43 lines
1.1 KiB
Go
43 lines
1.1 KiB
Go
package bbgo
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import (
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"github.com/sirupsen/logrus"
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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"git.qtrade.icu/lychiyu/bbgo/pkg/indicator"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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type StopEMA struct {
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types.IntervalWindow
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Range fixedpoint.Value `json:"range"`
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stopEWMA *indicator.EWMA
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}
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func (s *StopEMA) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
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symbol := orderExecutor.Position().Symbol
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s.stopEWMA = session.StandardIndicatorSet(symbol).EWMA(s.IntervalWindow)
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}
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func (s *StopEMA) Allowed(closePrice fixedpoint.Value) bool {
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ema := fixedpoint.NewFromFloat(s.stopEWMA.Last(0))
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if ema.IsZero() {
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logrus.Infof("stopEMA protection: value is zero, skip")
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return false
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}
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emaStopShortPrice := ema.Mul(fixedpoint.One.Sub(s.Range))
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if closePrice.Compare(emaStopShortPrice) < 0 {
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Notify("stopEMA %s protection: close price %f less than stopEMA %f = EMA(%f) * (1 - RANGE %f)",
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s.IntervalWindow.String(),
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closePrice.Float64(),
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emaStopShortPrice.Float64(),
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ema.Float64(),
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s.Range.Float64())
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return false
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}
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return true
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}
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