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add submit order tag

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c9s 2022-06-27 18:17:57 +08:00
parent 2953518af9
commit 2784408b8b
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6 changed files with 23 additions and 11 deletions
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5
pkg/bbgo/order_executor_general.go
View File

@ -2,6 +2,7 @@ package bbgo
import (
"context"
"strings"
log "github.com/sirupsen/logrus"
@ -117,12 +118,14 @@ func (e *GeneralOrderExecutor) GracefulCancel(ctx context.Context) error {
return nil
}
func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fixedpoint.Value, tags ...string) error {
submitOrder := e.position.NewMarketCloseOrder(percentage)
if submitOrder == nil {
return nil
}
submitOrder.Tag = strings.Join(tags, ",")
_, err := e.SubmitOrders(ctx, *submitOrder)
return err
}

3
pkg/strategy/pivotshort/protection_stop.go
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@ -58,6 +58,7 @@ func (s *ProtectionStopLoss) placeStopOrder(ctx context.Context, position *types
Price: s.stopLossPrice.Mul(one.Add(fixedpoint.NewFromFloat(0.005))), // +0.5% from the trigger price, slippage protection
StopPrice: s.stopLossPrice,
Market: position.Market,
Tag: "protectionStopLoss",
})
if len(createdOrders) > 0 {
@ -174,7 +175,7 @@ func (s *ProtectionStopLoss) checkStopPrice(closePrice fixedpoint.Value, positio
if s.shouldStop(closePrice) {
log.Infof("[ProtectionStopLoss] protection stop order is triggered at price %f, position = %+v", closePrice.Float64(), position)
if err := s.orderExecutor.ClosePosition(context.Background(), one); err != nil {
if err := s.orderExecutor.ClosePosition(context.Background(), one, "protectionStopLoss"); err != nil {
log.WithError(err).Errorf("failed to close position")
}
}

2
pkg/strategy/pivotshort/roi_stop.go
View File

@ -48,7 +48,7 @@ func (s *RoiStopLoss) checkStopPrice(closePrice fixedpoint.Value, position *type
if roi.Compare(s.Percentage.Neg()) < 0 {
// stop loss
bbgo.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)
_ = s.orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "roiStopLoss")
return
}
}

2
pkg/strategy/pivotshort/roi_take_profit.go
View File

@ -34,7 +34,7 @@ func (s *RoiTakeProfit) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.
if roi.Compare(s.Percentage) > 0 {
// stop loss
bbgo.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)
_ = orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "roiTakeProfit")
return
}
})

18
pkg/strategy/pivotshort/strategy.go
View File

@ -282,8 +282,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
isPositionOpened := !s.Position.IsClosed() && !s.Position.IsDust(kline.Close)
if isPositionOpened && s.Position.IsShort() {
if !s.Position.IsClosed() && !s.Position.IsDust(kline.Close) {
return
}
@ -299,6 +298,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.pivotLowPrices = s.pivotLowPrices[len(s.pivotLowPrices)-10:]
}
// stop EMA protection
if s.stopEWMA != nil && !s.BreakLow.StopEMARange.IsZero() {
ema := fixedpoint.NewFromFloat(s.stopEWMA.Last())
if ema.IsZero() {
@ -319,11 +319,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
if !s.Position.IsClosed() && !s.Position.IsDust(kline.Close) {
// s.Notify("skip opening %s position, which is not closed", s.Symbol, s.Position)
return
}
_ = s.orderExecutor.GracefulCancel(ctx)
quantity := s.useQuantityOrBaseBalance(s.BreakLow.Quantity)
@ -332,6 +327,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.placeMarketSell(ctx, quantity)
} else {
sellPrice := kline.Close.Mul(fixedpoint.One.Add(s.BreakLow.BounceRatio))
bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting limit sell @ %f", s.Symbol, kline.Close.Float64(), previousLow.Float64(), s.BreakLow.Ratio.Float64(), sellPrice.Float64())
s.placeLimitSell(ctx, sellPrice, quantity)
}
})
@ -370,6 +367,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
})
if !bbgo.IsBackTesting {
// use market trade to submit short order
session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
})
}
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
// StrategyController
if s.Status != types.StrategyStatusRunning {

4
pkg/types/order.go
View File

@ -132,6 +132,8 @@ type SubmitOrder struct {
IsFutures bool `json:"is_futures" db:"is_futures"`
ReduceOnly bool `json:"reduceOnly" db:"reduce_only"`
ClosePosition bool `json:"closePosition" db:"close_position"`
Tag string `json:"tag" db:"-"`
}
func (o *SubmitOrder) String() string {
@ -229,6 +231,7 @@ func (o Order) CsvHeader() []string {
"quantity",
"creation_time",
"update_time",
"tag",
}
}
@ -244,6 +247,7 @@ func (o Order) CsvRecords() [][]string {
o.Quantity.String(),
o.CreationTime.Time().Format(time.RFC1123),
o.UpdateTime.Time().Format(time.RFC1123),
o.Tag,
},
}
}