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exit/hhllStop: readability

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Andy Cheng 2023-06-30 14:03:46 +08:00
parent 936a3c95d9
commit 12e3e9b5f8
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GPG Key ID: 936427CF651A9D28
1 changed files with 18 additions and 18 deletions
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36
pkg/bbgo/exit_hh_ll_stop.go
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@ -61,6 +61,7 @@ func (s *HigherHighLowerLowStop) Subscribe(session *ExchangeSession) {
// updateActivated checks the position cost against the close price, activation ratio, and deactivation ratio to
// determine whether this stop should be activated
func (s *HigherHighLowerLowStop) updateActivated(position *types.Position, closePrice fixedpoint.Value) {
// deactivate when no position
if position.IsClosed() || position.IsDust(closePrice) {
s.activated = false
@ -68,19 +69,27 @@ func (s *HigherHighLowerLowStop) updateActivated(position *types.Position, close
}
// activation/deactivation price
var price_deactive fixedpoint.Value
var price_active fixedpoint.Value
if position.IsLong() {
price_deactive = position.AverageCost.Mul(fixedpoint.One.Add(s.DeactivationRatio))
price_active = position.AverageCost.Mul(fixedpoint.One.Add(s.ActivationRatio))
} else {
price_deactive = position.AverageCost.Mul(fixedpoint.One.Sub(s.DeactivationRatio))
price_active = position.AverageCost.Mul(fixedpoint.One.Sub(s.ActivationRatio))
}
if s.activated {
if position.IsLong() {
r_deactive := fixedpoint.One.Add(s.DeactivationRatio)
r_active := fixedpoint.One.Add(s.ActivationRatio)
if closePrice.Compare(position.AverageCost.Mul(r_deactive)) >= 0 {
if closePrice.Compare(price_deactive) >= 0 {
s.activated = false
Notify("[hhllStop] Stop of %s deactivated for long position, deactivation ratio %s", s.Symbol, s.DeactivationRatio.Percentage())
} else if closePrice.Compare(position.AverageCost.Mul(r_active)) < 0 {
} else if closePrice.Compare(price_active) < 0 {
s.activated = false
Notify("[hhllStop] Stop of %s deactivated for long position, activation ratio %s", s.Symbol, s.ActivationRatio.Percentage())
@ -89,16 +98,13 @@ func (s *HigherHighLowerLowStop) updateActivated(position *types.Position, close
} else if position.IsShort() {
r_deactive := fixedpoint.One.Sub(s.DeactivationRatio)
r_active := fixedpoint.One.Sub(s.ActivationRatio)
// for short position, if the close price is less than the activation price then this is a profit position.
if closePrice.Compare(position.AverageCost.Mul(r_deactive)) <= 0 {
if closePrice.Compare(price_deactive) <= 0 {
s.activated = false
Notify("[hhllStop] Stop of %s deactivated for short position, deactivation ratio %s", s.Symbol, s.DeactivationRatio.Percentage())
} else if closePrice.Compare(position.AverageCost.Mul(r_active)) > 0 {
} else if closePrice.Compare(price_active) > 0 {
s.activated = false
Notify("[hhllStop] Stop of %s deactivated for short position, activation ratio %s", s.Symbol, s.ActivationRatio.Percentage())
@ -110,10 +116,7 @@ func (s *HigherHighLowerLowStop) updateActivated(position *types.Position, close
if position.IsLong() {
r_deactive := fixedpoint.One.Add(s.DeactivationRatio)
r_active := fixedpoint.One.Add(s.ActivationRatio)
if closePrice.Compare(position.AverageCost.Mul(r_active)) >= 0 && closePrice.Compare(position.AverageCost.Mul(r_deactive)) < 0 {
if closePrice.Compare(price_active) >= 0 && closePrice.Compare(price_deactive) < 0 {
s.activated = true
Notify("[hhllStop] %s stop is activated for long position, activation ratio %s, deactivation ratio %s", s.Symbol, s.ActivationRatio.Percentage(), s.DeactivationRatio.Percentage())
@ -122,11 +125,8 @@ func (s *HigherHighLowerLowStop) updateActivated(position *types.Position, close
} else if position.IsShort() {
r_deactive := fixedpoint.One.Sub(s.DeactivationRatio)
r_active := fixedpoint.One.Sub(s.ActivationRatio)
// for short position, if the close price is less than the activation price then this is a profit position.
if closePrice.Compare(position.AverageCost.Mul(r_active)) <= 0 && closePrice.Compare(position.AverageCost.Mul(r_deactive)) > 0 {
if closePrice.Compare(price_active) <= 0 && closePrice.Compare(price_deactive) > 0 {
s.activated = true
Notify("[hhllStop] %s stop is activated for short position, activation ratio %s, deactivation ratio %s", s.Symbol, s.ActivationRatio.Percentage(), s.DeactivationRatio.Percentage())