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fix: panic on image drawing, reduce fee by smoothing the drift curve

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This commit is contained in:
zenix 2022-07-25 19:36:22 +09:00
parent 553a55811c
commit 2ceb24ad09
7 changed files with 299 additions and 148 deletions
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11
config/drift.yaml
View File

@ -21,15 +21,14 @@ exchangeStrategies:
# kline interval for indicators
interval: 15m
window: 2
stoploss: 2%
stoploss: 0.3%
source: close
predictOffset: 3
predictOffset: 2
# position avg +- takeProfitFactor * atr as take profit price
takeProfitFactor: 1
noStopPrice: true
noTrailingStopLoss: false
takeProfitFactor: 1.4
noTrailingStopLoss: true
# stddev on high/low-source
hlVarianceMultiplier: 0.34
hlVarianceMultiplier: 0.22
generateGraph: true
graphPNLDeductFee: false

91
config/driftBTC.yaml Normal file
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@ -0,0 +1,91 @@
---
persistence:
redis:
host: 127.0.0.1
port: 6379
db: 0
sessions:
binance:
exchange: binance
futures: false
envVarPrefix: binance
heikinAshi: false
exchangeStrategies:
- on: binance
drift:
canvasPath: "./output.png"
symbol: BTCBUSD
# kline interval for indicators
interval: 15m
window: 2
stoploss: 0.3%
source: close
predictOffset: 2
# position avg +- takeProfitFactor * atr as take profit price
takeProfitFactor: 1.2
noTrailingStopLoss: true
# stddev on high/low-source
hlVarianceMultiplier: 0.27
generateGraph: true
graphPNLDeductFee: true
graphPNLPath: "./pnl.png"
graphCumPNLPath: "./cumpnl.png"
exits:
#- roiStopLoss:
# percentage: 0.8%
#- roiTakeProfit:
# percentage: 3%
#- protectiveStopLoss:
# activationRatio: 0.5%
# stopLossRatio: 0.1%
# placeStopOrder: false
- trailingStop:
callbackRate: 1%
# activationRatio is relative to the average cost,
# when side is buy, 1% means lower 1% than the average cost.
# when side is sell, 1% means higher 1% than the average cost.
activationRatio: 3%
# minProfit uses the position ROI to calculate the profit ratio
minProfit: 1%
interval: 1m
side: buy
closePosition: 100%
#- protectiveStopLoss:
# activationRatio: 5%
# stopLossRatio: 1%
# placeStopOrder: false
#- cumulatedVolumeTakeProfit:
# interval: 5m
# window: 2
# minQuoteVolume: 200_000_000
#- protectiveStopLoss:
# activationRatio: 2%
# stopLossRatio: 1%
# placeStopOrder: false
sync:
userDataStream:
trades: true
filledOrders: true
sessions:
- binance
symbols:
- BTCBUSD
backtest:
startTime: "2022-01-01"
endTime: "2022-06-18"
symbols:
- BTCBUSD
sessions: [binance]
accounts:
binance:
makerFeeRate: 0.000
takerFeeRate: 0.00075
balances:
BTC: 10
BUSD: 5000.0

22
pkg/exchange/binance/exchange.go
View File

@ -130,6 +130,28 @@ func New(key, secret string) *Exchange {
log.WithError(err).Error("can not set server time")
}
})
go func() {
ticker := time.NewTicker(time.Hour)
defer ticker.Stop()
for {
select {
case <-ticker.C:
_, err = client.NewSetServerTimeService().Do(context.Background())
if err != nil {
log.WithError(err).Error("can not set server time")
}
_, err = futuresClient.NewSetServerTimeService().Do(context.Background())
if err != nil {
log.WithError(err).Error("can not set server time")
}
if err = client2.SetTimeOffsetFromServer(context.Background()); err != nil {
log.WithError(err).Error("can not set server time")
}
}
}
}()
}
return ex

2
pkg/indicator/boll.go
View File

@ -21,7 +21,6 @@ Bollinger Bands Technical indicator guide:
//go:generate callbackgen -type BOLL
type BOLL struct {
types.SeriesBase
types.IntervalWindow
// K is the multiplier of Std, generally it's 2
@ -74,7 +73,6 @@ func (inc *BOLL) LastDownBand() float64 {
func (inc *BOLL) Update(value float64) {
if inc.SMA == nil {
inc.SeriesBase.Series = inc
inc.SMA = &SMA{IntervalWindow: inc.IntervalWindow}
}

21
pkg/indicator/drift.go
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@ -47,6 +47,27 @@ func (inc *Drift) Update(value float64) {
}
}
// Assume that MA is SMA
func (inc *Drift) ZeroPoint() float64 {
window := float64(inc.Window)
stdev := types.Stdev(inc.chng, inc.Window)
chng := inc.chng.Index(inc.Window - 1)
/*b := -2 * inc.MA.Last() - 2
c := window * stdev * stdev - chng * chng + 2 * chng * (inc.MA.Last() + 1) - 2 * inc.MA.Last() * window
root := math.Sqrt(b*b - 4*c)
K1 := (-b + root)/2
K2 := (-b - root)/2
N1 := math.Exp(K1) * inc.LastValue
N2 := math.Exp(K2) * inc.LastValue
if math.Abs(inc.LastValue-N1) < math.Abs(inc.LastValue-N2) {
return N1
} else {
return N2
}*/
return inc.LastValue * math.Exp(window*(0.5*stdev*stdev)+chng-inc.MA.Last()*window)
}
func (inc *Drift) Clone() (out *Drift) {
out = &Drift{
IntervalWindow: inc.IntervalWindow,

58
pkg/indicator/fisher.go Normal file
View File

@ -0,0 +1,58 @@
package indicator
import (
"math"
"github.com/c9s/bbgo/pkg/types"
)
//go:generate callbackgen -type FisherTransform
type FisherTransform struct {
types.SeriesBase
types.IntervalWindow
prices *types.Queue
Values types.Float64Slice
UpdateCallbacks []func(value float64)
}
func (inc *FisherTransform) Update(value float64) {
if inc.prices == nil {
inc.prices = types.NewQueue(inc.Window)
inc.SeriesBase.Series = inc
}
inc.prices.Update(value)
highest := inc.prices.Highest(inc.Window)
lowest := inc.prices.Lowest(inc.Window)
x := 2*((value-lowest)/(highest-lowest)) - 1
if x == 1 {
x = 0.9999
} else if x == -1 {
x = -0.9999
}
inc.Values.Update(0.5 * math.Log((1+x)/(1-x)))
if len(inc.Values) > MaxNumOfEWMA {
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
}
}
func (inc *FisherTransform) Last() float64 {
if inc.Values == nil {
return 0.0
}
return inc.Values.Last()
}
func (inc *FisherTransform) Index(i int) float64 {
if inc.Values == nil {
return 0.0
}
return inc.Values.Index(i)
}
func (inc *FisherTransform) Length() int {
if inc.Values == nil {
return 0
}
return inc.Values.Length()
}

224
pkg/strategy/drift/strategy.go
View File

@ -51,7 +51,7 @@ type Strategy struct {
ma types.UpdatableSeriesExtend
stdevHigh *indicator.StdDev
stdevLow *indicator.StdDev
drift *indicator.Drift
drift *DriftMA
atr *indicator.ATR
midPrice fixedpoint.Value
lock sync.RWMutex
@ -62,11 +62,12 @@ type Strategy struct {
CanvasPath string `json:"canvasPath"`
PredictOffset int `json:"predictOffset"`
HighLowVarianceMultiplier float64 `json:"hlVarianceMultiplier"`
NoStopPrice bool `json:"noStopPrice"`
NoTrailingStopLoss bool `json:"noTrailingStopLoss"`
buyPrice float64
sellPrice float64
highestPrice float64
lowestPrice float64
// This is not related to trade but for statistics graph generation
// Will deduct fee in percentage from every trade
@ -76,8 +77,6 @@ type Strategy struct {
// Whether to generate graph when shutdown
GenerateGraph bool `json:"generateGraph"`
StopOrders map[uint64]*types.SubmitOrder
ExitMethods bbgo.ExitMethodSet `json:"exits"`
Session *bbgo.ExchangeSession
*bbgo.GeneralOrderExecutor
@ -101,7 +100,6 @@ func (s *Strategy) Print(o *os.File) {
hiyellow(f, "symbol: %s\n", s.Symbol)
hiyellow(f, "interval: %s\n", s.Interval)
hiyellow(f, "window: %d\n", s.Window)
hiyellow(f, "noStopPrice: %v\n", s.NoStopPrice)
hiyellow(f, "noTrailingStopLoss: %v\n", s.NoTrailingStopLoss)
hiyellow(f, "hlVarianceMutiplier: %f\n", s.HighLowVarianceMultiplier)
hiyellow(f, "\n")
@ -112,7 +110,7 @@ func (s *Strategy) ID() string {
}
func (s *Strategy) InstanceID() string {
return fmt.Sprintf("%s:%s", ID, s.Symbol)
return fmt.Sprintf("%s-%s", ID, s.Symbol)
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
@ -138,15 +136,6 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
if order == nil {
return nil
}
if percentage.Compare(fixedpoint.One) == 0 {
// Cleanup pending StopOrders
s.StopOrders = make(map[uint64]*types.SubmitOrder)
} else {
// Should only have one stop order
for _, o := range s.StopOrders {
o.Quantity = o.Quantity.Mul(fixedpoint.One.Sub(percentage))
}
}
order.Tag = "close"
order.TimeInForce = ""
balances := s.Session.GetAccount().Balances()
@ -205,54 +194,52 @@ func (s *Strategy) SourceFuncGenerator() SourceFunc {
}
}
func (s *Strategy) BindStopLoss(ctx context.Context) {
s.StopOrders = make(map[uint64]*types.SubmitOrder)
s.Session.UserDataStream.OnOrderUpdate(func(order types.Order) {
if len(s.StopOrders) == 0 {
return
type DriftMA struct {
types.SeriesBase
ma1 types.UpdatableSeries
drift *indicator.Drift
ma2 types.UpdatableSeries
}
if order.Symbol != s.Symbol {
return
func (s *DriftMA) Update(value float64) {
s.ma1.Update(value)
s.drift.Update(s.ma1.Last())
s.ma2.Update(s.drift.Last())
}
if order.Status == types.OrderStatusCanceled {
delete(s.StopOrders, order.OrderID)
return
func (s *DriftMA) Last() float64 {
return s.ma2.Last()
}
if order.Status != types.OrderStatusFilled {
return
func (s *DriftMA) Index(i int) float64 {
return s.ma2.Index(i)
}
if o, ok := s.StopOrders[order.OrderID]; ok {
delete(s.StopOrders, order.OrderID)
if o.Side == types.SideTypeBuy {
quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
if !ok {
log.Errorf("unable to get quoteCurrency")
return
func (s *DriftMA) Length() int {
return s.ma2.Length()
}
o.Quantity = quoteBalance.Available.Div(o.Price)
} else {
baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
if !ok {
log.Errorf("unable to get baseCurrency")
return
}
o.Quantity = baseBalance.Available
}
if _, err := s.GeneralOrderExecutor.SubmitOrders(ctx, *o); err != nil {
log.WithError(err).Errorf("cannot send stop order: %v", order)
}
}
})
func (s *DriftMA) ZeroPoint() float64 {
return s.drift.ZeroPoint()
}
func (s *Strategy) InitIndicators() error {
s.ma = &indicator.EWMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 5}}
s.ma = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 5}}
s.stdevHigh = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 6}}
s.stdevLow = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 6}}
s.drift = &indicator.Drift{
s.drift = &DriftMA{
drift: &indicator.Drift{
MA: &indicator.SMA{IntervalWindow: s.IntervalWindow},
IntervalWindow: s.IntervalWindow,
},
ma1: &indicator.EWMA{
IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 2},
},
ma2: &indicator.FisherTransform{
IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 9},
},
}
s.drift.SeriesBase.Series = s.drift
s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 14}}
store, _ := s.Session.MarketDataStore(s.Symbol)
klines, ok := store.KLinesOfInterval(s.Interval)
@ -299,10 +286,15 @@ func (s *Strategy) InitTickerFunctions(ctx context.Context) {
}
price = s.midPrice
pricef = s.midPrice.Float64()
s.lock.Unlock()
} else {
return
}
if s.highestPrice > 0 && s.highestPrice < pricef {
s.highestPrice = pricef
}
if s.lowestPrice > 0 && s.lowestPrice > pricef {
s.lowestPrice = pricef
}
// for trailing stoploss during the realtime
if s.NoTrailingStopLoss {
@ -311,9 +303,11 @@ func (s *Strategy) InitTickerFunctions(ctx context.Context) {
atr = s.atr.Last()
avg = s.buyPrice + s.sellPrice
stoploss = s.StopLoss.Float64()
exitShortCondition := (avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef || avg-atr*s.TakeProfitFactor >= pricef) &&
exitShortCondition := (avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef || avg-atr*s.TakeProfitFactor >= pricef ||
((pricef-s.lowestPrice)/pricef > stoploss && (s.sellPrice-s.lowestPrice)/s.sellPrice > 0.01)) &&
(s.Position.IsShort() && !s.Position.IsDust(price))
exitLongCondition := (avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef || avg+atr*s.TakeProfitFactor <= pricef) &&
exitLongCondition := (avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef || avg+atr*s.TakeProfitFactor <= pricef ||
((s.highestPrice-pricef)/pricef > stoploss && (s.highestPrice-s.buyPrice)/s.buyPrice > 0.01)) &&
(!s.Position.IsLong() && !s.Position.IsDust(price))
if exitShortCondition || exitLongCondition {
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
@ -322,6 +316,7 @@ func (s *Strategy) InitTickerFunctions(ctx context.Context) {
}
_ = s.ClosePosition(ctx, fixedpoint.One)
}
s.lock.Unlock()
})
s.getLastPrice = func() (lastPrice fixedpoint.Value) {
@ -343,19 +338,25 @@ func (s *Strategy) InitTickerFunctions(ctx context.Context) {
}
func (s *Strategy) Draw(time types.Time, priceLine types.SeriesExtend, profit types.Series, cumProfit types.Series) {
func (s *Strategy) Draw(time types.Time, priceLine types.SeriesExtend, profit types.Series, cumProfit types.Series, zeroPoints types.Series) {
canvas := types.NewCanvas(s.InstanceID(), s.Interval)
Length := priceLine.Length()
if Length > 100 {
Length = 100
if Length > 300 {
Length = 300
}
mean := priceLine.Mean(Length)
highestPrice := priceLine.Minus(mean).Abs().Highest(Length)
highestDrift := s.drift.Abs().Highest(Length)
ratio := highestDrift / highestPrice
canvas.Plot("drift", s.drift, time, Length)
canvas.Plot("zero", types.NumberSeries(0), time, Length)
canvas.Plot("price", priceLine.Minus(mean).Mul(ratio), time, Length)
hi := s.drift.drift.Abs().Highest(Length)
ratio := highestPrice / highestDrift
canvas.Plot("upband", s.ma.Add(s.stdevHigh), time, Length)
canvas.Plot("ma", s.ma, time, Length)
canvas.Plot("downband", s.ma.Minus(s.stdevLow), time, Length)
canvas.Plot("drift", s.drift.Mul(ratio).Add(mean), time, Length)
canvas.Plot("driftOrig", s.drift.drift.Mul(highestPrice/hi).Add(mean), time, Length)
canvas.Plot("zero", types.NumberSeries(mean), time, Length)
canvas.Plot("price", priceLine, time, Length)
canvas.Plot("zeroPoint", zeroPoints, time, Length)
f, err := os.Create(s.CanvasPath)
if err != nil {
log.WithError(err).Errorf("cannot create on %s", s.CanvasPath)
@ -532,26 +533,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
Volume = fixedpoint.Zero
}
Volume = Volume.Add(trade.Quantity)
} else if tag == "sl" {
// TODO: not properly handled for single order, multiple trades
if !buyPrice.IsZero() {
profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
cumProfit.Update(cumProfit.Last() * profit.Last())
buyPrice = fixedpoint.Zero
} else if !sellPrice.IsZero() {
profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
cumProfit.Update(cumProfit.Last() * profit.Last())
sellPrice = fixedpoint.Zero
} else {
panic("no position to sl")
}
}
s.buyPrice = buyPrice.Float64()
s.highestPrice = s.buyPrice
s.sellPrice = sellPrice.Float64()
s.lowestPrice = s.sellPrice
})
s.BindStopLoss(ctx)
if err := s.InitIndicators(); err != nil {
log.WithError(err).Errorf("InitIndicator failed")
return nil
@ -559,7 +547,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.InitTickerFunctions(ctx)
dynamicKLine := &types.KLine{}
priceLine := types.NewQueue(100)
priceLine := types.NewQueue(300)
zeroPoints := types.NewQueue(300)
stoploss := s.StopLoss.Float64()
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
@ -585,11 +574,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
pricef := price.Float64()
lowf := math.Min(kline.Low.Float64(), pricef)
highf := math.Max(kline.High.Float64(), pricef)
if s.lowestPrice > 0 && lowf < s.lowestPrice {
s.lowestPrice = lowf
}
if s.highestPrice > 0 && highf > s.highestPrice {
s.highestPrice = highf
}
avg := s.buyPrice + s.sellPrice
exitShortCondition := (avg+atr/2 <= highf || avg*(1.+stoploss) <= highf || avg-atr*s.TakeProfitFactor >= lowf) &&
exitShortCondition := (avg+atr/2 <= highf || avg*(1.+stoploss) <= highf || avg-atr*s.TakeProfitFactor >= lowf ||
((highf-s.lowestPrice)/pricef > stoploss && (s.sellPrice-s.lowestPrice)/s.sellPrice > 0.01)) &&
(s.Position.IsShort() && !s.Position.IsDust(price))
exitLongCondition := (avg-atr/2 >= lowf || avg*(1.-stoploss) >= lowf || avg+atr*s.TakeProfitFactor <= highf) &&
exitLongCondition := (avg-atr/2 >= lowf || avg*(1.-stoploss) >= lowf || avg+atr*s.TakeProfitFactor <= highf ||
((s.highestPrice-pricef)/pricef > stoploss && (s.highestPrice-s.buyPrice)/s.buyPrice > 0.01)) &&
(s.Position.IsLong() && !s.Position.IsDust(price))
if exitShortCondition || exitLongCondition {
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
@ -607,8 +604,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
priceLine.Update(sourcef)
s.ma.Update(sourcef)
s.drift.Update(sourcef)
zeroPoint := s.drift.ZeroPoint()
zeroPoints.Update(zeroPoint)
s.atr.PushK(kline)
drift = s.drift.Array(2)
ddrift := s.drift.drift.Array(2)
driftPred = s.drift.Predict(s.PredictOffset)
atr = s.atr.Last()
price := s.getLastPrice()
@ -623,18 +623,22 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
if !s.IsBackTesting() {
balances := s.Session.GetAccount().Balances()
bbgo.Notify("source: %.4f, price: %.4f, driftPred: %.4f, drift: %.4f, drift[1]: %.4f, atr: %.4f, avg: %.4f",
sourcef, pricef, driftPred, drift[0], drift[1], atr, avg)
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())
}
shortCondition := (driftPred <= 0 && drift[0] <= 0)
longCondition := (driftPred >= 0 && drift[0] >= 0)
exitShortCondition := ((drift[1] < 0 && drift[0] >= 0) || avg+atr/2 <= highf || avg*(1.+stoploss) <= highf || avg-atr*s.TakeProfitFactor >= lowf) &&
(s.Position.IsShort() && !s.Position.IsDust(fixedpoint.Max(price, source))) && !longCondition
exitLongCondition := ((drift[1] > 0 && drift[0] < 0) || avg-atr/2 >= lowf || avg*(1.-stoploss) >= lowf || avg+atr*s.TakeProfitFactor <= highf) &&
(s.Position.IsLong() && !s.Position.IsDust(fixedpoint.Min(price, source))) && !shortCondition
//shortCondition := (sourcef <= zeroPoint && driftPred <= drift[0] && drift[0] <= 0 && drift[1] > 0 && drift[2] > drift[1])
//longCondition := (sourcef >= zeroPoint && driftPred >= drift[0] && drift[0] >= 0 && drift[1] < 0 && drift[2] < drift[1])
//bothUp := ddrift[1] < ddrift[0] && drift[1] < drift[0]
//bothDown := ddrift[1] > ddrift[0] && drift[1] > drift[0]
shortCondition := (ddrift[0] <= 0 || drift[0] <= 0) && driftPred < 0.
longCondition := (ddrift[0] >= 0 || drift[0] >= 0) && driftPred > 0
exitShortCondition := (avg+atr <= highf || avg*(1.+stoploss) <= highf || avg-atr*s.TakeProfitFactor >= lowf) &&
(s.Position.IsShort() && !s.Position.IsDust(fixedpoint.Max(price, source))) && !longCondition && !shortCondition
exitLongCondition := (avg-atr >= lowf || avg*(1.-stoploss) >= lowf || avg+atr*s.TakeProfitFactor <= highf) &&
(s.Position.IsLong() && !s.Position.IsDust(fixedpoint.Min(price, source))) && !shortCondition && !longCondition
if exitShortCondition || exitLongCondition {
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
@ -642,6 +646,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
_ = s.ClosePosition(ctx, fixedpoint.One)
return
}
if shortCondition {
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
@ -663,18 +668,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
// Cleanup pending StopOrders
s.StopOrders = make(map[uint64]*types.SubmitOrder)
quantity := baseBalance.Available
stopPrice := fixedpoint.NewFromFloat(math.Min(sourcef+atr/2, sourcef*(1.+stoploss)))
stopOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeStopLimit,
StopPrice: stopPrice,
Price: stopPrice,
Quantity: quantity,
Tag: "sl",
}
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
@ -688,16 +682,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
orderTagHistory[createdOrders[0].OrderID] = "short"
if s.NoStopPrice {
return
}
if createdOrders[0].Status == types.OrderStatusFilled {
if o, err := s.GeneralOrderExecutor.SubmitOrders(ctx, stopOrder); err == nil {
orderTagHistory[o[0].OrderID] = "sl"
}
return
}
s.StopOrders[createdOrders[0].OrderID] = &stopOrder
}
if longCondition {
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
@ -709,6 +693,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
source = price
}
sourcef = source.Float64()
quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
if !ok {
log.Errorf("unable to get quoteCurrency")
@ -718,20 +703,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
quoteBalance.Available.Div(source), source) {
return
}
// Cleanup pending StopOrders
s.StopOrders = make(map[uint64]*types.SubmitOrder)
quantity := quoteBalance.Available.Div(source)
stopPrice := fixedpoint.NewFromFloat(math.Max(sourcef-atr/2, sourcef*(1.-stoploss)))
stopOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeStopLimit,
TimeInForce: types.TimeInForceGTC,
StopPrice: stopPrice,
Price: stopPrice,
Quantity: quantity,
Tag: "sl",
}
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
@ -745,16 +717,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
orderTagHistory[createdOrders[0].OrderID] = "long"
if s.NoStopPrice {
return
}
if createdOrders[0].Status == types.OrderStatusFilled {
if o, err := s.GeneralOrderExecutor.SubmitOrders(ctx, stopOrder); err == nil {
orderTagHistory[o[0].OrderID] = "sl"
}
return
}
s.StopOrders[createdOrders[0].OrderID] = &stopOrder
}
})
@ -765,7 +727,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
defer fmt.Fprintln(os.Stdout, s.TradeStats.BriefString())
if s.GenerateGraph {
s.Draw(dynamicKLine.StartTime, priceLine, &profit, &cumProfit)
s.Draw(dynamicKLine.StartTime, priceLine, &profit, &cumProfit, zeroPoints)
}
wg.Done()