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strategy: move risk control to common.Strategy

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c9s 2023-07-10 15:24:07 +08:00
parent 12bb22ae87
commit 3b6cff8dc7
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3 changed files with 27 additions and 25 deletions
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2
config/rsicross.yaml
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@ -16,7 +16,7 @@ exchangeStrategies:
rsicross:
symbol: BTCUSDT
interval: 5m
fastWindow: 7
fastWindow: 3
slowWindow: 12
quantity: 0.1

26
pkg/strategy/common/strategy.go
View File

@ -3,7 +3,11 @@ package common
import (
"context"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/risk/riskcontrol"
"github.com/c9s/bbgo/pkg/types"
)
@ -18,6 +22,14 @@ type Strategy struct {
Environ *bbgo.Environment
Session *bbgo.ExchangeSession
OrderExecutor *bbgo.GeneralOrderExecutor
PositionHardLimit fixedpoint.Value `json:"positionHardLimit"`
MaxPositionQuantity fixedpoint.Value `json:"maxPositionQuantity"`
CircuitBreakLossThreshold fixedpoint.Value `json:"circuitBreakLossThreshold"`
CircuitBreakEMA types.IntervalWindow `json:"circuitBreakEMA"`
positionRiskControl *riskcontrol.PositionRiskControl
circuitBreakRiskControl *riskcontrol.CircuitBreakRiskControl
}
func (s *Strategy) Initialize(ctx context.Context, environ *bbgo.Environment, session *bbgo.ExchangeSession, market types.Market, strategyID, instanceID string) {
@ -55,4 +67,18 @@ func (s *Strategy) Initialize(ctx context.Context, environ *bbgo.Environment, se
s.OrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
// bbgo.Sync(ctx, s)
})
if !s.PositionHardLimit.IsZero() && !s.MaxPositionQuantity.IsZero() {
log.Infof("positionHardLimit and maxPositionQuantity are configured, setting up PositionRiskControl...")
s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.OrderExecutor, s.PositionHardLimit, s.MaxPositionQuantity)
}
if !s.CircuitBreakLossThreshold.IsZero() {
log.Infof("circuitBreakLossThreshold is configured, setting up CircuitBreakRiskControl...")
s.circuitBreakRiskControl = riskcontrol.NewCircuitBreakRiskControl(
s.Position,
session.Indicators(market.Symbol).EWMA(s.CircuitBreakEMA),
s.CircuitBreakLossThreshold,
s.ProfitStats)
}
}

24
pkg/strategy/rsicross/strategy.go
View File

@ -10,7 +10,6 @@ import (
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/risk/riskcontrol"
"github.com/c9s/bbgo/pkg/strategy/common"
"github.com/c9s/bbgo/pkg/types"
)
@ -33,15 +32,6 @@ type Strategy struct {
FastWindow int `json:"fastWindow"`
bbgo.OpenPositionOptions
// risk related parameters
PositionHardLimit fixedpoint.Value `json:"positionHardLimit"`
MaxPositionQuantity fixedpoint.Value `json:"maxPositionQuantity"`
CircuitBreakLossThreshold fixedpoint.Value `json:"circuitBreakLossThreshold"`
CircuitBreakEMA types.IntervalWindow `json:"circuitBreakEMA"`
positionRiskControl *riskcontrol.PositionRiskControl
circuitBreakRiskControl *riskcontrol.CircuitBreakRiskControl
}
func (s *Strategy) ID() string {
@ -60,20 +50,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.Strategy = &common.Strategy{}
s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
if !s.PositionHardLimit.IsZero() && !s.MaxPositionQuantity.IsZero() {
log.Infof("positionHardLimit and maxPositionQuantity are configured, setting up PositionRiskControl...")
s.positionRiskControl = riskcontrol.NewPositionRiskControl(s.OrderExecutor, s.PositionHardLimit, s.MaxPositionQuantity)
}
if !s.CircuitBreakLossThreshold.IsZero() {
log.Infof("circuitBreakLossThreshold is configured, setting up CircuitBreakRiskControl...")
s.circuitBreakRiskControl = riskcontrol.NewCircuitBreakRiskControl(
s.Position,
session.Indicators(s.Symbol).EWMA(s.CircuitBreakEMA),
s.CircuitBreakLossThreshold,
s.ProfitStats)
}
fastRsi := session.Indicators(s.Symbol).RSI(types.IntervalWindow{Interval: s.Interval, Window: s.FastWindow})
slowRsi := session.Indicators(s.Symbol).RSI(types.IntervalWindow{Interval: s.Interval, Window: s.SlowWindow})
rsiCross := indicator.Cross(fastRsi, slowRsi)