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Merge pull request #1216 from andycheng123/fix/hhllsop

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Fix: exit/hhllStop bugs
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Andy Cheng 2023-06-30 16:31:13 +08:00 committed by GitHub
commit 31e9aa8c22
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1 changed files with 55 additions and 13 deletions
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70
pkg/bbgo/exit_hh_ll_stop.go
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@ -61,38 +61,80 @@ func (s *HigherHighLowerLowStop) Subscribe(session *ExchangeSession) {
// updateActivated checks the position cost against the close price, activation ratio, and deactivation ratio to
// determine whether this stop should be activated
func (s *HigherHighLowerLowStop) updateActivated(position *types.Position, closePrice fixedpoint.Value) {
// deactivate when no position
if position.IsClosed() || position.IsDust(closePrice) {
s.activated = false
} else if s.activated {
return
}
// activation/deactivation price
var priceDeactive fixedpoint.Value
var priceActive fixedpoint.Value
if position.IsLong() {
r := fixedpoint.One.Add(s.DeactivationRatio)
if closePrice.Compare(position.AverageCost.Mul(r)) >= 0 {
s.activated = false
Notify("[hhllStop] Stop of %s deactivated for long position, deactivation ratio %s:", s.Symbol, s.DeactivationRatio.Percentage())
priceDeactive = position.AverageCost.Mul(fixedpoint.One.Add(s.DeactivationRatio))
priceActive = position.AverageCost.Mul(fixedpoint.One.Add(s.ActivationRatio))
} else {
priceDeactive = position.AverageCost.Mul(fixedpoint.One.Sub(s.DeactivationRatio))
priceActive = position.AverageCost.Mul(fixedpoint.One.Sub(s.ActivationRatio))
}
if s.activated {
if position.IsLong() {
if closePrice.Compare(priceDeactive) >= 0 {
s.activated = false
Notify("[hhllStop] Stop of %s deactivated for long position, deactivation ratio %s", s.Symbol, s.DeactivationRatio.Percentage())
} else if closePrice.Compare(priceActive) < 0 {
s.activated = false
Notify("[hhllStop] Stop of %s deactivated for long position, activation ratio %s", s.Symbol, s.ActivationRatio.Percentage())
}
} else if position.IsShort() {
r := fixedpoint.One.Sub(s.DeactivationRatio)
// for short position, if the close price is less than the activation price then this is a profit position.
if closePrice.Compare(position.AverageCost.Mul(r)) <= 0 {
if closePrice.Compare(priceDeactive) <= 0 {
s.activated = false
Notify("[hhllStop] Stop of %s deactivated for short position, deactivation ratio %s:", s.Symbol, s.DeactivationRatio.Percentage())
Notify("[hhllStop] Stop of %s deactivated for short position, deactivation ratio %s", s.Symbol, s.DeactivationRatio.Percentage())
} else if closePrice.Compare(priceActive) > 0 {
s.activated = false
Notify("[hhllStop] Stop of %s deactivated for short position, activation ratio %s", s.Symbol, s.ActivationRatio.Percentage())
}
}
} else {
if position.IsLong() {
r := fixedpoint.One.Add(s.ActivationRatio)
if closePrice.Compare(position.AverageCost.Mul(r)) >= 0 {
if closePrice.Compare(priceActive) >= 0 && closePrice.Compare(priceDeactive) < 0 {
s.activated = true
Notify("[hhllStop] %s stop is activated for long position, activation ratio %s:", s.Symbol, s.ActivationRatio.Percentage())
Notify("[hhllStop] %s stop is activated for long position, activation ratio %s, deactivation ratio %s", s.Symbol, s.ActivationRatio.Percentage(), s.DeactivationRatio.Percentage())
}
} else if position.IsShort() {
r := fixedpoint.One.Sub(s.ActivationRatio)
// for short position, if the close price is less than the activation price then this is a profit position.
if closePrice.Compare(position.AverageCost.Mul(r)) <= 0 {
if closePrice.Compare(priceActive) <= 0 && closePrice.Compare(priceDeactive) > 0 {
s.activated = true
Notify("[hhllStop] %s stop is activated for short position, activation ratio %s:", s.Symbol, s.ActivationRatio.Percentage())
Notify("[hhllStop] %s stop is activated for short position, activation ratio %s, deactivation ratio %s", s.Symbol, s.ActivationRatio.Percentage(), s.DeactivationRatio.Percentage())
}
}
}
}