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fix: rate settings in telegram, make elliottwave draw async

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This commit is contained in:
zenix 2022-10-19 17:59:00 +09:00
parent 3d672ea518
commit 17825fbde1
7 changed files with 127 additions and 142 deletions
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32
config/elliottwave.yaml
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@ -24,17 +24,17 @@ exchangeStrategies:
- on: binance
elliottwave:
minInterval: 1s
symbol: BNBBUSD
symbol: BTCUSDT
limitOrder: true
quantity: 0.16
#quantity: 0.16
# kline interval for indicators
interval: 1m
interval: 1s
stoploss: 0.01%
windowATR: 14
windowQuick: 5
windowSlow: 9
windowQuick: 4
windowSlow: 155
source: hl2
pendingMinutes: 10
pendingMinInterval: 5
useHeikinAshi: true
drawGraph: true
@ -47,12 +47,12 @@ exchangeStrategies:
# when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
#trailingActivationRatio: [0.01, 0.016, 0.05]
#trailingActivationRatio: [0.001, 0.0081, 0.022]
trailingActivationRatio: [0.0017, 0.01, 0.015]
#trailingActivationRatio: []
#trailingCallbackRate: []
#trailingActivationRatio: [0.0017, 0.01, 0.015]
trailingActivationRatio: []
trailingCallbackRate: []
#trailingCallbackRate: [0.002, 0.01, 0.1]
#trailingCallbackRate: [0.0004, 0.0009, 0.018]
trailingCallbackRate: [0.0006, 0.0019, 0.006]
#trailingCallbackRate: [0.0006, 0.0019, 0.006]
#exits:
# - roiStopLoss:
@ -108,13 +108,13 @@ sync:
sessions:
- binance
symbols:
- BNBBUSD
- BTCUSDT
backtest:
startTime: "2022-09-01"
endTime: "2022-09-30"
startTime: "2022-10-15"
endTime: "2022-10-19"
symbols:
- BNBBUSD
- BTCUSDT
sessions: [binance]
syncSecKLines: true
accounts:
@ -122,5 +122,5 @@ backtest:
makerFeeRate: 0.000
takerFeeRate: 0.000
balances:
BNB: 0
BUSD: 100
BTC: 0
USDT: 100

6
pkg/bbgo/serialmarketdatastore.go
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@ -46,7 +46,7 @@ func (store *SerialMarketDataStore) Subscribe(interval types.Interval) {
func (store *SerialMarketDataStore) BindStream(ctx context.Context, stream types.Stream) {
if store.UseAggTrade {
if IsBackTesting {
log.Errorf("Right now in backtesting, aggTrade event is not yet supported. Use OnKLineClosed instead.")
log.Errorf("right now in backtesting, aggTrade event is not yet supported. Use OnKLineClosed instead.")
stream.OnKLineClosed(store.handleKLineClosed)
return
}
@ -85,6 +85,10 @@ func (store *SerialMarketDataStore) handleMarketTrade(trade types.Trade) {
func (store *SerialMarketDataStore) tickerProcessor(ctx context.Context) {
duration := store.MinInterval.Duration()
relativeTime := time.Now().UnixNano() % int64(duration)
waitTime := int64(duration) - relativeTime
ch := time.After(time.Duration(waitTime))
<-ch
intervalCloseTicker := time.NewTicker(duration)
defer intervalCloseTicker.Stop()

68
pkg/bbgo/trader.go
View File

@ -166,52 +166,6 @@ func (trader *Trader) SetRiskControls(riskControls *RiskControls) {
trader.riskControls = riskControls
}
func (trader *Trader) Subscribe() {
// pre-subscribe the data
for sessionName, strategies := range trader.exchangeStrategies {
session := trader.environment.sessions[sessionName]
for _, strategy := range strategies {
if defaulter, ok := strategy.(StrategyDefaulter); ok {
if err := defaulter.Defaults(); err != nil {
panic(err)
}
}
if initializer, ok := strategy.(StrategyInitializer); ok {
if err := initializer.Initialize(); err != nil {
panic(err)
}
}
if subscriber, ok := strategy.(ExchangeSessionSubscriber); ok {
subscriber.Subscribe(session)
} else {
log.Errorf("strategy %s does not implement ExchangeSessionSubscriber", strategy.ID())
}
}
}
for _, strategy := range trader.crossExchangeStrategies {
if defaulter, ok := strategy.(StrategyDefaulter); ok {
if err := defaulter.Defaults(); err != nil {
panic(err)
}
}
if initializer, ok := strategy.(StrategyInitializer); ok {
if err := initializer.Initialize(); err != nil {
panic(err)
}
}
if subscriber, ok := strategy.(CrossExchangeSessionSubscriber); ok {
subscriber.CrossSubscribe(trader.environment.sessions)
} else {
log.Errorf("strategy %s does not implement CrossExchangeSessionSubscriber", strategy.ID())
}
}
}
func (trader *Trader) RunSingleExchangeStrategy(ctx context.Context, strategy SingleExchangeStrategy, session *ExchangeSession, orderExecutor OrderExecutor) error {
if v, ok := strategy.(StrategyValidator); ok {
if err := v.Validate(); err != nil {
@ -262,7 +216,7 @@ func (trader *Trader) RunAllSingleExchangeStrategy(ctx context.Context) error {
return nil
}
func (trader *Trader) injectFields(ctx context.Context) error {
func (trader *Trader) injectFieldsAndSubscribe(ctx context.Context) error {
// load and run Session strategies
for sessionName, strategies := range trader.exchangeStrategies {
var session = trader.environment.sessions[sessionName]
@ -350,6 +304,24 @@ func (trader *Trader) injectFields(ctx context.Context) error {
if err := trader.injectCommonServices(strategy); err != nil {
return err
}
if defaulter, ok := strategy.(StrategyDefaulter); ok {
if err := defaulter.Defaults(); err != nil {
return err
}
}
if initializer, ok := strategy.(StrategyInitializer); ok {
if err := initializer.Initialize(); err != nil {
return err
}
}
if subscriber, ok := strategy.(CrossExchangeSessionSubscriber); ok {
subscriber.CrossSubscribe(trader.environment.sessions)
} else {
log.Errorf("strategy %s does not implement CrossExchangeSessionSubscriber", strategy.ID())
}
}
return nil
@ -361,7 +333,7 @@ func (trader *Trader) Run(ctx context.Context) error {
// trader.environment.Connect will call interact.Start
interact.AddCustomInteraction(NewCoreInteraction(trader.environment, trader))
if err := trader.injectFields(ctx); err != nil {
if err := trader.injectFieldsAndSubscribe(ctx); err != nil {
return err
}

2
pkg/notifier/telegramnotifier/telegram.go
View File

@ -15,7 +15,7 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
var apiLimiter = rate.NewLimiter(rate.Every(1*time.Second), 1)
var apiLimiter = rate.NewLimiter(rate.Every(50*time.Millisecond), 20)
var log = logrus.WithField("service", "telegram")

10
pkg/strategy/drift/strategy.go
View File

@ -98,10 +98,10 @@ type Strategy struct {
SmootherWindow int `json:"smootherWindow"`
FisherTransformWindow int `json:"fisherTransformWindow"`
ATRWindow int `json:"atrWindow"`
PendingMinutes int `json:"pendingMinutes" modifiable:"true"` // if order not be traded for pendingMinutes of time, cancel it.
NoRebalance bool `json:"noRebalance" modifiable:"true"` // disable rebalance
TrendWindow int `json:"trendWindow"` // trendLine is used for rebalancing the position. When trendLine goes up, hold base, otherwise hold quote
RebalanceFilter float64 `json:"rebalanceFilter" modifiable:"true"` // beta filter on the Linear Regression of trendLine
PendingMinInterval int `json:"pendingMinInterval" modifiable:"true"` // if order not be traded for pendingMinInterval of time, cancel it.
NoRebalance bool `json:"noRebalance" modifiable:"true"` // disable rebalance
TrendWindow int `json:"trendWindow"` // trendLine is used for rebalancing the position. When trendLine goes up, hold base, otherwise hold quote
RebalanceFilter float64 `json:"rebalanceFilter" modifiable:"true"` // beta filter on the Linear Regression of trendLine
TrailingCallbackRate []float64 `json:"trailingCallbackRate" modifiable:"true"`
TrailingActivationRatio []float64 `json:"trailingActivationRatio" modifiable:"true"`
@ -276,7 +276,7 @@ func (s *Strategy) smartCancel(ctx context.Context, pricef, atr float64) (int, e
continue
}
log.Warnf("%v | counter: %d, system: %d", order, s.orderPendingCounter[order.OrderID], s.counter)
if s.counter-s.orderPendingCounter[order.OrderID] > s.PendingMinutes {
if s.counter-s.orderPendingCounter[order.OrderID] > s.PendingMinInterval {
toCancel = true
} else if order.Side == types.SideTypeBuy {
// 75% of the probability

74
pkg/strategy/elliottwave/draw.go
View File

@ -13,47 +13,49 @@ import (
func (s *Strategy) InitDrawCommands(store *bbgo.SerialMarketDataStore, profit, cumProfit types.Series) {
bbgo.RegisterCommand("/draw", "Draw Indicators", func(reply interact.Reply) {
canvas := s.DrawIndicators(store)
if canvas == nil {
reply.Message("cannot render indicators")
return
}
var buffer bytes.Buffer
if err := canvas.Render(chart.PNG, &buffer); err != nil {
log.WithError(err).Errorf("cannot render indicators in ewo")
reply.Message(fmt.Sprintf("[error] cannot render indicators in ewo: %v", err))
return
}
bbgo.SendPhoto(&buffer)
go func() {
canvas := s.DrawIndicators(store)
if canvas == nil {
reply.Message("cannot render indicators")
return
}
var buffer bytes.Buffer
if err := canvas.Render(chart.PNG, &buffer); err != nil {
log.WithError(err).Errorf("cannot render indicators in ewo")
reply.Message(fmt.Sprintf("[error] cannot render indicators in ewo: %v", err))
return
}
bbgo.SendPhoto(&buffer)
}()
})
bbgo.RegisterCommand("/pnl", "Draw PNL(%) per trade", func(reply interact.Reply) {
canvas := s.DrawPNL(profit)
var buffer bytes.Buffer
if err := canvas.Render(chart.PNG, &buffer); err != nil {
log.WithError(err).Errorf("cannot render pnl in drift")
reply.Message(fmt.Sprintf("[error] cannot render pnl in ewo: %v", err))
return
}
bbgo.SendPhoto(&buffer)
go func() {
canvas := s.DrawPNL(profit)
var buffer bytes.Buffer
if err := canvas.Render(chart.PNG, &buffer); err != nil {
log.WithError(err).Errorf("cannot render pnl in ewo")
reply.Message(fmt.Sprintf("[error] cannot render pnl in ewo: %v", err))
return
}
bbgo.SendPhoto(&buffer)
}()
})
bbgo.RegisterCommand("/cumpnl", "Draw Cummulative PNL(Quote)", func(reply interact.Reply) {
canvas := s.DrawCumPNL(cumProfit)
var buffer bytes.Buffer
if err := canvas.Render(chart.PNG, &buffer); err != nil {
log.WithError(err).Errorf("cannot render cumpnl in drift")
reply.Message(fmt.Sprintf("[error] canot render cumpnl in drift: %v", err))
return
}
bbgo.SendPhoto(&buffer)
go func() {
canvas := s.DrawCumPNL(cumProfit)
var buffer bytes.Buffer
if err := canvas.Render(chart.PNG, &buffer); err != nil {
log.WithError(err).Errorf("cannot render cumpnl in ewo")
reply.Message(fmt.Sprintf("[error] canot render cumpnl in ewo: %v", err))
return
}
bbgo.SendPhoto(&buffer)
}()
})
}
func (s *Strategy) DrawIndicators(store *bbgo.SerialMarketDataStore) *types.Canvas {
klines, ok := store.KLinesOfInterval(types.Interval1m)
if !ok {
return nil
}
time := (*klines)[len(*klines)-1].StartTime
time := types.Time(s.startTime)
canvas := types.NewCanvas(s.InstanceID(), s.Interval)
Length := s.priceLines.Length()
if Length > 300 {
@ -109,10 +111,10 @@ func (s *Strategy) Draw(store *bbgo.SerialMarketDataStore, profit, cumProfit typ
log.WithError(err).Errorf("cannot create on path " + s.GraphIndicatorPath)
return
}
defer f.Close()
if err = canvas.Render(chart.PNG, f); err != nil {
log.WithError(err).Errorf("cannot render elliottwave")
}
f.Close()
canvas = s.DrawPNL(profit)
f, err = os.Create(s.GraphPNLPath)
@ -120,19 +122,19 @@ func (s *Strategy) Draw(store *bbgo.SerialMarketDataStore, profit, cumProfit typ
log.WithError(err).Errorf("cannot create on path " + s.GraphPNLPath)
return
}
defer f.Close()
if err = canvas.Render(chart.PNG, f); err != nil {
log.WithError(err).Errorf("cannot render pnl")
return
}
f.Close()
canvas = s.DrawCumPNL(cumProfit)
f, err = os.Create(s.GraphCumPNLPath)
if err != nil {
log.WithError(err).Errorf("cannot create on path " + s.GraphCumPNLPath)
return
}
defer f.Close()
if err = canvas.Render(chart.PNG, f); err != nil {
log.WithError(err).Errorf("cannot render cumpnl")
}
f.Close()
}

77
pkg/strategy/elliottwave/strategy.go
View File

@ -43,14 +43,14 @@ type Strategy struct {
types.Market
Session *bbgo.ExchangeSession
Interval types.Interval `json:"interval"`
MinInterval types.Interval `json:"minInterval"`
Stoploss fixedpoint.Value `json:"stoploss" modifiable:"true"`
WindowATR int `json:"windowATR"`
WindowQuick int `json:"windowQuick"`
WindowSlow int `json:"windowSlow"`
PendingMinutes int `json:"pendingMinutes" modifiable:"true"`
UseHeikinAshi bool `json:"useHeikinAshi"`
Interval types.Interval `json:"interval"`
MinInterval types.Interval `json:"minInterval"`
Stoploss fixedpoint.Value `json:"stoploss" modifiable:"true"`
WindowATR int `json:"windowATR"`
WindowQuick int `json:"windowQuick"`
WindowSlow int `json:"windowSlow"`
PendingMinInterval int `json:"pendingMinInterval" modifiable:"true"`
UseHeikinAshi bool `json:"useHeikinAshi"`
// whether to draw graph or not by the end of backtest
DrawGraph bool `json:"drawGraph"`
@ -196,7 +196,7 @@ func (s *Strategy) smartCancel(ctx context.Context, pricef float64) int {
}
log.Warnf("%v | counter: %d, system: %d", order, s.orderPendingCounter[order.OrderID], s.counter)
toCancel := false
if s.counter-s.orderPendingCounter[order.OrderID] >= s.PendingMinutes {
if s.counter-s.orderPendingCounter[order.OrderID] >= s.PendingMinInterval {
toCancel = true
} else if order.Side == types.SideTypeBuy {
if order.Price.Float64()+s.atr.Last()*2 <= pricef {
@ -211,7 +211,7 @@ func (s *Strategy) smartCancel(ctx context.Context, pricef float64) int {
panic("not supported side for the order")
}
if toCancel {
err := s.GeneralOrderExecutor.GracefulCancel(ctx, order)
err := s.GeneralOrderExecutor.CancelNoWait(ctx, order)
if err == nil {
delete(s.orderPendingCounter, order.OrderID)
} else {
@ -235,6 +235,9 @@ func (s *Strategy) trailingCheck(price float64, direction string) bool {
s.lowestPrice = price
}
isShort := direction == "short"
if isShort && s.sellPrice == 0 || !isShort && s.buyPrice == 0 {
return false
}
for i := len(s.TrailingCallbackRate) - 1; i >= 0; i-- {
trailingCallbackRate := s.TrailingCallbackRate[i]
trailingActivationRatio := s.TrailingActivationRatio[i]
@ -244,7 +247,7 @@ func (s *Strategy) trailingCheck(price float64, direction string) bool {
}
} else {
if (s.highestPrice-s.buyPrice)/s.buyPrice > trailingActivationRatio {
return (s.highestPrice-price)/price > trailingCallbackRate
return (s.highestPrice-price)/s.buyPrice > trailingCallbackRate
}
}
}
@ -351,15 +354,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.highestPrice = 0
s.lowestPrice = 0
} else if s.Position.IsLong() {
s.buyPrice = price
s.buyPrice = s.Position.ApproximateAverageCost.Float64()
s.sellPrice = 0
s.highestPrice = s.buyPrice
s.highestPrice = math.Max(s.buyPrice, s.highestPrice)
s.lowestPrice = 0
} else {
s.sellPrice = price
s.sellPrice = s.Position.ApproximateAverageCost.Float64()
s.buyPrice = 0
s.highestPrice = 0
s.lowestPrice = s.sellPrice
if s.lowestPrice == 0 {
s.lowestPrice = s.sellPrice
} else {
s.lowestPrice = math.Min(s.lowestPrice, s.sellPrice)
}
}
})
s.initTickerFunctions()
@ -477,15 +484,18 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
bull := kline.Close.Compare(kline.Open) > 0
balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
bbgo.Notify("source: %.4f, price: %.4f lowest: %.4f highest: %.4f sp %.4f bp %.4f", sourcef, pricef, s.lowestPrice, s.highestPrice, s.sellPrice, s.buyPrice)
bbgo.Notify("balances: [Total] %v %s [Base] %s(%v %s) [Quote] %s",
s.CalcAssetValue(price),
s.Market.QuoteCurrency,
balances[s.Market.BaseCurrency].String(),
balances[s.Market.BaseCurrency].Total().Mul(price),
s.Market.QuoteCurrency,
balances[s.Market.QuoteCurrency].String(),
)
startTime := kline.StartTime.Time()
if startTime.Round(time.Second) == startTime.Round(time.Minute) {
bbgo.Notify("source: %.4f, price: %.4f lowest: %.4f highest: %.4f sp %.4f bp %.4f", sourcef, pricef, s.lowestPrice, s.highestPrice, s.sellPrice, s.buyPrice)
bbgo.Notify("balances: [Total] %v %s [Base] %s(%v %s) [Quote] %s",
s.CalcAssetValue(price),
s.Market.QuoteCurrency,
balances[s.Market.BaseCurrency].String(),
balances[s.Market.BaseCurrency].Total().Mul(price),
s.Market.QuoteCurrency,
balances[s.Market.QuoteCurrency].String(),
)
}
shortCondition := ewo[0] < ewo[1] && ewo[1] >= ewo[2] && (ewo[1] <= ewo[2] || ewo[2] >= ewo[3]) || s.sellPrice == 0 && ewo[0] < ewo[1] && ewo[1] < ewo[2]
longCondition := ewo[0] > ewo[1] && ewo[1] <= ewo[2] && (ewo[1] >= ewo[2] || ewo[2] <= ewo[3]) || s.buyPrice == 0 && ewo[0] > ewo[1] && ewo[1] > ewo[2]
@ -493,18 +503,19 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
exitShortCondition := s.sellPrice > 0 && !shortCondition && s.sellPrice*(1.+stoploss) <= highf || s.sellPrice+atr <= highf || s.trailingCheck(highf, "short")
exitLongCondition := s.buyPrice > 0 && !longCondition && s.buyPrice*(1.-stoploss) >= lowf || s.buyPrice-atr >= lowf || s.trailingCheck(lowf, "long")
if exitShortCondition || exitLongCondition {
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
log.WithError(err).Errorf("cannot cancel orders")
if exitShortCondition || exitLongCondition || (longCondition && bull) || (shortCondition && !bull) {
if hold := s.smartCancel(ctx, pricef); hold > 0 {
return
}
} else {
s.smartCancel(ctx, pricef)
return
}
if exitShortCondition || exitLongCondition {
s.ClosePosition(ctx, fixedpoint.One)
}
if longCondition && bull {
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
log.WithError(err).Errorf("cannot cancel orders")
return
}
if source.Compare(price) > 0 {
source = price
}
@ -527,10 +538,6 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
return
}
if shortCondition && !bull {
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
log.WithError(err).Errorf("cannot cancel orders")
return
}
if source.Compare(price) < 0 {
source = price
}