mirror of
https://github.com/c9s/bbgo.git
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feature: post orders for ewo
This commit is contained in:
zenix
parent
42a3737f2e
commit
0fe14c5fe5
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@ -6,6 +6,7 @@ import (
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -19,11 +20,12 @@ func init() {
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}
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type Strategy struct {
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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Threshold float64 `json:"threshold"` // strength threshold
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UseEma bool `json:"useEma"` // use exponential ma or simple ma
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SignalWindow int `json:"sigWin"` // signal window
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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Threshold float64 `json:"threshold"` // strength threshold
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UseEma bool `json:"useEma"` // use exponential ma or simple ma
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SignalWindow int `json:"sigWin"` // signal window
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StopLoss fixedpoint.Value `json:"stoploss"` // stop price = latest price * (1 - stoploss)
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}
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func (s *Strategy) ID() string {
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@ -41,21 +43,27 @@ type EwoSignal interface {
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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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log.Infof("stoploss: %v", s.StopLoss)
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indicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
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if !ok {
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log.Errorf("cannot get indicatorSet of %s", s.Symbol)
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return nil
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}
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store, ok := session.MarketDataStore(s.Symbol)
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//store, ok := session.MarketDataStore(s.Symbol)
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//if !ok {
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// log.Errorf("cannot get marketdatastore of %s", s.Symbol)
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// return nil
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//}
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market, ok := session.Market(s.Symbol)
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if !ok {
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log.Errorf("cannot get marketdatastore of %s", s.Symbol)
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log.Errorf("fetch market fail %s", s.Symbol)
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return nil
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}
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window, ok := store.KLinesOfInterval(s.Interval)
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if !ok {
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log.Errorf("cannot get klinewindow of %s", s.Interval)
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}
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mid := types.Div(types.Add(window.Open(), window.Close()), 2)
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//window, ok := store.KLinesOfInterval(s.Interval)
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//if !ok {
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// log.Errorf("cannot get klinewindow of %s", s.Interval)
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//}
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//mid := types.Div(types.Add(window.Open(), window.Close()), 2)
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var ma5, ma34, ewo types.Series
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if s.UseEma {
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ma5 = indicatorSet.EWMA(types.IntervalWindow{s.Interval, 5})
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@ -71,18 +79,25 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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} else {
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ewoSignal = &indicator.SMA{IntervalWindow: types.IntervalWindow{s.Interval, s.SignalWindow}}
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}
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entryPrice := fixedpoint.Zero
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stopPrice := fixedpoint.Zero
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inTrade := false
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tradeDirectionLong := true
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
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if kline.Symbol != s.Symbol {
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return
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}
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if ewoSignal.Length() == 0 {
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// lazy init
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ewoVals := types.ToReverseArray(ewo)
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for _, ewoValue := range ewoVals {
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ewoSignal.Update(ewoValue)
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if kline.Interval == s.Interval {
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if ewoSignal.Length() == 0 {
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// lazy init
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ewoVals := types.ToReverseArray(ewo)
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for _, ewoValue := range ewoVals {
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ewoSignal.Update(ewoValue)
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}
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} else {
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ewoSignal.Update(ewo.Last())
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}
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} else {
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ewoSignal.Update(ewo.Last())
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}
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lastPrice, ok := session.LastPrice(s.Symbol)
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@ -90,29 +105,179 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return
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}
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// stoploss
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if inTrade {
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if tradeDirectionLong && kline.Low.Compare(stopPrice) <= 0 {
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balances := session.Account.Balances()
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baseBalance := balances[market.BaseCurrency].Available
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baseAmount := baseBalance.Mul(lastPrice)
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if baseBalance.Sign() <= 0 ||
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baseBalance.Compare(market.MinQuantity) < 0 ||
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baseAmount.Compare(market.MinNotional) < 0 {
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//log.Infof("base balance %v is not enough. stop generating sell orders", baseBalance)
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return
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}
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_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: kline.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeMarket,
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Quantity: baseBalance,
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Market: market,
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TimeInForce: types.TimeInForceGTC,
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})
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if err != nil {
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log.WithError(err).Errorf("cannot place order for stoploss")
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return
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}
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log.Warnf("StopLoss Long at %v", lastPrice)
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inTrade = false
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entryPrice = fixedpoint.Zero
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stopPrice = fixedpoint.Zero
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return
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} else if !tradeDirectionLong && kline.High.Compare(stopPrice) >= 0 {
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quoteBalance, ok := session.Account.Balance(market.QuoteCurrency)
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if !ok {
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return
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}
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quantityAmount := quoteBalance.Available
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totalQuantity := quantityAmount.Div(lastPrice)
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if quantityAmount.Sign() <= 0 ||
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quantityAmount.Compare(market.MinNotional) < 0 ||
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totalQuantity.Compare(market.MinQuantity) < 0 {
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//log.Infof("quote balance %v is not enough. stop generating buy orders", quoteBalance)
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return
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}
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_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: kline.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeMarket,
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Quantity: totalQuantity,
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Market: market,
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TimeInForce: types.TimeInForceGTC,
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})
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if err != nil {
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log.WithError(err).Errorf("cannot place order for stoploss")
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return
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}
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log.Warnf("StopLoss Short at %v", lastPrice)
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inTrade = false
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entryPrice = fixedpoint.Zero
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stopPrice = fixedpoint.Zero
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return
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}
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}
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if kline.Interval != s.Interval {
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return
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}
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longSignal := types.CrossOver(ewo, ewoSignal)
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shortSignal := types.CrossUnder(ewo, ewoSignal)
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nextVal := types.Predict(mid, 5, 1)
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IsBull := mid.Last() < nextVal
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log.Warnf("mid %v, last %v, next %v", kline.Mid(), mid.Last(), nextVal)
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IsBull := kline.Close.Compare(kline.Open) > 0
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//nextVal := types.Predict(mid, 3, 1)
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//IsBull := lastPrice.Float64() < nextVal
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//log.Warnf("mid %v, last %v, next %v", kline.Mid(), mid.Last(), nextVal)
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//log.Warnf("long %v %v, short %v %v", longSignal.Index(1), longSignal.Last(), shortSignal.Index(1), shortSignal.Last())
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//log.Infof("(%f, %f, %f) (%f, %f, %f)", ewo.Last(), ewo.Index(1), ewo.Index(2), ewoSignal.Last(), ewoSignal.Index(1), ewoSignal.Index(2))
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//log.Infof("long %v %v %v", longSignal.Last(), longSignal.Index(1), ewo.Last() >= ewoSignal.Last() && ewoSignal.Index(1) >= ewo.Index(1))
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//log.Infof("short %v %v", shortSignal.Last(), shortSignal.Index(1))
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if longSignal.Last() && IsBull {
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var orders []types.SubmitOrder
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if longSignal.Index(1) && !shortSignal.Last() && IsBull {
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quoteBalance, ok := session.Account.Balance(market.QuoteCurrency)
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if !ok {
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return
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}
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quantityAmount := quoteBalance.Available
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totalQuantity := quantityAmount.Div(lastPrice)
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if quantityAmount.Sign() <= 0 ||
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quantityAmount.Compare(market.MinNotional) < 0 ||
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totalQuantity.Compare(market.MinQuantity) < 0 {
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log.Infof("quote balance %v is not enough. stop generating buy orders", quoteBalance)
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return
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}
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if ewo.Last() < -s.Threshold {
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// strong long
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log.Infof("strong long at %v, timestamp: %s", lastPrice, kline.StartTime)
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} else {
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log.Infof("long at %v, timestamp: %s", lastPrice, kline.StartTime)
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orders = append(orders, types.SubmitOrder{
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Symbol: kline.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Price: lastPrice,
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Quantity: totalQuantity,
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Market: market,
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TimeInForce: types.TimeInForceGTC,
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})
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} else if ewo.Last() < 0 {
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log.Infof("long at %v, amount: %v, timestamp: %s", lastPrice, lastPrice.Mul(totalQuantity), kline.StartTime)
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// Long
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// TODO: smaller quantity?
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Price: lastPrice,
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Quantity: totalQuantity,
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Market: market,
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TimeInForce: types.TimeInForceGTC,
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})
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}
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} else if shortSignal.Index(1) && !longSignal.Last() && !IsBull {
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balances := session.Account.Balances()
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baseBalance := balances[market.BaseCurrency].Available
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baseAmount := baseBalance.Mul(lastPrice)
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if baseBalance.Sign() <= 0 ||
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baseBalance.Compare(market.MinQuantity) < 0 ||
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baseAmount.Compare(market.MinNotional) < 0 {
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log.Infof("base balance %v is not enough. stop generating sell orders", baseBalance)
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return
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}
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} else if shortSignal.Last() && !IsBull {
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if ewo.Last() > s.Threshold {
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// Strong short
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log.Infof("strong short at %v, timestamp: %s", lastPrice, kline.StartTime)
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} else {
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Market: market,
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Quantity: baseBalance,
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Price: lastPrice,
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TimeInForce: types.TimeInForceGTC,
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})
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} else if ewo.Last() > 0 {
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// short
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log.Infof("short at %v, timestamp: %s", lastPrice, kline.StartTime)
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// TODO: smaller quantity?
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Market: market,
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Quantity: baseBalance,
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Price: lastPrice,
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TimeInForce: types.TimeInForceGTC,
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})
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}
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}
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if len(orders) > 0 {
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createdOrders, err := orderExecutor.SubmitOrders(ctx, orders...)
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if err != nil {
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log.WithError(err).Errorf("cannot place order")
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return
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}
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entryPrice = lastPrice
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inTrade = true
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tradeDirectionLong = IsBull
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if tradeDirectionLong {
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stopPrice = entryPrice.Mul(fixedpoint.One.Sub(s.StopLoss))
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} else {
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stopPrice = entryPrice.Mul(fixedpoint.One.Add(s.StopLoss))
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}
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log.Infof("Place orders %v", createdOrders)
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}
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})
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return nil
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}
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