703 lines
22 KiB
Go
703 lines
22 KiB
Go
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 {
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profitOrderType = types.OrderTypeStopLimit
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lossOrderType = types.OrderTypeStopLimit
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}
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// 下单价格
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placePrice := k.Close
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// 计算止损止盈价格，以ATR为基准或者固定百分比
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lossPrice := fixedpoint.Zero
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profitPrice := fixedpoint.Zero
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lastATR, err := strconv.ParseFloat(strconv.FormatFloat(s.ATR.Last(0), 'f', 6, 64), 64)
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if err != nil {
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log.WithError(err).Error("failed parse atr last value float")
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lastATR = 0.0
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}
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// 依据不同的adx来设置止盈止损
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profitRange := s.ProfitLRange
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lossRange := s.LossLRange
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if adx >= s.ADXHSingle {
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profitRange = s.ProfitHRange
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lossRange = s.LossHRange
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} else if adx >= s.ADXMSingle {
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profitRange = s.ProfitMRange
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lossRange = s.LossMRange
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}
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//if bollDiff >= 0.03 {
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// profitRange = profitRange.Mul(fixedpoint.NewFromFloat(1.5))
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//}
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if s.TradeSignal == "long" {
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// 做多
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if s.ProfitType == 0 || s.ATR.Last(0) == 0.0 {
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lossPrice = placePrice.Mul(fixedpoint.One.Sub(lossRange))
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profitPrice = placePrice.Mul(fixedpoint.One.Add(profitRange))
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} else {
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lossPrice = placePrice.Sub(fixedpoint.Value(1e8 * lastATR * s.AtrLossMultiple))
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profitPrice = placePrice.Add(fixedpoint.Value(1e8 * lastATR * s.AtrProfitMultiple))
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}
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} else {
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//做空
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if s.ProfitType == 0 || s.ATR.Last(0) == 0.0 {
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lossPrice = placePrice.Mul(fixedpoint.One.Add(lossRange))
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profitPrice = placePrice.Mul(fixedpoint.One.Sub(profitRange))
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} else {
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lossPrice = placePrice.Add(fixedpoint.Value(1e8 * lastATR * s.AtrLossMultiple))
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profitPrice = placePrice.Sub(fixedpoint.Value(1e8 * lastATR * s.AtrProfitMultiple))
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}
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}
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// 下单数量
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placeQuantity := s.QuantityOrAmount.CalculateQuantity(placePrice).Mul(s.Leverage)
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msg := fmt.Sprintf("%v, will place order, amount %v, price %v, quantity %v, lossprice %v, profitprice: %v, atr: %v", s.Symbol,
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s.QuantityOrAmount.Amount.Float64(), placePrice.Float64(), placeQuantity.Float64(), lossPrice.Float64(), profitPrice.Float64(),
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lastATR)
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bbgo.Notify(msg)
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s.ShortOrder = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Price: placePrice,
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PositionSide: types.PositionSideTypeShort,
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Quantity: placeQuantity,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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}
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s.ShortProfitOrder = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeBuy,
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Type: profitOrderType,
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PositionSide: types.PositionSideTypeShort,
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StopPrice: profitPrice,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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}
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s.ShortLossOrder = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeBuy,
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Type: lossOrderType,
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PositionSide: types.PositionSideTypeShort,
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StopPrice: lossPrice,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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}
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s.LongOrder = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Price: placePrice,
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PositionSide: types.PositionSideTypeLong,
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Quantity: placeQuantity,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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}
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s.LongProfitOrder = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeSell,
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Type: profitOrderType,
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PositionSide: types.PositionSideTypeLong,
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StopPrice: profitPrice,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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}
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s.LongLossOrder = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeSell,
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Type: lossOrderType,
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PositionSide: types.PositionSideTypeLong,
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StopPrice: lossPrice,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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}
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if s.TradeSignal == "short" {
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// 挂空单
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orders = append(orders, s.ShortOrder)
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// 空单止盈
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orders = append(orders, s.ShortProfitOrder)
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// 空单止损
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orders = append(orders, s.ShortLossOrder)
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}
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if s.TradeSignal == "long" {
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// 挂多单
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orders = append(orders, s.LongOrder)
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// 多单止盈
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orders = append(orders, s.LongProfitOrder)
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// 多单止损
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orders = append(orders, s.LongLossOrder)
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}
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return orders, nil
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}
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func (s *Strategy) placeOrders(ctx context.Context, k types.KLine, bollDiff, adx float64) {
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if s.TradeSignal == "" {
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return
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}
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symbol := k.Symbol
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orders, err := s.generateOrders(k, bollDiff, adx)
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if err != nil {
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log.WithError(err).Error(fmt.Sprintf("failed to generate orders (%s)", symbol))
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return
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}
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log.Infof("orders: %+v", orders)
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if s.DryRun {
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log.Infof("dry run, not submitting orders (%s)", symbol)
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return
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}
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createdOrders, err := s.orderExecutor.SubmitOrders(ctx, orders...)
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if err != nil {
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log.WithError(err).Error(fmt.Sprintf("failed to submit orders (%s)", symbol))
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return
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}
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log.Infof("created orders (%s): %+v", symbol, createdOrders)
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return
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}
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func (s *Strategy) notifyProfit(ctx context.Context, symbol string) {
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if s.EndQuantity != s.OpenQuantity {
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return
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}
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profit := fixedpoint.Zero
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openProfit := fixedpoint.Zero
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endProfit := fixedpoint.Zero
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free := fixedpoint.Zero
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var openMsgs []string
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var endMsgs []string
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// 开仓成本
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for _, trade := range s.OpenTrade {
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openProfit = openProfit.Add(trade.Price.Mul(trade.Quantity))
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free = free.Add(trade.Fee)
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openMsgs = append(openMsgs, fmt.Sprintf("price：%v, quantity：%v, fee：%v；",
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trade.Price.Float64(), trade.Quantity.Float64(), trade.Fee.Float64()))
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}
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// 清仓资产
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for _, trade := range s.EndTrade {
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endProfit = endProfit.Add(trade.Price.Mul(trade.Quantity))
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free = free.Add(trade.Fee)
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endMsgs = append(endMsgs, fmt.Sprintf("price：%v, quantity：%v, fee：%v；",
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trade.Price.Float64(), trade.Quantity.Float64(), trade.Fee.Float64()))
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}
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side := s.OpenTrade[0].Side
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// 做多
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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
|
||
}
|