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grid2: add triggerPrice protection

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c9s 2022-12-04 14:22:11 +08:00
parent 5148fadf67
commit 0ea6dfb158
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1 changed files with 33 additions and 6 deletions
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39
pkg/strategy/grid2/strategy.go
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@ -73,6 +73,10 @@ type Strategy struct {
// BaseInvestment is the total base quantity you want to place as the sell order.
BaseInvestment fixedpoint.Value `json:"baseInvestment"`
TriggerPrice fixedpoint.Value `json:"triggerPrice"`
StopLossPrice fixedpoint.Value `json:"stopLossPrice"`
TakeProfitPrice fixedpoint.Value `json:"takeProfitPrice"`
// CloseWhenCancelOrder option is used to close the grid if any of the order is canceled.
// This option let you simply remote control the grid from the crypto exchange mobile app.
CloseWhenCancelOrder bool `json:"closeWhenCancelOrder"`
@ -140,7 +144,7 @@ func (s *Strategy) Validate() error {
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: "1m"})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
}
// InstanceID returns the instance identifier from the current grid configuration parameters
@ -458,6 +462,18 @@ func (s *Strategy) calculateQuoteBaseInvestmentQuantity(quoteInvestment, baseInv
return quoteSideQuantity, nil
}
func (s *Strategy) newTriggerPriceHandler(ctx context.Context, session *bbgo.ExchangeSession) types.KLineCallback {
return types.KLineWith(s.Symbol, types.Interval1m, func(k types.KLine) {
if s.TriggerPrice.Compare(k.High) > 0 || s.TriggerPrice.Compare(k.Low) < 0 {
return
}
if err := s.openGrid(ctx, session); err != nil {
s.logger.WithError(err).Errorf("failed to setup grid orders")
}
})
}
// closeGrid closes the grid orders
func (s *Strategy) closeGrid(ctx context.Context) error {
bbgo.Sync(ctx, s)
@ -476,6 +492,14 @@ func (s *Strategy) closeGrid(ctx context.Context) error {
// 1) if quantity or amount is set, we should use quantity/amount directly instead of using investment amount to calculate.
// 2) if baseInvestment, quoteInvestment is set, then we should calculate the quantity from the given base investment and quote investment.
func (s *Strategy) openGrid(ctx context.Context, session *bbgo.ExchangeSession) error {
if s.grid != nil {
return nil
}
s.grid = NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
s.grid.CalculateArithmeticPins()
s.logger.Info(s.grid.String())
lastPrice, err := s.getLastTradePrice(ctx, session)
if err != nil {
return errors.Wrap(err, "failed to get the last trade price")
@ -693,11 +717,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
}
s.grid = NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
s.grid.CalculateArithmeticPins()
s.logger.Info(s.grid.String())
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
defer wg.Done()
@ -710,7 +729,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
})
if !s.TriggerPrice.IsZero() {
session.MarketDataStream.OnKLineClosed(s.newTriggerPriceHandler(ctx, session))
}
session.UserDataStream.OnStart(func() {
if !s.TriggerPrice.IsZero() {
return
}
if err := s.openGrid(ctx, session); err != nil {
s.logger.WithError(err).Errorf("failed to setup grid orders")
}