bbgo_origin/pkg/strategy/support/strategy.go

172 lines
4.7 KiB
Go
Raw Normal View History

2021-02-14 17:26:46 +00:00
package support
2021-02-10 16:21:06 +00:00
import (
"context"
"fmt"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
2021-02-14 17:26:46 +00:00
// support -- support and targets
const ID = "support"
2021-02-10 16:21:06 +00:00
var log = logrus.WithField("strategy", ID)
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type Target struct {
2021-02-14 17:26:46 +00:00
ProfitPercentage float64 `json:"profitPercentage"`
QuantityPercentage float64 `json:"quantityPercentage"`
MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
2021-02-10 16:21:06 +00:00
}
type Strategy struct {
2021-02-20 02:50:57 +00:00
*bbgo.Notifiability
2021-02-14 17:26:46 +00:00
Symbol string `json:"symbol"`
Interval types.Interval `json:"interval"`
MovingAverageWindow int `json:"movingAverageWindow"`
Quantity fixedpoint.Value `json:"quantity"`
MinVolume fixedpoint.Value `json:"minVolume"`
MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
Targets []Target `json:"targets"`
ScaleQuantity *bbgo.PriceVolumeScale `json:"scaleQuantity"`
2021-02-10 16:21:06 +00:00
}
func (s *Strategy) ID() string {
return ID
}
2021-04-02 02:32:24 +00:00
func (s *Strategy) Validate() error {
if s.Quantity == 0 && s.ScaleQuantity == nil {
return fmt.Errorf("quantity or scaleQuantity can not be zero")
}
if s.MinVolume == 0 {
return fmt.Errorf("minVolume can not be zero")
}
return nil
}
2021-02-10 16:21:06 +00:00
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.Interval)})
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
// set default values
if s.Interval == "" {
s.Interval = types.Interval5m
}
if s.MovingAverageWindow == 0 {
s.MovingAverageWindow = 99
}
// buy when price drops -8%
market, ok := session.Market(s.Symbol)
if !ok {
return fmt.Errorf("market %s is not defined", s.Symbol)
}
standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
if !ok {
return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
}
var iw = types.IntervalWindow{Interval: s.Interval, Window: s.MovingAverageWindow}
var ema = standardIndicatorSet.EWMA(iw)
session.Stream.OnKLineClosed(func(kline types.KLine) {
// skip k-lines from other symbols
if kline.Symbol != s.Symbol {
return
}
closePrice := kline.GetClose()
if closePrice > ema.Last() {
return
}
if kline.Volume < s.MinVolume.Float64() {
return
}
2021-02-20 02:50:57 +00:00
s.Notify("found support: close price %f is under EMA %f, volume %f > minimum volume %f", closePrice, ema.Last(), kline.Volume, s.MinVolume.Float64())
2021-02-10 16:21:06 +00:00
var quantity float64
if s.Quantity > 0 {
quantity = s.Quantity.Float64()
} else if s.ScaleQuantity != nil {
var err error
quantity, err = s.ScaleQuantity.Scale(closePrice, kline.Volume)
if err != nil {
log.WithError(err).Error(err.Error())
return
}
}
2021-02-14 17:26:46 +00:00
// for spot, we need to modify the quantity
if !session.Margin {
minNotional := closePrice * 1.003 * quantity
b, ok := session.Account.Balance(market.QuoteCurrency)
if !ok {
log.Errorf("balance %s not found", market.QuoteCurrency)
return
}
if minNotional > b.Available.Float64() {
log.Warnf("modifying quantity %f according to the min quote balance %f %s", quantity, b.Available.Float64(), market.QuoteCurrency)
quantity = bbgo.AdjustFloatQuantityByMaxAmount(quantity, closePrice, b.Available.Float64())
}
}
2021-02-14 17:26:46 +00:00
orderForm := types.SubmitOrder{
Symbol: s.Symbol,
Market: market,
Side: types.SideTypeBuy,
Type: types.OrderTypeMarket,
Quantity: quantity,
MarginSideEffect: s.MarginOrderSideEffect,
}
_, err := orderExecutor.SubmitOrders(ctx, orderForm)
2021-02-10 16:21:06 +00:00
if err != nil {
log.WithError(err).Error("submit order error")
return
}
// submit target orders
var targetOrders []types.SubmitOrder
for _, target := range s.Targets {
targetPrice := closePrice * (1.0 + target.ProfitPercentage)
targetQuantity := quantity * target.QuantityPercentage
targetOrders = append(targetOrders, types.SubmitOrder{
Symbol: kline.Symbol,
Market: market,
Type: types.OrderTypeLimit,
Side: types.SideTypeSell,
Price: targetPrice,
Quantity: targetQuantity,
2021-02-14 17:26:46 +00:00
MarginSideEffect: target.MarginOrderSideEffect,
2021-02-10 16:21:06 +00:00
TimeInForce: "GTC",
})
}
_, err = orderExecutor.SubmitOrders(ctx, targetOrders...)
if err != nil {
log.WithError(err).Error("submit profit target order error")
}
})
return nil
}