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bbgo: add partial close option to stop loss and take profit

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c9s 2022-09-14 13:09:58 +08:00
parent 54782e763b
commit 1ea52e03c6
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2 changed files with 54 additions and 9 deletions
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32
pkg/bbgo/exit_roi_stop_loss.go
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@ -3,14 +3,23 @@ package bbgo
import (
"context"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
type RoiStopLoss struct {
Symbol string
// Percentage is the ROI loss percentage
// 1% means when you loss 1% and it will close the position
Percentage fixedpoint.Value `json:"percentage"`
// Partial is a percentage of the position to be closed
// 50% means you will close halt the position
Partial fixedpoint.Value `json:"partial,omitempty"`
session *ExchangeSession
orderExecutor *GeneralOrderExecutor
}
@ -47,10 +56,25 @@ func (s *RoiStopLoss) checkStopPrice(closePrice fixedpoint.Value, position *type
roi := position.ROI(closePrice)
// logrus.Debugf("ROIStopLoss: price=%f roi=%s stop=%s", closePrice.Float64(), roi.Percentage(), s.Percentage.Neg().Percentage())
if roi.Compare(s.Percentage.Neg()) < 0 {
// stop loss
Notify("[RoiStopLoss] %s stop loss triggered by ROI %s/%s, price: %f", position.Symbol, roi.Percentage(), s.Percentage.Neg().Percentage(), closePrice.Float64())
_ = s.orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "roiStopLoss")
if roi.Compare(s.Percentage.Neg()) > 0 {
return
}
// default to close the whole position
percent := one
if !s.Partial.IsZero() {
percent = s.Partial
}
Notify("[RoiStopLoss] %s stop loss triggered by ROI %s/%s, price: %f, closing: %s",
position.Symbol,
roi.Percentage(),
s.Percentage.Neg().Percentage(),
closePrice.Float64(),
percent.Percentage())
if err := s.orderExecutor.ClosePosition(context.Background(), percent, "roiStopLoss"); err != nil {
log.WithError(err).Error("failed to close position")
}
}

29
pkg/bbgo/exit_roi_take_profit.go
View File

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