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pivotshort: fix supportTakeProfit binding
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c9s
parent
81f9639c85
commit
3a37154737
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@ -87,24 +87,19 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
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}
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previousLow := s.pivotLowPrices[len(s.pivotLowPrices)-1]
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// truncate the pivot low prices
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if len(s.pivotLowPrices) > 10 {
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s.pivotLowPrices = s.pivotLowPrices[len(s.pivotLowPrices)-10:]
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}
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ratio := fixedpoint.One.Add(s.Ratio)
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breakPrice := previousLow.Mul(ratio)
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openPrice := kline.Open
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closePrice := kline.Close
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// if previous low is not break, skip
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// if the previous low is not break, or the kline is not strong enough to break it, skip
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if closePrice.Compare(breakPrice) >= 0 {
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return
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}
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// we need the price cross the break line or we do nothing
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// we need the price cross the break line, or we do nothing:
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// open > break price > close price
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if !(openPrice.Compare(breakPrice) > 0 && closePrice.Compare(breakPrice) < 0) {
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return
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}
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@ -60,7 +60,6 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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position := s.orderExecutor.Position()
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if position.IsOpened(kline.Close) {
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log.Infof("position is already opened, skip placing resistance orders")
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return
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}
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@ -182,10 +181,10 @@ func (s *ResistanceShort) placeResistanceOrders(ctx context.Context, resistanceP
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s.activeOrders.Add(createdOrders...)
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}
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func findPossibleSupportPrices(closePrice float64, minDistance float64, lows []float64) []float64 {
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return group(lower(lows, closePrice), minDistance)
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func findPossibleSupportPrices(closePrice float64, groupDistance float64, lows []float64) []float64 {
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return group(lower(lows, closePrice), groupDistance)
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}
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func findPossibleResistancePrices(closePrice float64, minDistance float64, lows []float64) []float64 {
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return group(higher(lows, closePrice), minDistance)
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func findPossibleResistancePrices(closePrice float64, groupDistance float64, lows []float64) []float64 {
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return group(higher(lows, closePrice), groupDistance)
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}
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@ -33,6 +33,7 @@ type IntervalWindowSetting struct {
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type SupportTakeProfit struct {
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Symbol string
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types.IntervalWindow
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Ratio fixedpoint.Value `json:"ratio"`
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pivot *indicator.Pivot
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@ -40,20 +41,97 @@ type SupportTakeProfit struct {
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session *bbgo.ExchangeSession
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activeOrders *bbgo.ActiveOrderBook
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currentSupportPrice fixedpoint.Value
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triggeredPrices []fixedpoint.Value
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}
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func (s *SupportTakeProfit) Subscribe(session *bbgo.ExchangeSession) {
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log.Infof("[supportTakeProfit] Subscribe(%s, %s)", s.Symbol, s.Interval)
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *SupportTakeProfit) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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log.Infof("[supportTakeProfit] Bind(%s, %s)", s.Symbol, s.Interval)
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s.session = session
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s.orderExecutor = orderExecutor
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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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session.UserDataStream.OnOrderUpdate(func(order types.Order) {
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if s.activeOrders.Exists(order) {
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if !s.currentSupportPrice.IsZero() {
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s.triggeredPrices = append(s.triggeredPrices, s.currentSupportPrice)
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}
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}
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})
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s.activeOrders.BindStream(session.UserDataStream)
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position := orderExecutor.Position()
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symbol := position.Symbol
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store, _ := session.MarketDataStore(symbol)
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s.pivot = &indicator.Pivot{IntervalWindow: s.IntervalWindow}
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s.pivot.Bind(store)
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preloadPivot(s.pivot, store)
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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if !s.updateSupportPrice(kline.Close) {
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return
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}
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if !position.IsOpened(kline.Close) {
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log.Infof("position is not opened, skip updating support take profit order")
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return
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}
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buyPrice := s.currentSupportPrice.Mul(one.Add(s.Ratio))
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quantity := position.GetQuantity()
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ctx := context.Background()
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if err := orderExecutor.GracefulCancelActiveOrderBook(ctx, s.activeOrders); err != nil {
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log.WithError(err).Errorf("cancel order failed")
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}
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bbgo.Notify("placing %s take profit order at price %f", s.Symbol, buyPrice.Float64())
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createdOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: symbol,
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Type: types.OrderTypeLimitMaker,
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Side: types.SideTypeBuy,
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Price: buyPrice,
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Quantity: quantity,
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Tag: "supportTakeProfit",
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})
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if err != nil {
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log.WithError(err).Errorf("can not submit orders: %+v", createdOrders)
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}
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s.activeOrders.Add(createdOrders...)
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}))
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}
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func (s *SupportTakeProfit) updateSupportPrice(closePrice fixedpoint.Value) bool {
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supportPrices := findPossibleSupportPrices(closePrice.Float64(), 0.05, s.pivot.Lows)
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log.Infof("[supportTakeProfit] lows: %v", s.pivot.Lows)
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groupDistance := 0.01
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minDistance := 0.05
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supportPrices := findPossibleSupportPrices(closePrice.Float64()*(1.0-minDistance), groupDistance, s.pivot.Lows)
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if len(supportPrices) == 0 {
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return false
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}
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// nextSupportPrice are sorted in decreasing order
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nextSupportPrice := fixedpoint.NewFromFloat(supportPrices[0])
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log.Infof("[supportTakeProfit] found possible support prices: %v", supportPrices)
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// nextSupportPrice are sorted in increasing order
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nextSupportPrice := fixedpoint.NewFromFloat(supportPrices[len(supportPrices)-1])
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// it's price that we have been used to take profit
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for _, p := range s.triggeredPrices {
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var l = p.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
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var h = p.Mul(one.Add(fixedpoint.NewFromFloat(0.01)))
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if p.Compare(l) > 0 && p.Compare(h) < 0 {
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return false
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}
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}
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currentBuyPrice := s.currentSupportPrice.Mul(one.Add(s.Ratio))
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if s.currentSupportPrice.IsZero() {
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@ -72,52 +150,6 @@ func (s *SupportTakeProfit) updateSupportPrice(closePrice fixedpoint.Value) bool
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return false
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}
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func (s *SupportTakeProfit) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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position := orderExecutor.Position()
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symbol := position.Symbol
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store, _ := session.MarketDataStore(symbol)
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s.pivot = &indicator.Pivot{IntervalWindow: s.IntervalWindow}
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s.pivot.Bind(store)
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preloadPivot(s.pivot, store)
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session.UserDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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if !position.IsOpened(kline.Close) {
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return
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}
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if !s.updateSupportPrice(kline.Close) {
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return
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}
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buyPrice := s.currentSupportPrice.Mul(one.Add(s.Ratio))
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quantity := position.GetQuantity()
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ctx := context.Background()
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if err := orderExecutor.GracefulCancelActiveOrderBook(ctx, s.activeOrders); err != nil {
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log.WithError(err).Errorf("cancel order failed")
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}
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bbgo.Notify("placing %s take profit order at price %f", s.Symbol, buyPrice.Float64())
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createdOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: symbol,
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Type: types.OrderTypeLimitMaker,
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Price: buyPrice,
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Quantity: quantity,
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Tag: "supportTakeProfit",
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})
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if err != nil {
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log.WithError(err).Errorf("can not submit orders: %+v", createdOrders)
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}
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s.activeOrders.Add(createdOrders...)
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}))
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}
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type Strategy struct {
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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@ -137,7 +169,7 @@ type Strategy struct {
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// ResistanceShort is one of the entry method
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ResistanceShort *ResistanceShort `json:"resistanceShort"`
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SupportTakeProfit []SupportTakeProfit `json:"supportTakeProfit"`
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SupportTakeProfit []*SupportTakeProfit `json:"supportTakeProfit"`
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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@ -167,8 +199,9 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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}
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for i := range s.SupportTakeProfit {
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dynamic.InheritStructValues(&s.SupportTakeProfit[i], s)
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s.SupportTakeProfit[i].Subscribe(session)
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m := s.SupportTakeProfit[i]
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dynamic.InheritStructValues(m, s)
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m.Subscribe(session)
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}
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if !bbgo.IsBackTesting {
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@ -243,8 +276,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.BreakLow.Bind(session, s.orderExecutor)
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}
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for _, m := range s.SupportTakeProfit {
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m.Bind(session, s.orderExecutor)
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for i := range s.SupportTakeProfit {
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s.SupportTakeProfit[i].Bind(session, s.orderExecutor)
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}
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bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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