mirror of
https://github.com/c9s/bbgo.git
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feature: trailing stop, print mean and modify normalization function of output graph
This commit is contained in:
zenix
parent
c6563aa9bd
commit
0d65fe1b8a
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@ -15,10 +15,11 @@ exchangeStrategies:
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# kline interval for indicators
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interval: 15m
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window: 2
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stoploss: 2%
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source: hl2
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predictOffset: 8
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stoploss: 3%
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source: close
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predictOffset: 14
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noStopPrice: true
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noTrailingStopLoss: false
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#exits:
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#- roiStopLoss:
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# percentage: 0.8%
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@ -61,5 +62,5 @@ backtest:
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#makerFeeRate: 0.00001
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#takerFeeRate: 0.00001
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balances:
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ETH: 10.0
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ETH: 10
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USDT: 5000.0
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@ -3,6 +3,7 @@ package drift
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import (
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"context"
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"encoding/json"
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"errors"
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"fmt"
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"math"
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"os"
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@ -52,10 +53,11 @@ type Strategy struct {
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lock sync.RWMutex
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Source string `json:"source"`
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Stoploss fixedpoint.Value `json:"stoploss"`
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StopLoss fixedpoint.Value `json:"stoploss"`
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CanvasPath string `json:"canvasPath"`
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PredictOffset int `json:"predictOffset"`
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NoStopPrice bool `json:"noStopPrice"`
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NoTrailingStopLoss bool `json:"noTrailingStopLoss"`
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StopOrders map[uint64]types.SubmitOrder
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@ -64,6 +66,7 @@ type Strategy struct {
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*bbgo.GeneralOrderExecutor
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getLastPrice func() fixedpoint.Value
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getSource SourceFunc
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}
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func (s *Strategy) Print() {
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@ -72,13 +75,14 @@ func (s *Strategy) Print() {
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hiyellow(os.Stderr, "------ %s Settings ------\n", s.InstanceID())
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hiyellow(os.Stderr, "canvasPath: %s\n", s.CanvasPath)
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hiyellow(os.Stderr, "source: %s\n", s.Source)
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hiyellow(os.Stderr, "stoploss: %v\n", s.Stoploss)
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hiyellow(os.Stderr, "stoploss: %v\n", s.StopLoss)
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hiyellow(os.Stderr, "predictOffset: %d\n", s.PredictOffset)
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hiyellow(os.Stderr, "exits:\n %s\n", string(b))
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hiyellow(os.Stderr, "symbol: %s\n", s.Symbol)
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hiyellow(os.Stderr, "interval: %s\n", s.Interval)
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hiyellow(os.Stderr, "window: %d\n", s.Window)
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hiyellow(os.Stderr, "noStopPrice: %v\n", s.NoStopPrice)
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hiyellow(os.Stderr, "noTrailingStopLoss: %v\n", s.NoTrailingStopLoss)
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}
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func (s *Strategy) ID() string {
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@ -165,42 +169,9 @@ func (s *Strategy) SourceFuncGenerator() SourceFunc {
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}
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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instanceID := s.InstanceID()
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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if s.TradeStats == nil {
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s.TradeStats = types.NewTradeStats(s.Symbol)
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}
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// StrategyController
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s.Status = types.StrategyStatusRunning
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s.OnSuspend(func() {
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_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
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})
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s.OnEmergencyStop(func() {
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_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
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_, _ = s.ClosePosition(ctx)
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})
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s.Session = session
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s.GeneralOrderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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s.GeneralOrderExecutor.BindEnvironment(s.Environment)
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s.GeneralOrderExecutor.BindProfitStats(s.ProfitStats)
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s.GeneralOrderExecutor.BindTradeStats(s.TradeStats)
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s.GeneralOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(s)
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})
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s.GeneralOrderExecutor.Bind()
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func (s *Strategy) BindStopLoss(ctx context.Context) {
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s.StopOrders = make(map[uint64]types.SubmitOrder)
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session.UserDataStream.OnOrderUpdate(func(order types.Order) {
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s.Session.UserDataStream.OnOrderUpdate(func(order types.Order) {
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if len(s.StopOrders) == 0 {
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return
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}
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@ -236,33 +207,29 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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}
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})
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for _, method := range s.ExitMethods {
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method.Bind(session, s.GeneralOrderExecutor)
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}
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store, _ := session.MarketDataStore(s.Symbol)
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getSource := s.SourceFuncGenerator()
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func (s *Strategy) InitIndicators() error {
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s.drift = &indicator.Drift{
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MA: &indicator.SMA{IntervalWindow: s.IntervalWindow},
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IntervalWindow: s.IntervalWindow,
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}
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s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 14}}
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store, _ := s.Session.MarketDataStore(s.Symbol)
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klines, ok := store.KLinesOfInterval(s.Interval)
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if !ok {
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log.Errorf("klines not exists")
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return nil
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return errors.New("klines not exists")
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}
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dynamicKLine := &types.KLine{}
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for _, kline := range *klines {
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source := getSource(&kline).Float64()
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source := s.getSource(&kline).Float64()
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s.drift.Update(source)
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s.atr.PushK(kline)
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}
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return nil
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}
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func (s *Strategy) InitTickerFunctions(ctx context.Context) {
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if s.IsBackTesting() {
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s.getLastPrice = func() fixedpoint.Value {
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lastPrice, ok := s.Session.LastPrice(s.Symbol)
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@ -272,10 +239,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return lastPrice
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}
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} else {
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session.MarketDataStream.OnBookTickerUpdate(func(ticker types.BookTicker) {
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s.Session.MarketDataStream.OnBookTickerUpdate(func(ticker types.BookTicker) {
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bestBid := ticker.Buy
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bestAsk := ticker.Sell
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var pricef, stoploss, atr, avg float64
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var price fixedpoint.Value
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if util.TryLock(&s.lock) {
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if !bestAsk.IsZero() && !bestBid.IsZero() {
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s.midPrice = bestAsk.Add(bestBid).Div(Two)
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@ -284,8 +253,34 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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} else {
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s.midPrice = bestBid
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}
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price = s.midPrice
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pricef = s.midPrice.Float64()
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s.lock.Unlock()
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} else {
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return
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}
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// for trailing stoploss during the realtime
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if s.NoTrailingStopLoss {
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return
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}
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atr = s.atr.Last()
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avg = s.Position.AverageCost.Float64()
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stoploss = s.StopLoss.Float64()
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exitShortCondition := (avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef) &&
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(!s.Position.IsClosed() && !s.Position.IsDust(price))
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exitLongCondition := (avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef) &&
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(!s.Position.IsClosed() && !s.Position.IsDust(price))
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if exitShortCondition || exitLongCondition {
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if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("cannot cancel orders")
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return
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}
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// Cleanup pending StopOrders
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s.StopOrders = make(map[uint64]types.SubmitOrder)
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_, _ = s.ClosePosition(ctx)
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}
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})
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s.getLastPrice = func() (lastPrice fixedpoint.Value) {
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var ok bool
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@ -304,8 +299,60 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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}
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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instanceID := s.InstanceID()
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// Will be set by persistence if there's any from DB
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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if s.TradeStats == nil {
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s.TradeStats = types.NewTradeStats(s.Symbol)
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}
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// StrategyController
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s.Status = types.StrategyStatusRunning
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// Get source function from config input
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s.getSource = s.SourceFuncGenerator()
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s.OnSuspend(func() {
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_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
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})
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s.OnEmergencyStop(func() {
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_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
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_, _ = s.ClosePosition(ctx)
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})
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s.GeneralOrderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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s.GeneralOrderExecutor.BindEnvironment(s.Environment)
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s.GeneralOrderExecutor.BindProfitStats(s.ProfitStats)
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s.GeneralOrderExecutor.BindTradeStats(s.TradeStats)
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s.GeneralOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(s)
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})
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s.GeneralOrderExecutor.Bind()
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// Exit methods from config
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for _, method := range s.ExitMethods {
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method.Bind(session, s.GeneralOrderExecutor)
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}
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s.BindStopLoss(ctx)
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if err := s.InitIndicators(); err != nil {
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log.WithError(err).Errorf("InitIndicator failed")
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return nil
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}
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s.InitTickerFunctions(ctx)
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dynamicKLine := &types.KLine{}
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priceLine := types.NewQueue(100)
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stoploss := s.Stoploss.Float64()
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stoploss := s.StopLoss.Float64()
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if s.Status != types.StrategyStatusRunning {
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@ -321,11 +368,35 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return
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}
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if kline.Interval == types.Interval1m {
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if s.NoTrailingStopLoss || !s.IsBackTesting() {
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return
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}
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// for doing the trailing stoploss during backtesting
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atr = s.atr.Last()
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price := s.getLastPrice()
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pricef := price.Float64()
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lowf := math.Min(kline.Low.Float64(), pricef)
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highf := math.Max(kline.High.Float64(), pricef)
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avg := s.Position.AverageCost.Float64()
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exitShortCondition := (avg+atr/2 <= highf || avg*(1.+stoploss) <= highf) &&
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(!s.Position.IsClosed() && !s.Position.IsDust(price))
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exitLongCondition := (avg-atr/2 >= lowf || avg*(1.-stoploss) >= lowf) &&
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(!s.Position.IsClosed() && !s.Position.IsDust(price))
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if exitShortCondition || exitLongCondition {
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if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("cannot cancel orders")
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return
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}
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// Cleanup pending StopOrders
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s.StopOrders = make(map[uint64]types.SubmitOrder)
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_, _ = s.ClosePosition(ctx)
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}
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return
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}
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dynamicKLine.Copy(&kline)
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source := getSource(dynamicKLine)
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source := s.getSource(dynamicKLine)
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sourcef := source.Float64()
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priceLine.Update(sourcef)
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s.drift.Update(sourcef)
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@ -335,13 +406,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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atr = s.atr.Last()
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price := s.getLastPrice()
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pricef := price.Float64()
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lowf := math.Min(kline.Low.Float64(), pricef)
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highf := math.Max(kline.High.Float64(), pricef)
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avg := s.Position.AverageCost.Float64()
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shortCondition := (driftPred <= 0 && drift[0] <= 0)
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longCondition := (driftPred >= 0 && drift[0] >= 0)
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exitShortCondition := ((drift[1] < 0 && drift[0] >= 0) || avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef) &&
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exitShortCondition := ((drift[1] < 0 && drift[0] >= 0) || avg+atr/2 <= highf || avg*(1.+stoploss) <= highf) &&
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(!s.Position.IsClosed() && !s.Position.IsDust(fixedpoint.Max(price, source))) && !longCondition
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exitLongCondition := ((drift[1] > 0 && drift[0] < 0) || avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef) &&
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exitLongCondition := ((drift[1] > 0 && drift[0] < 0) || avg-atr/2 >= lowf || avg*(1.-stoploss) >= lowf) &&
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(!s.Position.IsClosed() && !s.Position.IsDust(fixedpoint.Min(price, source))) && !shortCondition
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if exitShortCondition || exitLongCondition {
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@ -349,6 +422,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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log.WithError(err).Errorf("cannot cancel orders")
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return
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}
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// Cleanup pending StopOrders
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s.StopOrders = make(map[uint64]types.SubmitOrder)
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_, _ = s.ClosePosition(ctx)
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}
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@ -357,7 +431,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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log.WithError(err).Errorf("cannot cancel orders")
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return
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}
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s.StopOrders = make(map[uint64]types.SubmitOrder)
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baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
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if !ok {
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log.Errorf("unable to get baseBalance")
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@ -370,6 +443,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if s.Market.IsDustQuantity(baseBalance.Available, source) {
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return
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}
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// Cleanup pending StopOrders
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s.StopOrders = make(map[uint64]types.SubmitOrder)
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quantity := baseBalance.Available
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stopPrice := fixedpoint.NewFromFloat(math.Min(sourcef+atr/2, sourcef*(1.+stoploss)))
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stopOrder := types.SubmitOrder{
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@ -405,7 +480,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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log.WithError(err).Errorf("cannot cancel orders")
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return
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}
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s.StopOrders = make(map[uint64]types.SubmitOrder)
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if source.Compare(price) > 0 {
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source = price
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}
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@ -418,6 +492,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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quoteBalance.Available.Div(source), source) {
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return
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}
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// Cleanup pending StopOrders
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s.StopOrders = make(map[uint64]types.SubmitOrder)
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quantity := quoteBalance.Available.Div(source)
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stopPrice := fixedpoint.NewFromFloat(math.Max(sourcef-atr/2, sourcef*(1.-stoploss)))
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stopOrder := types.SubmitOrder{
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@ -456,12 +532,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.Print()
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canvas := types.NewCanvas(s.InstanceID(), s.Interval)
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mean := priceLine.Mean(100)
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highestPrice := priceLine.Minus(mean).Highest(100)
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highestDrift := s.drift.Highest(100)
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highestPrice := priceLine.Minus(mean).Abs().Highest(100)
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highestDrift := s.drift.Abs().Highest(100)
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meanDrift := s.drift.Mean(100)
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ratio := highestDrift / highestPrice
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canvas.Plot("drift", s.drift, dynamicKLine.StartTime, 100)
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canvas.Plot("zero", types.NumberSeries(0), dynamicKLine.StartTime, 100)
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canvas.Plot("price", priceLine.Minus(mean).Mul(ratio), dynamicKLine.StartTime, 100)
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canvas.Plot("driftMean", types.NumberSeries(meanDrift), dynamicKLine.StartTime, 100)
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f, err := os.Create(s.CanvasPath)
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if err != nil {
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log.Errorf("%v cannot create on %s", err, s.CanvasPath)
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