66 lines
1.6 KiB
Go
66 lines
1.6 KiB
Go
package bbgo
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import (
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"context"
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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type LowerShadowTakeProfit struct {
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// inherit from the strategy
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types.IntervalWindow
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// inherit from the strategy
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Symbol string `json:"symbol"`
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Ratio fixedpoint.Value `json:"ratio"`
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session *ExchangeSession
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orderExecutor *GeneralOrderExecutor
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}
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func (s *LowerShadowTakeProfit) Subscribe(session *ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *LowerShadowTakeProfit) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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stdIndicatorSet := session.StandardIndicatorSet(s.Symbol)
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ewma := stdIndicatorSet.EWMA(s.IntervalWindow)
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position := orderExecutor.Position()
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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closePrice := kline.Close
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if position.IsClosed() || position.IsDust(closePrice) || position.IsClosing() {
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return
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}
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roi := position.ROI(closePrice)
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if roi.Sign() < 0 {
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return
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}
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if s.Ratio.IsZero() {
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return
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}
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// skip close price higher than the ewma
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if closePrice.Float64() > ewma.Last(0) {
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return
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}
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if kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Ratio) > 0 {
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Notify("%s TakeProfit triggered by shadow ratio %f, price = %f",
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position.Symbol,
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kline.GetLowerShadowRatio().Float64(),
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kline.Close.Float64(),
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kline)
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_ = orderExecutor.ClosePosition(context.Background(), fixedpoint.One)
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return
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}
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}))
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}
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