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Merge pull request #667 from c9s/strategy/pivot

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Yo-An Lin 2022-06-03 23:40:11 +08:00 committed by GitHub
commit 2d461582ea
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2 changed files with 13 additions and 10 deletions
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7
config/pivotshort.yaml
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@ -4,7 +4,6 @@ sessions:
envVarPrefix: binance envVarPrefix: binance
# futures: true # futures: true
exchangeStrategies: exchangeStrategies:
- on: binance - on: binance
pivotshort: pivotshort:
@ -14,6 +13,7 @@ exchangeStrategies:
pivotLength: 120 pivotLength: 120
entry: entry:
immediate: true
catBounceRatio: 1% catBounceRatio: 1%
quantity: 1000 quantity: 1000
numLayers: 3 numLayers: 3
@ -22,15 +22,14 @@ exchangeStrategies:
exit: exit:
takeProfitPercentage: 13% takeProfitPercentage: 13%
stopLossPercentage: 0.5% stopLossPercentage: 0.5%
shadowTPRatio: 13% shadowTakeProfitRatio: 3%
# marginOrderSideEffect: repay # marginOrderSideEffect: repay
backtest: backtest:
sessions: sessions:
- binance - binance
startTime: "2022-04-01" startTime: "2022-05-25"
endTime: "2022-06-03" endTime: "2022-06-03"
symbols: symbols:
- GMTUSDT - GMTUSDT

16
pkg/strategy/pivotshort/strategy.go
View File

@ -24,6 +24,7 @@ type IntervalWindowSetting struct {
} }
type Entry struct { type Entry struct {
Immediate bool `json:"immediate"`
CatBounceRatio fixedpoint.Value `json:"catBounceRatio"` CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
Quantity fixedpoint.Value `json:"quantity"` Quantity fixedpoint.Value `json:"quantity"`
NumLayers fixedpoint.Value `json:"numLayers"` NumLayers fixedpoint.Value `json:"numLayers"`
@ -33,7 +34,7 @@ type Entry struct {
type Exit struct { type Exit struct {
TakeProfitPercentage fixedpoint.Value `json:"takeProfitPercentage"` TakeProfitPercentage fixedpoint.Value `json:"takeProfitPercentage"`
StopLossPercentage fixedpoint.Value `json:"stopLossPercentage"` StopLossPercentage fixedpoint.Value `json:"stopLossPercentage"`
ShadowTPRatio fixedpoint.Value `json:"shadowTPRatio"` ShadowTPRatio fixedpoint.Value `json:"shadowTakeProfitRatio"`
MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"` MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
} }
@ -80,14 +81,17 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
//session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1d}) //session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1d})
} }
func (s *Strategy) placeOrder(ctx context.Context, price fixedpoint.Value, qty fixedpoint.Value, orderExecutor bbgo.OrderExecutor) { func (s *Strategy) placeOrder(ctx context.Context, marketPrice fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, qty fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
submitOrder := types.SubmitOrder{ submitOrder := types.SubmitOrder{
Symbol: s.Symbol, Symbol: s.Symbol,
Side: types.SideTypeSell, Side: types.SideTypeSell,
Type: types.OrderTypeLimit, Type: types.OrderTypeLimit,
Price: price, Price: limitPrice,
Quantity: qty, Quantity: qty,
} }
if s.Entry.Immediate && marketPrice.Compare(currentPrice) <= 0 {
submitOrder.Type = types.OrderTypeMarket
}
if s.session.Margin { if s.session.Margin {
submitOrder.MarginSideEffect = s.Entry.MarginSideEffect submitOrder.MarginSideEffect = s.Entry.MarginSideEffect
} }
@ -279,19 +283,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
if futuresMode { if futuresMode {
//log.Infof("futures mode on") //log.Infof("futures mode on")
if q.Mul(p).Compare(quoteBalance.Available) <= 0 { if q.Mul(p).Compare(quoteBalance.Available) <= 0 {
s.placeOrder(ctx, p, q, orderExecutor) s.placeOrder(ctx, lastLow, p, kline.Close, q, orderExecutor)
s.tradeCollector.Process() s.tradeCollector.Process()
} }
} else if s.Environment.IsBackTesting() { } else if s.Environment.IsBackTesting() {
//log.Infof("spot backtest mode on") //log.Infof("spot backtest mode on")
if q.Compare(baseBalance.Available) <= 0 { if q.Compare(baseBalance.Available) <= 0 {
s.placeOrder(ctx, p, q, orderExecutor) s.placeOrder(ctx, lastLow, p, kline.Close, q, orderExecutor)
s.tradeCollector.Process() s.tradeCollector.Process()
} }
} else { } else {
//log.Infof("spot mode on") //log.Infof("spot mode on")
if q.Compare(baseBalance.Available) <= 0 { if q.Compare(baseBalance.Available) <= 0 {
s.placeOrder(ctx, p, q, orderExecutor) s.placeOrder(ctx, lastLow, p, kline.Close, q, orderExecutor)
s.tradeCollector.Process() s.tradeCollector.Process()
} }
} }