pivotshort: fix support take profit method

config/pivotshort.yaml

@@ -47,22 +47,22 @@ exchangeStrategies:
 
     resistanceShort:
       enabled: true
-      interval: 1h
-      window: 8
+      interval: 5m
+      window: 80
 
       quantity: 10.0
 
       # minDistance is used to ignore the place that is too near to the current price
-      minDistance: 3%
+      minDistance: 5%
       groupDistance: 1%
 
       # ratio is the ratio of the resistance price,
-      # higher the ratio, lower the price
-      # first_layer_price = resistance_price * (1 - ratio)
-      # second_layer_price = (resistance_price * (1 - ratio)) * (2 * layerSpread)
-      ratio: 0%
-      numOfLayers: 1
-      layerSpread: 0.1%
+      # higher the ratio, higher the sell price
+      # first_layer_price = resistance_price * (1 + ratio)
+      # second_layer_price = (resistance_price * (1 + ratio)) * (2 * layerSpread)
+      ratio: 1.2%
+      numOfLayers: 3
+      layerSpread: 0.4%
 
     exits:
     # (0) roiStopLoss is the stop loss percentage of the position ROI (currently the price change)

pkg/strategy/pivotshort/math.go

@@ -0,0 +1,66 @@
+package pivotshort
+
+import "sort"
+
+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 a > x {
+			continue
+		}
+
+		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
+		}
+		rst = append(rst, a)
+	}
+
+	return rst
+}
+
+func group(arr []float64, minDistance float64) []float64 {
+	if len(arr) == 0 {
+		return nil
+	}
+
+	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 average(arr []float64) float64 {
+	s := 0.0
+	for _, a := range arr {
+		s += a
+	}
+	return s / float64(len(arr))
+}

pkg/strategy/pivotshort/resistance.go

@@ -2,7 +2,6 @@ package pivotshort
 
 import (
 	"context"
-	"sort"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
@@ -98,6 +97,9 @@ func (s *ResistanceShort) updateNextResistancePrice(closePrice fixedpoint.Value)
 		return true
 	}
 
+	// if the current sell price is out-dated
+	// or
+	// the next resistance is lower than the current one.
 	currentSellPrice := s.currentResistancePrice.Mul(one.Add(s.Ratio))
 	if closePrice.Compare(currentSellPrice) > 0 ||
 		nextResistancePrice.Compare(currentSellPrice) < 0 {
@@ -184,69 +186,6 @@ func findPossibleSupportPrices(closePrice float64, minDistance float64, lows []f
 	return group(lower(lows, closePrice), minDistance)
 }
 
-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 a > x {
-			continue
-		}
-
-		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
-		}
-		rst = append(rst, a)
-	}
-
-	return rst
-}
-
-func group(arr []float64, minDistance float64) []float64 {
-	if len(arr) == 0 {
-		return nil
-	}
-
-	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 {
 	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/strategy.go

@@ -35,16 +35,42 @@ type SupportTakeProfit struct {
 	types.IntervalWindow
 	Ratio fixedpoint.Value `json:"ratio"`
 
-	pivot         *indicator.Pivot
-	orderExecutor *bbgo.GeneralOrderExecutor
-	session       *bbgo.ExchangeSession
-	activeOrders  *bbgo.ActiveOrderBook
+	pivot               *indicator.Pivot
+	orderExecutor       *bbgo.GeneralOrderExecutor
+	session             *bbgo.ExchangeSession
+	activeOrders        *bbgo.ActiveOrderBook
+	currentSupportPrice fixedpoint.Value
 }
 
 func (s *SupportTakeProfit) Subscribe(session *bbgo.ExchangeSession) {
 	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
 }
 
+func (s *SupportTakeProfit) updateSupportPrice(closePrice fixedpoint.Value) bool {
+	supportPrices := findPossibleSupportPrices(closePrice.Float64(), 0.05, s.pivot.Lows)
+
+	if len(supportPrices) == 0 {
+		return false
+	}
+
+	// nextSupportPrice are sorted in decreasing order
+	nextSupportPrice := fixedpoint.NewFromFloat(supportPrices[0])
+	currentBuyPrice := s.currentSupportPrice.Mul(one.Add(s.Ratio))
+
+	if s.currentSupportPrice.IsZero() {
+		s.currentSupportPrice = nextSupportPrice
+		return true
+	}
+
+	// the close price is already lower than the support price, than we should update
+	if closePrice.Compare(currentBuyPrice) < 0 || nextSupportPrice.Compare(s.currentSupportPrice) > 0 {
+		s.currentSupportPrice = nextSupportPrice
+		return true
+	}
+
+	return false
+}
+
 func (s *SupportTakeProfit) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
 	s.session = session
 	s.orderExecutor = orderExecutor
@@ -58,27 +84,23 @@ func (s *SupportTakeProfit) Bind(session *bbgo.ExchangeSession, orderExecutor *b
 	preloadPivot(s.pivot, store)
 
 	session.UserDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
-		supportPrices := findPossibleSupportPrices(kline.Close.Float64(), 0.1, s.pivot.Lows)
-		// supportPrices are sorted in decreasing order
-		if len(supportPrices) == 0 {
-			log.Infof("support prices not found")
-			return
-		}
-
 		if !position.IsOpened(kline.Close) {
 			return
 		}
 
-		nextSupport := fixedpoint.NewFromFloat(supportPrices[0])
-		buyPrice := nextSupport.Mul(one.Add(s.Ratio))
-		quantity := position.GetQuantity()
+		if !s.updateSupportPrice(kline.Close) {
+			return
+		}
 
+		buyPrice := s.currentSupportPrice.Mul(one.Add(s.Ratio))
+		quantity := position.GetQuantity()
 		ctx := context.Background()
 
 		if err := orderExecutor.GracefulCancelActiveOrderBook(ctx, s.activeOrders); err != nil {
 			log.WithError(err).Errorf("cancel order failed")
 		}
 
+		bbgo.Notify("placing %s take profit order at price %f", s.Symbol, buyPrice.Float64())
 		createdOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
 			Symbol:   symbol,
 			Type:     types.OrderTypeLimitMaker,
@@ -112,7 +134,7 @@ type Strategy struct {
 	// ResistanceShort is one of the entry method
 	ResistanceShort *ResistanceShort `json:"resistanceShort"`
 
-	SupportTakeProfit *SupportTakeProfit `json:"supportTakeProfit"`
+	SupportTakeProfit []SupportTakeProfit `json:"supportTakeProfit"`
 
 	ExitMethods bbgo.ExitMethodSet `json:"exits"`
 
@@ -141,9 +163,9 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 		s.BreakLow.Subscribe(session)
 	}
 
-	if s.SupportTakeProfit != nil {
-		dynamic.InheritStructValues(s.SupportTakeProfit, s)
-		s.SupportTakeProfit.Subscribe(session)
+	for i := range s.SupportTakeProfit {
+		dynamic.InheritStructValues(&s.SupportTakeProfit[i], s)
+		s.SupportTakeProfit[i].Subscribe(session)
 	}
 
 	if !bbgo.IsBackTesting {