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strategy: supertrend strategy tp/sl

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This commit is contained in:
Andy Cheng 2022-05-27 18:24:08 +08:00
parent bf26076112
commit 39b0013513
1 changed files with 40 additions and 9 deletions
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43
pkg/strategy/supertrend/strategy.go
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@ -114,7 +114,6 @@ type Strategy struct {
*bbgo.Persistence *bbgo.Persistence
Environment *bbgo.Environment Environment *bbgo.Environment
StandardIndicatorSet *bbgo.StandardIndicatorSet
session *bbgo.ExchangeSession session *bbgo.ExchangeSession
Market types.Market Market types.Market
@ -249,7 +248,40 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
demaSignal = types.DirectionNone demaSignal = types.DirectionNone
} }
// TODO: TP/SL // TP/SL
base := s.Position.GetBase()
quantity := base.Abs()
if quantity.Compare(s.Market.MinQuantity) > 0 && quantity.Mul(kline.GetClose()).Compare(s.Market.MinNotional) > 0 {
if base.Sign() < 0 && (stSignal == types.DirectionUp || demaSignal == types.DirectionUp) {
orderForm := types.SubmitOrder{
Symbol: s.Symbol,
Market: s.Market,
Side: types.SideTypeBuy,
Type: types.OrderTypeMarket,
Quantity: quantity,
}
log.Infof("submit TP/SL order %v", orderForm)
createdOrder, err := s.session.Exchange.SubmitOrders(ctx, orderForm)
if err != nil {
log.WithError(err).Errorf("can not place TP/SL order")
}
s.orderStore.Add(createdOrder...)
} else if base.Sign() > 0 && (stSignal == types.DirectionDown || demaSignal == types.DirectionDown) {
orderForm := types.SubmitOrder{
Symbol: s.Symbol,
Market: s.Market,
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Quantity: quantity,
}
log.Infof("submit TP/SL order %v", orderForm)
createdOrder, err := s.session.Exchange.SubmitOrders(ctx, orderForm)
if err != nil {
log.WithError(err).Errorf("can not place TP/SL order")
}
s.orderStore.Add(createdOrder...)
}
}
// Place order // Place order
var side types.SideType var side types.SideType
@ -258,17 +290,17 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
} else if stSignal == types.DirectionDown && demaSignal == types.DirectionDown { } else if stSignal == types.DirectionDown && demaSignal == types.DirectionDown {
side = types.SideTypeSell side = types.SideTypeSell
} }
quantity := s.CalculateQuantity(fixedpoint.NewFromFloat(closePrice))
balance, _ := s.session.GetAccount().Balance(s.Market.QuoteCurrency)
s.Amount = balance.Available
if side == types.SideTypeSell || side == types.SideTypeBuy { if side == types.SideTypeSell || side == types.SideTypeBuy {
orderForm := types.SubmitOrder{ orderForm := types.SubmitOrder{
Symbol: s.Symbol, Symbol: s.Symbol,
Market: s.Market, Market: s.Market,
Side: side, Side: side,
Type: types.OrderTypeMarket, Type: types.OrderTypeMarket,
Quantity: quantity, Quantity: s.CalculateQuantity(fixedpoint.NewFromFloat(closePrice)),
} }
log.Infof("%v", orderForm)
createdOrder, err := s.session.Exchange.SubmitOrders(ctx, orderForm) createdOrder, err := s.session.Exchange.SubmitOrders(ctx, orderForm)
if err != nil { if err != nil {
@ -301,7 +333,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.Environment.RecordPosition(s.Position, trade, &p) s.Environment.RecordPosition(s.Position, trade, &p)
} }
log.Infof("%v", s.Position)
}) })
s.tradeCollector.BindStream(session.UserDataStream) s.tradeCollector.BindStream(session.UserDataStream)