752 lines
23 KiB
Go
752 lines
23 KiB
Go
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
|
||
}
|