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pivotshort: fix pivotshort trigger condition

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c9s 2022-06-28 18:50:30 +08:00 committed by Austin Liu
parent cb1ad3a89b
commit 1617005114
2 changed files with 14 additions and 5 deletions
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2
pkg/strategy/pivotshort/cumulated_volume_take_profit.go
View File

@ -56,7 +56,7 @@ func (s *CumulatedVolumeTakeProfit) Bind(session *bbgo.ExchangeSession, orderExe
cqv.Float64(),
s.MinQuoteVolume.Float64(), kline.Close.Float64())
_ = orderExecutor.ClosePosition(context.Background(), fixedpoint.One)
_ = orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "cumulatedVolumeTakeProfit")
return
}
}

17
pkg/strategy/pivotshort/strategy.go
View File

@ -142,7 +142,7 @@ func (s *Strategy) useQuantityOrBaseBalance(quantity fixedpoint.Value) fixedpoin
return quantity
}
func (s *Strategy) placeLimitSell(ctx context.Context, price, quantity fixedpoint.Value) {
func (s *Strategy) placeLimitSell(ctx context.Context, price, quantity fixedpoint.Value, tag string) {
_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Price: price,
@ -150,16 +150,18 @@ func (s *Strategy) placeLimitSell(ctx context.Context, price, quantity fixedpoin
Type: types.OrderTypeLimit,
Quantity: quantity,
MarginSideEffect: types.SideEffectTypeMarginBuy,
Tag: tag,
})
}
func (s *Strategy) placeMarketSell(ctx context.Context, quantity fixedpoint.Value) {
func (s *Strategy) placeMarketSell(ctx context.Context, quantity fixedpoint.Value, tag string) {
_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Quantity: quantity,
MarginSideEffect: types.SideEffectTypeMarginBuy,
Tag: tag,
})
}
@ -323,12 +325,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
ratio := fixedpoint.One.Add(s.BreakLow.Ratio)
breakPrice := previousLow.Mul(ratio)
openPrice := kline.Open
closePrice := kline.Close
// if previous low is not break, skip
if closePrice.Compare(breakPrice) >= 0 {
return
}
// we need the price cross the break line
// or we do nothing
if !(openPrice.Compare(breakPrice) > 0 && closePrice.Compare(breakPrice) < 0) {
return
}
log.Infof("%s breakLow signal detected, closed price %f < breakPrice %f", kline.Symbol, closePrice.Float64(), breakPrice.Float64())
// stop EMA protection
@ -350,12 +359,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
quantity := s.useQuantityOrBaseBalance(s.BreakLow.Quantity)
if s.BreakLow.MarketOrder {
bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting market sell to open a short position", s.Symbol, kline.Close.Float64(), previousLow.Float64(), s.BreakLow.Ratio.Float64())
s.placeMarketSell(ctx, quantity)
s.placeMarketSell(ctx, quantity, "breakLowMarket")
} else {
sellPrice := kline.Close.Mul(fixedpoint.One.Add(s.BreakLow.BounceRatio))
bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting limit sell @ %f", s.Symbol, kline.Close.Float64(), previousLow.Float64(), s.BreakLow.Ratio.Float64(), sellPrice.Float64())
s.placeLimitSell(ctx, sellPrice, quantity)
s.placeLimitSell(ctx, sellPrice, quantity, "breakLowLimit")
}
})