mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 00:01:09 +00:00
fix: date parsing in tradingview, feature: enforce trailingstop in drift, add rebalance prototype
This commit is contained in:
zenix
parent
53d4f21c30
commit
214e7259ed
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@ -71,7 +71,7 @@ const parseOrder = () => {
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case "update_time":
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case "creation_time":
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case "time":
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d[key] = new Date(d[key]);
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d[key] = moment(d[key], 'dddd, DD MMM YYYY h:mm:ss').toDate();
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break;
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}
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}
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@ -28,14 +28,21 @@ exchangeStrategies:
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takeProfitFactor: 6
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profitFactorWindow: 8
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noTrailingStopLoss: false
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trailingStopLossType: kline
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# stddev on high/low-source
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hlVarianceMultiplier: 0.22
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hlVarianceMultiplier: 0.23
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hlRangeWindow: 5
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smootherWindow: 1
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fisherTransformWindow: 9
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atrWindow: 14
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# orders not been traded will be canceled after `pendingMinutes` minutes
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pendingMinutes: 5
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pendingMinutes: 4
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noRebalance: true
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trendWindow: 12
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rebalanceFilter: 1.5
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trailingActivationRatio: [0.008, 0.015]
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trailingCallbackRate: [0.002, 0.001]
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generateGraph: true
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graphPNLDeductFee: true
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@ -17,7 +17,7 @@ exchangeStrategies:
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- on: binance
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drift:
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canvasPath: "./output.png"
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symbol: BTCBUSD
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symbol: BTCUSDT
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# kline interval for indicators
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interval: 15m
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window: 2
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@ -25,17 +25,28 @@ exchangeStrategies:
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source: close
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predictOffset: 2
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noTrailingStopLoss: false
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trailingStopLossType: kline
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# stddev on high/low-source
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hlVarianceMultiplier: 0.27
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hlVarianceMultiplier: 0.23
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hlRangeWindow: 5
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smootherWindow: 1
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fisherTransformWindow: 9
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# the init value of takeProfitFactor Series, the coefficient of ATR as TP
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takeProfitFactor: 8
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profitFactorWindow: 8
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atrWindow: 14
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takeProfitFactor: 1.2
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profitFactorWindow: 5
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atrWindow: 12
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# orders not been traded will be canceled after `pendingMinutes` minutes
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pendingMinutes: 5
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pendingMinutes: 3
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noRebalance: true
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trendWindow: 12
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rebalanceFilter: 3
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# ActivationRatio should be increasing order
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# when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
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#trailingActivationRatio: [0.007, 0.015, 0.02, 0.05]
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trailingActivationRatio: [0.007, 0.011]
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#trailingCallbackRate: [0.005, 0.003, 0.002, 0.001]
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trailingCallbackRate: [0.002, 0.001]
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generateGraph: true
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graphPNLDeductFee: true
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@ -95,13 +106,13 @@ sync:
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sessions:
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- binance
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symbols:
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- BTCBUSD
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- BTCUSDT
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backtest:
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startTime: "2022-01-01"
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endTime: "2022-07-30"
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endTime: "2022-07-26"
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symbols:
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- BTCBUSD
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- BTCUSDT
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sessions: [binance]
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accounts:
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binance:
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@ -109,4 +120,4 @@ backtest:
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takerFeeRate: 0.00075
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balances:
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BTC: 1
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BUSD: 50000.0
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USDT: 5000.0
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@ -54,16 +54,22 @@ type Strategy struct {
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*types.ProfitStats `persistence:"profit_stats"`
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*types.TradeStats `persistence:"trade_stats"`
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p *types.Position
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trendLine types.UpdatableSeriesExtend
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ma types.UpdatableSeriesExtend
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stdevHigh *indicator.StdDev
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stdevLow *indicator.StdDev
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drift *DriftMA
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drift1m *indicator.Drift
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atr *indicator.ATR
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midPrice fixedpoint.Value
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lock sync.RWMutex
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minutesCounter int
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orderPendingCounter map[uint64]int
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beta float64
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// This stores the maximum TP coefficient of ATR multiplier of each entry point
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takeProfitFactor types.UpdatableSeriesExtend
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@ -75,16 +81,22 @@ type Strategy struct {
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PredictOffset int `json:"predictOffset"`
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HighLowVarianceMultiplier float64 `json:"hlVarianceMultiplier"`
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NoTrailingStopLoss bool `json:"noTrailingStopLoss"`
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TrailingStopLossType string `json:"trailingStopLossType"` // trailing stop sources. Possible options are `kline` for 1m kline and `realtime` from order updates
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HLRangeWindow int `json:"hlRangeWindow"`
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SmootherWindow int `json:"smootherWindow"`
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FisherTransformWindow int `json:"fisherTransformWindow"`
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ATRWindow int `json:"atrWindow"`
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PendingMinutes int `json:"pendingMinutes"`
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PendingMinutes int `json:"pendingMinutes"` // if order not be traded for pendingMinutes of time, cancel it.
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NoRebalance bool `json:"noRebalance"` // disable rebalance
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TrendWindow int `json:"trendWindow"` // trendLine is used for rebalancing the position. When trendLine goes up, hold base, otherwise hold quote
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RebalanceFilter float64 `json:"rebalanceFilter"` // beta filter on the Linear Regression of trendLine
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TrailingCallbackRate []float64 `json:"trailingCallbackRate"`
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TrailingActivationRatio []float64 `josn:"trailingActivationRatio"`
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buyPrice float64
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sellPrice float64
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highestPrice float64
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lowestPrice float64
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buyPrice float64 `persistence:"buy_price"`
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sellPrice float64 `persistence:"sell_price"`
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highestPrice float64 `persistence:"highest_price"`
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lowestPrice float64 `persistence:"lowest_price"`
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// This is not related to trade but for statistics graph generation
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// Will deduct fee in percentage from every trade
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@ -122,12 +134,18 @@ func (s *Strategy) Print(o *os.File) {
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hiyellow(f, "interval: %s\n", s.Interval)
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hiyellow(f, "window: %d\n", s.Window)
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hiyellow(f, "noTrailingStopLoss: %v\n", s.NoTrailingStopLoss)
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hiyellow(f, "trailingStopLossType: %s\n", s.TrailingStopLossType)
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hiyellow(f, "hlVarianceMutiplier: %f\n", s.HighLowVarianceMultiplier)
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hiyellow(f, "hlRangeWindow: %d\n", s.HLRangeWindow)
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hiyellow(f, "smootherWindow: %d\n", s.SmootherWindow)
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hiyellow(f, "fisherTransformWindow: %d\n", s.FisherTransformWindow)
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hiyellow(f, "atrWindow: %d\n", s.ATRWindow)
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hiyellow(f, "pendingMinutes: %d\n", s.PendingMinutes)
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hiyellow(f, "noRebalance: %v\n", s.NoRebalance)
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hiyellow(f, "\ttrendWindow: %d\n", s.TrendWindow)
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hiyellow(f, "\trebalanceFilter: %f\n", s.RebalanceFilter)
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hiyellow(f, "trailingActivationRatio: %v\n", s.TrailingActivationRatio)
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hiyellow(f, "trailingCallbackRate: %v\n", s.TrailingCallbackRate)
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hiyellow(f, "\n")
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}
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@ -136,7 +154,7 @@ func (s *Strategy) ID() string {
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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return fmt.Sprintf("%s:%s:%v", ID, s.Symbol, bbgo.IsBackTesting)
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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@ -158,13 +176,13 @@ func (s *Strategy) CurrentPosition() *types.Position {
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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order := s.Position.NewMarketCloseOrder(percentage)
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order := s.p.NewMarketCloseOrder(percentage)
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if order == nil {
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return nil
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}
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order.Tag = "close"
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order.TimeInForce = ""
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balances := s.Session.GetAccount().Balances()
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balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
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baseBalance := balances[s.Market.BaseCurrency].Available
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price := s.getLastPrice()
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if order.Side == types.SideTypeBuy {
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@ -282,8 +300,14 @@ func (s *Strategy) initIndicators() error {
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},
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}
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s.drift.SeriesBase.Series = s.drift
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s.drift1m = &indicator.Drift{
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MA: &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: types.Interval1m, Window: 2}},
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IntervalWindow: types.IntervalWindow{Interval: types.Interval1m, Window: 2},
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}
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s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.ATRWindow}}
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s.takeProfitFactor = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.ProfitFactorWindow}}
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s.trendLine = &indicator.EWMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.TrendWindow}}
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for i := 0; i < s.ProfitFactorWindow; i++ {
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s.takeProfitFactor.Update(s.TakeProfitFactor)
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}
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@ -301,8 +325,17 @@ func (s *Strategy) initIndicators() error {
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s.stdevHigh.Update(high - s.ma.Last())
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s.stdevLow.Update(s.ma.Last() - low)
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s.drift.Update(source)
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s.trendLine.Update(source)
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s.atr.PushK(kline)
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}
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klines, ok = store.KLinesOfInterval(types.Interval1m)
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if !ok {
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return errors.New("klines not exists")
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}
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for _, kline := range *klines {
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source := s.getSource(&kline).Float64()
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s.drift1m.Update(source)
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}
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return nil
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}
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@ -343,6 +376,31 @@ func (s *Strategy) smartCancel(ctx context.Context, pricef, atr, takeProfitFacto
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return len(nonTraded), nil
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}
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func (s *Strategy) trailingCheck(price float64, direction string) bool {
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avg := s.buyPrice + s.sellPrice
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if s.highestPrice > 0 && s.highestPrice < price {
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s.highestPrice = price
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}
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if s.lowestPrice > 0 && s.lowestPrice > price {
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s.lowestPrice = price
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}
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isShort := direction == "short"
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for i := len(s.TrailingCallbackRate) - 1; i >= 0; i-- {
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trailingCallbackRate := s.TrailingCallbackRate[i]
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trailingActivationRatio := s.TrailingActivationRatio[i]
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if isShort {
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if (avg-s.lowestPrice)/s.lowestPrice > trailingActivationRatio {
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return (price-s.lowestPrice)/s.lowestPrice > trailingCallbackRate
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}
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} else {
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if (s.highestPrice-avg)/avg > trailingActivationRatio {
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return (s.highestPrice-price)/price > trailingCallbackRate
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}
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}
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}
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return false
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}
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func (s *Strategy) initTickerFunctions(ctx context.Context) {
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if s.IsBackTesting() {
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s.getLastPrice = func() fixedpoint.Value {
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@ -375,7 +433,7 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
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defer s.lock.Unlock()
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// for trailing stoploss during the realtime
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if s.NoTrailingStopLoss {
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if s.NoTrailingStopLoss || s.TrailingStopLossType == "kline" {
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return
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}
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@ -400,11 +458,11 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
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avg = s.buyPrice + s.sellPrice
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exitShortCondition := ( /*avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef || (ddrift > 0 && drift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef ||
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((pricef-s.lowestPrice)/s.lowestPrice > 0.003 && (avg-s.lowestPrice)/s.lowestPrice > 0.015)) &&
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(s.Position.IsShort() && !s.Position.IsDust(price))
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s.trailingCheck(pricef, "short")) &&
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(s.p.IsShort() && !s.p.IsDust(price))
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exitLongCondition := ( /*avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef || (ddrift < 0 && drift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef ||
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((s.highestPrice-pricef)/pricef > 0.003 && (s.highestPrice-avg)/avg > 0.015)) &&
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(!s.Position.IsLong() && !s.Position.IsDust(price))
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s.trailingCheck(pricef, "long")) &&
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(!s.p.IsLong() && !s.p.IsDust(price))
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if exitShortCondition || exitLongCondition {
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if exitLongCondition && s.highestPrice > avg {
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s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 4)
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@ -495,11 +553,115 @@ func (s *Strategy) Draw(time types.Time, priceLine types.SeriesExtend, profit ty
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}
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}
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// Sending new rebalance orders cost too much.
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// Modify the position instead to expect the strategy itself rebalance on Close
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func (s *Strategy) Rebalance(ctx context.Context, orderTagHistory map[uint64]string) {
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price := s.getLastPrice()
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_, beta := types.LinearRegression(s.trendLine, 3)
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if math.Abs(beta) > s.RebalanceFilter && math.Abs(s.beta) > s.RebalanceFilter || math.Abs(s.beta) < s.RebalanceFilter && math.Abs(beta) < s.RebalanceFilter {
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return
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}
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balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
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baseBalance := balances[s.Market.BaseCurrency].Total()
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quoteBalance := balances[s.Market.QuoteCurrency].Total()
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total := baseBalance.Add(quoteBalance.Div(price))
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percentage := fixedpoint.One.Sub(Delta)
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log.Infof("rebalance beta %f %v", beta, s.p)
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if beta > s.RebalanceFilter {
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if total.Mul(percentage).Compare(baseBalance) > 0 {
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q := total.Mul(percentage).Sub(baseBalance)
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s.p.Lock()
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defer s.p.Unlock()
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s.p.Base = q.Neg()
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s.p.Quote = q.Mul(price)
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s.p.AverageCost = price
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}
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/*if total.Mul(percentage).Compare(baseBalance) > 0 {
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q := total.Mul(percentage).Sub(baseBalance)
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if s.Market.IsDustQuantity(q, price) {
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return
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}
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err := s.GeneralOrderExecutor.GracefulCancel(ctx)
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if err != nil {
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panic(fmt.Sprintf("%s", err))
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}
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orders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeMarket,
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Price: price,
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Quantity: q,
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Tag: "rebalance",
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})
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if err == nil {
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orderTagHistory[orders[0].OrderID] = "rebalance"
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} else {
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log.WithError(err).Errorf("rebalance %v %v %v %v", total, q, balances[s.Market.QuoteCurrency].Available, quoteBalance)
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}
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}*/
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} else if beta <= -s.RebalanceFilter {
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if total.Mul(percentage).Compare(quoteBalance.Div(price)) > 0 {
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q := total.Mul(percentage).Sub(quoteBalance.Div(price))
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s.p.Lock()
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defer s.p.Unlock()
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s.p.Base = q
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s.p.Quote = q.Mul(price).Neg()
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s.p.AverageCost = price
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}
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/*if total.Mul(percentage).Compare(quoteBalance.Div(price)) > 0 {
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q := total.Mul(percentage).Sub(quoteBalance.Div(price))
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if s.Market.IsDustQuantity(q, price) {
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return
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}
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err := s.GeneralOrderExecutor.GracefulCancel(ctx)
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if err != nil {
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panic(fmt.Sprintf("%s", err))
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}
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orders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeMarket,
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Price: price,
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Quantity: q,
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Tag: "rebalance",
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})
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if err == nil {
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orderTagHistory[orders[0].OrderID] = "rebalance"
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} else {
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log.WithError(err).Errorf("rebalance %v %v %v %v", total, q, balances[s.Market.BaseCurrency].Available, baseBalance)
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}
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}*/
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} else {
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if total.Div(Two).Compare(quoteBalance.Div(price)) > 0 {
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q := total.Div(Two).Sub(quoteBalance.Div(price))
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s.p.Lock()
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defer s.p.Unlock()
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s.p.Base = q
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s.p.Quote = q.Mul(price).Neg()
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s.p.AverageCost = price
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} else if total.Div(Two).Compare(baseBalance) > 0 {
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q := total.Div(Two).Sub(baseBalance)
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s.p.Lock()
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defer s.p.Unlock()
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s.p.Base = q.Neg()
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s.p.Quote = q.Mul(price)
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s.p.AverageCost = price
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} else {
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s.p.Lock()
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defer s.p.Unlock()
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s.p.Reset()
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}
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}
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log.Infof("rebalanceafter %v %v %v", baseBalance, quoteBalance, s.p)
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s.beta = beta
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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instanceID := s.InstanceID()
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// Will be set by persistence if there's any from DB
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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s.p = types.NewPositionFromMarket(s.Market)
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}
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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@ -547,8 +709,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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profit := types.Float64Slice{}
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cumProfit := types.Float64Slice{1.}
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orderTagHistory := make(map[uint64]string)
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s.buyPrice = 0
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s.sellPrice = 0
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||||
s.Session.UserDataStream.OnOrderUpdate(func(order types.Order) {
|
||||
orderTagHistory[order.OrderID] = order.Tag
|
||||
})
|
||||
|
|
@ -561,6 +721,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
}
|
||||
}
|
||||
s.Session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
|
||||
s.p.AddTrade(trade)
|
||||
tag, ok := orderTagHistory[trade.OrderID]
|
||||
if !ok {
|
||||
panic(fmt.Sprintf("cannot find order: %v", trade))
|
||||
|
|
@ -598,7 +759,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
panic("buyprice shouldn't be zero")
|
||||
}
|
||||
} else {
|
||||
panic("no price available")
|
||||
// position changed by strategy
|
||||
if trade.Side == types.SideTypeBuy {
|
||||
buyPrice = trade.Price
|
||||
Volume = Volume.Add(trade.Quantity)
|
||||
} else if trade.Side == types.SideTypeSell {
|
||||
sellPrice = trade.Price
|
||||
Volume = Volume.Sub(trade.Quantity)
|
||||
}
|
||||
}
|
||||
} else if tag == "short" {
|
||||
if buyPrice.IsZero() {
|
||||
|
|
@ -630,6 +798,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
Volume = fixedpoint.Zero
|
||||
}
|
||||
Volume = Volume.Add(trade.Quantity)
|
||||
} else if tag == "rebalance" {
|
||||
if sellPrice.IsZero() {
|
||||
profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
|
||||
} else {
|
||||
profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
|
||||
}
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
sellPrice = fixedpoint.Zero
|
||||
buyPrice = fixedpoint.Zero
|
||||
Volume = fixedpoint.Zero
|
||||
s.p.Lock()
|
||||
defer s.p.Unlock()
|
||||
s.p.Reset()
|
||||
}
|
||||
s.buyPrice = buyPrice.Float64()
|
||||
s.highestPrice = s.buyPrice
|
||||
|
|
@ -647,6 +828,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
priceLine := types.NewQueue(300)
|
||||
zeroPoints := types.NewQueue(300)
|
||||
stoploss := s.StopLoss.Float64()
|
||||
// default value: use 1m kline
|
||||
if !s.NoTrailingStopLoss && s.IsBackTesting() || s.TrailingStopLossType == "" {
|
||||
s.TrailingStopLossType = "kline"
|
||||
}
|
||||
|
||||
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
||||
if s.Status != types.StrategyStatusRunning {
|
||||
|
|
@ -662,8 +847,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
return
|
||||
}
|
||||
if kline.Interval == types.Interval1m {
|
||||
s.drift1m.Update(s.getSource(&kline).Float64())
|
||||
s.minutesCounter += 1
|
||||
if s.NoTrailingStopLoss || !s.IsBackTesting() {
|
||||
if s.NoTrailingStopLoss || s.TrailingStopLossType == "realtime" {
|
||||
return
|
||||
}
|
||||
// for doing the trailing stoploss during backtesting
|
||||
|
|
@ -691,12 +877,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.highestPrice = highf
|
||||
}
|
||||
avg := s.buyPrice + s.sellPrice
|
||||
stoploss = s.StopLoss.Float64()
|
||||
|
||||
exitShortCondition := ( /*avg+atr/2 <= highf || avg*(1.+stoploss) <= pricef || (drift > 0 && ddrift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef ||
|
||||
((highf-s.lowestPrice)/s.lowestPrice > 0.003 && (avg-s.lowestPrice)/s.lowestPrice > 0.015)) &&
|
||||
exitShortCondition := ( /*avg+atr/2 <= highf || avg*(1.+stoploss) <= pricef || (drift > 0 || ddrift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef ||
|
||||
s.trailingCheck(highf, "short")) &&
|
||||
(s.Position.IsShort() && !s.Position.IsDust(price))
|
||||
exitLongCondition := ( /*avg-atr/2 >= lowf || avg*(1.-stoploss) >= pricef || (drift < 0 && ddrift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef ||
|
||||
((s.highestPrice-lowf)/lowf > 0.003 && (s.highestPrice-avg)/avg > 0.015)) &&
|
||||
exitLongCondition := ( /*avg-atr/2 >= lowf || avg*(1.-stoploss) >= pricef || (drift < 0 || ddrift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef ||
|
||||
s.trailingCheck(lowf, "long")) &&
|
||||
(s.Position.IsLong() && !s.Position.IsDust(price))
|
||||
if exitShortCondition || exitLongCondition {
|
||||
if exitLongCondition && s.highestPrice > avg {
|
||||
|
|
@ -714,7 +901,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
sourcef := source.Float64()
|
||||
priceLine.Update(sourcef)
|
||||
s.ma.Update(sourcef)
|
||||
s.trendLine.Update(sourcef)
|
||||
s.drift.Update(sourcef)
|
||||
|
||||
zeroPoint := s.drift.ZeroPoint()
|
||||
zeroPoints.Update(zeroPoint)
|
||||
s.atr.PushK(kline)
|
||||
|
|
@ -740,26 +929,32 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
avg := s.buyPrice + s.sellPrice
|
||||
takeProfitFactor := s.takeProfitFactor.Predict(2)
|
||||
|
||||
if !s.NoRebalance {
|
||||
s.Rebalance(ctx, orderTagHistory)
|
||||
}
|
||||
|
||||
if !s.IsBackTesting() {
|
||||
balances := s.Session.GetAccount().Balances()
|
||||
balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
|
||||
bbgo.Notify("zeroPoint: %.4f, source: %.4f, price: %.4f, driftPred: %.4f, drift: %.4f, drift[1]: %.4f, atr: %.4f, avg: %.4f",
|
||||
zeroPoint, sourcef, pricef, driftPred, drift[0], drift[1], atr, avg)
|
||||
// Notify will parse args to strings and process separately
|
||||
bbgo.Notify("balances: [Base] %s [Quote] %s", balances[s.Market.BaseCurrency].String(), balances[s.Market.QuoteCurrency].String())
|
||||
}
|
||||
|
||||
drift1m := s.drift1m.Predict(3)
|
||||
|
||||
shortCondition := (drift[1] >= DriftFilterNeg || ddrift[1] >= 0) && (driftPred <= DDriftFilterNeg || ddriftPred <= 0)
|
||||
longCondition := (drift[1] <= DriftFilterPos || ddrift[1] <= 0) && (driftPred >= DDriftFilterPos || ddriftPred >= 0)
|
||||
exitShortCondition := ((drift[0] >= DriftFilterPos && ddrift[0] >= 0) ||
|
||||
exitShortCondition := ((drift[0] >= DDriftFilterPos || ddrift[0] >= 0) && drift1m > 0 ||
|
||||
avg*(1.+stoploss) <= pricef ||
|
||||
avg-atr*takeProfitFactor >= pricef) &&
|
||||
s.Position.IsShort() && !longCondition && !shortCondition
|
||||
exitLongCondition := ((drift[0] <= DriftFilterNeg && ddrift[0] <= 0) ||
|
||||
s.Position.IsShort()
|
||||
exitLongCondition := ((drift[0] <= DDriftFilterNeg || ddrift[0] <= 0) && drift1m < 0 ||
|
||||
avg*(1.-stoploss) >= pricef ||
|
||||
avg+atr*takeProfitFactor <= pricef) &&
|
||||
s.Position.IsLong() && !shortCondition && !longCondition
|
||||
s.Position.IsLong()
|
||||
|
||||
if (exitShortCondition || exitLongCondition) && s.Position.IsOpened(price) {
|
||||
if (exitShortCondition || exitLongCondition) && s.Position.IsOpened(price) && !shortCondition && !longCondition {
|
||||
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
return
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user