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bbgo: add partial close option to stop loss and take profit
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parent
54782e763b
commit
1ea52e03c6
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@ -3,14 +3,23 @@ package bbgo
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import (
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"context"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type RoiStopLoss struct {
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Symbol string
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// Percentage is the ROI loss percentage
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// 1% means when you loss 1% and it will close the position
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Percentage fixedpoint.Value `json:"percentage"`
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// Partial is a percentage of the position to be closed
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// 50% means you will close halt the position
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Partial fixedpoint.Value `json:"partial,omitempty"`
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session *ExchangeSession
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orderExecutor *GeneralOrderExecutor
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}
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@ -47,10 +56,25 @@ func (s *RoiStopLoss) checkStopPrice(closePrice fixedpoint.Value, position *type
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roi := position.ROI(closePrice)
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// logrus.Debugf("ROIStopLoss: price=%f roi=%s stop=%s", closePrice.Float64(), roi.Percentage(), s.Percentage.Neg().Percentage())
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if roi.Compare(s.Percentage.Neg()) < 0 {
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// stop loss
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Notify("[RoiStopLoss] %s stop loss triggered by ROI %s/%s, price: %f", position.Symbol, roi.Percentage(), s.Percentage.Neg().Percentage(), closePrice.Float64())
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_ = s.orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "roiStopLoss")
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if roi.Compare(s.Percentage.Neg()) > 0 {
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return
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}
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// default to close the whole position
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percent := one
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if !s.Partial.IsZero() {
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percent = s.Partial
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}
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Notify("[RoiStopLoss] %s stop loss triggered by ROI %s/%s, price: %f, closing: %s",
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position.Symbol,
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roi.Percentage(),
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s.Percentage.Neg().Percentage(),
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closePrice.Float64(),
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percent.Percentage())
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if err := s.orderExecutor.ClosePosition(context.Background(), percent, "roiStopLoss"); err != nil {
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log.WithError(err).Error("failed to close position")
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}
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}
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@ -3,6 +3,8 @@ package bbgo
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import (
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"context"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -12,6 +14,10 @@ type RoiTakeProfit struct {
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Symbol string `json:"symbol"`
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Percentage fixedpoint.Value `json:"percentage"`
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// Partial is a percentage of the position to be closed
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// 50% means you will close halt the position
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Partial fixedpoint.Value `json:"partial,omitempty"`
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session *ExchangeSession
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orderExecutor *GeneralOrderExecutor
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}
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@ -33,11 +39,26 @@ func (s *RoiTakeProfit) Bind(session *ExchangeSession, orderExecutor *GeneralOrd
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}
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roi := position.ROI(closePrice)
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if roi.Compare(s.Percentage) >= 0 {
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// stop loss
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Notify("[RoiTakeProfit] %s take profit is triggered by ROI %s/%s, price: %f", position.Symbol, roi.Percentage(), s.Percentage.Percentage(), kline.Close.Float64())
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_ = orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "roiTakeProfit")
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if roi.Compare(s.Percentage) < 0 {
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return
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}
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// default to close the whole position
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percent := one
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if !s.Partial.IsZero() {
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percent = s.Partial
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}
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// stop loss
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Notify("[RoiTakeProfit] %s take profit is triggered by ROI %s/%s, price: %f, closing: %s",
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position.Symbol,
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roi.Percentage(),
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s.Percentage.Percentage(),
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kline.Close.Float64(),
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percent.Percentage())
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if err := orderExecutor.ClosePosition(context.Background(), percent, "roiTakeProfit"); err != nil {
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log.WithError(err).Error("failed to close position")
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}
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}))
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}
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