bbgo_origin/pkg/strategy/pivotshort/strategy.go

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package pivotshort
import (
"context"
"fmt"
"os"
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"sync"
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"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/dynamic"
"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
)
const ID = "pivotshort"
var one = fixedpoint.One
var log = logrus.WithField("strategy", ID)
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
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type SupportTakeProfit struct {
Symbol string
types.IntervalWindow
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Ratio fixedpoint.Value `json:"ratio"`
pivot *indicator.PivotLow
orderExecutor *bbgo.GeneralOrderExecutor
session *bbgo.ExchangeSession
activeOrders *bbgo.ActiveOrderBook
currentSupportPrice fixedpoint.Value
triggeredPrices []fixedpoint.Value
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}
func (s *SupportTakeProfit) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
}
func (s *SupportTakeProfit) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
s.session = session
s.orderExecutor = orderExecutor
s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
session.UserDataStream.OnOrderUpdate(func(order types.Order) {
if s.activeOrders.Exists(order) {
if !s.currentSupportPrice.IsZero() {
s.triggeredPrices = append(s.triggeredPrices, s.currentSupportPrice)
}
}
})
s.activeOrders.BindStream(session.UserDataStream)
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position := orderExecutor.Position()
s.pivot = session.StandardIndicatorSet(s.Symbol).PivotLow(s.IntervalWindow)
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
if !s.updateSupportPrice(kline.Close) {
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return
}
if !position.IsOpened(kline.Close) {
log.Infof("position is not opened, skip updating support take profit order")
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return
}
buyPrice := s.currentSupportPrice.Mul(one.Add(s.Ratio))
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quantity := position.GetQuantity()
ctx := context.Background()
if err := orderExecutor.GracefulCancelActiveOrderBook(ctx, s.activeOrders); err != nil {
log.WithError(err).Errorf("cancel order failed")
}
bbgo.Notify("placing %s take profit order at price %f", s.Symbol, buyPrice.Float64())
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createdOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
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Type: types.OrderTypeLimitMaker,
Side: types.SideTypeBuy,
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Price: buyPrice,
Quantity: quantity,
Tag: "supportTakeProfit",
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})
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if err != nil {
log.WithError(err).Errorf("can not submit orders: %+v", createdOrders)
}
s.activeOrders.Add(createdOrders...)
}))
}
func (s *SupportTakeProfit) updateSupportPrice(closePrice fixedpoint.Value) bool {
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log.Infof("[supportTakeProfit] lows: %v", s.pivot.Values)
groupDistance := 0.01
minDistance := 0.05
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supportPrices := findPossibleSupportPrices(closePrice.Float64()*(1.0-minDistance), groupDistance, s.pivot.Values)
if len(supportPrices) == 0 {
return false
}
log.Infof("[supportTakeProfit] found possible support prices: %v", supportPrices)
// nextSupportPrice are sorted in increasing order
nextSupportPrice := fixedpoint.NewFromFloat(supportPrices[len(supportPrices)-1])
// it's price that we have been used to take profit
for _, p := range s.triggeredPrices {
var l = p.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
var h = p.Mul(one.Add(fixedpoint.NewFromFloat(0.01)))
if p.Compare(l) > 0 && p.Compare(h) < 0 {
return false
}
}
currentBuyPrice := s.currentSupportPrice.Mul(one.Add(s.Ratio))
if s.currentSupportPrice.IsZero() {
log.Infof("setup next support take profit price at %f", nextSupportPrice.Float64())
s.currentSupportPrice = nextSupportPrice
return true
}
// the close price is already lower than the support price, than we should update
if closePrice.Compare(currentBuyPrice) < 0 || nextSupportPrice.Compare(s.currentSupportPrice) > 0 {
log.Infof("setup next support take profit price at %f", nextSupportPrice.Float64())
s.currentSupportPrice = nextSupportPrice
return true
}
return false
}
type Strategy struct {
Environment *bbgo.Environment
Symbol string `json:"symbol"`
Market types.Market
// pivot interval and window
types.IntervalWindow
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Leverage fixedpoint.Value `json:"leverage"`
Quantity fixedpoint.Value `json:"quantity"`
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// persistence fields
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Position *types.Position `persistence:"position"`
ProfitStats *types.ProfitStats `persistence:"profit_stats"`
TradeStats *types.TradeStats `persistence:"trade_stats"`
// BreakLow is one of the entry method
BreakLow *BreakLow `json:"breakLow"`
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// ResistanceShort is one of the entry method
ResistanceShort *ResistanceShort `json:"resistanceShort"`
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SupportTakeProfit []*SupportTakeProfit `json:"supportTakeProfit"`
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
session *bbgo.ExchangeSession
orderExecutor *bbgo.GeneralOrderExecutor
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// StrategyController
bbgo.StrategyController
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) InstanceID() string {
return fmt.Sprintf("%s:%s", ID, s.Symbol)
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
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if s.ResistanceShort != nil && s.ResistanceShort.Enabled {
dynamic.InheritStructValues(s.ResistanceShort, s)
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.ResistanceShort.Interval})
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}
if s.BreakLow != nil {
dynamic.InheritStructValues(s.BreakLow, s)
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s.BreakLow.Subscribe(session)
}
for i := range s.SupportTakeProfit {
m := s.SupportTakeProfit[i]
dynamic.InheritStructValues(m, s)
m.Subscribe(session)
}
if !bbgo.IsBackTesting {
session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
}
s.ExitMethods.SetAndSubscribe(session, s)
}
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func (s *Strategy) CurrentPosition() *types.Position {
return s.Position
}
func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
return s.orderExecutor.ClosePosition(ctx, percentage)
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}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
var instanceID = s.InstanceID()
if s.Position == nil {
s.Position = types.NewPositionFromMarket(s.Market)
}
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if s.ProfitStats == nil {
s.ProfitStats = types.NewProfitStats(s.Market)
}
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if s.TradeStats == nil {
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s.TradeStats = types.NewTradeStats(s.Symbol)
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}
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if s.Leverage.IsZero() {
// the default leverage is 3x
s.Leverage = fixedpoint.NewFromInt(3)
}
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// StrategyController
s.Status = types.StrategyStatusRunning
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)
})
// initial required information
s.session = session
s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
s.orderExecutor.BindEnvironment(s.Environment)
s.orderExecutor.BindProfitStats(s.ProfitStats)
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s.orderExecutor.BindTradeStats(s.TradeStats)
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(s)
})
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s.orderExecutor.Bind()
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s.ExitMethods.Bind(session, s.orderExecutor)
if s.ResistanceShort != nil && s.ResistanceShort.Enabled {
s.ResistanceShort.Bind(session, s.orderExecutor)
}
if s.BreakLow != nil {
s.BreakLow.Bind(session, s.orderExecutor)
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}
for i := range s.SupportTakeProfit {
s.SupportTakeProfit[i].Bind(session, s.orderExecutor)
}
bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
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_ = s.orderExecutor.GracefulCancel(ctx)
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})
return nil
}