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strategy/linregmaker: initial trend

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This commit is contained in:
Andy Cheng 2022-11-25 12:38:28 +08:00
parent 5c60ad0e41
commit 02a67a3de8
1 changed files with 25 additions and 1 deletions
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26
pkg/strategy/linregmaker/strategy.go
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@ -25,7 +25,6 @@ var two = fixedpoint.NewFromInt(2)
var log = logrus.WithField("strategy", ID) var log = logrus.WithField("strategy", ID)
// TODO: Logic for backtest // TODO: Logic for backtest
// TODO: initial trend
func init() { func init() {
bbgo.RegisterStrategy(ID, &Strategy{}) bbgo.RegisterStrategy(ID, &Strategy{})
@ -586,6 +585,31 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
_ = s.ClosePosition(ctx, fixedpoint.NewFromFloat(1.0)) _ = s.ClosePosition(ctx, fixedpoint.NewFromFloat(1.0))
}) })
// Initial trend
session.UserDataStream.OnStart(func() {
var closePrice fixedpoint.Value
if !bbgo.IsBackTesting {
ticker, err := s.session.Exchange.QueryTicker(ctx, s.Symbol)
if err != nil {
return
}
closePrice = ticker.Buy.Add(ticker.Sell).Div(two)
} else {
if price, ok := session.LastPrice(s.Symbol); ok {
closePrice = price
}
}
priceReverseEMA := fixedpoint.NewFromFloat(s.ReverseEMA.Last())
// Main trend by ReverseEMA
if closePrice.Compare(priceReverseEMA) > 0 {
s.mainTrendCurrent = types.DirectionUp
} else if closePrice.Compare(priceReverseEMA) < 0 {
s.mainTrendCurrent = types.DirectionDown
}
})
// Check trend reversal // Check trend reversal
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.ReverseInterval, func(kline types.KLine) { session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.ReverseInterval, func(kline types.KLine) {
// closePrice is the close price of current kline // closePrice is the close price of current kline