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Merge pull request #904 from c9s/strategy/pivotshort-failed-break-high
strategy/pivotshort: add failed break high
This commit is contained in:
Yo-An Lin
GitHub
commit
3aa9636d98
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@ -24,18 +24,23 @@ type StandardIndicatorSet struct {
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// Standard indicators
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// interval -> window
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iwbIndicators map[types.IntervalWindowBandWidth]*indicator.BOLL
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iwIndicators map[types.IntervalWindow]indicator.KLinePusher
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iwIndicators map[indicatorKey]indicator.KLinePusher
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stream types.Stream
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store *MarketDataStore
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}
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type indicatorKey struct {
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iw types.IntervalWindow
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id string
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}
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func NewStandardIndicatorSet(symbol string, stream types.Stream, store *MarketDataStore) *StandardIndicatorSet {
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return &StandardIndicatorSet{
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Symbol: symbol,
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store: store,
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stream: stream,
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iwIndicators: make(map[types.IntervalWindow]indicator.KLinePusher),
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iwIndicators: make(map[indicatorKey]indicator.KLinePusher),
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iwbIndicators: make(map[types.IntervalWindowBandWidth]*indicator.BOLL),
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}
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}
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@ -50,69 +55,77 @@ func (s *StandardIndicatorSet) initAndBind(inc indicator.KLinePusher, interval t
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s.stream.OnKLineClosed(types.KLineWith(s.Symbol, interval, inc.PushK))
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}
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func (s *StandardIndicatorSet) allocateSimpleIndicator(t indicator.KLinePusher, iw types.IntervalWindow) indicator.KLinePusher {
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inc, ok := s.iwIndicators[iw]
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func (s *StandardIndicatorSet) allocateSimpleIndicator(t indicator.KLinePusher, iw types.IntervalWindow, id string) indicator.KLinePusher {
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k := indicatorKey{
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iw: iw,
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id: id,
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}
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inc, ok := s.iwIndicators[k]
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if ok {
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return inc
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}
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inc = t
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s.initAndBind(inc, iw.Interval)
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s.iwIndicators[iw] = inc
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s.iwIndicators[k] = inc
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return t
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}
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// SMA is a helper function that returns the simple moving average indicator of the given interval and the window size.
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func (s *StandardIndicatorSet) SMA(iw types.IntervalWindow) *indicator.SMA {
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inc := s.allocateSimpleIndicator(&indicator.SMA{IntervalWindow: iw}, iw)
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inc := s.allocateSimpleIndicator(&indicator.SMA{IntervalWindow: iw}, iw, "sma")
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return inc.(*indicator.SMA)
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}
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// EWMA is a helper function that returns the exponential weighed moving average indicator of the given interval and the window size.
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func (s *StandardIndicatorSet) EWMA(iw types.IntervalWindow) *indicator.EWMA {
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inc := s.allocateSimpleIndicator(&indicator.EWMA{IntervalWindow: iw}, iw)
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inc := s.allocateSimpleIndicator(&indicator.EWMA{IntervalWindow: iw}, iw, "ewma")
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return inc.(*indicator.EWMA)
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}
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// VWMA
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func (s *StandardIndicatorSet) VWMA(iw types.IntervalWindow) *indicator.VWMA {
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inc := s.allocateSimpleIndicator(&indicator.VWMA{IntervalWindow: iw}, iw)
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inc := s.allocateSimpleIndicator(&indicator.VWMA{IntervalWindow: iw}, iw, "vwma")
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return inc.(*indicator.VWMA)
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}
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func (s *StandardIndicatorSet) PivotHigh(iw types.IntervalWindow) *indicator.PivotHigh {
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inc := s.allocateSimpleIndicator(&indicator.PivotHigh{IntervalWindow: iw}, iw, "pivothigh")
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return inc.(*indicator.PivotHigh)
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}
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func (s *StandardIndicatorSet) PivotLow(iw types.IntervalWindow) *indicator.PivotLow {
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inc := s.allocateSimpleIndicator(&indicator.PivotLow{IntervalWindow: iw}, iw)
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inc := s.allocateSimpleIndicator(&indicator.PivotLow{IntervalWindow: iw}, iw, "pivotlow")
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return inc.(*indicator.PivotLow)
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}
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func (s *StandardIndicatorSet) ATR(iw types.IntervalWindow) *indicator.ATR {
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inc := s.allocateSimpleIndicator(&indicator.ATR{IntervalWindow: iw}, iw)
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inc := s.allocateSimpleIndicator(&indicator.ATR{IntervalWindow: iw}, iw, "atr")
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return inc.(*indicator.ATR)
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}
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func (s *StandardIndicatorSet) ATRP(iw types.IntervalWindow) *indicator.ATRP {
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inc := s.allocateSimpleIndicator(&indicator.ATRP{IntervalWindow: iw}, iw)
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inc := s.allocateSimpleIndicator(&indicator.ATRP{IntervalWindow: iw}, iw, "atrp")
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return inc.(*indicator.ATRP)
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}
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func (s *StandardIndicatorSet) EMV(iw types.IntervalWindow) *indicator.EMV {
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inc := s.allocateSimpleIndicator(&indicator.EMV{IntervalWindow: iw}, iw)
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inc := s.allocateSimpleIndicator(&indicator.EMV{IntervalWindow: iw}, iw, "emv")
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return inc.(*indicator.EMV)
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}
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func (s *StandardIndicatorSet) CCI(iw types.IntervalWindow) *indicator.CCI {
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inc := s.allocateSimpleIndicator(&indicator.CCI{IntervalWindow: iw}, iw)
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inc := s.allocateSimpleIndicator(&indicator.CCI{IntervalWindow: iw}, iw, "cci")
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return inc.(*indicator.CCI)
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}
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func (s *StandardIndicatorSet) HULL(iw types.IntervalWindow) *indicator.HULL {
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inc := s.allocateSimpleIndicator(&indicator.HULL{IntervalWindow: iw}, iw)
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inc := s.allocateSimpleIndicator(&indicator.HULL{IntervalWindow: iw}, iw, "hull")
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return inc.(*indicator.HULL)
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}
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func (s *StandardIndicatorSet) STOCH(iw types.IntervalWindow) *indicator.STOCH {
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inc := s.allocateSimpleIndicator(&indicator.STOCH{IntervalWindow: iw}, iw)
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inc := s.allocateSimpleIndicator(&indicator.STOCH{IntervalWindow: iw}, iw, "stoch")
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return inc.(*indicator.STOCH)
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}
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65
pkg/indicator/pivothigh.go
Normal file
65
pkg/indicator/pivothigh.go
Normal file
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@ -0,0 +1,65 @@
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package indicator
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import (
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"time"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/types"
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)
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//go:generate callbackgen -type PivotHigh
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type PivotHigh struct {
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types.SeriesBase
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types.IntervalWindow
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Highs floats.Slice
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Values floats.Slice
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EndTime time.Time
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updateCallbacks []func(value float64)
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}
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func (inc *PivotHigh) Length() int {
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return inc.Values.Length()
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}
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func (inc *PivotHigh) Last() float64 {
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if len(inc.Values) == 0 {
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return 0.0
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}
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return inc.Values.Last()
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}
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func (inc *PivotHigh) Update(value float64) {
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if len(inc.Highs) == 0 {
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inc.SeriesBase.Series = inc
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}
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inc.Highs.Push(value)
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if len(inc.Highs) < inc.Window {
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return
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}
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low, ok := calculatePivotHigh(inc.Highs, inc.Window, inc.RightWindow)
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if !ok {
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return
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}
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if low > 0.0 {
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inc.Values.Push(low)
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}
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}
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func (inc *PivotHigh) PushK(k types.KLine) {
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if k.EndTime.Before(inc.EndTime) {
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return
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}
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inc.Update(k.Low.Float64())
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.Last())
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}
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15
pkg/indicator/pivothigh_callbacks.go
Normal file
15
pkg/indicator/pivothigh_callbacks.go
Normal file
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@ -0,0 +1,15 @@
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// Code generated by "callbackgen -type PivotHigh"; DO NOT EDIT.
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package indicator
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import ()
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func (inc *PivotHigh) OnUpdate(cb func(value float64)) {
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inc.updateCallbacks = append(inc.updateCallbacks, cb)
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}
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func (inc *PivotHigh) EmitUpdate(value float64) {
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for _, cb := range inc.updateCallbacks {
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cb(value)
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}
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}
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249
pkg/strategy/pivotshort/failedbreakhigh.go
Normal file
249
pkg/strategy/pivotshort/failedbreakhigh.go
Normal file
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@ -0,0 +1,249 @@
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package pivotshort
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import (
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"context"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/risk"
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"github.com/c9s/bbgo/pkg/types"
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)
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// FailedBreakHigh -- when price breaks the previous pivot low, we set a trade entry
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type FailedBreakHigh struct {
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Symbol string
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Market types.Market
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types.IntervalWindow
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Enabled bool `json:"enabled"`
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// Ratio is a number less than 1.0, price * ratio will be the price triggers the short order.
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Ratio fixedpoint.Value `json:"ratio"`
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// MarketOrder is the option to enable market order short.
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MarketOrder bool `json:"marketOrder"`
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Leverage fixedpoint.Value `json:"leverage"`
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Quantity fixedpoint.Value `json:"quantity"`
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StopEMA *bbgo.StopEMA `json:"stopEMA"`
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TrendEMA *bbgo.TrendEMA `json:"trendEMA"`
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lastFailedBreakHigh, lastHigh fixedpoint.Value
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pivotHigh *indicator.PivotHigh
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PivotHighPrices []fixedpoint.Value
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orderExecutor *bbgo.GeneralOrderExecutor
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session *bbgo.ExchangeSession
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}
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func (s *FailedBreakHigh) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
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if s.StopEMA != nil {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.StopEMA.Interval})
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}
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if s.TrendEMA != nil {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.TrendEMA.Interval})
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}
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}
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func (s *FailedBreakHigh) 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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if !s.Enabled {
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return
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}
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position := orderExecutor.Position()
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symbol := position.Symbol
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standardIndicator := session.StandardIndicatorSet(s.Symbol)
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s.lastHigh = fixedpoint.Zero
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s.pivotHigh = standardIndicator.PivotHigh(s.IntervalWindow)
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if s.StopEMA != nil {
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s.StopEMA.Bind(session, orderExecutor)
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}
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if s.TrendEMA != nil {
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s.TrendEMA.Bind(session, orderExecutor)
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}
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// update pivot low data
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session.MarketDataStream.OnStart(func() {
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if s.updatePivotHigh() {
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bbgo.Notify("%s new pivot high: %f", s.Symbol, s.pivotHigh.Last())
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}
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s.pilotQuantityCalculation()
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})
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session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
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if s.updatePivotHigh() {
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// when position is opened, do not send pivot low notify
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if position.IsOpened(kline.Close) {
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return
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}
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bbgo.Notify("%s new pivot low: %f", s.Symbol, s.pivotHigh.Last())
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}
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}))
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// if the position is already opened, and we just break the low, this checks if the kline closed above the low,
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// so that we can close the position earlier
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(k types.KLine) {
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if !s.Enabled {
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return
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}
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// make sure the position is opened, and it's a short position
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if !position.IsOpened(k.Close) || !position.IsShort() {
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return
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}
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// make sure we recorded the last break low
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if s.lastFailedBreakHigh.IsZero() {
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return
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}
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// the kline opened below the last break low, and closed above the last break low
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if k.Open.Compare(s.lastFailedBreakHigh) < 0 && k.Close.Compare(s.lastFailedBreakHigh) > 0 {
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bbgo.Notify("kLine closed above the last break low, triggering stop earlier")
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if err := s.orderExecutor.ClosePosition(context.Background(), one, "fakeBreakStop"); err != nil {
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log.WithError(err).Error("position close error")
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}
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// reset to zero
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s.lastFailedBreakHigh = fixedpoint.Zero
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}
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}))
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
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if len(s.PivotHighPrices) == 0 || s.lastHigh.IsZero() {
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log.Infof("currently there is no pivot high prices, can not check failed break high...")
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return
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}
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previousHigh := s.lastHigh
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ratio := fixedpoint.One.Add(s.Ratio)
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breakPrice := previousHigh.Mul(ratio)
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openPrice := kline.Open
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closePrice := kline.Close
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// we need few conditions:
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// 1) kline.High is higher than the previous high
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// 2) kline.Close is lower than the previous high
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// 3) kline.Close is lower than kline.Open
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if kline.High.Compare(breakPrice) < 0 || closePrice.Compare(breakPrice) >= 0 {
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return
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}
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if closePrice.Compare(openPrice) > 0 {
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bbgo.Notify("the closed price is higher than the open price, skip failed break high short")
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return
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}
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bbgo.Notify("%s FailedBreakHigh signal detected, closed price %f < breakPrice %f", kline.Symbol, closePrice.Float64(), breakPrice.Float64())
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if s.lastFailedBreakHigh.IsZero() || previousHigh.Compare(s.lastFailedBreakHigh) < 0 {
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s.lastFailedBreakHigh = previousHigh
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}
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if position.IsOpened(kline.Close) {
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bbgo.Notify("position is already opened, skip")
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return
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}
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// trend EMA protection
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if s.TrendEMA != nil && !s.TrendEMA.GradientAllowed() {
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bbgo.Notify("trendEMA protection: close price %f, gradient %f", kline.Close.Float64(), s.TrendEMA.Gradient())
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return
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}
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// stop EMA protection
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if s.StopEMA != nil {
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if !s.StopEMA.Allowed(closePrice) {
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return
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}
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}
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ctx := context.Background()
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// graceful cancel all active orders
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_ = orderExecutor.GracefulCancel(ctx)
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quantity, err := risk.CalculateBaseQuantity(s.session, s.Market, closePrice, s.Quantity, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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}
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if quantity.IsZero() {
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log.Warn("quantity is zero, can not submit order, skip")
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return
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}
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if s.MarketOrder {
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bbgo.Notify("%s price %f failed breaking the previous high %f with ratio %f, submitting market sell to open a short position", symbol, kline.Close.Float64(), previousHigh.Float64(), s.Ratio.Float64())
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_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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MarginSideEffect: types.SideEffectTypeMarginBuy,
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Tag: "FailedBreakHighMarket",
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})
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} else {
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sellPrice := previousHigh
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bbgo.Notify("%s price %f failed breaking the previous high %f with ratio %f, submitting limit sell @ %f", symbol, kline.Close.Float64(), previousHigh.Float64(), s.Ratio.Float64(), sellPrice.Float64())
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_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: kline.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Price: sellPrice,
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Quantity: quantity,
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MarginSideEffect: types.SideEffectTypeMarginBuy,
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Tag: "FailedBreakHighLimit",
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})
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}
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}))
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}
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func (s *FailedBreakHigh) pilotQuantityCalculation() {
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log.Infof("pilot calculation for max position: last low = %f, quantity = %f, leverage = %f",
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s.lastHigh.Float64(),
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s.Quantity.Float64(),
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s.Leverage.Float64())
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quantity, err := risk.CalculateBaseQuantity(s.session, s.Market, s.lastHigh, s.Quantity, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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}
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if quantity.IsZero() {
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log.WithError(err).Errorf("quantity is zero, can not submit order")
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return
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}
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bbgo.Notify("%s %f quantity will be used for failed break high short", s.Symbol, quantity.Float64())
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}
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func (s *FailedBreakHigh) updatePivotHigh() bool {
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lastHigh := fixedpoint.NewFromFloat(s.pivotHigh.Last())
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if lastHigh.IsZero() || lastHigh.Compare(s.lastHigh) == 0 {
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return false
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}
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s.lastHigh = lastHigh
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s.PivotHighPrices = append(s.PivotHighPrices, lastHigh)
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return true
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}
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@ -43,12 +43,11 @@ type Strategy struct {
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// BreakLow is one of the entry method
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BreakLow *BreakLow `json:"breakLow"`
|
||||
FailedBreakHigh *FailedBreakHigh `json:"failedBreakHigh"`
|
||||
|
||||
// ResistanceShort is one of the entry method
|
||||
ResistanceShort *ResistanceShort `json:"resistanceShort"`
|
||||
|
||||
SupportTakeProfit []*bbgo.SupportTakeProfit `json:"supportTakeProfit"`
|
||||
|
||||
ExitMethods bbgo.ExitMethodSet `json:"exits"`
|
||||
|
||||
session *bbgo.ExchangeSession
|
||||
|
|
@ -80,10 +79,9 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
|||
s.BreakLow.Subscribe(session)
|
||||
}
|
||||
|
||||
for i := range s.SupportTakeProfit {
|
||||
m := s.SupportTakeProfit[i]
|
||||
dynamic.InheritStructValues(m, s)
|
||||
m.Subscribe(session)
|
||||
if s.FailedBreakHigh != nil {
|
||||
dynamic.InheritStructValues(s.FailedBreakHigh, s)
|
||||
s.FailedBreakHigh.Subscribe(session)
|
||||
}
|
||||
|
||||
if !bbgo.IsBackTesting {
|
||||
|
|
@ -157,8 +155,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.BreakLow.Bind(session, s.orderExecutor)
|
||||
}
|
||||
|
||||
for i := range s.SupportTakeProfit {
|
||||
s.SupportTakeProfit[i].Bind(session, s.orderExecutor)
|
||||
if s.FailedBreakHigh != nil {
|
||||
s.FailedBreakHigh.Bind(session, s.orderExecutor)
|
||||
}
|
||||
|
||||
bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user