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strategy: add trend trader
strategy: add trend treader strategy: add trend treader
This commit is contained in:
austin362667
parent
8b97e4c4e8
commit
46b3fabfe3
50
config/trendtrader.yaml
Normal file
50
config/trendtrader.yaml
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@ -0,0 +1,50 @@
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persistence:
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json:
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directory: var/data
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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sessions:
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binance:
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exchange: binance
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envVarPrefix: binance
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# futures: true
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exchangeStrategies:
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- on: binance
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trendtrader:
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symbol: BTCBUSD
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trendLine:
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interval: 30m
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pivotRightWindow: 40
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quantity: 1
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exits:
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- trailingStop:
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callbackRate: 1%
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activationRatio: 1%
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closePosition: 100%
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minProfit: 15%
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interval: 1m
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side: buy
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- trailingStop:
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callbackRate: 1%
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activationRatio: 1%
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closePosition: 100%
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minProfit: 15%
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interval: 1m
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side: sell
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backtest:
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sessions:
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- binance
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startTime: "2021-01-01"
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endTime: "2022-08-31"
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symbols:
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- BTCBUSD
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accounts:
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binance:
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balances:
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BTC: 1
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BUSD: 50_000.0
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@ -29,6 +29,7 @@ import (
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_ "github.com/c9s/bbgo/pkg/strategy/support"
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_ "github.com/c9s/bbgo/pkg/strategy/swing"
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_ "github.com/c9s/bbgo/pkg/strategy/techsignal"
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_ "github.com/c9s/bbgo/pkg/strategy/trendtrader"
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_ "github.com/c9s/bbgo/pkg/strategy/wall"
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_ "github.com/c9s/bbgo/pkg/strategy/xbalance"
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_ "github.com/c9s/bbgo/pkg/strategy/xgap"
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134
pkg/strategy/trendtrader/strategy.go
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134
pkg/strategy/trendtrader/strategy.go
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@ -0,0 +1,134 @@
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package trendtrader
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import (
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"context"
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"fmt"
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"github.com/c9s/bbgo/pkg/dynamic"
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"os"
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"sync"
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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/types"
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"github.com/sirupsen/logrus"
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)
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const ID = "trendtrader"
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var one = fixedpoint.One
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var zero = fixedpoint.Zero
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type IntervalWindowSetting struct {
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types.IntervalWindow
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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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Market types.Market
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types.IntervalWindow
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// persistence fields
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Position *types.Position `persistence:"position"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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TradeStats *types.TradeStats `persistence:"trade_stats"`
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activeOrders *bbgo.ActiveOrderBook
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TrendLine *TrendLine `json:"trendLine"`
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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// StrategyController
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bbgo.StrategyController
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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//session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Trend.Interval})
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//session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
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if s.TrendLine != nil {
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dynamic.InheritStructValues(s.TrendLine, s)
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s.TrendLine.Subscribe(session)
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}
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s.ExitMethods.SetAndSubscribe(session, s)
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}
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func (s *Strategy) ID() string {
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return ID
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}
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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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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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var instanceID = s.InstanceID()
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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if s.TradeStats == nil {
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s.TradeStats = types.NewTradeStats(s.Symbol)
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}
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// StrategyController
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s.Status = types.StrategyStatusRunning
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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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})
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s.OnEmergencyStop(func() {
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// Cancel active orders
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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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})
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// initial required information
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s.session = session
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s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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s.orderExecutor.BindEnvironment(s.Environment)
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s.orderExecutor.BindProfitStats(s.ProfitStats)
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s.orderExecutor.BindTradeStats(s.TradeStats)
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(s)
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})
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s.orderExecutor.Bind()
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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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for _, method := range s.ExitMethods {
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method.Bind(session, s.orderExecutor)
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}
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if s.TrendLine != nil {
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s.TrendLine.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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defer wg.Done()
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_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
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_ = s.orderExecutor.GracefulCancel(ctx)
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})
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return nil
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}
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156
pkg/strategy/trendtrader/trend.go
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156
pkg/strategy/trendtrader/trend.go
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@ -0,0 +1,156 @@
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package trendtrader
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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/types"
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)
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type TrendLine struct {
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Symbol string
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Market types.Market `json:"-"`
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types.IntervalWindow
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PivotRightWindow fixedpoint.Value `json:"pivotRightWindow"`
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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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Quantity fixedpoint.Value `json:"quantity"`
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orderExecutor *bbgo.GeneralOrderExecutor
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session *bbgo.ExchangeSession
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activeOrders *bbgo.ActiveOrderBook
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pivotHigh *indicator.PivotHigh
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pivotLow *indicator.PivotLow
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bbgo.QuantityOrAmount
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}
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func (s *TrendLine) 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.pivot != nil {
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// session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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//}
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}
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func (s *TrendLine) 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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position := orderExecutor.Position()
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symbol := position.Symbol
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standardIndicator := session.StandardIndicatorSet(s.Symbol)
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s.pivotHigh = standardIndicator.PivotHigh(types.IntervalWindow{s.Interval, int(3. * s.PivotRightWindow.Float64()), int(s.PivotRightWindow.Float64())})
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s.pivotLow = standardIndicator.PivotLow(types.IntervalWindow{s.Interval, int(3. * s.PivotRightWindow.Float64()), int(s.PivotRightWindow.Float64())})
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resistancePrices := types.NewQueue(3)
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pivotHighDurationCounter := 0.
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resistanceDuration := types.NewQueue(2)
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supportPrices := types.NewQueue(3)
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pivotLowDurationCounter := 0.
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supportDuration := types.NewQueue(2)
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resistanceSlope := 0.
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resistanceSlope1 := 0.
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resistanceSlope2 := 0.
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supportSlope := 0.
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supportSlope1 := 0.
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supportSlope2 := 0.
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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if s.pivotHigh.Last() != resistancePrices.Last() {
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resistancePrices.Update(s.pivotHigh.Last())
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resistanceDuration.Update(pivotHighDurationCounter)
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pivotHighDurationCounter = 0
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} else {
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pivotHighDurationCounter++
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}
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if s.pivotLow.Last() != supportPrices.Last() {
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supportPrices.Update(s.pivotLow.Last())
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supportDuration.Update(pivotLowDurationCounter)
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pivotLowDurationCounter = 0
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} else {
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pivotLowDurationCounter++
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}
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if line(resistancePrices.Index(2), resistancePrices.Index(1), resistancePrices.Index(0)) < 0 {
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resistanceSlope1 = (resistancePrices.Index(1) - resistancePrices.Index(2)) / resistanceDuration.Index(1)
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resistanceSlope2 = (resistancePrices.Index(0) - resistancePrices.Index(1)) / resistanceDuration.Index(0)
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resistanceSlope = (resistanceSlope1 + resistanceSlope2) / 2.
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}
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if line(supportPrices.Index(2), supportPrices.Index(1), supportPrices.Index(0)) > 0 {
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supportSlope1 = (supportPrices.Index(1) - supportPrices.Index(2)) / supportDuration.Index(1)
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supportSlope2 = (supportPrices.Index(0) - supportPrices.Index(1)) / supportDuration.Index(0)
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supportSlope = (supportSlope1 + supportSlope2) / 2.
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}
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if converge(resistanceSlope, supportSlope) {
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// y = mx+b
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currentResistance := resistanceSlope*pivotHighDurationCounter + resistancePrices.Last()
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currentSupport := supportSlope*pivotLowDurationCounter + supportPrices.Last()
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log.Info(currentResistance, currentSupport, kline.Close)
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if kline.High.Float64() > currentResistance {
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if position.IsShort() {
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s.orderExecutor.ClosePosition(context.Background(), one)
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}
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if position.IsDust(kline.Close) || position.IsClosed() {
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s.placeOrder(context.Background(), types.SideTypeBuy, s.Quantity, symbol) // OrAmount.CalculateQuantity(kline.Close)
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}
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} else if kline.Low.Float64() < currentSupport {
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if position.IsLong() {
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s.orderExecutor.ClosePosition(context.Background(), one)
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}
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if position.IsDust(kline.Close) || position.IsClosed() {
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s.placeOrder(context.Background(), types.SideTypeSell, s.Quantity, symbol) // OrAmount.CalculateQuantity(kline.Close)
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}
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}
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}
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}))
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if !bbgo.IsBackTesting {
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session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
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})
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}
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}
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func (s *TrendLine) placeOrder(ctx context.Context, side types.SideType, quantity fixedpoint.Value, symbol string) error {
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market, _ := s.session.Market(symbol)
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_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: symbol,
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Market: market,
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Side: side,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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Tag: "trend-break",
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})
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if err != nil {
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log.WithError(err).Errorf("can not place market order")
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}
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return err
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}
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func line(p1, p2, p3 float64) int64 {
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if p1 >= p2 && p2 >= p3 {
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return -1
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} else if p1 <= p2 && p2 <= p3 {
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return +1
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}
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return 0
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}
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func converge(mr, ms float64) bool {
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if ms > mr {
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return true
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}
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return false
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}
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