bbgo_origin/pkg/bbgo/exit_trailing_stop.go

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package bbgo
import (
"context"
"fmt"
log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
type TrailingStop2 struct {
Symbol string
// CallbackRate is the callback rate from the previous high price
CallbackRate fixedpoint.Value `json:"callbackRate,omitempty"`
ActivationRatio fixedpoint.Value `json:"activationRatio,omitempty"`
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// ClosePosition is a percentage of the position to be closed
ClosePosition fixedpoint.Value `json:"closePosition,omitempty"`
// MinProfit is the percentage of the minimum profit ratio.
// Stop order will be activated only when the price reaches above this threshold.
MinProfit fixedpoint.Value `json:"minProfit,omitempty"`
// Interval is the time resolution to update the stop order
// KLine per Interval will be used for updating the stop order
Interval types.Interval `json:"interval,omitempty"`
Side types.SideType `json:"side,omitempty"`
latestHigh fixedpoint.Value
// activated: when the price reaches the min profit price, we set the activated to true to enable trailing stop
activated bool
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// private fields
session *ExchangeSession
orderExecutor *GeneralOrderExecutor
}
func (s *TrailingStop2) Subscribe(session *ExchangeSession) {
// use 1m kline to handle roi stop
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
func (s *TrailingStop2) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
s.session = session
s.orderExecutor = orderExecutor
s.latestHigh = fixedpoint.Zero
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position := orderExecutor.Position()
f := func(kline types.KLine) {
if err := s.checkStopPrice(kline.Close, position); err != nil {
log.WithError(err).Errorf("error")
}
}
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, f))
session.MarketDataStream.OnKLine(types.KLineWith(s.Symbol, s.Interval, f))
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if !IsBackTesting && enableMarketTradeStop {
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session.MarketDataStream.OnMarketTrade(types.TradeWith(position.Symbol, func(trade types.Trade) {
if err := s.checkStopPrice(trade.Price, position); err != nil {
log.WithError(err).Errorf("error")
}
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}))
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}
}
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// getRatio returns the ratio between the price and the average cost of the position
func (s *TrailingStop2) getRatio(price fixedpoint.Value, position *types.Position) (fixedpoint.Value, error) {
switch s.Side {
case types.SideTypeBuy:
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// for short position, it's:
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// (avg_cost - price) / avg_cost
return position.AverageCost.Sub(price).Div(position.AverageCost), nil
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case types.SideTypeSell:
return price.Sub(position.AverageCost).Div(position.AverageCost), nil
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default:
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if position.IsLong() {
return price.Sub(position.AverageCost).Div(position.AverageCost), nil
} else if position.IsShort() {
return position.AverageCost.Sub(price).Div(position.AverageCost), nil
}
}
return fixedpoint.Zero, fmt.Errorf("unexpected side type: %v", s.Side)
}
func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.Position) error {
if position.IsClosed() || position.IsDust(price) || position.IsClosing() {
return nil
}
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if !s.MinProfit.IsZero() {
// check if we have the minimal profit
roi := position.ROI(price)
if roi.Compare(s.MinProfit) >= 0 {
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Notify("[trailingStop] activated: %s ROI %s > minimal profit ratio %s", s.Symbol, roi.Percentage(), s.MinProfit.Percentage())
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s.activated = true
}
} else if !s.ActivationRatio.IsZero() {
ratio, err := s.getRatio(price, position)
if err != nil {
return err
}
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if ratio.Compare(s.ActivationRatio) >= 0 {
s.activated = true
}
}
// update the latest high for the sell order, or the latest low for the buy order
if s.latestHigh.IsZero() {
s.latestHigh = price
} else {
switch s.Side {
case types.SideTypeBuy:
s.latestHigh = fixedpoint.Min(price, s.latestHigh)
case types.SideTypeSell:
s.latestHigh = fixedpoint.Max(price, s.latestHigh)
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default:
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if position.IsLong() {
s.latestHigh = fixedpoint.Max(price, s.latestHigh)
} else if position.IsShort() {
s.latestHigh = fixedpoint.Min(price, s.latestHigh)
}
}
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}
if !s.activated {
return nil
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}
switch s.Side {
case types.SideTypeBuy:
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change := price.Sub(s.latestHigh).Div(s.latestHigh)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
}
case types.SideTypeSell:
change := s.latestHigh.Sub(price).Div(s.latestHigh)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
}
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default:
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if position.IsLong() {
change := s.latestHigh.Sub(price).Div(s.latestHigh)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
}
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} else if position.IsShort() {
change := price.Sub(s.latestHigh).Div(s.latestHigh)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
}
}
}
return nil
}
func (s *TrailingStop2) triggerStop(price fixedpoint.Value) error {
// reset activated flag
defer func() {
s.activated = false
s.latestHigh = fixedpoint.Zero
}()
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Notify("[TrailingStop] %s %s tailingStop is triggered. price: %f callbackRate: %s", s.Symbol, s.ActivationRatio.Percentage(), price.Float64(), s.CallbackRate.Percentage())
ctx := context.Background()
p := fixedpoint.One
if !s.ClosePosition.IsZero() {
p = s.ClosePosition
}
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tagName := fmt.Sprintf("trailingStop:activation=%s,callback=%s", s.ActivationRatio.Percentage(), s.CallbackRate.Percentage())
return s.orderExecutor.ClosePosition(ctx, p, tagName)
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}