bbgo/pkg/risk/dynamicrisk/dynamic_quantity.go

101 lines
3.1 KiB
Go

package dynamicrisk
import (
"git.qtrade.icu/lychiyu/bbgo/pkg/bbgo"
"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
"git.qtrade.icu/lychiyu/bbgo/pkg/indicator"
"git.qtrade.icu/lychiyu/bbgo/pkg/types"
"github.com/pkg/errors"
)
// DynamicQuantitySet uses multiple dynamic quantity rules to calculate the total quantity
type DynamicQuantitySet []DynamicQuantity
// Initialize dynamic quantity set
func (d *DynamicQuantitySet) Initialize(symbol string, session *bbgo.ExchangeSession) {
for i := range *d {
(*d)[i].Initialize(symbol, session)
}
}
// GetQuantity returns the quantity
func (d *DynamicQuantitySet) GetQuantity(reverse bool) (fixedpoint.Value, error) {
quantity := fixedpoint.Zero
for i := range *d {
v, err := (*d)[i].getQuantity(reverse)
if err != nil {
return fixedpoint.Zero, err
}
quantity = quantity.Add(v)
}
return quantity, nil
}
type DynamicQuantity struct {
// LinRegQty calculates quantity based on LinReg slope
LinRegDynamicQuantity *DynamicQuantityLinReg `json:"linRegDynamicQuantity"`
}
// Initialize dynamic quantity
func (d *DynamicQuantity) Initialize(symbol string, session *bbgo.ExchangeSession) {
switch {
case d.LinRegDynamicQuantity != nil:
d.LinRegDynamicQuantity.initialize(symbol, session)
}
}
func (d *DynamicQuantity) IsEnabled() bool {
return d.LinRegDynamicQuantity != nil
}
// getQuantity returns quantity
func (d *DynamicQuantity) getQuantity(reverse bool) (fixedpoint.Value, error) {
switch {
case d.LinRegDynamicQuantity != nil:
return d.LinRegDynamicQuantity.getQuantity(reverse)
default:
return fixedpoint.Zero, errors.New("dynamic quantity is not enabled")
}
}
// DynamicQuantityLinReg uses LinReg slope to calculate quantity
type DynamicQuantityLinReg struct {
// DynamicQuantityLinRegScale is used to define the quantity range with the given parameters.
DynamicQuantityLinRegScale *bbgo.PercentageScale `json:"dynamicQuantityLinRegScale"`
// QuantityLinReg to define the interval and window of the LinReg
QuantityLinReg *indicator.LinReg `json:"quantityLinReg"`
}
// initialize LinReg dynamic quantity
func (d *DynamicQuantityLinReg) initialize(symbol string, session *bbgo.ExchangeSession) {
// Subscribe for LinReg
session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{
Interval: d.QuantityLinReg.Interval,
})
// Initialize LinReg
kLineStore, _ := session.MarketDataStore(symbol)
d.QuantityLinReg.BindK(session.MarketDataStream, symbol, d.QuantityLinReg.Interval)
if klines, ok := kLineStore.KLinesOfInterval(d.QuantityLinReg.Interval); ok {
d.QuantityLinReg.LoadK((*klines)[0:])
}
}
// getQuantity returns quantity
// If reverse is true, the LinReg slope ratio is reversed, ie -0.01 becomes 0.01. This is for short orders.
func (d *DynamicQuantityLinReg) getQuantity(reverse bool) (fixedpoint.Value, error) {
var linregRatio float64
if reverse {
linregRatio = -d.QuantityLinReg.LastRatio()
} else {
linregRatio = d.QuantityLinReg.LastRatio()
}
v, err := d.DynamicQuantityLinRegScale.Scale(linregRatio)
if err != nil {
return fixedpoint.Zero, err
}
return fixedpoint.NewFromFloat(v), nil
}