bbgo_origin/pkg/strategy/drift/strategy.go

package drift

import (
	"bytes"
	"context"
	"errors"
	"fmt"
	"io"
	"math"
	"os"
	"reflect"
	"sort"
	"strings"
	"sync"

	"github.com/fatih/color"
	"github.com/sirupsen/logrus"
	"github.com/wcharczuk/go-chart/v2"

	"github.com/c9s/bbgo/pkg/bbgo"
	"github.com/c9s/bbgo/pkg/fixedpoint"
	"github.com/c9s/bbgo/pkg/indicator"
	"github.com/c9s/bbgo/pkg/interact"
	"github.com/c9s/bbgo/pkg/types"
	"github.com/c9s/bbgo/pkg/util"
	"github.com/jedib0t/go-pretty/v6/table"
	"github.com/jedib0t/go-pretty/v6/text"
)

const ID = "drift"

const DDriftFilterNeg = -0.7
const DDriftFilterPos = 0.7
const DriftFilterNeg = -1.85
const DriftFilterPos = 1.85

var log = logrus.WithField("strategy", ID)
var Four fixedpoint.Value = fixedpoint.NewFromInt(4)
var Three fixedpoint.Value = fixedpoint.NewFromInt(3)
var Two fixedpoint.Value = fixedpoint.NewFromInt(2)
var Delta fixedpoint.Value = fixedpoint.NewFromFloat(0.01)
var Fee = fixedpoint.NewFromFloat(0.0008) // taker fee % * 2, for upper bound

func init() {
	bbgo.RegisterStrategy(ID, &Strategy{})
}

type SourceFunc func(*types.KLine) fixedpoint.Value

type Strategy struct {
	Symbol string `json:"symbol"`

	bbgo.StrategyController
	types.Market
	types.IntervalWindow

	*bbgo.Environment
	*types.Position    `persistence:"position"`
	*types.ProfitStats `persistence:"profit_stats"`
	*types.TradeStats  `persistence:"trade_stats"`

	p *types.Position

	trendLine           types.UpdatableSeriesExtend
	ma                  types.UpdatableSeriesExtend
	stdevHigh           *indicator.StdDev
	stdevLow            *indicator.StdDev
	drift               *DriftMA
	drift1m             *DriftMA
	atr                 *indicator.ATR
	midPrice            fixedpoint.Value
	lock                sync.RWMutex
	minutesCounter      int
	orderPendingCounter map[uint64]int

	beta float64

	// This stores the maximum TP coefficient of ATR multiplier of each entry point
	takeProfitFactor types.UpdatableSeriesExtend

	Source                    string           `json:"source,omitempty"`
	TakeProfitFactor          float64          `json:"takeProfitFactor"`
	ProfitFactorWindow        int              `json:"profitFactorWindow"`
	StopLoss                  fixedpoint.Value `json:"stoploss"`
	CanvasPath                string           `json:"canvasPath"`
	PredictOffset             int              `json:"predictOffset"`
	HighLowVarianceMultiplier float64          `json:"hlVarianceMultiplier"`
	NoTrailingStopLoss        bool             `json:"noTrailingStopLoss"`
	TrailingStopLossType      string           `json:"trailingStopLossType"` // trailing stop sources. Possible options are `kline` for 1m kline and `realtime` from order updates
	HLRangeWindow             int              `json:"hlRangeWindow"`
	SmootherWindow            int              `json:"smootherWindow"`
	FisherTransformWindow     int              `json:"fisherTransformWindow"`
	ATRWindow                 int              `json:"atrWindow"`
	PendingMinutes            int              `json:"pendingMinutes"`  // if order not be traded for pendingMinutes of time, cancel it.
	NoRebalance               bool             `json:"noRebalance"`     // disable rebalance
	TrendWindow               int              `json:"trendWindow"`     // trendLine is used for rebalancing the position. When trendLine goes up, hold base, otherwise hold quote
	RebalanceFilter           float64          `json:"rebalanceFilter"` // beta filter on the Linear Regression of trendLine
	TrailingCallbackRate      []float64        `json:"trailingCallbackRate"`
	TrailingActivationRatio   []float64        `json:"trailingActivationRatio"`

	buyPrice     float64 `persistence:"buy_price"`
	sellPrice    float64 `persistence:"sell_price"`
	highestPrice float64 `persistence:"highest_price"`
	lowestPrice  float64 `persistence:"lowest_price"`

	// This is not related to trade but for statistics graph generation
	// Will deduct fee in percentage from every trade
	GraphPNLDeductFee bool   `json:"graphPNLDeductFee"`
	GraphPNLPath      string `json:"graphPNLPath"`
	GraphCumPNLPath   string `json:"graphCumPNLPath"`
	// Whether to generate graph when shutdown
	GenerateGraph bool `json:"generateGraph"`

	ExitMethods bbgo.ExitMethodSet `json:"exits"`
	Session     *bbgo.ExchangeSession
	*bbgo.GeneralOrderExecutor

	getLastPrice func() fixedpoint.Value
	getSource    SourceFunc
}

type jsonStruct struct {
	key   string
	json  string
	tp    string
	value interface{}
}
type jsonArr []jsonStruct

func (a jsonArr) Len() int           { return len(a) }
func (a jsonArr) Less(i, j int) bool { return a[i].key < a[j].key }
func (a jsonArr) Swap(i, j int)      { a[i], a[j] = a[j], a[i] }

func (s *Strategy) Print(f io.Writer, pretty bool, withColor ...bool) {
	//b, _ := json.MarshalIndent(s.ExitMethods, "  ", "  ")

	t := table.NewWriter()
	style := table.Style{
		Name:    "StyleRounded",
		Box:     table.StyleBoxRounded,
		Color:   table.ColorOptionsDefault,
		Format:  table.FormatOptionsDefault,
		HTML:    table.DefaultHTMLOptions,
		Options: table.OptionsDefault,
		Title:   table.TitleOptionsDefault,
	}
	var hiyellow func(io.Writer, string, ...interface{})
	if len(withColor) > 0 && withColor[0] {
		if pretty {
			style.Color = table.ColorOptionsYellowWhiteOnBlack
			style.Color.Row = text.Colors{text.FgHiYellow, text.BgHiBlack}
			style.Color.RowAlternate = text.Colors{text.FgYellow, text.BgBlack}
		}
		hiyellow = color.New(color.FgHiYellow).FprintfFunc()
	} else {
		hiyellow = func(a io.Writer, format string, args ...interface{}) {
			fmt.Fprintf(a, format, args...)
		}
	}
	if pretty {
		t.SetOutputMirror(f)
		t.SetStyle(style)
		t.AppendHeader(table.Row{"json", "struct field name", "type", "value"})
	}
	hiyellow(f, "------ %s Settings ------\n", s.InstanceID())

	embeddedWhiteSet := map[string]struct{}{"Window": {}, "Interval": {}, "Symbol": {}}
	redundantSet := map[string]struct{}{}
	var rows []table.Row
	val := reflect.ValueOf(*s)
	var values jsonArr
	for i := 0; i < val.Type().NumField(); i++ {
		t := val.Type().Field(i)
		if !t.IsExported() {
			continue
		}
		fieldName := t.Name
		switch jsonTag := t.Tag.Get("json"); jsonTag {
		case "-":
		case "":
			if t.Anonymous {
				var target reflect.Type
				if t.Type.Kind() == reflect.Pointer {
					target = t.Type.Elem()
				} else {
					target = t.Type
				}
				for j := 0; j < target.NumField(); j++ {
					tt := target.Field(j)
					if !tt.IsExported() {
						continue
					}
					fieldName := tt.Name
					if _, ok := embeddedWhiteSet[fieldName]; !ok {
						continue
					}

					if jtag := tt.Tag.Get("json"); jtag != "" && jtag != "-" {
						name := strings.Split(jtag, ",")[0]
						if _, ok := redundantSet[name]; ok {
							continue
						}
						redundantSet[name] = struct{}{}
						var value interface{}
						if t.Type.Kind() == reflect.Pointer {
							value = val.Field(i).Elem().Field(j).Interface()
						} else {
							value = val.Field(i).Field(j).Interface()
						}
						values = append(values, jsonStruct{key: fieldName, json: name, tp: tt.Type.String(), value: value})
					}
				}
			}
		default:
			name := strings.Split(jsonTag, ",")[0]
			if _, ok := redundantSet[name]; ok {
				continue
			}
			redundantSet[name] = struct{}{}
			values = append(values, jsonStruct{key: fieldName, json: name, tp: t.Type.String(), value: val.Field(i).Interface()})
		}
	}
	sort.Sort(values)
	for _, value := range values {
		if pretty {
			rows = append(rows, table.Row{value.json, value.key, value.tp, value.value})
		} else {
			hiyellow(f, "%s: %v\n", value.json, value.value)
		}
	}
	if pretty {
		rows = append(rows, table.Row{"takeProfitFactor(last)", "takeProfitFactor", "float64", s.takeProfitFactor.Last()})
		t.AppendRows(rows)
		t.Render()
	} else {
		hiyellow(f, "takeProfitFactor(last): %f\n", s.takeProfitFactor.Last())
	}
}

func (s *Strategy) ID() string {
	return ID
}

func (s *Strategy) InstanceID() string {
	return fmt.Sprintf("%s:%s:%v", ID, "" /*s.Symbol*/, bbgo.IsBackTesting)
}

func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
		Interval: s.Interval,
	})
	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
		Interval: types.Interval1m,
	})

	if !bbgo.IsBackTesting {
		session.Subscribe(types.BookTickerChannel, s.Symbol, types.SubscribeOptions{})
	}
	s.ExitMethods.SetAndSubscribe(session, s)
}

func (s *Strategy) CurrentPosition() *types.Position {
	return s.Position
}

func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
	order := s.p.NewMarketCloseOrder(percentage)
	if order == nil {
		return nil
	}
	order.Tag = "close"
	order.TimeInForce = ""
	balances := s.GeneralOrderExecutor.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
	}
	for {
		if s.Market.IsDustQuantity(order.Quantity, price) {
			return nil
		}
		_, err := s.GeneralOrderExecutor.SubmitOrders(ctx, *order)
		if err != nil {
			order.Quantity = order.Quantity.Mul(fixedpoint.One.Sub(Delta))
			continue
		}
		return nil
	}
}

func (s *Strategy) SourceFuncGenerator() SourceFunc {
	switch strings.ToLower(s.Source) {
	case "close":
		return func(kline *types.KLine) fixedpoint.Value { return kline.Close }
	case "high":
		return func(kline *types.KLine) fixedpoint.Value { return kline.High }
	case "low":
		return func(kline *types.KLine) fixedpoint.Value { return kline.Low }
	case "hl2":
		return func(kline *types.KLine) fixedpoint.Value {
			return kline.High.Add(kline.Low).Div(Two)
		}
	case "hlc3":
		return func(kline *types.KLine) fixedpoint.Value {
			return kline.High.Add(kline.Low).Add(kline.Close).Div(Three)
		}
	case "ohlc4":
		return func(kline *types.KLine) fixedpoint.Value {
			return kline.Open.Add(kline.High).Add(kline.Low).Add(kline.Close).Div(Four)
		}
	case "open":
		return func(kline *types.KLine) fixedpoint.Value { return kline.Open }
	case "":
		log.Infof("source not set, use hl2 by default")
		return func(kline *types.KLine) fixedpoint.Value {
			return kline.High.Add(kline.Low).Div(Two)
		}
	default:
		panic(fmt.Sprintf("Unable to parse: %s", s.Source))
	}
}

type DriftMA struct {
	types.SeriesBase
	ma1   types.UpdatableSeriesExtend
	drift *indicator.Drift
	ma2   types.UpdatableSeriesExtend
}

func (s *DriftMA) Update(value float64) {
	s.ma1.Update(value)
	s.drift.Update(s.ma1.Last())
	s.ma2.Update(s.drift.Last())
}

func (s *DriftMA) Last() float64 {
	return s.ma2.Last()
}

func (s *DriftMA) Index(i int) float64 {
	return s.ma2.Index(i)
}

func (s *DriftMA) Length() int {
	return s.ma2.Length()
}

func (s *DriftMA) ZeroPoint() float64 {
	return s.drift.ZeroPoint()
}

func (s *DriftMA) Clone() *DriftMA {
	out := DriftMA{
		ma1:   types.Clone(s.ma1),
		drift: s.drift.Clone(),
		ma2:   types.Clone(s.ma2),
	}
	out.SeriesBase.Series = &out
	return &out
}

func (s *DriftMA) TestUpdate(v float64) *DriftMA {
	out := s.Clone()
	out.Update(v)
	return out
}

func (s *Strategy) initIndicators(kline *types.KLine, priceLines *types.Queue) error {
	s.ma = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
	s.stdevHigh = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
	s.stdevLow = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
	s.drift = &DriftMA{
		drift: &indicator.Drift{
			MA:             &indicator.SMA{IntervalWindow: s.IntervalWindow},
			IntervalWindow: s.IntervalWindow,
		},
		ma1: &indicator.EWMA{
			IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.SmootherWindow},
		},
		ma2: &indicator.FisherTransform{
			IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.FisherTransformWindow},
		},
	}
	s.drift.SeriesBase.Series = s.drift
	s.drift1m = &DriftMA{
		drift: &indicator.Drift{
			MA:             &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: types.Interval1m, Window: 2}},
			IntervalWindow: types.IntervalWindow{Interval: types.Interval1m, Window: 2},
		},
		ma1: &indicator.EWMA{
			IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 24},
		},
		ma2: &indicator.FisherTransform{
			IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.FisherTransformWindow * 15},
		},
	}
	s.drift1m.SeriesBase.Series = s.drift1m
	s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.ATRWindow}}
	s.takeProfitFactor = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.ProfitFactorWindow}}
	s.trendLine = &indicator.EWMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.TrendWindow}}

	for i := 0; i < s.ProfitFactorWindow; i++ {
		s.takeProfitFactor.Update(s.TakeProfitFactor)
	}
	store, _ := s.Session.MarketDataStore(s.Symbol)
	klines, ok := store.KLinesOfInterval(s.Interval)
	if !ok {
		return errors.New("klines not exists")
	}

	for _, kline := range *klines {
		source := s.getSource(&kline).Float64()
		high := kline.High.Float64()
		low := kline.Low.Float64()
		s.ma.Update(source)
		s.stdevHigh.Update(high - s.ma.Last())
		s.stdevLow.Update(s.ma.Last() - low)
		s.drift.Update(source)
		s.trendLine.Update(source)
		s.atr.PushK(kline)
		priceLines.Update(source)
	}
	if kline != nil && klines != nil {
		kline.Set(&(*klines)[len(*klines)-1])
	}
	klines, ok = store.KLinesOfInterval(types.Interval1m)
	if !ok {
		return errors.New("klines not exists")
	}
	for _, kline := range *klines {
		source := s.getSource(&kline).Float64()
		s.drift1m.Update(source)
	}
	return nil
}

func (s *Strategy) smartCancel(ctx context.Context, pricef, atr, takeProfitFactor float64) (int, error) {
	nonTraded := s.GeneralOrderExecutor.ActiveMakerOrders().Orders()
	if len(nonTraded) > 0 {
		if len(nonTraded) > 1 {
			log.Errorf("should only have one order to cancel, got %d", len(nonTraded))
		}
		toCancel := false

		drift := s.drift1m.Array(2)
		for _, order := range nonTraded {
			if s.minutesCounter-s.orderPendingCounter[order.OrderID] > s.PendingMinutes {
				if order.Side == types.SideTypeBuy && drift[1] > drift[0] {
					continue
				} else if order.Side == types.SideTypeSell && drift[1] < drift[0] {
					continue
				}
				toCancel = true
			} else if order.Side == types.SideTypeBuy {
				// 75% of the probability
				if order.Price.Float64()+s.stdevHigh.Last()*2 <= pricef {
					toCancel = true
				}
			} else if order.Side == types.SideTypeSell {
				// 75% of the probability
				if order.Price.Float64()-s.stdevLow.Last()*2 >= pricef {
					toCancel = true
				}
			} else {
				panic("not supported side for the order")
			}
		}
		if toCancel {
			err := s.GeneralOrderExecutor.GracefulCancel(ctx)
			// TODO: clean orderPendingCounter on cancel/trade
			if err == nil {
				for _, order := range nonTraded {
					delete(s.orderPendingCounter, order.OrderID)
				}
			}
			return 0, err
		}
	}
	return len(nonTraded), nil
}

func (s *Strategy) trailingCheck(price float64, direction string) bool {
	avg := s.buyPrice + s.sellPrice
	if s.highestPrice > 0 && s.highestPrice < price {
		s.highestPrice = price
	}
	if s.lowestPrice > 0 && s.lowestPrice > price {
		s.lowestPrice = price
	}
	isShort := direction == "short"
	for i := len(s.TrailingCallbackRate) - 1; i >= 0; i-- {
		trailingCallbackRate := s.TrailingCallbackRate[i]
		trailingActivationRatio := s.TrailingActivationRatio[i]
		if isShort {
			if (avg-s.lowestPrice)/s.lowestPrice > trailingActivationRatio {
				return (price-s.lowestPrice)/s.lowestPrice > trailingCallbackRate
			}
		} else {
			if (s.highestPrice-avg)/avg > trailingActivationRatio {
				return (s.highestPrice-price)/price > trailingCallbackRate
			}
		}
	}
	return false
}

func (s *Strategy) initTickerFunctions(ctx context.Context) {
	if s.IsBackTesting() {
		s.getLastPrice = func() fixedpoint.Value {
			lastPrice, ok := s.Session.LastPrice(s.Symbol)
			if !ok {
				log.Error("cannot get lastprice")
			}
			return lastPrice
		}
	} else {
		s.Session.MarketDataStream.OnBookTickerUpdate(func(ticker types.BookTicker) {
			bestBid := ticker.Buy
			bestAsk := ticker.Sell

			var pricef, atr, avg float64
			var price fixedpoint.Value
			if util.TryLock(&s.lock) {
				if !bestAsk.IsZero() && !bestBid.IsZero() {
					s.midPrice = bestAsk.Add(bestBid).Div(Two)
				} else if !bestAsk.IsZero() {
					s.midPrice = bestAsk
				} else {
					s.midPrice = bestBid
				}
				price = s.midPrice
				pricef = s.midPrice.Float64()
			} else {
				return
			}

			defer s.lock.Unlock()
			// for trailing stoploss during the realtime
			if s.NoTrailingStopLoss || s.TrailingStopLossType == "kline" {
				return
			}

			atr = s.atr.Last()
			takeProfitFactor := s.takeProfitFactor.Predict(2)
			numPending := 0
			var err error
			if numPending, err = s.smartCancel(ctx, pricef, atr, takeProfitFactor); err != nil {
				log.WithError(err).Errorf("cannot cancel orders")
				return
			}
			if numPending > 0 {
				return
			}

			if s.highestPrice > 0 && s.highestPrice < pricef {
				s.highestPrice = pricef
			}
			if s.lowestPrice > 0 && s.lowestPrice > pricef {
				s.lowestPrice = pricef
			}
			avg = s.buyPrice + s.sellPrice

			exitShortCondition := ( /*avg*(1.+stoploss) <= pricef || (ddrift > 0 && drift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef ||
				s.trailingCheck(pricef, "short")) &&
				(s.p.IsShort() && !s.p.IsDust(price))
			exitLongCondition := ( /*avg*(1.-stoploss) >= pricef || (ddrift < 0 && drift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef ||
				s.trailingCheck(pricef, "long")) &&
				(!s.p.IsLong() && !s.p.IsDust(price))
			if exitShortCondition || exitLongCondition {
				if exitLongCondition && s.highestPrice > avg {
					s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 1.5)
				} else if exitShortCondition && avg > s.lowestPrice {
					s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5)
				}
				log.Infof("Close position by orderbook changes")
				_ = s.ClosePosition(ctx, fixedpoint.One)
			}
		})
		s.getLastPrice = func() (lastPrice fixedpoint.Value) {
			var ok bool
			s.lock.RLock()
			if s.midPrice.IsZero() {
				lastPrice, ok = s.Session.LastPrice(s.Symbol)
				if !ok {
					log.Error("cannot get lastprice")
					s.lock.RUnlock()
					return lastPrice
				}
			} else {
				lastPrice = s.midPrice
			}
			s.lock.RUnlock()
			return lastPrice
		}
	}

}

func (s *Strategy) DrawIndicators(time types.Time, priceLine types.SeriesExtend, zeroPoints types.Series) *types.Canvas {
	canvas := types.NewCanvas(s.InstanceID(), s.Interval)
	Length := priceLine.Length()
	if Length > 300 {
		Length = 300
	}
	log.Infof("draw indicators with %d data", Length)
	mean := priceLine.Mean(Length)
	highestPrice := priceLine.Minus(mean).Abs().Highest(Length)
	highestDrift := s.drift.Abs().Highest(Length)
	hi := s.drift.drift.Abs().Highest(Length)
	ratio := highestPrice / highestDrift
	canvas.Plot("upband", s.ma.Add(s.stdevHigh), time, Length)
	canvas.Plot("ma", s.ma, time, Length)
	canvas.Plot("downband", s.ma.Minus(s.stdevLow), time, Length)
	canvas.Plot("drift", s.drift.Mul(ratio).Add(mean), time, Length)
	canvas.Plot("driftOrig", s.drift.drift.Mul(highestPrice/hi).Add(mean), time, Length)
	canvas.Plot("zero", types.NumberSeries(mean), time, Length)
	canvas.Plot("price", priceLine, time, Length)
	canvas.Plot("zeroPoint", zeroPoints, time, Length)
	return canvas
}

func (s *Strategy) DrawPNL(profit types.Series) *types.Canvas {
	canvas := types.NewCanvas(s.InstanceID())
	log.Errorf("pnl Highest: %f, Lowest: %f", types.Highest(profit, profit.Length()), types.Lowest(profit, profit.Length()))
	length := profit.Length()
	if s.GraphPNLDeductFee {
		canvas.PlotRaw("pnl % (with Fee Deducted)", profit, length)
	} else {
		canvas.PlotRaw("pnl %", profit, length)
	}
	canvas.YAxis = chart.YAxis{
		ValueFormatter: func(v interface{}) string {
			if vf, isFloat := v.(float64); isFloat {
				return fmt.Sprintf("%.4f", vf)
			}
			return ""
		},
	}
	canvas.PlotRaw("1", types.NumberSeries(1), length)
	return canvas
}

func (s *Strategy) DrawCumPNL(cumProfit types.Series) *types.Canvas {
	canvas := types.NewCanvas(s.InstanceID())
	if s.GraphPNLDeductFee {
		canvas.PlotRaw("cummulative pnl % (with Fee Deducted)", cumProfit, cumProfit.Length())
	} else {
		canvas.PlotRaw("cummulative pnl %", cumProfit, cumProfit.Length())
	}
	canvas.YAxis = chart.YAxis{
		ValueFormatter: func(v interface{}) string {
			if vf, isFloat := v.(float64); isFloat {
				return fmt.Sprintf("%.4f", vf)
			}
			return ""
		},
	}
	return canvas
}

func (s *Strategy) Draw(time types.Time, priceLine types.SeriesExtend, profit types.Series, cumProfit types.Series, zeroPoints types.Series) {
	canvas := s.DrawIndicators(time, priceLine, zeroPoints)
	f, err := os.Create(s.CanvasPath)
	if err != nil {
		log.WithError(err).Errorf("cannot create on %s", s.CanvasPath)
		return
	}
	defer f.Close()
	if err := canvas.Render(chart.PNG, f); err != nil {
		log.WithError(err).Errorf("cannot render in drift")
	}

	canvas = s.DrawPNL(profit)
	f, err = os.Create(s.GraphPNLPath)
	if err != nil {
		log.WithError(err).Errorf("open pnl")
		return
	}
	defer f.Close()
	if err := canvas.Render(chart.PNG, f); err != nil {
		log.WithError(err).Errorf("render pnl")
	}

	canvas = s.DrawCumPNL(cumProfit)
	f, err = os.Create(s.GraphCumPNLPath)
	if err != nil {
		log.WithError(err).Errorf("open cumpnl")
		return
	}
	defer f.Close()
	if err := canvas.Render(chart.PNG, f); err != nil {
		log.WithError(err).Errorf("render cumpnl")
	}
}

// Sending new rebalance orders cost too much.
// Modify the position instead to expect the strategy itself rebalance on Close
func (s *Strategy) Rebalance(ctx context.Context, orderTagHistory map[uint64]string) {
	price := s.getLastPrice()
	_, beta := types.LinearRegression(s.trendLine, 3)
	if math.Abs(beta) > s.RebalanceFilter && math.Abs(s.beta) > s.RebalanceFilter || math.Abs(s.beta) < s.RebalanceFilter && math.Abs(beta) < s.RebalanceFilter {
		return
	}
	balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
	baseBalance := balances[s.Market.BaseCurrency].Total()
	quoteBalance := balances[s.Market.QuoteCurrency].Total()
	total := baseBalance.Add(quoteBalance.Div(price))
	percentage := fixedpoint.One.Sub(Delta)
	log.Infof("rebalance beta %f %v", beta, s.p)
	if beta > s.RebalanceFilter {
		if total.Mul(percentage).Compare(baseBalance) > 0 {
			q := total.Mul(percentage).Sub(baseBalance)
			s.p.Lock()
			defer s.p.Unlock()
			s.p.Base = q.Neg()
			s.p.Quote = q.Mul(price)
			s.p.AverageCost = price
		}
		/*if total.Mul(percentage).Compare(baseBalance) > 0 {
			q := total.Mul(percentage).Sub(baseBalance)
			if s.Market.IsDustQuantity(q, price) {
				return
			}
			err := s.GeneralOrderExecutor.GracefulCancel(ctx)
			if err != nil {
				panic(fmt.Sprintf("%s", err))
			}
			orders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
				Symbol: s.Symbol,
				Side: types.SideTypeBuy,
				Type: types.OrderTypeMarket,
				Price: price,
				Quantity: q,
				Tag: "rebalance",
			})
			if err == nil {
				orderTagHistory[orders[0].OrderID] = "rebalance"
			} else {
				log.WithError(err).Errorf("rebalance %v %v %v %v", total, q, balances[s.Market.QuoteCurrency].Available, quoteBalance)
			}
		}*/
	} else if beta <= -s.RebalanceFilter {
		if total.Mul(percentage).Compare(quoteBalance.Div(price)) > 0 {
			q := total.Mul(percentage).Sub(quoteBalance.Div(price))
			s.p.Lock()
			defer s.p.Unlock()
			s.p.Base = q
			s.p.Quote = q.Mul(price).Neg()
			s.p.AverageCost = price
		}
		/*if total.Mul(percentage).Compare(quoteBalance.Div(price)) > 0 {
			q := total.Mul(percentage).Sub(quoteBalance.Div(price))
			if s.Market.IsDustQuantity(q, price) {
				return
			}
			err := s.GeneralOrderExecutor.GracefulCancel(ctx)
			if err != nil {
				panic(fmt.Sprintf("%s", err))
			}
			orders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
				Symbol:   s.Symbol,
				Side:     types.SideTypeSell,
				Type:     types.OrderTypeMarket,
				Price:    price,
				Quantity: q,
				Tag:      "rebalance",
			})
			if err == nil {
				orderTagHistory[orders[0].OrderID] = "rebalance"
			} else {
				log.WithError(err).Errorf("rebalance %v %v %v %v", total, q, balances[s.Market.BaseCurrency].Available, baseBalance)
			}
		}*/
	} else {
		if total.Div(Two).Compare(quoteBalance.Div(price)) > 0 {
			q := total.Div(Two).Sub(quoteBalance.Div(price))
			s.p.Lock()
			defer s.p.Unlock()
			s.p.Base = q
			s.p.Quote = q.Mul(price).Neg()
			s.p.AverageCost = price
		} else if total.Div(Two).Compare(baseBalance) > 0 {
			q := total.Div(Two).Sub(baseBalance)
			s.p.Lock()
			defer s.p.Unlock()
			s.p.Base = q.Neg()
			s.p.Quote = q.Mul(price)
			s.p.AverageCost = price
		} else {
			s.p.Lock()
			defer s.p.Unlock()
			s.p.Reset()
		}
	}
	log.Infof("rebalanceafter %v %v %v", baseBalance, quoteBalance, s.p)
	s.beta = beta
}

func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
	instanceID := s.InstanceID()
	// Will be set by persistence if there's any from DB
	if s.Position == nil {
		s.Position = types.NewPositionFromMarket(s.Market)
		s.p = types.NewPositionFromMarket(s.Market)
	} else {
		s.p = types.NewPositionFromMarket(s.Market)
		s.p.Base = s.Position.Base
		s.p.Quote = s.Position.Quote
		s.p.AverageCost = s.Position.AverageCost
	}
	if s.ProfitStats == nil {
		s.ProfitStats = types.NewProfitStats(s.Market)
	}
	if s.TradeStats == nil {
		s.TradeStats = types.NewTradeStats(s.Symbol)
	}
	startTime := s.Environment.StartTime()
	s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1d, startTime))
	s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1w, startTime))

	// StrategyController
	s.Status = types.StrategyStatusRunning
	// Get source function from config input
	s.getSource = s.SourceFuncGenerator()

	s.OnSuspend(func() {
		_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
	})

	s.OnEmergencyStop(func() {
		_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
		_ = s.ClosePosition(ctx, fixedpoint.One)
	})

	s.GeneralOrderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
	s.GeneralOrderExecutor.BindEnvironment(s.Environment)
	s.GeneralOrderExecutor.BindProfitStats(s.ProfitStats)
	s.GeneralOrderExecutor.BindTradeStats(s.TradeStats)
	s.GeneralOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
		bbgo.Sync(s)
	})
	s.GeneralOrderExecutor.Bind()

	s.orderPendingCounter = make(map[uint64]int)
	s.minutesCounter = 0

	// Exit methods from config
	for _, method := range s.ExitMethods {
		method.Bind(session, s.GeneralOrderExecutor)
	}
	buyPrice := fixedpoint.Zero
	sellPrice := fixedpoint.Zero
	Volume := fixedpoint.Zero
	profit := types.Float64Slice{}
	cumProfit := types.Float64Slice{1.}
	orderTagHistory := make(map[uint64]string)
	s.Session.UserDataStream.OnOrderUpdate(func(order types.Order) {
		orderTagHistory[order.OrderID] = order.Tag
	})
	modify := func(p fixedpoint.Value) fixedpoint.Value {
		return p
	}
	if s.GraphPNLDeductFee {
		modify = func(p fixedpoint.Value) fixedpoint.Value {
			return p.Mul(fixedpoint.One.Sub(Fee))
		}
	}
	s.Session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
		s.p.AddTrade(trade)
		tag, ok := orderTagHistory[trade.OrderID]
		if !ok {
			panic(fmt.Sprintf("cannot find order: %v", trade))
		}
		bp := buyPrice
		vol := Volume
		sp := sellPrice
		if tag == "close" {
			if !buyPrice.IsZero() {
				if trade.Side == types.SideTypeSell {
					if trade.Quantity.Compare(Volume) > 0 {
						profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
					} else {
						profit.Update(modify(trade.Price.Div(buyPrice)).
							Sub(fixedpoint.One).
							Mul(trade.Quantity).
							Div(Volume).
							Add(fixedpoint.One).
							Float64())
					}
					cumProfit.Update(cumProfit.Last() * profit.Last())
					Volume = Volume.Sub(trade.Quantity)
					if Volume.Sign() < 0 {
						sellPrice = trade.Price
						buyPrice = fixedpoint.Zero
					} else if Volume.Sign() == 0 {
						buyPrice = fixedpoint.Zero
					}
				} else {
					buyPrice = buyPrice.Mul(Volume).Add(trade.Price.Mul(trade.Quantity)).Div(Volume.Add(trade.Quantity))
					Volume = Volume.Add(trade.Quantity)
				}
			} else if !sellPrice.IsZero() {
				if trade.Side == types.SideTypeBuy {
					if trade.Quantity.Compare(Volume.Neg()) > 0 {
						profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
					} else {
						profit.Update(modify(sellPrice.Div(trade.Price)).
							Sub(fixedpoint.One).
							Mul(trade.Quantity).
							Div(Volume).
							Neg().
							Add(fixedpoint.One).
							Float64())
					}
					cumProfit.Update(cumProfit.Last() * profit.Last())
					Volume = Volume.Add(trade.Quantity)
					if Volume.Sign() > 0 {
						buyPrice = trade.Price
						sellPrice = fixedpoint.Zero
					} else if Volume.Sign() == 0 {
						sellPrice = fixedpoint.Zero
					}
				} else {
					sellPrice = sellPrice.Mul(Volume).Sub(trade.Price.Mul(trade.Quantity)).Div(Volume.Sub(trade.Quantity))
					Volume = Volume.Sub(trade.Quantity)
				}
			} else {
				// position changed by strategy
				if trade.Side == types.SideTypeBuy {
					Volume = Volume.Add(trade.Quantity)
					if Volume.Sign() > 0 {
						buyPrice = trade.Price
						sellPrice = fixedpoint.Zero
					} else if Volume.Sign() < 0 {
						sellPrice = trade.Price
						buyPrice = fixedpoint.Zero
					} else {
						buyPrice = fixedpoint.Zero
						sellPrice = fixedpoint.Zero
					}
				} else if trade.Side == types.SideTypeSell {
					sellPrice = trade.Price
					Volume = Volume.Sub(trade.Quantity)
					if Volume.Sign() > 0 {
						buyPrice = trade.Price
						sellPrice = fixedpoint.Zero
					} else if Volume.Sign() < 0 {
						sellPrice = trade.Price
						buyPrice = fixedpoint.Zero
					} else {
						buyPrice = fixedpoint.Zero
						sellPrice = fixedpoint.Zero
					}
				}
			}
		} else if tag == "short" {
			if buyPrice.IsZero() {
				if !sellPrice.IsZero() {
					sellPrice = sellPrice.Mul(Volume).Sub(trade.Price.Mul(trade.Quantity)).Div(Volume.Sub(trade.Quantity))
				} else {
					sellPrice = trade.Price
				}
			} else {
				profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
				cumProfit.Update(cumProfit.Last() * profit.Last())
				buyPrice = fixedpoint.Zero
				Volume = fixedpoint.Zero
				sellPrice = trade.Price
			}
			Volume = Volume.Sub(trade.Quantity)
		} else if tag == "long" {
			if sellPrice.IsZero() {
				if !buyPrice.IsZero() {
					buyPrice = buyPrice.Mul(Volume).Add(trade.Price.Mul(trade.Quantity)).Div(Volume.Add(trade.Quantity))
				} else {
					buyPrice = trade.Price
				}
			} else {
				profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
				cumProfit.Update(cumProfit.Last() * profit.Last())
				sellPrice = fixedpoint.Zero
				buyPrice = trade.Price
				Volume = fixedpoint.Zero
			}
			Volume = Volume.Add(trade.Quantity)
		} else if tag == "rebalance" {
			if sellPrice.IsZero() {
				profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
			} else {
				profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
			}
			cumProfit.Update(cumProfit.Last() * profit.Last())
			sellPrice = fixedpoint.Zero
			buyPrice = fixedpoint.Zero
			Volume = fixedpoint.Zero
			s.p.Lock()
			defer s.p.Unlock()
			s.p.Reset()
		}
		s.buyPrice = buyPrice.Float64()
		s.highestPrice = s.buyPrice
		s.sellPrice = sellPrice.Float64()
		s.lowestPrice = s.sellPrice
		bbgo.Notify("tag %s %v %s volafter: %v, quantity: %v, bp: %v, sp: %v, volbefore: %v, bpafter: %v, spafter: %v", tag, trade.Price, trade.Side, Volume, trade.Quantity, bp, sp, vol, s.buyPrice, s.sellPrice)
	})

	dynamicKLine := &types.KLine{}
	priceLine := types.NewQueue(300)
	if err := s.initIndicators(dynamicKLine, priceLine); err != nil {
		log.WithError(err).Errorf("initIndicator failed")
		return nil
	}
	s.initTickerFunctions(ctx)

	zeroPoints := types.NewQueue(300)
	stoploss := s.StopLoss.Float64()
	// default value: use 1m kline
	if !s.NoTrailingStopLoss && s.IsBackTesting() || s.TrailingStopLossType == "" {
		s.TrailingStopLossType = "kline"
	}

	bbgo.RegisterCommand("/draw", "Draw Indicators", func(reply interact.Reply) {
		canvas := s.DrawIndicators(dynamicKLine.StartTime, priceLine, zeroPoints)
		var buffer bytes.Buffer
		if err := canvas.Render(chart.PNG, &buffer); err != nil {
			log.WithError(err).Errorf("cannot render indicators in drift")
			reply.Message(fmt.Sprintf("[error] cannot render indicators in drift: %v", err))
			return
		}
		bbgo.SendPhoto(&buffer)
	})

	bbgo.RegisterCommand("/pnl", "Draw PNL per trade", func(reply interact.Reply) {
		canvas := s.DrawPNL(&profit)
		var buffer bytes.Buffer
		if err := canvas.Render(chart.PNG, &buffer); err != nil {
			log.WithError(err).Errorf("cannot render pnl in drift")
			reply.Message(fmt.Sprintf("[error] cannot render pnl in drift: %v", err))
			return
		}
		bbgo.SendPhoto(&buffer)
	})

	bbgo.RegisterCommand("/cumpnl", "Draw Cummulative PNL", func(reply interact.Reply) {
		canvas := s.DrawCumPNL(&cumProfit)
		var buffer bytes.Buffer
		if err := canvas.Render(chart.PNG, &buffer); err != nil {
			log.WithError(err).Errorf("cannot render cumpnl in drift")
			reply.Message(fmt.Sprintf("[error] canot render cumpnl in drift: %v", err))
			return
		}
		bbgo.SendPhoto(&buffer)
	})

	bbgo.RegisterCommand("/config", "Show latest config", func(reply interact.Reply) {
		var buffer bytes.Buffer
		s.Print(&buffer, false)
		reply.Message(buffer.String())
	})

	session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
		if s.Status != types.StrategyStatusRunning {
			return
		}
		if kline.Symbol != s.Symbol {
			return
		}
		var driftPred, atr float64
		var drift []float64

		if !kline.Closed {
			return
		}
		if kline.Interval == types.Interval1m {
			s.drift1m.Update(s.getSource(&kline).Float64())
			s.minutesCounter += 1
			if s.NoTrailingStopLoss || s.TrailingStopLossType == "realtime" {
				return
			}
			// for doing the trailing stoploss during backtesting
			atr = s.atr.Last()
			price := s.getLastPrice()
			pricef := price.Float64()

			takeProfitFactor := s.takeProfitFactor.Predict(2)
			var err error
			numPending := 0
			if numPending, err = s.smartCancel(ctx, pricef, atr, takeProfitFactor); err != nil {
				log.WithError(err).Errorf("cannot cancel orders")
				return
			}
			if numPending > 0 {
				return
			}

			lowf := math.Min(kline.Low.Float64(), pricef)
			highf := math.Max(kline.High.Float64(), pricef)
			if s.lowestPrice > 0 && lowf < s.lowestPrice {
				s.lowestPrice = lowf
			}
			if s.highestPrice > 0 && highf > s.highestPrice {
				s.highestPrice = highf
			}
			avg := s.buyPrice + s.sellPrice
			exitShortCondition := ( /*avg*(1.+stoploss) <= pricef || (drift > 0 || ddrift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef ||
				s.trailingCheck(highf, "short")) &&
				(s.Position.IsShort() && !s.Position.IsDust(price))
			exitLongCondition := ( /*avg*(1.-stoploss) >= pricef || (drift < 0 || ddrift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef ||
				s.trailingCheck(lowf, "long")) &&
				(s.Position.IsLong() && !s.Position.IsDust(price))
			if exitShortCondition || exitLongCondition {
				if exitLongCondition && s.highestPrice > avg {
					s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 1.5)
				} else if exitShortCondition && avg > s.lowestPrice {
					s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5)
				}
				_ = s.ClosePosition(ctx, fixedpoint.One)
			}
			return
		}
		if kline.Interval != s.Interval {
			return
		}
		dynamicKLine.Set(&kline)

		source := s.getSource(dynamicKLine)
		sourcef := source.Float64()
		priceLine.Update(sourcef)
		s.ma.Update(sourcef)
		s.trendLine.Update(sourcef)
		s.drift.Update(sourcef)

		zeroPoint := s.drift.ZeroPoint()
		zeroPoints.Update(zeroPoint)
		s.atr.PushK(kline)
		drift = s.drift.Array(2)
		ddrift := s.drift.drift.Array(2)
		driftPred = s.drift.Predict(s.PredictOffset)
		ddriftPred := s.drift.drift.Predict(s.PredictOffset)
		atr = s.atr.Last()
		price := s.getLastPrice()
		pricef := price.Float64()
		lowf := math.Min(kline.Low.Float64(), pricef)
		highf := math.Max(kline.High.Float64(), pricef)
		lowdiff := s.ma.Last() - lowf
		s.stdevLow.Update(lowdiff)
		highdiff := highf - s.ma.Last()
		s.stdevHigh.Update(highdiff)

		//log.Errorf("highdiff: %3.2f ma: %.2f, close: %8v, high: %8v, low: %8v, time: %v", s.stdevHigh.Last(), s.ma.Last(), kline.Close, kline.High, kline.Low, kline.StartTime)
		if s.lowestPrice > 0 && lowf < s.lowestPrice {
			s.lowestPrice = lowf
		}
		if s.highestPrice > 0 && highf > s.highestPrice {
			s.highestPrice = highf
		}
		avg := s.buyPrice + s.sellPrice
		takeProfitFactor := s.takeProfitFactor.Predict(2)

		if !s.NoRebalance {
			s.Rebalance(ctx, orderTagHistory)
		}

		//if !s.IsBackTesting() {
		balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
		bbgo.Notify("source: %.4f, price: %.4f, driftPred: %.4f, ddriftPred: %.4f, drift[1]: %.4f, ddrift[1]: %.4f, atr: %.4f, avg: %.4f, takeProfitFact: %.4f, lowf %.4f, highf: %.4f",
			sourcef, pricef, driftPred, ddriftPred, drift[1], ddrift[1], atr, avg, takeProfitFactor, lowf, highf)
		// Notify will parse args to strings and process separately
		bbgo.Notify("balances: [Base] %s(%vU) [Quote] %s",
			balances[s.Market.BaseCurrency].String(),
			balances[s.Market.BaseCurrency].Total().Mul(price),
			balances[s.Market.QuoteCurrency].String())
		//}

		shortCondition := (drift[1] >= DriftFilterNeg || ddrift[1] >= 0) && (driftPred <= DDriftFilterNeg || ddriftPred <= 0) || drift[1] < 0 && drift[0] < 0
		longCondition := (drift[1] <= DriftFilterPos || ddrift[1] <= 0) && (driftPred >= DDriftFilterPos || ddriftPred >= 0) || drift[1] > 0 && drift[0] > 0
		exitShortCondition := ((drift[0] >= DDriftFilterPos || ddrift[0] >= 0) ||
			avg*(1.+stoploss) <= pricef ||
			avg-atr*takeProfitFactor >= pricef) &&
			s.Position.IsShort()
		exitLongCondition := ((drift[0] <= DDriftFilterNeg || ddrift[0] <= 0) ||
			avg*(1.-stoploss) >= pricef ||
			avg+atr*takeProfitFactor <= pricef) &&
			s.Position.IsLong()

		if (exitShortCondition || exitLongCondition) && s.Position.IsOpened(price) && !shortCondition && !longCondition {
			if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
				log.WithError(err).Errorf("cannot cancel orders")
				return
			}
			if exitShortCondition && avg > s.lowestPrice {
				s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5)
			} else if exitLongCondition && avg < s.highestPrice {
				s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 1.5)
			}
			if s.takeProfitFactor.Last() == 0 {
				log.Errorf("exit %f %f %f %v", s.highestPrice, s.lowestPrice, avg, s.takeProfitFactor.Array(10))
			}
			_ = s.ClosePosition(ctx, fixedpoint.One)
			return
		}
		if shortCondition {
			if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
				log.WithError(err).Errorf("cannot cancel orders")
				return
			}
			baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
			if !ok {
				log.Errorf("unable to get baseBalance")
				return
			}
			source = source.Add(fixedpoint.NewFromFloat(s.stdevHigh.Last() * s.HighLowVarianceMultiplier))
			if source.Compare(price) < 0 {
				source = price
			}
			sourcef = source.Float64()

			if s.Market.IsDustQuantity(baseBalance.Available, source) {
				return
			}
			if avg < s.highestPrice && avg > 0 && s.Position.IsLong() {
				s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 1.5)
			}
			// Cleanup pending StopOrders
			quantity := baseBalance.Available
			createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
				Symbol:   s.Symbol,
				Side:     types.SideTypeSell,
				Type:     types.OrderTypeLimit,
				Price:    source,
				Quantity: quantity,
				Tag:      "short",
			})
			if err != nil {
				log.WithError(err).Errorf("cannot place sell order")
				return
			}
			orderTagHistory[createdOrders[0].OrderID] = "short"
			s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
		}
		if longCondition {
			if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
				log.WithError(err).Errorf("cannot cancel orders")
				return
			}
			source = source.Sub(fixedpoint.NewFromFloat(s.stdevLow.Last() * s.HighLowVarianceMultiplier))
			if source.Compare(price) > 0 {
				source = price
			}
			sourcef = source.Float64()

			quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
			if !ok {
				log.Errorf("unable to get quoteCurrency")
				return
			}
			if s.Market.IsDustQuantity(
				quoteBalance.Available.Div(source), source) {
				return
			}
			if avg > s.lowestPrice && s.Position.IsShort() {
				s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5)
			}
			quantity := quoteBalance.Available.Div(source)
			createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
				Symbol:   s.Symbol,
				Side:     types.SideTypeBuy,
				Type:     types.OrderTypeLimit,
				Price:    source,
				Quantity: quantity,
				Tag:      "long",
			})
			if err != nil {
				log.WithError(err).Errorf("cannot place buy order")
				return
			}
			orderTagHistory[createdOrders[0].OrderID] = "long"
			s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
		}
	})

	bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {

		var buffer bytes.Buffer

		s.Print(&buffer, true, true)
		fmt.Fprintln(&buffer, s.TradeStats.BriefString())

		os.Stdout.Write(buffer.Bytes())

		if s.GenerateGraph {
			s.Draw(dynamicKLine.StartTime, priceLine, &profit, &cumProfit, zeroPoints)
		}

		wg.Done()
	})
	return nil
}