bbgo_origin/pkg/strategy/movingstop/strategy.go

package movingstop

import (
	"context"
	"fmt"
	"strings"
	"sync"

	"github.com/sirupsen/logrus"

	"github.com/c9s/bbgo/pkg/bbgo"
	"github.com/c9s/bbgo/pkg/fixedpoint"
	"github.com/c9s/bbgo/pkg/types"
)

var log = logrus.WithField("strategy", "movingstop")

// The indicators (SMA and EWMA) that we want to use are returning float64 data.
type Float64Indicator interface {
	Last() float64
}

func init() {
	// Register the pointer of the strategy struct,
	// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
	// Note: built-in strategies need to imported manually in the bbgo cmd package.
	bbgo.RegisterStrategy("movingstop", &Strategy{})
}

type Strategy struct {
	*bbgo.Graceful

	// The notification system will be injected into the strategy automatically.
	// This field will be injected automatically since it's a single exchange strategy.
	*bbgo.Notifiability

	SourceExchangeName string `json:"sourceExchange"`

	TargetExchangeName string `json:"targetExchange"`

	// These fields will be filled from the config file (it translates YAML to JSON)
	Symbol string `json:"symbol"`

	// Interval is the interval of the kline channel we want to subscribe,
	// the kline event will trigger the strategy to check if we need to submit order.
	Interval types.Interval `json:"interval"`

	Quantity fixedpoint.Value `json:"quantity"`

	BalancePercentage fixedpoint.Value `json:"balancePercentage"`

	OrderType string `json:"orderType"`

	PriceRatio fixedpoint.Value `json:"priceRatio"`

	StopPriceRatio fixedpoint.Value `json:"stopPriceRatio"`

	// MovingAverageType is the moving average indicator type that we want to use,
	// it could be SMA or EWMA
	MovingAverageType string `json:"movingAverageType"`

	// MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate,
	// it could be "1m", "5m", "1h" and so on.  note that, the moving averages are calculated from
	// the k-line data we subscribed
	MovingAverageInterval types.Interval `json:"movingAverageInterval"`

	// MovingAverageWindow is the number of the window size of the moving average indicator.
	// The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
	MovingAverageWindow int `json:"movingAverageWindow"`

	order types.Order
}

func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
	sourceSession := sessions[s.SourceExchangeName]
	sourceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()})
	sourceSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.MovingAverageInterval.String()})

	// make sure we have the connection alive
	targetSession := sessions[s.TargetExchangeName]
	targetSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()})
}

func (s *Strategy) clear(ctx context.Context, session *bbgo.ExchangeSession) {
	if s.order.OrderID > 0 {
		if err := session.Exchange.CancelOrders(ctx, s.order); err != nil {
			log.WithError(err).Errorf("can not cancel movingstop order: %+v", s.order)
		}

		// clear out the existing order
		s.order = types.Order{}
	}
}

func (s *Strategy) place(ctx context.Context, orderExecutor *bbgo.ExchangeOrderExecutor, session *bbgo.ExchangeSession, indicator Float64Indicator, closePrice float64) {
	movingAveragePrice := indicator.Last()

	// skip it if it's near zero because it's not loaded yet
	if movingAveragePrice < 0.0001 {
		log.Warnf("moving average price is near 0: %f", movingAveragePrice)
		return
	}

	// place stop limit order only when the closed price is greater than the moving average price
	if closePrice <= movingAveragePrice {
		log.Warnf("close price %f is less than moving average price %f", closePrice, movingAveragePrice)
		return
	}

	var price = 0.0
	var orderType = types.OrderTypeStopMarket

	switch strings.ToLower(s.OrderType) {
	case "market":
		orderType = types.OrderTypeStopMarket
	case "limit":
		orderType = types.OrderTypeStopLimit
		price = movingAveragePrice
		if s.PriceRatio > 0 {
			price = price * s.PriceRatio.Float64()
		}
	}

	market, ok := session.Market(s.Symbol)
	if !ok {
		log.Errorf("market not found, symbol %s", s.Symbol)
		return
	}

	quantity := s.Quantity
	if s.BalancePercentage > 0 {

		if balance, ok := session.Account.Balance(market.BaseCurrency); ok {
			quantity = balance.Available.Mul(s.BalancePercentage)
		}
	}

	if quantity.Float64()*closePrice < market.MinNotional {
		log.Errorf("the amount of stop order (%f) is less than min notional %f", quantity.Float64()*closePrice, market.MinNotional)
		return
	}

	var stopPrice = movingAveragePrice
	if s.StopPriceRatio > 0 {
		stopPrice = stopPrice * s.StopPriceRatio.Float64()
	}

	log.Infof("placing movingstop order %s at stop price %f, quantity %f", s.Symbol, stopPrice, quantity.Float64())

	retOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
		Symbol:    s.Symbol,
		Side:      types.SideTypeSell,
		Type:      orderType,
		Price:     price,
		StopPrice: stopPrice,
		Quantity:  quantity.Float64(),
	})
	if err != nil {
		log.WithError(err).Error("submit order error")
	}

	if len(retOrders) > 0 {
		s.order = retOrders[0]
	}
}

func (s *Strategy) handleOrderUpdate(order types.Order) {
	if order.OrderID == s.order.OrderID {
		s.order = order
	}
}

func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
	// source session
	sourceSession := sessions[s.SourceExchangeName]

	// target exchange
	session := sessions[s.TargetExchangeName]
	orderExecutor := bbgo.ExchangeOrderExecutor{
		Session: session,
	}

	var indicator Float64Indicator
	var iw = types.IntervalWindow{Interval: s.MovingAverageInterval, Window: s.MovingAverageWindow}

	var standardIndicatorSet, ok = sourceSession.StandardIndicatorSet(s.Symbol)
	if !ok {
		return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
	}

	switch strings.ToUpper(s.MovingAverageType) {
	case "SMA":
		indicator = standardIndicatorSet.SMA(iw)

	case "EWMA", "EMA":
		indicator = standardIndicatorSet.EWMA(iw)

	default:
		return fmt.Errorf("unsupported moving average type: %s", s.MovingAverageType)

	}

	session.Stream.OnOrderUpdate(s.handleOrderUpdate)

	// session.Stream.OnKLineClosed
	sourceSession.Stream.OnKLineClosed(func(kline types.KLine) {
		// skip k-lines from other symbols
		if kline.Symbol != s.Symbol {
			return
		}

		if kline.Interval != s.Interval {
			return
		}

		closePrice := kline.Close

		// ok, it's our call, we need to cancel the stop limit order first
		s.clear(ctx, session)
		s.place(ctx, &orderExecutor, session, indicator, closePrice)
	})

	s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
		defer wg.Done()
		log.Infof("canceling movingstop order...")
		s.clear(ctx, session)
	})

	if lastPrice, ok := session.LastPrice(s.Symbol); ok {
		s.place(ctx, &orderExecutor, session, indicator, lastPrice)
	}

	return nil
}