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pivotshort: always collect trades after submitting orders

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c9s 2022-06-05 12:40:08 +08:00
parent b9c32c7f7e
commit 46b766857a
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1 changed files with 7 additions and 9 deletions
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16
pkg/strategy/pivotshort/strategy.go
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@ -104,7 +104,7 @@ func (s *Strategy) placeOrder(ctx context.Context, lastLow fixedpoint.Value, lim
} }
s.orderStore.Add(createdOrders...) s.orderStore.Add(createdOrders...)
s.activeMakerOrders.Add(createdOrders...) s.activeMakerOrders.Add(createdOrders...)
// s.tradeCollector.Process() s.tradeCollector.Process()
} }
func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error { func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
@ -167,13 +167,14 @@ func (s *Strategy) getValidPivotLow(price fixedpoint.Value) fixedpoint.Value {
func (s *Strategy) placeLayerOrder(ctx context.Context, lastLow fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, orderExecutor bbgo.OrderExecutor) { func (s *Strategy) placeLayerOrder(ctx context.Context, lastLow fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
futuresMode := s.session.Futures || s.session.IsolatedFutures futuresMode := s.session.Futures || s.session.IsolatedFutures
d := s.Entry.CatBounceRatio.Div(s.Entry.NumLayers) numLayers := fixedpoint.NewFromInt(int64(s.Entry.NumLayers))
d := s.Entry.CatBounceRatio.Div(numLayers)
q := s.Entry.Quantity q := s.Entry.Quantity
if !s.TotalQuantity.IsZero() { if !s.TotalQuantity.IsZero() {
q = s.TotalQuantity.Div(s.Entry.NumLayers) q = s.TotalQuantity.Div(numLayers)
} }
for i := 0; i < int(s.Entry.NumLayers.Float64()); i++ { for i := 0; i < s.Entry.NumLayers; i++ {
balances := s.session.GetAccount().Balances() balances := s.session.GetAccount().Balances()
quoteBalance, _ := balances[s.Market.QuoteCurrency] quoteBalance, _ := balances[s.Market.QuoteCurrency]
baseBalance, _ := balances[s.Market.BaseCurrency] baseBalance, _ := balances[s.Market.BaseCurrency]
@ -184,19 +185,16 @@ func (s *Strategy) placeLayerOrder(ctx context.Context, lastLow fixedpoint.Value
// log.Infof("futures mode on") // log.Infof("futures mode on")
if q.Mul(p).Compare(quoteBalance.Available) <= 0 { if q.Mul(p).Compare(quoteBalance.Available) <= 0 {
s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor) s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
s.tradeCollector.Process()
} }
} else if s.Environment.IsBackTesting() { } else if s.Environment.IsBackTesting() {
// log.Infof("spot backtest mode on") // log.Infof("spot backtest mode on")
if q.Compare(baseBalance.Available) <= 0 { if q.Compare(baseBalance.Available) <= 0 {
s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor) s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
s.tradeCollector.Process()
} }
} else { } else {
// log.Infof("spot mode on") // log.Infof("spot mode on")
if q.Compare(baseBalance.Available) <= 0 { if q.Compare(baseBalance.Available) <= 0 {
s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor) s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
s.tradeCollector.Process()
} }
} }
} }
@ -268,7 +266,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
session.UserDataStream.OnStart(func() { session.UserDataStream.OnStart(func() {
if price, ok := session.LastPrice(s.Symbol); ok { if price, ok := session.LastPrice(s.Symbol); ok {
limitPrice := s.getValidPivotLow(price) limitPrice := s.getValidPivotLow(price)
log.Infof("init %s place limit sell start from %f adds up to %f percent with %f layers of orders", s.Symbol, limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers.Float64()) log.Infof("init %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)
s.placeLayerOrder(ctx, s.LastLow, limitPrice, price, orderExecutor) s.placeLayerOrder(ctx, s.LastLow, limitPrice, price, orderExecutor)
} }
}) })
@ -312,7 +310,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
} }
limitPrice := s.getValidPivotLow(kline.Close) limitPrice := s.getValidPivotLow(kline.Close)
log.Infof("%s place limit sell start from %f adds up to %f percent with %f layers of orders", s.Symbol, limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers.Float64()) 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)
s.placeLayerOrder(ctx, s.LastLow, limitPrice, kline.Close, orderExecutor) s.placeLayerOrder(ctx, s.LastLow, limitPrice, kline.Close, orderExecutor)
// s.placeOrder(ctx, lastLow.Mul(fixedpoint.One.Add(s.CatBounceRatio)), s.Quantity, orderExecutor) // s.placeOrder(ctx, lastLow.Mul(fixedpoint.One.Add(s.CatBounceRatio)), s.Quantity, orderExecutor)
} }