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pivotshort: improve post order & add margin
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6936503cde
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2aac5bb273
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@ -8,24 +8,29 @@ sessions:
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exchangeStrategies:
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- on: binance
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pivotshort:
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symbol: BTCBUSD
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symbol: GMTUSDT
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interval: 5m
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quantity: 1.0
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pivotLength: 60
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stopLossRatio: 0.8%
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catBounceRatio: 3%
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numLayers: 5
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pivotLength: 120
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stopLossRatio: 0.5%
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takeProfitRatio: 13%
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shadowTPRatio: 2%
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catBounceRatio: 1%
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quantity: 1200
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numLayers: 4
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# marginOrderSideEffect: borrow
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backtest:
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sessions:
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- binance
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startTime: "2022-01-01"
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endTime: "2022-05-10"
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startTime: "2022-04-01"
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endTime: "2022-06-03"
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symbols:
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- BTCBUSD
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- GMTUSDT
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account:
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binance:
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balances:
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BTC: 1.0
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BUSD: 40_000.0
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GMT: 5_000.0
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USDT: 5_000.0
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@ -13,10 +13,6 @@ import (
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const ID = "pivotshort"
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var fifteen = fixedpoint.NewFromInt(15)
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var three = fixedpoint.NewFromInt(3)
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var two = fixedpoint.NewFromInt(2)
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var log = logrus.WithField("strategy", ID)
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func init() {
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@ -32,21 +28,24 @@ type Strategy struct {
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*bbgo.Notifiability
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*bbgo.Persistence
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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Market types.Market
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Interval types.Interval `json:"interval"`
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Quantity fixedpoint.Value `json:"quantity"`
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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Market types.Market
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Interval types.Interval `json:"interval"`
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Quantity fixedpoint.Value `json:"quantity"`
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TotalQuantity fixedpoint.Value `json:"totalQuantity"`
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// persistence fields
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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PivotLength int `json:"pivotLength"`
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StopLossRatio fixedpoint.Value `json:"stopLossRatio"`
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CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
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NumLayers fixedpoint.Value `json:"numLayers"`
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ShadowTPRatio fixedpoint.Value `json:"shadowTPRatio"`
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PivotLength int `json:"pivotLength"`
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StopLossRatio fixedpoint.Value `json:"stopLossRatio"`
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TakeProfitRatio fixedpoint.Value `json:"takeProfitRatio"`
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CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
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NumLayers fixedpoint.Value `json:"numLayers"`
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ShadowTPRatio fixedpoint.Value `json:"shadowTPRatio"`
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MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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activeMakerOrders *bbgo.LocalActiveOrderBook
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orderStore *bbgo.OrderStore
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@ -78,6 +77,10 @@ func (s *Strategy) placeOrder(ctx context.Context, price fixedpoint.Value, qty f
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Price: price,
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Quantity: qty,
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}
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if s.session.Margin {
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submitOrder.MarginSideEffect = s.MarginOrderSideEffect
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place orders")
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@ -197,32 +200,33 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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var lastLow fixedpoint.Value
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futuresMode := s.session.Futures || s.session.IsolatedFutures
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d := s.CatBounceRatio.Div(s.NumLayers)
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q := s.Quantity.Div(s.NumLayers)
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log.Info(futuresMode)
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q := s.Quantity
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if !s.TotalQuantity.IsZero() {
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q = s.TotalQuantity.Div(s.NumLayers)
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}
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var pivotBuffer []fixedpoint.Value
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
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return
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}
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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if s.pivot.LastLow() > 0. {
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log.Info(s.pivot.LastLow(), kline.EndTime)
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lastLow = fixedpoint.NewFromFloat(s.pivot.LastLow())
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} else {
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if !lastLow.IsZero() && !s.Position.GetBase().IsZero() {
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if !lastLow.IsZero() && s.Position.IsShort() && !s.Position.IsDust(kline.Close) {
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R := kline.Close.Div(s.Position.AverageCost)
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if R.Compare(fixedpoint.One.Add(s.StopLossRatio)) > 0 {
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// SL
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log.Infof("SL triggered")
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s.ClosePosition(ctx, fixedpoint.One)
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s.tradeCollector.Process()
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} else if R.Compare(fixedpoint.One.Sub(s.StopLossRatio.Mul(fifteen))) < 0 {
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} else if R.Compare(fixedpoint.One.Sub(s.TakeProfitRatio)) < 0 {
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// TP
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log.Infof("TP triggered")
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s.ClosePosition(ctx, fixedpoint.One)
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s.tradeCollector.Process()
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} else if kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.ShadowTPRatio) > 0 {
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// shadow TP
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log.Infof("shadow TP triggered")
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@ -235,12 +239,26 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if !lastLow.IsZero() {
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pivotBuffer = append(pivotBuffer, lastLow)
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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postPrice := kline.Close
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for l := len(pivotBuffer) - 1; l > 0; l-- {
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if pivotBuffer[l].Compare(kline.Close) > 0 {
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postPrice = pivotBuffer[l]
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break
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}
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}
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for i := 0; i < int(s.NumLayers.Float64()); i++ {
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balances := s.session.GetAccount().Balances()
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quoteBalance, _ := balances[s.Market.QuoteCurrency]
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baseBalance, _ := balances[s.Market.BaseCurrency]
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p := lastLow.Mul(fixedpoint.One.Add(s.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
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p := postPrice.Mul(fixedpoint.One.Add(s.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
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//
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if futuresMode {
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//log.Infof("futures mode on ")
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