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Merge pull request #930 from andycheng123/fix/pivotshort-trendema
Fix: Pivotshort
This commit is contained in:
commit
3c4bad6124
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@ -44,7 +44,7 @@ func (s *TrendEMA) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExe
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func (s *TrendEMA) Gradient() float64 {
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if s.last > 0.0 && s.current > 0.0 {
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return s.last / s.current
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return s.current / s.last
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}
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return 0.0
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}
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@ -58,11 +58,7 @@ func (s *TrendEMA) GradientAllowed() bool {
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return false
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}
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if s.MaxGradient > 0.0 && gradient < s.MaxGradient {
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return true
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}
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if s.MinGradient > 0.0 && gradient > s.MinGradient {
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if s.MaxGradient > 0.0 && gradient < s.MaxGradient && gradient > s.MinGradient {
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return true
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}
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21
pkg/bbgo/trend_ema_test.go
Normal file
21
pkg/bbgo/trend_ema_test.go
Normal file
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@ -0,0 +1,21 @@
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package bbgo
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import (
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"testing"
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"github.com/c9s/bbgo/pkg/types"
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)
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func Test_TrendEMA(t *testing.T) {
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t.Run("Test Trend EMA", func(t *testing.T) {
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trendEMA_test := TrendEMA{
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IntervalWindow: types.IntervalWindow{Window: 1},
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}
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trendEMA_test.last = 1000.0
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trendEMA_test.current = 1200.0
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if trendEMA_test.Gradient() != 1.2 {
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t.Errorf("Gradient() = %v, want %v", trendEMA_test.Gradient(), 1.2)
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}
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})
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}
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@ -50,6 +50,9 @@ type BreakLow struct {
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orderExecutor *bbgo.GeneralOrderExecutor
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session *bbgo.ExchangeSession
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// StrategyController
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bbgo.StrategyController
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}
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func (s *BreakLow) Subscribe(session *bbgo.ExchangeSession) {
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@ -73,6 +76,9 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
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s.session = session
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s.orderExecutor = orderExecutor
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// StrategyController
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s.Status = types.StrategyStatusRunning
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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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@ -146,6 +152,11 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
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ratio := fixedpoint.One.Add(s.Ratio)
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breakPrice := previousLow.Mul(ratio)
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// StrategyController
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if s.Status != types.StrategyStatusRunning {
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return
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}
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openPrice := kline.Open
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closePrice := kline.Close
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@ -45,6 +45,9 @@ type FailedBreakHigh struct {
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orderExecutor *bbgo.GeneralOrderExecutor
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session *bbgo.ExchangeSession
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// StrategyController
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bbgo.StrategyController
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}
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func (s *FailedBreakHigh) Subscribe(session *bbgo.ExchangeSession) {
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@ -80,6 +83,9 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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s.lastHigh = fixedpoint.Zero
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s.pivotHigh = standardIndicator.PivotHigh(s.IntervalWindow)
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// StrategyController
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s.Status = types.StrategyStatusRunning
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if s.VWMA != nil {
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s.vwma = standardIndicator.VWMA(types.IntervalWindow{
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Interval: s.BreakInterval,
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@ -122,6 +128,11 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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return
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}
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// StrategyController
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if s.Status != types.StrategyStatusRunning {
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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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@ -150,6 +161,11 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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return
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}
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// StrategyController
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if s.Status != types.StrategyStatusRunning {
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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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@ -35,6 +35,9 @@ type ResistanceShort struct {
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currentResistancePrice fixedpoint.Value
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activeOrders *bbgo.ActiveOrderBook
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// StrategyController
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bbgo.StrategyController
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}
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func (s *ResistanceShort) Subscribe(session *bbgo.ExchangeSession) {
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@ -59,6 +62,9 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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})
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s.activeOrders.BindStream(session.UserDataStream)
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// StrategyController
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s.Status = types.StrategyStatusRunning
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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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@ -69,6 +75,11 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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s.updateResistanceOrders(fixedpoint.NewFromFloat(s.resistancePivot.Last()))
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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// StrategyController
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if s.Status != types.StrategyStatusRunning {
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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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return
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@ -125,6 +125,18 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.OnSuspend(func() {
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// Cancel active orders
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_ = s.orderExecutor.GracefulCancel(ctx)
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if s.BreakLow != nil {
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s.BreakLow.Suspend()
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}
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if s.ResistanceShort != nil {
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s.ResistanceShort.Suspend()
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}
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if s.FailedBreakHigh != nil {
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s.FailedBreakHigh.Suspend()
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}
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})
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s.OnEmergencyStop(func() {
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@ -132,6 +144,18 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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_ = s.orderExecutor.GracefulCancel(ctx)
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// Close 100% position
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_ = s.ClosePosition(ctx, fixedpoint.One)
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if s.BreakLow != nil {
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s.BreakLow.EmergencyStop()
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}
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if s.ResistanceShort != nil {
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s.ResistanceShort.EmergencyStop()
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}
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if s.FailedBreakHigh != nil {
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s.FailedBreakHigh.EmergencyStop()
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}
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})
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// initial required information
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