mirror of
https://github.com/c9s/bbgo.git
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pivotshort: improve market sell when breaks previous pivot low only
pivotshort: improve market sell when breaks previous pivot low only
This commit is contained in:
austin362667
c9s
parent
48764c2b74
commit
3c40f9e90e
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@ -3,10 +3,10 @@ sessions:
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binance:
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exchange: binance
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envVarPrefix: binance
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margin: true
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isolatedMargin: true
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isolatedMarginSymbol: GMTUSDT
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# futures: true
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# margin: true
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# isolatedMargin: true
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# isolatedMarginSymbol: GMTUSDT
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# futures: true
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exchangeStrategies:
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- on: binance
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@ -17,28 +17,25 @@ exchangeStrategies:
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pivotLength: 120
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entry:
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immediate: true
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catBounceRatio: 1%
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quantity: 20
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numLayers: 3
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marginOrderSideEffect: borrow
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quantity: 3000.0
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# marginOrderSideEffect: borrow
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exit:
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takeProfitPercentage: 13%
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stopLossPercentage: 0.5%
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shadowTakeProfitRatio: 3%
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marginOrderSideEffect: repay
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takeProfitPercentage: 25%
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stopLossPercentage: 1%
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lowerShadowRatio: 0.95
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# marginOrderSideEffect: repay
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backtest:
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sessions:
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- binance
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startTime: "2022-04-01"
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startTime: "2022-05-01"
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endTime: "2022-06-03"
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symbols:
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- GMTUSDT
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account:
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binance:
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balances:
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GMT: 3_000.0
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USDT: 3_000.0
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GMT: 3010.0
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USDT: 1000.0
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@ -3,7 +3,6 @@ package pivotshort
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import (
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"context"
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"fmt"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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@ -25,17 +24,14 @@ type IntervalWindowSetting struct {
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}
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type Entry struct {
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Immediate bool `json:"immediate"`
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CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
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Quantity fixedpoint.Value `json:"quantity"`
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NumLayers int `json:"numLayers"`
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MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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}
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type Exit struct {
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TakeProfitPercentage fixedpoint.Value `json:"takeProfitPercentage"`
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StopLossPercentage fixedpoint.Value `json:"stopLossPercentage"`
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ShadowTPRatio fixedpoint.Value `json:"shadowTakeProfitRatio"`
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LowerShadowRatio fixedpoint.Value `json:"lowerShadowRatio"`
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MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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}
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@ -44,18 +40,17 @@ type Strategy struct {
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*bbgo.Notifiability
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*bbgo.Persistence
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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Market types.Market
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Interval types.Interval `json:"interval"`
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TotalQuantity fixedpoint.Value `json:"totalQuantity"`
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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Market types.Market
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Interval types.Interval `json:"interval"`
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// persistence fields
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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PivotLength int `json:"pivotLength"`
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LastLow fixedpoint.Value
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LastLow float64
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Entry Entry
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Exit Exit
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@ -67,7 +62,7 @@ type Strategy struct {
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session *bbgo.ExchangeSession
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pivot *indicator.Pivot
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pivotLowPrices []fixedpoint.Value
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pivotLowPrices []float64
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// StrategyController
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bbgo.StrategyController
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@ -80,7 +75,18 @@ func (s *Strategy) ID() string {
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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log.Infof("subscribe %s", s.Symbol)
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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.Interval1d})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
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}
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func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, submitOrders ...types.SubmitOrder) {
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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log.WithError(err).Errorf("can not place orders")
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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s.tradeCollector.Process()
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}
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func (s *Strategy) placeMarketSell(ctx context.Context, orderExecutor bbgo.OrderExecutor) {
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@ -113,66 +119,21 @@ func (s *Strategy) placeMarketSell(ctx context.Context, orderExecutor bbgo.Order
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s.submitOrders(ctx, orderExecutor, submitOrder)
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}
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func (s *Strategy) placeOrder(ctx context.Context, lastLow fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, qty fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
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submitOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Price: limitPrice,
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Quantity: qty,
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}
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if !lastLow.IsZero() && s.Entry.Immediate && lastLow.Compare(currentPrice) <= 0 {
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submitOrder.Type = types.OrderTypeMarket
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}
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if s.session.Margin {
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submitOrder.MarginSideEffect = s.Entry.MarginSideEffect
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}
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s.submitOrders(ctx, orderExecutor, submitOrder)
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}
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func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, submitOrders ...types.SubmitOrder) {
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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log.WithError(err).Errorf("can not place orders")
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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s.tradeCollector.Process()
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// check if position can be close or not
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func canClosePosition(position *types.Position, price fixedpoint.Value) bool {
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return position.IsShort() && !(position.IsClosed() || position.IsDust(price))
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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base := s.Position.GetBase()
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if base.IsZero() {
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return fmt.Errorf("no opened %s position", s.Position.Symbol)
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}
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submitOrder := s.Position.NewClosePositionOrder(percentage) //types.SubmitOrder{
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// make it negative
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quantity := base.Mul(percentage).Abs()
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side := types.SideTypeBuy
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if base.Sign() > 0 {
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side = types.SideTypeSell
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}
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if quantity.Compare(s.Market.MinQuantity) < 0 {
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return fmt.Errorf("order quantity %v is too small, less than %v", quantity, s.Market.MinQuantity)
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}
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submitOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: side,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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Market: s.Market,
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}
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if s.session.Margin {
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submitOrder.MarginSideEffect = s.Exit.MarginSideEffect
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}
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// s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
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s.Notify("Submitting %s buy order to close position by %v", s.Symbol, percentage)
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createdOrders, err := s.session.Exchange.SubmitOrders(ctx, submitOrder)
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createdOrders, err := s.session.Exchange.SubmitOrders(ctx, *submitOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place position close order")
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}
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@ -186,57 +147,6 @@ func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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// check if position can be close or not
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func canClosePosition(position *types.Position, signal fixedpoint.Value, price fixedpoint.Value) bool {
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return !signal.IsZero() && position.IsShort() && !position.IsDust(price)
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}
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// findHigherPivotLow checks the pivot low prices and return the low that is higher than the current price
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func (s *Strategy) findHigherPivotLow(price fixedpoint.Value) (fixedpoint.Value, bool) {
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for l := len(s.pivotLowPrices) - 1; l > 0; l-- {
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if s.pivotLowPrices[l].Compare(price) > 0 {
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return s.pivotLowPrices[l], true
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}
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}
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return price, false
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}
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func (s *Strategy) placeBounceSellOrders(ctx context.Context, lastLow fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
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futuresMode := s.session.Futures || s.session.IsolatedFutures
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numLayers := fixedpoint.NewFromInt(int64(s.Entry.NumLayers))
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d := s.Entry.CatBounceRatio.Div(numLayers)
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q := s.Entry.Quantity
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if !s.TotalQuantity.IsZero() {
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q = s.TotalQuantity.Div(numLayers)
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}
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for i := 0; i < s.Entry.NumLayers; i++ {
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balances := s.session.GetAccount().Balances()
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quoteBalance, _ := balances[s.Market.QuoteCurrency]
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baseBalance, _ := balances[s.Market.BaseCurrency]
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p := limitPrice.Mul(fixedpoint.One.Add(s.Entry.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
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if futuresMode {
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// log.Infof("futures mode on")
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if q.Mul(p).Compare(quoteBalance.Available) <= 0 {
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s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
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}
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} else if s.Environment.IsBackTesting() {
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// log.Infof("spot backtest mode on")
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if q.Compare(baseBalance.Available) <= 0 {
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s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
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}
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} else {
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// log.Infof("spot mode on")
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if q.Compare(baseBalance.Available) <= 0 {
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s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
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}
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}
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}
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// initial required information
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s.session = session
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@ -293,24 +203,49 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.pivot = &indicator.Pivot{IntervalWindow: iw}
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s.pivot.Bind(st)
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s.LastLow = fixedpoint.Zero
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s.LastLow = 0.
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session.UserDataStream.OnStart(func() {
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if price, ok := session.LastPrice(s.Symbol); ok {
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if limitPrice, ok := s.findHigherPivotLow(price); ok {
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log.Infof("%s placing limit sell start from %f adds up to %f percent with %d layers of orders", s.Symbol, limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers)
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s.placeBounceSellOrders(ctx, s.LastLow, limitPrice, price, orderExecutor)
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}
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}
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//if price, ok := session.LastPrice(s.Symbol); ok {
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//if limitPrice, ok := s.findHigherPivotLow(price); ok {
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// log.Infof("%s placing limit sell start from %f adds up to %f percent with %d layers of orders", s.Symbol, limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers)
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// s.placeBounceSellOrders(ctx, limitPrice, price, orderExecutor)
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//}
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//}
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})
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session.MarketDataStream.OnKLine(func(kline types.KLine) {
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// TODO: handle stop loss here, faster than closed kline
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_, found := s.findHigherPivotLow(kline.Close)
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if !found && s.Entry.Immediate && (s.Position.IsClosed() || s.Position.IsDust(kline.Close)) {
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s.Notify("price breaks the previous low, submitting market sell to open a short position")
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s.placeMarketSell(ctx, orderExecutor)
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// Always check whether you can open a short position or not
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != s.Symbol || kline.Interval != types.Interval1m {
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return
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}
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// TODO: handle stop loss here, faster than closed kline
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if canClosePosition(s.Position, kline.Close) {
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// calculate return rate
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R := kline.Close.Sub(s.Position.AverageCost).Div(s.Position.AverageCost)
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if R.Compare(s.Exit.StopLossPercentage) > 0 {
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// SL
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s.Notify("%s SL triggered", s.Symbol)
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s.ClosePosition(ctx, fixedpoint.One)
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} else if R.Compare(s.Exit.TakeProfitPercentage.Neg()) < 0 && kline.GetLowerShadowRatio().Compare(s.Exit.LowerShadowRatio) > 0 {
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// TP
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s.Notify("%s TP triggered", s.Symbol)
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s.ClosePosition(ctx, fixedpoint.One)
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}
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}
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if len(s.pivotLowPrices) > 0 {
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latestPivotLow := s.pivotLowPrices[len(s.pivotLowPrices)-1]
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if kline.Close.Float64() > latestPivotLow && (s.Position.IsClosed() || s.Position.IsDust(kline.Close)) {
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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s.Notify("price breaks the previous low, submitting market sell to open a short position")
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s.placeMarketSell(ctx, orderExecutor)
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}
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}
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})
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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@ -320,41 +255,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if s.pivot.LastLow() > 0. {
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log.Infof("pivot low signal detected: %f %s", s.pivot.LastLow(), kline.EndTime.Time())
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s.LastLow = fixedpoint.NewFromFloat(s.pivot.LastLow())
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} else {
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if canClosePosition(s.Position, s.LastLow, kline.Close) {
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R := kline.Close.Div(s.Position.AverageCost)
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if R.Compare(fixedpoint.One.Add(s.Exit.StopLossPercentage)) > 0 {
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// SL
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s.Notify("%s SL triggered", s.Symbol)
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s.ClosePosition(ctx, fixedpoint.One)
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s.tradeCollector.Process()
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} else if R.Compare(fixedpoint.One.Sub(s.Exit.TakeProfitPercentage)) < 0 {
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// TP
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s.Notify("%s TP triggered", s.Symbol)
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s.ClosePosition(ctx, fixedpoint.One)
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} else if kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Exit.ShadowTPRatio) > 0 {
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// shadow TP
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s.Notify("%s shadow TP triggered", s.Symbol)
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s.ClosePosition(ctx, fixedpoint.One)
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}
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}
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s.LastLow = fixedpoint.Zero
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}
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if !s.LastLow.IsZero() {
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s.LastLow = s.pivot.LastLow()
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s.pivotLowPrices = append(s.pivotLowPrices, s.LastLow)
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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if limitPrice, ok := s.findHigherPivotLow(kline.Close); ok {
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log.Infof("%s place limit sell start from %f adds up to %f percent with %d layers of orders", s.Symbol, limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers)
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s.placeBounceSellOrders(ctx, s.LastLow, limitPrice, kline.Close, orderExecutor)
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}
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}
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})
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return nil
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