bollmaker: add position stack

pkg/strategy/bollmaker/strategy.go

@@ -3,12 +3,11 @@ package bollmaker
 import (
 	"context"
 	"fmt"
+	"github.com/c9s/bbgo/pkg/indicator"
 	"math"
 	"sync"
 	"time"
 
-	"github.com/c9s/bbgo/pkg/indicator"
-
 	"github.com/pkg/errors"
 	"github.com/sirupsen/logrus"
 
@@ -37,8 +36,36 @@ func init() {
 	bbgo.RegisterStrategy(ID, &Strategy{})
 }
 
+// NewStack returns a new position stack.
+func NewStack() *PositionStack {
+	return &PositionStack{}
+}
+
+// Stack is a basic LIFO stack that resizes as needed.
+type PositionStack struct {
+	positions []*types.Position
+}
+
+// Push adds a node to the stack.
+func (s *PositionStack) Length() int {
+	return len(s.positions)
+}
+
+// Push adds a node to the stack.
+func (s *PositionStack) Push(p *types.Position) {
+	s.positions = append(s.positions, p)
+}
+
+// Pop removes and returns a node from the stack in last to first order.
+func (s *PositionStack) Pop() *types.Position {
+	if len(s.positions) == 0 {
+		return nil
+	}
+	return s.positions[len(s.positions)-1]
+}
+
 type State struct {
-	Position    *types.Position  `json:"position,omitempty"`
+	Position    types.Position   `json:"position,omitempty"`
 	ProfitStats bbgo.ProfitStats `json:"profitStats,omitempty"`
 }
 
@@ -198,7 +225,7 @@ func (s *Strategy) Validate() error {
 }
 
 func (s *Strategy) CurrentPosition() *types.Position {
-	return s.state.Position
+	return &s.state.Position
 }
 
 func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
@@ -263,9 +290,9 @@ func (s *Strategy) LoadState() error {
 	}
 
 	// if position is nil, we need to allocate a new position for calculation
-	if s.state.Position == nil {
+	//if s.state.Position == nil {
-		s.state.Position = types.NewPositionFromMarket(s.market)
+	s.state.Position = *types.NewPositionFromMarket(s.market)
-	}
+	//}
 
 	// init profit states
 	s.state.ProfitStats.Symbol = s.market.Symbol
@@ -518,6 +545,8 @@ func (s *Strategy) adjustOrderQuantity(submitOrder types.SubmitOrder) types.Subm
 }
 
 func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	PositionStack := NewStack()
+
 	if s.DisableShort {
 		s.Long = &[]bool{true}[0]
 	}
@@ -567,8 +596,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 
 	s.orderStore = bbgo.NewOrderStore(s.Symbol)
 	s.orderStore.BindStream(session.UserDataStream)
-
+	s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, &s.state.Position, s.orderStore)
-	s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
 	s.tradeCollector.OnProfit(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
 		log.Infof("generated profit: %v", profit)
 		p := bbgo.Profit{
@@ -626,6 +654,29 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 			log.WithError(err).Errorf("graceful cancel order error")
 		}
 
+		log.Infof("trade collector position: %v", s.tradeCollector.Position())
+
+		if kline.Close.Float64() < s.state.Position.AverageCost.Float64()*0.8 {
+			p := s.state.Position
+			PositionStack.Push(&p)
+			s.state.Position.Reset()
+			//s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
+		}
+
+		if kline.Close.Float64() > s.state.Position.AverageCost.Float64()*1.2 {
+			if s.state.Position.GetBase().Float64() > 0 && s.state.Position.GetBase().Float64() < s.Quantity.Float64() {
+				if PositionStack.Length() > 1 {
+					s.ClosePosition(ctx, 100.0)
+					s.state.Position.Reset()
+					p := PositionStack.Pop()
+					s.state.Position = *p
+				}
+			}
+		}
+		if PositionStack.Length() > 1 {
+			log.Infof("position stack: %v, length: %d, current position: %v", PositionStack.positions, PositionStack.Length(), s.state.Position)
+		}
+
 		// check if there is a canceled order had partially filled.
 		s.tradeCollector.Process()