pivotshort: improve price grouping

config/pivotshort.yaml

@@ -54,6 +54,7 @@ exchangeStrategies:
 
       # minDistance is used to ignore the place that is too near to the current price
       minDistance: 3%
+      groupDistance: 1%
 
       # ratio is the ratio of the resistance price,
       # higher the ratio, lower the price

pkg/strategy/pivotshort/breaklow.go

@@ -106,7 +106,6 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 
 		// we need the price cross the break line or we do nothing
 		if !(openPrice.Compare(breakPrice) > 0 && closePrice.Compare(breakPrice) < 0) {
-			log.Infof("%s kline is not between the break low price %f", kline.Symbol, breakPrice.Float64())
 			return
 		}
 

pkg/strategy/pivotshort/resistance.go

@@ -18,6 +18,7 @@ type ResistanceShort struct {
 	types.IntervalWindow
 
 	MinDistance   fixedpoint.Value `json:"minDistance"`
+	GroupDistance fixedpoint.Value `json:"groupDistance"`
 	NumLayers     int              `json:"numLayers"`
 	LayerSpread   fixedpoint.Value `json:"layerSpread"`
 	Quantity      fixedpoint.Value `json:"quantity"`
@@ -39,6 +40,10 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
 	s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
 	s.activeOrders.BindStream(session.UserDataStream)
 
+	if s.GroupDistance.IsZero() {
+		s.GroupDistance = fixedpoint.NewFromFloat(0.01)
+	}
+
 	store, _ := session.MarketDataStore(s.Symbol)
 
 	s.resistancePivot = &indicator.Pivot{IntervalWindow: s.IntervalWindow}
@@ -65,13 +70,12 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
 
 func (s *ResistanceShort) findNextResistancePriceAndPlaceOrders(closePrice fixedpoint.Value) {
 	// if the close price is still lower than the resistance price, then we don't have to update
-	if closePrice.Compare(s.nextResistancePrice) <= 0 {
+	if closePrice.Compare(s.nextResistancePrice.Mul(one.Add(s.Ratio))) <= 0 {
 		return
 	}
 
 	minDistance := s.MinDistance.Float64()
-	lows := s.resistancePivot.Lows
-	resistancePrices := findPossibleResistancePrices(closePrice.Float64(), minDistance, lows)
+	resistancePrices := findPossibleResistancePrices(closePrice.Float64()*(1.0+minDistance), s.GroupDistance.Float64(), s.resistancePivot.Lows)
 
 	log.Infof("last price: %f, possible resistance prices: %+v", closePrice.Float64(), resistancePrices)
 
@@ -151,51 +155,68 @@ func (s *ResistanceShort) placeResistanceOrders(ctx context.Context, resistanceP
 }
 
 func findPossibleSupportPrices(closePrice float64, minDistance float64, lows []float64) []float64 {
-	// sort float64 in increasing order
-	// lower to higher prices
-	sort.Float64s(lows)
+	return group(lower(lows, closePrice), minDistance)
+}
 
-	var supportPrices []float64
-	var last = closePrice
-	for i := len(lows) - 1; i >= 0; i-- {
-		price := lows[i]
+func lower(arr []float64, x float64) []float64 {
+	sort.Float64s(arr)
 
+	var rst []float64
+	for _, a := range arr {
 		// filter prices that are lower than the current closed price
-		if price > closePrice {
+		if a > x {
 			continue
 		}
 
-		if (price / last) < (1.0 - minDistance) {
+		rst = append(rst, a)
+	}
+
+	return rst
+}
+
+func higher(arr []float64, x float64) []float64 {
+	sort.Float64s(arr)
+
+	var rst []float64
+	for _, a := range arr {
+		// filter prices that are lower than the current closed price
+		if a < x {
 			continue
 		}
-
-		supportPrices = append(supportPrices, price)
-		last = price
+		rst = append(rst, a)
 	}
 
-	return supportPrices
+	return rst
+}
+
+func group(arr []float64, minDistance float64) []float64 {
+	var groups []float64
+	var grp = []float64{arr[0]}
+	for _, price := range arr {
+		avg := average(grp)
+		if (price / avg) > (1.0 + minDistance) {
+			groups = append(groups, avg)
+			grp = []float64{price}
+		} else {
+			grp = append(grp, price)
+		}
+	}
+
+	if len(grp) > 0 {
+		groups = append(groups, average(grp))
+	}
+
+	return groups
 }
 
 func findPossibleResistancePrices(closePrice float64, minDistance float64, lows []float64) []float64 {
-	// sort float64 in increasing order
-	// lower to higher prices
-	sort.Float64s(lows)
-
-	var resistancePrices []float64
-	var last = closePrice
-	for _, price := range lows {
-		// filter prices that are lower than the current closed price
-		if price < closePrice {
-			continue
-		}
-
-		if (price / last) < (1.0 + minDistance) {
-			continue
-		}
-
-		resistancePrices = append(resistancePrices, price)
-		last = price
-	}
-
-	return resistancePrices
+	return group(higher(lows, closePrice), minDistance)
+}
+
+func average(arr []float64) float64 {
+	s := 0.0
+	for _, a := range arr {
+		s += a
+	}
+	return s / float64(len(arr))
 }

pkg/strategy/pivotshort/resistance_test.go

@@ -0,0 +1,28 @@
+package pivotshort
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+)
+
+func Test_findPossibleResistancePrices(t *testing.T) {
+	prices := findPossibleResistancePrices(19000.0, 0.01, []float64{
+		23020.0,
+		23040.0,
+		23060.0,
+
+		24020.0,
+		24040.0,
+		24060.0,
+	})
+	assert.Equal(t, []float64{23035, 24040}, prices)
+
+
+	prices = findPossibleResistancePrices(19000.0, 0.01, []float64{
+		23020.0,
+		23040.0,
+		23060.0,
+	})
+	assert.Equal(t, []float64{23035}, prices)
+}