lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-22 14:55:16 +00:00
Code Issues Actions 2 Packages Projects Releases Wiki Activity

feature: trailing stop, print mean and modify normalization function of output graph

Browse Source
This commit is contained in:
zenix 2022-07-15 12:30:04 +09:00
parent c6563aa9bd
commit 0d65fe1b8a
2 changed files with 145 additions and 66 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

9
config/drift.yaml
View File

@ -15,10 +15,11 @@ exchangeStrategies:
# kline interval for indicators
interval: 15m
window: 2
stoploss: 2%
source: hl2
predictOffset: 8
stoploss: 3%
source: close
predictOffset: 14
noStopPrice: true
noTrailingStopLoss: false
#exits:
#- roiStopLoss:
# percentage: 0.8%
@ -61,5 +62,5 @@ backtest:
#makerFeeRate: 0.00001
#takerFeeRate: 0.00001
balances:
ETH: 10.0
ETH: 10
USDT: 5000.0

202
pkg/strategy/drift/strategy.go
View File

@ -3,6 +3,7 @@ package drift
import (
"context"
"encoding/json"
"errors"
"fmt"
"math"
"os"
@ -51,11 +52,12 @@ type Strategy struct {
midPrice fixedpoint.Value
lock sync.RWMutex
Source string `json:"source"`
Stoploss fixedpoint.Value `json:"stoploss"`
CanvasPath string `json:"canvasPath"`
PredictOffset int `json:"predictOffset"`
NoStopPrice bool `json:"noStopPrice"`
Source string `json:"source"`
StopLoss fixedpoint.Value `json:"stoploss"`
CanvasPath string `json:"canvasPath"`
PredictOffset int `json:"predictOffset"`
NoStopPrice bool `json:"noStopPrice"`
NoTrailingStopLoss bool `json:"noTrailingStopLoss"`
StopOrders map[uint64]types.SubmitOrder
@ -64,6 +66,7 @@ type Strategy struct {
*bbgo.GeneralOrderExecutor
getLastPrice func() fixedpoint.Value
getSource SourceFunc
}
func (s *Strategy) Print() {
@ -72,13 +75,14 @@ func (s *Strategy) Print() {
hiyellow(os.Stderr, "------ %s Settings ------\n", s.InstanceID())
hiyellow(os.Stderr, "canvasPath: %s\n", s.CanvasPath)
hiyellow(os.Stderr, "source: %s\n", s.Source)
hiyellow(os.Stderr, "stoploss: %v\n", s.Stoploss)
hiyellow(os.Stderr, "stoploss: %v\n", s.StopLoss)
hiyellow(os.Stderr, "predictOffset: %d\n", s.PredictOffset)
hiyellow(os.Stderr, "exits:\n %s\n", string(b))
hiyellow(os.Stderr, "symbol: %s\n", s.Symbol)
hiyellow(os.Stderr, "interval: %s\n", s.Interval)
hiyellow(os.Stderr, "window: %d\n", s.Window)
hiyellow(os.Stderr, "noStopPrice: %v\n", s.NoStopPrice)
hiyellow(os.Stderr, "noTrailingStopLoss: %v\n", s.NoTrailingStopLoss)
}
func (s *Strategy) ID() string {
@ -165,42 +169,9 @@ func (s *Strategy) SourceFuncGenerator() SourceFunc {
}
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
instanceID := s.InstanceID()
if s.Position == nil {
s.Position = types.NewPositionFromMarket(s.Market)
}
if s.ProfitStats == nil {
s.ProfitStats = types.NewProfitStats(s.Market)
}
if s.TradeStats == nil {
s.TradeStats = types.NewTradeStats(s.Symbol)
}
// StrategyController
s.Status = types.StrategyStatusRunning
s.OnSuspend(func() {
_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
})
s.OnEmergencyStop(func() {
_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
_, _ = s.ClosePosition(ctx)
})
s.Session = session
s.GeneralOrderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
s.GeneralOrderExecutor.BindEnvironment(s.Environment)
s.GeneralOrderExecutor.BindProfitStats(s.ProfitStats)
s.GeneralOrderExecutor.BindTradeStats(s.TradeStats)
s.GeneralOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(s)
})
s.GeneralOrderExecutor.Bind()
func (s *Strategy) BindStopLoss(ctx context.Context) {
s.StopOrders = make(map[uint64]types.SubmitOrder)
session.UserDataStream.OnOrderUpdate(func(order types.Order) {
s.Session.UserDataStream.OnOrderUpdate(func(order types.Order) {
if len(s.StopOrders) == 0 {
return
}
@ -236,33 +207,29 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
}
})
for _, method := range s.ExitMethods {
method.Bind(session, s.GeneralOrderExecutor)
}
store, _ := session.MarketDataStore(s.Symbol)
getSource := s.SourceFuncGenerator()
}
func (s *Strategy) InitIndicators() error {
s.drift = &indicator.Drift{
MA: &indicator.SMA{IntervalWindow: s.IntervalWindow},
IntervalWindow: s.IntervalWindow,
}
s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 14}}
store, _ := s.Session.MarketDataStore(s.Symbol)
klines, ok := store.KLinesOfInterval(s.Interval)
if !ok {
log.Errorf("klines not exists")
return nil
return errors.New("klines not exists")
}
dynamicKLine := &types.KLine{}
for _, kline := range *klines {
source := getSource(&kline).Float64()
source := s.getSource(&kline).Float64()
s.drift.Update(source)
s.atr.PushK(kline)
}
return nil
}
func (s *Strategy) InitTickerFunctions(ctx context.Context) {
if s.IsBackTesting() {
s.getLastPrice = func() fixedpoint.Value {
lastPrice, ok := s.Session.LastPrice(s.Symbol)
@ -272,10 +239,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return lastPrice
}
} else {
session.MarketDataStream.OnBookTickerUpdate(func(ticker types.BookTicker) {
s.Session.MarketDataStream.OnBookTickerUpdate(func(ticker types.BookTicker) {
bestBid := ticker.Buy
bestAsk := ticker.Sell
var pricef, stoploss, atr, avg float64
var price fixedpoint.Value
if util.TryLock(&s.lock) {
if !bestAsk.IsZero() && !bestBid.IsZero() {
s.midPrice = bestAsk.Add(bestBid).Div(Two)
@ -284,8 +253,34 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
} else {
s.midPrice = bestBid
}
price = s.midPrice
pricef = s.midPrice.Float64()
s.lock.Unlock()
} else {
return
}
// for trailing stoploss during the realtime
if s.NoTrailingStopLoss {
return
}
atr = s.atr.Last()
avg = s.Position.AverageCost.Float64()
stoploss = s.StopLoss.Float64()
exitShortCondition := (avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef) &&
(!s.Position.IsClosed() && !s.Position.IsDust(price))
exitLongCondition := (avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef) &&
(!s.Position.IsClosed() && !s.Position.IsDust(price))
if exitShortCondition || exitLongCondition {
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
log.WithError(err).Errorf("cannot cancel orders")
return
}
// Cleanup pending StopOrders
s.StopOrders = make(map[uint64]types.SubmitOrder)
_, _ = s.ClosePosition(ctx)
}
})
s.getLastPrice = func() (lastPrice fixedpoint.Value) {
var ok bool
@ -304,8 +299,60 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
}
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
instanceID := s.InstanceID()
// Will be set by persistence if there's any from DB
if s.Position == nil {
s.Position = types.NewPositionFromMarket(s.Market)
}
if s.ProfitStats == nil {
s.ProfitStats = types.NewProfitStats(s.Market)
}
if s.TradeStats == nil {
s.TradeStats = types.NewTradeStats(s.Symbol)
}
// StrategyController
s.Status = types.StrategyStatusRunning
// Get source function from config input
s.getSource = s.SourceFuncGenerator()
s.OnSuspend(func() {
_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
})
s.OnEmergencyStop(func() {
_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
_, _ = s.ClosePosition(ctx)
})
s.GeneralOrderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
s.GeneralOrderExecutor.BindEnvironment(s.Environment)
s.GeneralOrderExecutor.BindProfitStats(s.ProfitStats)
s.GeneralOrderExecutor.BindTradeStats(s.TradeStats)
s.GeneralOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
bbgo.Sync(s)
})
s.GeneralOrderExecutor.Bind()
// Exit methods from config
for _, method := range s.ExitMethods {
method.Bind(session, s.GeneralOrderExecutor)
}
s.BindStopLoss(ctx)
if err := s.InitIndicators(); err != nil {
log.WithError(err).Errorf("InitIndicator failed")
return nil
}
s.InitTickerFunctions(ctx)
dynamicKLine := &types.KLine{}
priceLine := types.NewQueue(100)
stoploss := s.Stoploss.Float64()
stoploss := s.StopLoss.Float64()
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
if s.Status != types.StrategyStatusRunning {
@ -321,11 +368,35 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
if kline.Interval == types.Interval1m {
if s.NoTrailingStopLoss || !s.IsBackTesting() {
return
}
// for doing the trailing stoploss during backtesting
atr = s.atr.Last()
price := s.getLastPrice()
pricef := price.Float64()
lowf := math.Min(kline.Low.Float64(), pricef)
highf := math.Max(kline.High.Float64(), pricef)
avg := s.Position.AverageCost.Float64()
exitShortCondition := (avg+atr/2 <= highf || avg*(1.+stoploss) <= highf) &&
(!s.Position.IsClosed() && !s.Position.IsDust(price))
exitLongCondition := (avg-atr/2 >= lowf || avg*(1.-stoploss) >= lowf) &&
(!s.Position.IsClosed() && !s.Position.IsDust(price))
if exitShortCondition || exitLongCondition {
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
log.WithError(err).Errorf("cannot cancel orders")
return
}
// Cleanup pending StopOrders
s.StopOrders = make(map[uint64]types.SubmitOrder)
_, _ = s.ClosePosition(ctx)
}
return
}
dynamicKLine.Copy(&kline)
source := getSource(dynamicKLine)
source := s.getSource(dynamicKLine)
sourcef := source.Float64()
priceLine.Update(sourcef)
s.drift.Update(sourcef)
@ -335,13 +406,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
atr = s.atr.Last()
price := s.getLastPrice()
pricef := price.Float64()
lowf := math.Min(kline.Low.Float64(), pricef)
highf := math.Max(kline.High.Float64(), pricef)
avg := s.Position.AverageCost.Float64()
shortCondition := (driftPred <= 0 && drift[0] <= 0)
longCondition := (driftPred >= 0 && drift[0] >= 0)
exitShortCondition := ((drift[1] < 0 && drift[0] >= 0) || avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef) &&
exitShortCondition := ((drift[1] < 0 && drift[0] >= 0) || avg+atr/2 <= highf || avg*(1.+stoploss) <= highf) &&
(!s.Position.IsClosed() && !s.Position.IsDust(fixedpoint.Max(price, source))) && !longCondition
exitLongCondition := ((drift[1] > 0 && drift[0] < 0) || avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef) &&
exitLongCondition := ((drift[1] > 0 && drift[0] < 0) || avg-atr/2 >= lowf || avg*(1.-stoploss) >= lowf) &&
(!s.Position.IsClosed() && !s.Position.IsDust(fixedpoint.Min(price, source))) && !shortCondition
if exitShortCondition || exitLongCondition {
@ -349,6 +422,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
log.WithError(err).Errorf("cannot cancel orders")
return
}
// Cleanup pending StopOrders
s.StopOrders = make(map[uint64]types.SubmitOrder)
_, _ = s.ClosePosition(ctx)
}
@ -357,7 +431,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
log.WithError(err).Errorf("cannot cancel orders")
return
}
s.StopOrders = make(map[uint64]types.SubmitOrder)
baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
if !ok {
log.Errorf("unable to get baseBalance")
@ -370,6 +443,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
if s.Market.IsDustQuantity(baseBalance.Available, source) {
return
}
// Cleanup pending StopOrders
s.StopOrders = make(map[uint64]types.SubmitOrder)
quantity := baseBalance.Available
stopPrice := fixedpoint.NewFromFloat(math.Min(sourcef+atr/2, sourcef*(1.+stoploss)))
stopOrder := types.SubmitOrder{
@ -405,7 +480,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
log.WithError(err).Errorf("cannot cancel orders")
return
}
s.StopOrders = make(map[uint64]types.SubmitOrder)
if source.Compare(price) > 0 {
source = price
}
@ -418,6 +492,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
quoteBalance.Available.Div(source), source) {
return
}
// Cleanup pending StopOrders
s.StopOrders = make(map[uint64]types.SubmitOrder)
quantity := quoteBalance.Available.Div(source)
stopPrice := fixedpoint.NewFromFloat(math.Max(sourcef-atr/2, sourcef*(1.-stoploss)))
stopOrder := types.SubmitOrder{
@ -456,12 +532,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.Print()
canvas := types.NewCanvas(s.InstanceID(), s.Interval)
mean := priceLine.Mean(100)
highestPrice := priceLine.Minus(mean).Highest(100)
highestDrift := s.drift.Highest(100)
highestPrice := priceLine.Minus(mean).Abs().Highest(100)
highestDrift := s.drift.Abs().Highest(100)
meanDrift := s.drift.Mean(100)
ratio := highestDrift / highestPrice
canvas.Plot("drift", s.drift, dynamicKLine.StartTime, 100)
canvas.Plot("zero", types.NumberSeries(0), dynamicKLine.StartTime, 100)
canvas.Plot("price", priceLine.Minus(mean).Mul(ratio), dynamicKLine.StartTime, 100)
canvas.Plot("driftMean", types.NumberSeries(meanDrift), dynamicKLine.StartTime, 100)
f, err := os.Create(s.CanvasPath)
if err != nil {
log.Errorf("%v cannot create on %s", err, s.CanvasPath)