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https://github.com/c9s/bbgo.git
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pivotshort: move SupportTakeProfit to the core api
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c9s
parent
c8c7211e75
commit
11854db51a
132
pkg/bbgo/exit_support_take_profit.go
Normal file
132
pkg/bbgo/exit_support_take_profit.go
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@ -0,0 +1,132 @@
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package bbgo
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import (
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"context"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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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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// SupportTakeProfit finds the previous support price and take profit at the previous low.
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type SupportTakeProfit struct {
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Symbol string
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types.IntervalWindow
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Ratio fixedpoint.Value `json:"ratio"`
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pivot *indicator.PivotLow
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orderExecutor *GeneralOrderExecutor
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session *ExchangeSession
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activeOrders *ActiveOrderBook
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currentSupportPrice fixedpoint.Value
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triggeredPrices []fixedpoint.Value
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}
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func (s *SupportTakeProfit) Subscribe(session *ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *SupportTakeProfit) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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s.activeOrders = NewActiveOrderBook(s.Symbol)
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session.UserDataStream.OnOrderUpdate(func(order types.Order) {
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if s.activeOrders.Exists(order) {
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if !s.currentSupportPrice.IsZero() {
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s.triggeredPrices = append(s.triggeredPrices, s.currentSupportPrice)
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}
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}
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})
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s.activeOrders.BindStream(session.UserDataStream)
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position := orderExecutor.Position()
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s.pivot = session.StandardIndicatorSet(s.Symbol).PivotLow(s.IntervalWindow)
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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if !s.updateSupportPrice(kline.Close) {
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return
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}
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if !position.IsOpened(kline.Close) {
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logrus.Infof("position is not opened, skip updating support take profit order")
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return
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}
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buyPrice := s.currentSupportPrice.Mul(one.Add(s.Ratio))
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quantity := position.GetQuantity()
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ctx := context.Background()
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if err := orderExecutor.GracefulCancelActiveOrderBook(ctx, s.activeOrders); err != nil {
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logrus.WithError(err).Errorf("cancel order failed")
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}
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Notify("placing %s take profit order at price %f", s.Symbol, buyPrice.Float64())
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createdOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimitMaker,
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Side: types.SideTypeBuy,
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Price: buyPrice,
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Quantity: quantity,
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Tag: "supportTakeProfit",
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MarginSideEffect: types.SideEffectTypeAutoRepay,
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})
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if err != nil {
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logrus.WithError(err).Errorf("can not submit orders: %+v", createdOrders)
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}
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s.activeOrders.Add(createdOrders...)
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}))
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}
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func (s *SupportTakeProfit) updateSupportPrice(closePrice fixedpoint.Value) bool {
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logrus.Infof("[supportTakeProfit] lows: %v", s.pivot.Values)
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groupDistance := 0.01
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minDistance := 0.05
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supportPrices := findPossibleSupportPrices(closePrice.Float64()*(1.0-minDistance), groupDistance, s.pivot.Values)
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if len(supportPrices) == 0 {
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return false
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}
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logrus.Infof("[supportTakeProfit] found possible support prices: %v", supportPrices)
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// nextSupportPrice are sorted in increasing order
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nextSupportPrice := fixedpoint.NewFromFloat(supportPrices[len(supportPrices)-1])
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// it's price that we have been used to take profit
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for _, p := range s.triggeredPrices {
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var l = p.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
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var h = p.Mul(one.Add(fixedpoint.NewFromFloat(0.01)))
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if p.Compare(l) > 0 && p.Compare(h) < 0 {
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return false
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}
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}
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currentBuyPrice := s.currentSupportPrice.Mul(one.Add(s.Ratio))
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if s.currentSupportPrice.IsZero() {
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logrus.Infof("setup next support take profit price at %f", nextSupportPrice.Float64())
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s.currentSupportPrice = nextSupportPrice
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return true
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}
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// the close price is already lower than the support price, than we should update
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if closePrice.Compare(currentBuyPrice) < 0 || nextSupportPrice.Compare(s.currentSupportPrice) > 0 {
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logrus.Infof("setup next support take profit price at %f", nextSupportPrice.Float64())
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s.currentSupportPrice = nextSupportPrice
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return true
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}
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return false
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}
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func findPossibleSupportPrices(closePrice float64, groupDistance float64, lows []float64) []float64 {
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return floats.Group(floats.Lower(lows, closePrice), groupDistance)
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}
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@ -11,7 +11,6 @@ import (
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/dynamic"
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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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@ -25,121 +24,6 @@ func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type SupportTakeProfit struct {
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Symbol string
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types.IntervalWindow
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Ratio fixedpoint.Value `json:"ratio"`
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pivot *indicator.PivotLow
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orderExecutor *bbgo.GeneralOrderExecutor
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session *bbgo.ExchangeSession
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activeOrders *bbgo.ActiveOrderBook
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currentSupportPrice fixedpoint.Value
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triggeredPrices []fixedpoint.Value
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}
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func (s *SupportTakeProfit) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *SupportTakeProfit) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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session.UserDataStream.OnOrderUpdate(func(order types.Order) {
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if s.activeOrders.Exists(order) {
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if !s.currentSupportPrice.IsZero() {
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s.triggeredPrices = append(s.triggeredPrices, s.currentSupportPrice)
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}
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}
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})
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s.activeOrders.BindStream(session.UserDataStream)
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position := orderExecutor.Position()
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s.pivot = session.StandardIndicatorSet(s.Symbol).PivotLow(s.IntervalWindow)
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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if !s.updateSupportPrice(kline.Close) {
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return
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}
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if !position.IsOpened(kline.Close) {
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log.Infof("position is not opened, skip updating support take profit order")
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return
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}
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buyPrice := s.currentSupportPrice.Mul(one.Add(s.Ratio))
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quantity := position.GetQuantity()
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ctx := context.Background()
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if err := orderExecutor.GracefulCancelActiveOrderBook(ctx, s.activeOrders); err != nil {
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log.WithError(err).Errorf("cancel order failed")
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}
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bbgo.Notify("placing %s take profit order at price %f", s.Symbol, buyPrice.Float64())
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createdOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Type: types.OrderTypeLimitMaker,
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Side: types.SideTypeBuy,
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Price: buyPrice,
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Quantity: quantity,
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Tag: "supportTakeProfit",
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MarginSideEffect: types.SideEffectTypeAutoRepay,
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})
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if err != nil {
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log.WithError(err).Errorf("can not submit orders: %+v", createdOrders)
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}
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s.activeOrders.Add(createdOrders...)
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}))
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}
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func (s *SupportTakeProfit) updateSupportPrice(closePrice fixedpoint.Value) bool {
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log.Infof("[supportTakeProfit] lows: %v", s.pivot.Values)
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groupDistance := 0.01
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minDistance := 0.05
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supportPrices := findPossibleSupportPrices(closePrice.Float64()*(1.0-minDistance), groupDistance, s.pivot.Values)
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if len(supportPrices) == 0 {
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return false
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}
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log.Infof("[supportTakeProfit] found possible support prices: %v", supportPrices)
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// nextSupportPrice are sorted in increasing order
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nextSupportPrice := fixedpoint.NewFromFloat(supportPrices[len(supportPrices)-1])
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// it's price that we have been used to take profit
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for _, p := range s.triggeredPrices {
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var l = p.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
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var h = p.Mul(one.Add(fixedpoint.NewFromFloat(0.01)))
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if p.Compare(l) > 0 && p.Compare(h) < 0 {
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return false
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}
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}
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currentBuyPrice := s.currentSupportPrice.Mul(one.Add(s.Ratio))
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if s.currentSupportPrice.IsZero() {
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log.Infof("setup next support take profit price at %f", nextSupportPrice.Float64())
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s.currentSupportPrice = nextSupportPrice
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return true
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}
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// the close price is already lower than the support price, than we should update
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if closePrice.Compare(currentBuyPrice) < 0 || nextSupportPrice.Compare(s.currentSupportPrice) > 0 {
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log.Infof("setup next support take profit price at %f", nextSupportPrice.Float64())
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s.currentSupportPrice = nextSupportPrice
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return true
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}
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return false
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}
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type Strategy struct {
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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@ -163,7 +47,7 @@ type Strategy struct {
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// ResistanceShort is one of the entry method
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ResistanceShort *ResistanceShort `json:"resistanceShort"`
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SupportTakeProfit []*SupportTakeProfit `json:"supportTakeProfit"`
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SupportTakeProfit []*bbgo.SupportTakeProfit `json:"supportTakeProfit"`
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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