pivotshort: move SupportTakeProfit to the core api

pkg/bbgo/exit_support_take_profit.go

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

pkg/strategy/pivotshort/strategy.go

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