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shakegrid: add findTop function

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c9s 2021-11-01 11:30:57 +08:00 committed by c9s
parent e1a882bbad
commit 147ca9b132
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1 changed files with 62 additions and 4 deletions
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66
pkg/strategy/shakegrid/strategy.go
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@ -85,6 +85,13 @@ type Strategy struct {
boll *indicator.BOLL
CancelProfitOrdersOnShutdown bool `json: "shutdownCancelProfitOrders"`
MinVolume fixedpoint.Value `json:"minVolume"`
MinLowerShadowRatio fixedpoint.Value `json:"minLowerShadowRatio"`
grid *Grid
}
func (s *Strategy) ID() string {
@ -109,7 +116,7 @@ func (s *Strategy) Validate() error {
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
// currently we need the 1m kline to update the last close price and indicators
// Currently we need the 1m kline to update the last close price and indicators
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()})
if len(s.RepostInterval) > 0 && s.Interval != s.RepostInterval {
@ -378,12 +385,36 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// avoid using time ticker since we will need back testing here
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
// skip kline events that does not belong to this symbol
if kline.Symbol != s.Symbol {
log.Infof("%s != %s", kline.Symbol, s.Symbol)
// skip kline events that does not belong to this symbol and interval
if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
return
}
if kline.Volume < s.MinVolume.Float64() {
return
}
if s.MinLowerShadowRatio > 0 {
// We can use this later
// kline.GetLowerShadowRatio()
}
// TODO: 1) Find the previous top and then find the bottom of the previous top
dataStore, ok := session.MarketDataStore(s.Symbol)
if !ok {
log.Errorf("market data store %s does not exist", s.Symbol)
return
}
klines := dataStore.KLineWindows[s.Interval]
_ = klines
// TODO: 2) Allocate grid object here
// TODO: 3) Market order to increase inventory
// TODO: 4) Place grid orders
if s.RepostInterval != "" {
// see if we have enough balances and then we create limit orders on the up band and the down band.
if s.RepostInterval == kline.Interval {
@ -397,3 +428,30 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return nil
}
func findTopKLine(kLines types.KLineWindow, window int) (tops []types.KLine) {
if len(kLines) < window {
return tops
}
NextKLine:
for i := len(kLines) - window - 1 ; i > window ; i-- {
cur := kLines[i]
for j := 1; j < window ; j++ {
left := kLines[i - j]
if left.High > cur.High {
continue NextKLine
}
right := kLines[i + j]
if right.High > cur.High {
continue NextKLine
}
}
// if we get here, it means it's the local top
tops = append(tops, cur)
}
return tops
}