feature: post orders for ewo

pkg/strategy/ewo_dgtrd/strategy.go

@@ -6,6 +6,7 @@ import (
 	"github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -24,6 +25,7 @@ type Strategy struct {
 	Threshold    float64          `json:"threshold"` // strength threshold
 	UseEma       bool             `json:"useEma"`    // use exponential ma or simple ma
 	SignalWindow int              `json:"sigWin"`    // signal window
+	StopLoss     fixedpoint.Value `json:"stoploss"`  // stop price = latest price * (1 - stoploss)
 }
 
 func (s *Strategy) ID() string {
@@ -41,21 +43,27 @@ type EwoSignal interface {
 }
 
 func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	log.Infof("stoploss: %v", s.StopLoss)
 	indicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
 	if !ok {
 		log.Errorf("cannot get indicatorSet of %s", s.Symbol)
 		return nil
 	}
-	store, ok := session.MarketDataStore(s.Symbol)
+	//store, ok := session.MarketDataStore(s.Symbol)
+	//if !ok {
+	//	log.Errorf("cannot get marketdatastore of %s", s.Symbol)
+	//	return nil
+	//}
+	market, ok := session.Market(s.Symbol)
 	if !ok {
-		log.Errorf("cannot get marketdatastore of %s", s.Symbol)
+		log.Errorf("fetch market fail %s", s.Symbol)
 		return nil
 	}
-	window, ok := store.KLinesOfInterval(s.Interval)
+	//window, ok := store.KLinesOfInterval(s.Interval)
-	if !ok {
+	//if !ok {
-		log.Errorf("cannot get klinewindow of %s", s.Interval)
+	//	log.Errorf("cannot get klinewindow of %s", s.Interval)
-	}
+	//}
-	mid := types.Div(types.Add(window.Open(), window.Close()), 2)
+	//mid := types.Div(types.Add(window.Open(), window.Close()), 2)
 	var ma5, ma34, ewo types.Series
 	if s.UseEma {
 		ma5 = indicatorSet.EWMA(types.IntervalWindow{s.Interval, 5})
@@ -71,10 +79,16 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	} else {
 		ewoSignal = &indicator.SMA{IntervalWindow: types.IntervalWindow{s.Interval, s.SignalWindow}}
 	}
+	entryPrice := fixedpoint.Zero
+	stopPrice := fixedpoint.Zero
+	inTrade := false
+	tradeDirectionLong := true
 	session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
-		if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
+		if kline.Symbol != s.Symbol {
 			return
 		}
+
+		if kline.Interval == s.Interval {
 			if ewoSignal.Length() == 0 {
 				// lazy init
 				ewoVals := types.ToReverseArray(ewo)
@@ -84,35 +98,186 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 			} else {
 				ewoSignal.Update(ewo.Last())
 			}
+		}
 
 		lastPrice, ok := session.LastPrice(s.Symbol)
 		if !ok {
 			return
 		}
 
+		// stoploss
+		if inTrade {
+			if tradeDirectionLong && kline.Low.Compare(stopPrice) <= 0 {
+				balances := session.Account.Balances()
+				baseBalance := balances[market.BaseCurrency].Available
+				baseAmount := baseBalance.Mul(lastPrice)
+				if baseBalance.Sign() <= 0 ||
+					baseBalance.Compare(market.MinQuantity) < 0 ||
+					baseAmount.Compare(market.MinNotional) < 0 {
+					//log.Infof("base balance %v is not enough. stop generating sell orders", baseBalance)
+					return
+				}
+				_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
+					Symbol:      kline.Symbol,
+					Side:        types.SideTypeSell,
+					Type:        types.OrderTypeMarket,
+					Quantity:    baseBalance,
+					Market:      market,
+					TimeInForce: types.TimeInForceGTC,
+				})
+				if err != nil {
+					log.WithError(err).Errorf("cannot place order for stoploss")
+					return
+				}
+				log.Warnf("StopLoss Long at %v", lastPrice)
+				inTrade = false
+				entryPrice = fixedpoint.Zero
+				stopPrice = fixedpoint.Zero
+				return
+			} else if !tradeDirectionLong && kline.High.Compare(stopPrice) >= 0 {
+				quoteBalance, ok := session.Account.Balance(market.QuoteCurrency)
+				if !ok {
+					return
+				}
+				quantityAmount := quoteBalance.Available
+				totalQuantity := quantityAmount.Div(lastPrice)
+				if quantityAmount.Sign() <= 0 ||
+					quantityAmount.Compare(market.MinNotional) < 0 ||
+					totalQuantity.Compare(market.MinQuantity) < 0 {
+					//log.Infof("quote balance %v is not enough. stop generating buy orders", quoteBalance)
+					return
+				}
+				_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
+					Symbol:      kline.Symbol,
+					Side:        types.SideTypeBuy,
+					Type:        types.OrderTypeMarket,
+					Quantity:    totalQuantity,
+					Market:      market,
+					TimeInForce: types.TimeInForceGTC,
+				})
+				if err != nil {
+					log.WithError(err).Errorf("cannot place order for stoploss")
+					return
+				}
+				log.Warnf("StopLoss Short at %v", lastPrice)
+				inTrade = false
+				entryPrice = fixedpoint.Zero
+				stopPrice = fixedpoint.Zero
+				return
+			}
+		}
+
+		if kline.Interval != s.Interval {
+			return
+		}
+
 		longSignal := types.CrossOver(ewo, ewoSignal)
 		shortSignal := types.CrossUnder(ewo, ewoSignal)
-		nextVal := types.Predict(mid, 5, 1)
+		IsBull := kline.Close.Compare(kline.Open) > 0
-		IsBull := mid.Last() < nextVal
+		//nextVal := types.Predict(mid, 3, 1)
-		log.Warnf("mid %v, last %v, next %v", kline.Mid(), mid.Last(), nextVal)
+		//IsBull := lastPrice.Float64() < nextVal
+		//log.Warnf("mid %v, last %v, next %v", kline.Mid(), mid.Last(), nextVal)
+		//log.Warnf("long %v %v, short %v %v", longSignal.Index(1), longSignal.Last(), shortSignal.Index(1), shortSignal.Last())
+		//log.Infof("(%f, %f, %f) (%f, %f, %f)", ewo.Last(), ewo.Index(1), ewo.Index(2), ewoSignal.Last(), ewoSignal.Index(1), ewoSignal.Index(2))
+		//log.Infof("long %v %v %v", longSignal.Last(), longSignal.Index(1), ewo.Last() >= ewoSignal.Last() && ewoSignal.Index(1) >= ewo.Index(1))
+		//log.Infof("short %v %v", shortSignal.Last(), shortSignal.Index(1))
 
-		if longSignal.Last() && IsBull {
+		var orders []types.SubmitOrder
+		if longSignal.Index(1) && !shortSignal.Last() && IsBull {
+			quoteBalance, ok := session.Account.Balance(market.QuoteCurrency)
+			if !ok {
+				return
+			}
+			quantityAmount := quoteBalance.Available
+			totalQuantity := quantityAmount.Div(lastPrice)
+			if quantityAmount.Sign() <= 0 ||
+				quantityAmount.Compare(market.MinNotional) < 0 ||
+				totalQuantity.Compare(market.MinQuantity) < 0 {
+				log.Infof("quote balance %v is not enough. stop generating buy orders", quoteBalance)
+				return
+			}
 			if ewo.Last() < -s.Threshold {
 				// strong long
 				log.Infof("strong long at %v, timestamp: %s", lastPrice, kline.StartTime)
-			} else {
+
-				log.Infof("long at %v, timestamp: %s", lastPrice, kline.StartTime)
+				orders = append(orders, types.SubmitOrder{
+					Symbol:      kline.Symbol,
+					Side:        types.SideTypeBuy,
+					Type:        types.OrderTypeLimit,
+					Price:       lastPrice,
+					Quantity:    totalQuantity,
+					Market:      market,
+					TimeInForce: types.TimeInForceGTC,
+				})
+			} else if ewo.Last() < 0 {
+				log.Infof("long at %v, amount: %v, timestamp: %s", lastPrice, lastPrice.Mul(totalQuantity), kline.StartTime)
 				// Long
+
+				// TODO: smaller quantity?
+
+				orders = append(orders, types.SubmitOrder{
+					Symbol:      s.Symbol,
+					Side:        types.SideTypeBuy,
+					Type:        types.OrderTypeLimit,
+					Price:       lastPrice,
+					Quantity:    totalQuantity,
+					Market:      market,
+					TimeInForce: types.TimeInForceGTC,
+				})
+			}
+		} else if shortSignal.Index(1) && !longSignal.Last() && !IsBull {
+			balances := session.Account.Balances()
+			baseBalance := balances[market.BaseCurrency].Available
+			baseAmount := baseBalance.Mul(lastPrice)
+			if baseBalance.Sign() <= 0 ||
+				baseBalance.Compare(market.MinQuantity) < 0 ||
+				baseAmount.Compare(market.MinNotional) < 0 {
+				log.Infof("base balance %v is not enough. stop generating sell orders", baseBalance)
+				return
 			}
-		} else if shortSignal.Last() && !IsBull {
 			if ewo.Last() > s.Threshold {
 				// Strong short
 				log.Infof("strong short at %v, timestamp: %s", lastPrice, kline.StartTime)
-			} else {
+				orders = append(orders, types.SubmitOrder{
+					Symbol:      s.Symbol,
+					Side:        types.SideTypeSell,
+					Type:        types.OrderTypeLimit,
+					Market:      market,
+					Quantity:    baseBalance,
+					Price:       lastPrice,
+					TimeInForce: types.TimeInForceGTC,
+				})
+			} else if ewo.Last() > 0 {
 				// short
 				log.Infof("short at %v, timestamp: %s", lastPrice, kline.StartTime)
+				// TODO: smaller quantity?
+				orders = append(orders, types.SubmitOrder{
+					Symbol:      s.Symbol,
+					Side:        types.SideTypeSell,
+					Type:        types.OrderTypeLimit,
+					Market:      market,
+					Quantity:    baseBalance,
+					Price:       lastPrice,
+					TimeInForce: types.TimeInForceGTC,
+				})
 			}
 		}
+		if len(orders) > 0 {
+			createdOrders, err := orderExecutor.SubmitOrders(ctx, orders...)
+			if err != nil {
+				log.WithError(err).Errorf("cannot place order")
+				return
+			}
+			entryPrice = lastPrice
+			inTrade = true
+			tradeDirectionLong = IsBull
+			if tradeDirectionLong {
+				stopPrice = entryPrice.Mul(fixedpoint.One.Sub(s.StopLoss))
+			} else {
+				stopPrice = entryPrice.Mul(fixedpoint.One.Add(s.StopLoss))
+			}
+			log.Infof("Place orders %v", createdOrders)
+		}
 	})
 	return nil
 }