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pivotshort: add fast pivot high filtering

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c9s 2022-08-31 17:04:46 +08:00
parent e23ed8c783
commit 04f7b96c6a
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GPG Key ID: 7385E7E464CB0A54
1 changed files with 27 additions and 9 deletions
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36
pkg/strategy/pivotshort/failedbreakhigh.go
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@ -37,11 +37,11 @@ type FailedBreakHigh struct {
TrendEMA *bbgo.TrendEMA `json:"trendEMA"`
lastFailedBreakHigh, lastHigh fixedpoint.Value
lastFailedBreakHigh, lastHigh, lastFastHigh fixedpoint.Value
pivotHigh *indicator.PivotHigh
vwma *indicator.VWMA
PivotHighPrices []fixedpoint.Value
pivotHigh, fastPivotHigh *indicator.PivotHigh
vwma *indicator.VWMA
pivotHighPrices []fixedpoint.Value
orderExecutor *bbgo.GeneralOrderExecutor
session *bbgo.ExchangeSession
@ -82,6 +82,10 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
s.lastHigh = fixedpoint.Zero
s.pivotHigh = standardIndicator.PivotHigh(s.IntervalWindow)
s.fastPivotHigh = standardIndicator.PivotHigh(types.IntervalWindow{
Interval: s.IntervalWindow.Interval,
Window: 3,
})
// StrategyController
s.Status = types.StrategyStatusRunning
@ -156,7 +160,7 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
}))
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.BreakInterval, func(kline types.KLine) {
if len(s.PivotHighPrices) == 0 || s.lastHigh.IsZero() {
if len(s.pivotHighPrices) == 0 || s.lastHigh.IsZero() {
log.Infof("currently there is no pivot high prices, can not check failed break high...")
return
}
@ -290,11 +294,25 @@ func (s *FailedBreakHigh) pilotQuantityCalculation() {
func (s *FailedBreakHigh) updatePivotHigh() bool {
lastHigh := fixedpoint.NewFromFloat(s.pivotHigh.Last())
if lastHigh.IsZero() || lastHigh.Compare(s.lastHigh) == 0 {
if lastHigh.IsZero() {
return false
}
s.lastHigh = lastHigh
s.PivotHighPrices = append(s.PivotHighPrices, lastHigh)
return true
lastHighChanged := lastHigh.Compare(s.lastHigh) != 0
if lastHighChanged {
s.lastHigh = lastHigh
s.pivotHighPrices = append(s.pivotHighPrices, lastHigh)
}
lastFastHigh := fixedpoint.NewFromFloat(s.fastPivotHigh.Last())
if !lastFastHigh.IsZero() {
if lastFastHigh.Compare(s.lastHigh) > 0 {
// invalidate the last low
s.lastHigh = fixedpoint.Zero
lastHighChanged = false
}
s.lastFastHigh = lastFastHigh
}
return lastHighChanged
}