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pivotshort: clean up and force kline direction

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c9s 2022-07-01 17:26:45 +08:00
parent 9374125712
commit 04df515aea
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1 changed files with 25 additions and 25 deletions
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50
pkg/strategy/pivotshort/breaklow.go
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@ -104,6 +104,13 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
return return
} }
// force direction to be down
if closePrice.Compare(openPrice) > 0 {
log.Infof("%s price %f is closed higher than the open price %f, skip this break", kline.Symbol, closePrice.Float64(), openPrice.Float64())
// skip UP klines
return
}
log.Infof("%s breakLow signal detected, closed price %f < breakPrice %f", kline.Symbol, closePrice.Float64(), breakPrice.Float64()) log.Infof("%s breakLow signal detected, closed price %f < breakPrice %f", kline.Symbol, closePrice.Float64(), breakPrice.Float64())
// stop EMA protection // stop EMA protection
@ -128,12 +135,28 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
quantity := s.useQuantityOrBaseBalance(s.Quantity) quantity := s.useQuantityOrBaseBalance(s.Quantity)
if s.MarketOrder { if s.MarketOrder {
bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting market sell to open a short position", symbol, kline.Close.Float64(), previousLow.Float64(), s.Ratio.Float64()) bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting market sell to open a short position", symbol, kline.Close.Float64(), previousLow.Float64(), s.Ratio.Float64())
s.placeMarketSell(ctx, quantity, "breakLowMarket") _, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Quantity: quantity,
MarginSideEffect: types.SideEffectTypeMarginBuy,
Tag: "breakLowMarket",
})
} else { } else {
sellPrice := previousLow.Mul(fixedpoint.One.Add(s.BounceRatio)) sellPrice := previousLow.Mul(fixedpoint.One.Add(s.BounceRatio))
bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting limit sell @ %f", symbol, kline.Close.Float64(), previousLow.Float64(), s.Ratio.Float64(), sellPrice.Float64()) bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting limit sell @ %f", symbol, kline.Close.Float64(), previousLow.Float64(), s.Ratio.Float64(), sellPrice.Float64())
s.placeLimitSell(ctx, sellPrice, quantity, "breakLowLimit") _, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: kline.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Price: sellPrice,
Quantity: quantity,
MarginSideEffect: types.SideEffectTypeMarginBuy,
Tag: "breakLowLimit",
})
} }
})) }))
@ -166,26 +189,3 @@ func (s *BreakLow) useQuantityOrBaseBalance(quantity fixedpoint.Value) fixedpoin
return quantity return quantity
} }
func (s *BreakLow) placeLimitSell(ctx context.Context, price, quantity fixedpoint.Value, tag string) {
_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Price: price,
Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Quantity: quantity,
MarginSideEffect: types.SideEffectTypeMarginBuy,
Tag: tag,
})
}
func (s *BreakLow) placeMarketSell(ctx context.Context, quantity fixedpoint.Value, tag string) {
_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Quantity: quantity,
MarginSideEffect: types.SideEffectTypeMarginBuy,
Tag: tag,
})
}