeTakeProfitMarket
|
||||
// 止损订单类型
|
||||
lossOrderType := types.OrderTypeStopMarket
|
||||
if s.ProfitOrderType == 1 {
|
||||
profitOrderType = types.OrderTypeStopMarket
|
||||
}
|
||||
|
||||
if bbgo.IsBackTesting {
|
||||
profitOrderType = types.OrderTypeStopLimit
|
||||
lossOrderType = types.OrderTypeStopLimit
|
||||
}
|
||||
|
||||
// 计算止损止盈价格，以ATR为基准或者固定百分比
|
||||
lossPrice := fixedpoint.Zero
|
||||
profitPrice := fixedpoint.Zero
|
||||
lastATR, err := strconv.ParseFloat(strconv.FormatFloat(s.atr.Last(0), 'f', 6, 64), 64)
|
||||
if err != nil {
|
||||
log.WithError(err).Error("failed parse atr last value float")
|
||||
lastATR = 0.0
|
||||
}
|
||||
if s.TradeType == "long" {
|
||||
if s.LossType == 0 || s.atr.Last(0) == 0.0 {
|
||||
lossPrice = placePrice.Sub(placePrice.Mul(s.LossRange))
|
||||
profitPrice = placePrice.Add(placePrice.Mul(s.ProfitRange))
|
||||
} else if s.LossType == 1 {
|
||||
lossPrice = placePrice.Sub(fixedpoint.Value(1e8 * lastATR * s.AtrLossRange))
|
||||
profitPrice = placePrice.Add(fixedpoint.Value(1e8 * lastATR * s.AtrProfitRange))
|
||||
}
|
||||
} else if s.TradeType == "short" {
|
||||
if s.LossType == 0 || s.atr.Last(0) == 0.0 {
|
||||
lossPrice = placePrice.Add(placePrice.Mul(s.LossRange))
|
||||
profitPrice = placePrice.Sub(placePrice.Mul(s.ProfitRange))
|
||||
} else if s.LossType == 1 {
|
||||
lossPrice = placePrice.Add(fixedpoint.Value(1e8 * lastATR * s.AtrLossRange))
|
||||
profitPrice = placePrice.Sub(fixedpoint.Value(1e8 * lastATR * s.AtrProfitRange))
|
||||
}
|
||||
}
|
||||
|
||||
// 下单数量
|
||||
placeQuantity := s.QuantityOrAmount.CalculateQuantity(placePrice).Mul(s.Leverage)
|
||||
msg := fmt.Sprintf("%v, will place order, amount %v, price %v, quantity %v, lossprice %v, profitprice: %v, atr: %v", s.Symbol,
|
||||
s.QuantityOrAmount.Amount.Float64(), placePrice.Float64(), placeQuantity.Float64(), lossPrice.Float64(), profitPrice.Float64(),
|
||||
lastATR)
|
||||
log.Infof(msg)
|
||||
bbgo.Notify(msg)
|
||||
|
||||
s.ShortOrder = types.SubmitOrder{
|
||||
Symbol: symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Type: types.OrderTypeLimit,
|
||||
Price: placePrice,
|
||||
PositionSide: types.PositionSideTypeShort,
|
||||
Quantity: placeQuantity,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
}
|
||||
|
||||
s.ShortProfitOrder = types.SubmitOrder{
|
||||
Symbol: symbol,
|
||||
Side: types.SideTypeBuy,
|
||||
Type: profitOrderType,
|
||||
PositionSide: types.PositionSideTypeShort,
|
||||
StopPrice: profitPrice,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
ClosePosition: true,
|
||||
}
|
||||
|
||||
s.ShortLossOrder = types.SubmitOrder{
|
||||
Symbol: symbol,
|
||||
Side: types.SideTypeBuy,
|
||||
Type: lossOrderType,
|
||||
PositionSide: types.PositionSideTypeShort,
|
||||
StopPrice: lossPrice,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
ClosePosition: true,
|
||||
}
|
||||
|
||||
s.LongOrder = types.SubmitOrder{
|
||||
Symbol: symbol,
|
||||
Side: types.SideTypeBuy,
|
||||
Type: types.OrderTypeLimit,
|
||||
Price: placePrice,
|
||||
PositionSide: types.PositionSideTypeLong,
|
||||
Quantity: placeQuantity,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
}
|
||||
|
||||
s.LongProfitOrder = types.SubmitOrder{
|
||||
Symbol: symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Type: profitOrderType,
|
||||
PositionSide: types.PositionSideTypeLong,
|
||||
StopPrice: profitPrice,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
ClosePosition: true,
|
||||
}
|
||||
|
||||
s.LongLossOrder = types.SubmitOrder{
|
||||
Symbol: symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Type: lossOrderType,
|
||||
PositionSide: types.PositionSideTypeLong,
|
||||
StopPrice: lossPrice,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
Market: s.Market,
|
||||
ClosePosition: true,
|
||||
}
|
||||
|
||||
if s.TradeType == "short" {
|
||||
// 挂空单
|
||||
orders = append(orders, s.ShortOrder)
|
||||
// 空单止盈
|
||||
orders = append(orders, s.ShortProfitOrder)
|
||||
// 空单止损
|
||||
orders = append(orders, s.ShortLossOrder)
|
||||
}
|
||||
|
||||
if s.TradeType == "long" {
|
||||
// 挂多单
|
||||
orders = append(orders, s.LongOrder)
|
||||
// 多单止盈
|
||||
orders = append(orders, s.LongProfitOrder)
|
||||
// 多单止损
|
||||
orders = append(orders, s.LongLossOrder)
|
||||
}
|
||||
|
||||
return orders, nil
|
||||
}
|
||||
|
||||
func (s *Strategy) placeOrders(ctx context.Context, kline types.KLine) {
|
||||
symbol := kline.Symbol
|
||||
orders, err := s.generateOrders(ctx, kline)
|
||||
if err != nil {
|
||||
log.WithError(err).Error(fmt.Sprintf("failed to generate orders (%s)", symbol))
|
||||
return
|
||||
}
|
||||
log.Infof("orders: %+v", orders)
|
||||
|
||||
if s.DryRun {
|
||||
log.Infof("dry run, not submitting orders (%s)", symbol)
|
||||
return
|
||||
}
|
||||
|
||||
createdOrders, err := s.orderExecutor.SubmitOrders(ctx, orders...)
|
||||
if err != nil {
|
||||
log.WithError(err).Error(fmt.Sprintf("failed to submit orders (%s)", symbol))
|
||||
return
|
||||
}
|
||||
log.Infof("created orders (%s): %+v", symbol, createdOrders)
|
||||
return
|
||||
}
|
||||
|
||||
func (s *Strategy) notifyProfit(ctx context.Context, symbol string) {
|
||||
if s.EndQuantity != s.OpenQuantity {
|
||||
return
|
||||
}
|
||||
profit := fixedpoint.Zero
|
||||
openProfit := fixedpoint.Zero
|
||||
endProfit := fixedpoint.Zero
|
||||
free := fixedpoint.Zero
|
||||
|
||||
var openMsgs []string
|
||||
var endMsgs []string
|
||||
// 开仓成本
|
||||
for _, trade := range s.OpenTrade {
|
||||
openProfit = openProfit.Add(trade.Price.Mul(trade.Quantity))
|
||||
free = free.Add(trade.Fee)
|
||||
openMsgs = append(openMsgs, fmt.Sprintf("价格：%v, 数量：%v, 手续费：%v；",
|
||||
trade.Price.Float64(), trade.Quantity.Float64(), trade.Fee.Float64()))
|
||||
}
|
||||
|
||||
// 清仓资产
|
||||
for _, trade := range s.EndTrade {
|
||||
endProfit = endProfit.Add(trade.Price.Mul(trade.Quantity))
|
||||
free = free.Add(trade.Fee)
|
||||
endMsgs = append(endMsgs, fmt.Sprintf("价格：%v, 数量：%v, 手续费：%v；",
|
||||
trade.Price.Float64(), trade.Quantity.Float64(), trade.Fee.Float64()))
|
||||
}
|
||||
|
||||
side := s.OpenTrade[0].Side
|
||||
// 做多
|
||||
if side == types.SideTypeBuy {
|
||||
profit = endProfit.Sub(openProfit).Sub(free)
|
||||
}
|
||||
|
||||
// 做空
|
||||
if side == types.SideTypeSell {
|
||||
profit = openProfit.Sub(endProfit).Sub(free)
|
||||
}
|
||||
|
||||
msg := fmt.Sprintf("交易完成：\n 币种: %s, 方向：%v, 收益：%v, 手续费：%v \n Trade详情：\n 开仓Trade：\n %s\n 清仓Trade：\n %s",
|
||||
symbol, s.TradeType, profit.Float64(), free.Float64(), strings.Join(openMsgs, "\n"), strings.Join(endMsgs, "\n"))
|
||||
|
||||
s.updateAmount(ctx, profit)
|
||||
s.TotalProfit = s.TotalProfit.Add(profit)
|
||||
s.TotalFree = s.TotalFree.Add(free)
|
||||
s.TotalOrderCount += 1
|
||||
if profit > fixedpoint.Zero {
|
||||
s.TotalProfitCount += 1
|
||||
} else {
|
||||
s.TotalLossCount += 1
|
||||
}
|
||||
|
||||
log.Infof(msg)
|
||||
bbgo.Notify(msg)
|
||||
|
||||
// 重置
|
||||
s.OpenTrade = []types.Trade{}
|
||||
s.EndTrade = []types.Trade{}
|
||||
s.OpenQuantity = fixedpoint.Zero
|
||||
s.EndQuantity = fixedpoint.Zero
|
||||
|
||||
// 记得取消订单
|
||||
s.cancelOrders(ctx, symbol)
|
||||
|
||||
bbgo.Notify(fmt.Sprintf("%v, 总交易次数：%v, 总收益：%v, 总手续费：%v, 盈利次数：%v, 亏损次数：%v", s.Symbol,
|
||||
s.TotalOrderCount, s.TotalProfit.Float64(), s.TotalFree.Float64(), s.TotalProfitCount, s.TotalLossCount))
|
||||
}
|
||||
|
||||
func (s *Strategy) updateAmount(ctx context.Context, profit fixedpoint.Value) {
|
||||
// 更新amount
|
||||
newAmount := s.QuantityOrAmount.Amount.Add(profit)
|
||||
// 如果当前的总金额大于阶梯上的某一个值，则更新为减半
|
||||
if newAmount >= s.StageHalfAmount[s.CurrentStage] {
|
||||
s.QuantityOrAmount.Amount = newAmount.Div(Two)
|
||||
bbgo.Notify(fmt.Sprintf("%v 结余资金：%v", s.Symbol, s.QuantityOrAmount.Amount.Float64()))
|
||||
s.CurrentStage += 1
|
||||
bbgo.Sync(ctx, s)
|
||||
return
|
||||
}
|
||||
s.QuantityOrAmount.Amount = newAmount
|
||||
|
||||
//for i, stage := range s.StageHalfAmount {
|
||||
// if newAmount <= stage {
|
||||
// s.CurrentStage = i
|
||||
// s.QuantityOrAmount.Amount = newAmount
|
||||
// bbgo.Sync(ctx, s)
|
||||
// return
|
||||
// }
|
||||
//}
|
||||
}
|
||||
|
||||
// This strategy simply spent all available quote currency to buy the symbol whenever kline gets closed
|
||||
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
||||
instanceID := s.InstanceID()
|
||||
|
||||
if s.State == nil {
|
||||
s.State = &State{Counter: 1}
|
||||
}
|
||||
|
||||
if s.Position == nil {
|
||||
s.Position = types.NewPositionFromMarket(s.Market)
|
||||
}
|
||||
|
||||
if s.ProfitStats == nil {
|
||||
s.ProfitStats = types.NewProfitStats(s.Market)
|
||||
}
|
||||
|
||||
if s.TradeStats == nil {
|
||||
s.TradeStats = types.NewTradeStats(s.Symbol)
|
||||
}
|
||||
|
||||
s.Status = types.StrategyStatusRunning
|
||||
//s.OnSuspend(func() {
|
||||
// _ = s.orderExecutor.GracefulCancel(ctx)
|
||||
//})
|
||||
//s.OnEmergencyStop(func() {
|
||||
// _ = s.orderExecutor.GracefulCancel(ctx)
|
||||
// _ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
//})
|
||||
|
||||
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
|
||||
s.orderExecutor.BindEnvironment(s.Environment)
|
||||
s.orderExecutor.BindProfitStats(s.ProfitStats)
|
||||
// s.orderExecutor.BindTradeStats(s.TradeStats)
|
||||
s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
||||
bbgo.Sync(ctx, s)
|
||||
})
|
||||
s.orderExecutor.Bind()
|
||||
|
||||
bbgo.Notify("BTC滚仓CCINR策略开始运行")
|
||||
s.nr = session.Indicators(s.Symbol).NR(s.NRInterval, s.NrCount, s.StrictMode)
|
||||
s.cci = session.Indicators(s.Symbol).CCI(s.CCIInterval, s.CCIWindow)
|
||||
s.atr = session.Indicators(s.Symbol).ATR(s.ATRInterval, s.ATRWindow)
|
||||
|
||||
session.MarketDataStream.OnKLineClosed(func(k types.KLine) {
|
||||
if k.Symbol != s.Symbol {
|
||||
return
|
||||
}
|
||||
|
||||
if !s.Traded && k.Interval == s.NRInterval {
|
||||
// 如若在下一根k线未成交 则取消订单
|
||||
if s.TradeType != "" && s.TradeRetry > 1 {
|
||||
bbgo.Notify(fmt.Sprintf("交易信号未成交，取消订单: %s", s.Symbol))
|
||||
s.cancelOrders(ctx, s.Symbol)
|
||||
}
|
||||
|
||||
if s.TradeType != "" && s.TradeRetry <= 1 {
|
||||
s.TradeRetry = s.TradeRetry + 1
|
||||
}
|
||||
}
|
||||
})
|
||||
|
||||
s.nr.OnUpdate(func(v float64) {
|
||||
if s.Traded || s.nr.NrKLine.Symbol != s.Symbol {
|
||||
return
|
||||
}
|
||||
|
||||
if !s.isTradeTime(ctx) || s.isPauseTrade(ctx) {
|
||||
//pauseMsg := fmt.Sprintf("暂停交易：总收益：%v, 暂停次数：%v, 暂停时间：%v; 暂停时间段：[%v, %v)",
|
||||
// s.TotalProfit.Float64(), s.PauseTradeCount.Float64(), s.PauseTradeTime, s.TradeStartHour,
|
||||
// s.TradeEndHour)
|
||||
//bbgo.Notify(pauseMsg)
|
||||
return
|
||||
}
|
||||
|
||||
cciV := s.cci.Last(0)
|
||||
//if cciV > 150 || cciV < -150 {
|
||||
// testMsg := fmt.Sprintf("Test交易信号：币种：%s, 方向 %s, 时间: %s, 最高价：%f，最低价:%f, CCI: %v, ATR: %v",
|
||||
// s.Symbol, s.TradeType, s.nr.NrKLine.GetStartTime(), s.nr.NrKLine.High.Float64(),
|
||||
// s.nr.NrKLine.Low.Float64(), cciV, s.atr.Last(0))
|
||||
// bbgo.Notify(testMsg)
|
||||
//}
|
||||
if cciV <= s.LongCCI.Float64() {
|
||||
s.TradeType = "long"
|
||||
} else if cciV >= s.ShortCCI.Float64() {
|
||||
s.TradeType = "short"
|
||||
} else {
|
||||
return
|
||||
}
|
||||
msg := fmt.Sprintf("交易信号：币种：%s, 方向 %s, 时间: %s, 最高价：%f，最低价:%f, CCI: %v, ATR: %v",
|
||||
s.Symbol, s.TradeType, s.nr.NrKLine.GetStartTime(), s.nr.NrKLine.High.Float64(),
|
||||
s.nr.NrKLine.Low.Float64(), cciV, s.atr.Last(0))
|
||||
bbgo.Notify(msg)
|
||||
tk := s.nr.NrKLine
|
||||
s.placeOrders(ctx, tk)
|
||||
})
|
||||
|
||||
session.UserDataStream.OnOrderUpdate(func(order types.Order) {
|
||||
orderSymbol := order.Symbol
|
||||
if orderSymbol != s.Symbol {
|
||||
return
|
||||
}
|
||||
if order.Status == types.OrderStatusFilled {
|
||||
if order.Type == types.OrderTypeLimit && order.Side == types.SideTypeBuy {
|
||||
log.Infof("the long order is filled: %+v,id is %d, symbol is %s, type is %s, status is %s",
|
||||
order, order.OrderID, orderSymbol, order.Type, order.Status)
|
||||
s.Traded = true
|
||||
s.TradeRetry = 0
|
||||
bbgo.Notify("订单成交通知：\n 币种：%s, 方向：%s, 价格：%s, 数量：%s", order.Symbol, s.TradeType,
|
||||
order.Price, order.Quantity)
|
||||
}
|
||||
if order.Type == types.OrderTypeLimit && order.Side == types.SideTypeSell {
|
||||
log.Infof("the short order is filled: %+v,id is %d, symbol is %s, type is %s, status is %s",
|
||||
order, order.OrderID, orderSymbol, order.Type, order.Status)
|
||||
s.Traded = true
|
||||
s.TradeRetry = 0
|
||||
bbgo.Notify("订单成交通知：\n 币种：%s, 方向：%s, 价格：%s, 数量：%s", order.Symbol, s.TradeType,
|
||||
order.Price, order.Quantity)
|
||||
}
|
||||
|
||||
if order.Type == types.OrderTypeMarket {
|
||||
log.Infof("the loss or profit order is filled: %+v,id is %d, symbol is %s, type is %s, "+
|
||||
"status is %s", order, order.OrderID, orderSymbol, order.Type, order.Status)
|
||||
bbgo.Notify("订单止盈或止损通知：\n %s", order.Symbol)
|
||||
s.Traded = false
|
||||
s.TradeRetry = 0
|
||||
s.TradeType = ""
|
||||
} else {
|
||||
log.Infof("the order is: %+v,id is %d, symbol is %s, type is %s, status is %s",
|
||||
order, order.OrderID, orderSymbol, order.Type, order.Status)
|
||||
}
|
||||
} else if order.Status == types.OrderStatusCanceled {
|
||||
log.Infof("canceled order %+v", order)
|
||||
}
|
||||
})
|
||||
|
||||
session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
|
||||
symbol := trade.Symbol
|
||||
if symbol != s.Symbol {
|
||||
return
|
||||
}
|
||||
if (trade.Side == types.SideTypeBuy && s.TradeType == "long") || (trade.Side == types.SideTypeSell && s.TradeType == "short") {
|
||||
s.OpenTrade = append(s.OpenTrade, trade)
|
||||
s.OpenQuantity = s.OpenQuantity.Add(trade.Quantity)
|
||||
}
|
||||
if (trade.Side == types.SideTypeSell && s.TradeType == "long") || (trade.Side == types.SideTypeBuy && s.TradeType == "short") {
|
||||
s.EndTrade = append(s.EndTrade, trade)
|
||||
s.EndQuantity = s.EndQuantity.Add(trade.Quantity)
|
||||
s.notifyProfit(ctx, symbol)
|
||||
}
|
||||
log.Infof("trade: symbol %s, side %s, price %f, fee %f, quantity %f, buyer %v, maker %v",
|
||||
symbol, trade.Side, trade.Price.Float64(), trade.Fee.Float64(), trade.Quantity.Float64(),
|
||||
trade.IsBuyer, trade.IsMaker)
|
||||
})
|
||||
|
||||
s.OnSuspend(func() {
|
||||
// Cancel active orders
|
||||
_ = s.orderExecutor.GracefulCancel(ctx)
|
||||
})
|
||||
|
||||
s.OnEmergencyStop(func() {
|
||||
// Cancel active orders
|
||||
_ = s.orderExecutor.GracefulCancel(ctx)
|
||||
// Close 100% position
|
||||
//_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
})
|
||||
|
||||
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
||||
defer wg.Done()
|
||||
|
||||
if err := s.orderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Error("unable to cancel open orders...")
|
||||
}
|
||||
|
||||
bbgo.Sync(ctx, s)
|
||||
})
|
||||
|
||||
return nil
|
||||
}
|
||||
Loading…
Reference in New Issue
Block a user