pivotshort: refactor take profit and stop loss methods

Signed-off-by: c9s <yoanlin93@gmail.com>

pkg/backtest/matching.go

@@ -56,7 +56,7 @@ type SimplePriceMatching struct {
 	mu           sync.Mutex
 	bidOrders    []types.Order
 	askOrders    []types.Order
-	closedOrders []types.Order
+	closedOrders map[uint64]types.Order
 
 	LastPrice   fixedpoint.Value
 	LastKLine   types.KLine
@@ -375,8 +375,9 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
 		trades = append(trades, trade)
 
 		m.EmitOrderUpdate(o)
+
+		m.closedOrders[o.OrderID] = o
 	}
-	m.closedOrders = append(m.closedOrders, closedOrders...)
 
 	return closedOrders, trades
 }
@@ -445,12 +446,33 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
 		trades = append(trades, trade)
 
 		m.EmitOrderUpdate(o)
+
+		m.closedOrders[o.OrderID] = o
 	}
-	m.closedOrders = append(m.closedOrders, closedOrders...)
 
 	return closedOrders, trades
 }
 
+func (m *SimplePriceMatching) getOrder(orderID uint64) (types.Order, bool) {
+	if o, ok := m.closedOrders[orderID]; ok {
+		return o, true
+	}
+
+	for _, o := range m.bidOrders {
+		if o.OrderID == orderID {
+			return o, true
+		}
+	}
+
+	for _, o := range m.askOrders {
+		if o.OrderID == orderID {
+			return o, true
+		}
+	}
+
+	return types.Order{}, false
+}
+
 func (m *SimplePriceMatching) processKLine(kline types.KLine) {
 	m.CurrentTime = kline.EndTime.Time()
 	m.LastKLine = kline

pkg/bbgo/order_execution.go

@@ -14,11 +14,6 @@ import (
 type OrderExecutor interface {
 	SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error)
 	CancelOrders(ctx context.Context, orders ...types.Order) error
-
-	OnTradeUpdate(cb func(trade types.Trade))
-	OnOrderUpdate(cb func(order types.Order))
-	EmitTradeUpdate(trade types.Trade)
-	EmitOrderUpdate(order types.Order)
 }
 
 type OrderExecutionRouter interface {

pkg/bbgo/order_executor_general.go

@@ -85,6 +85,11 @@ func (e *GeneralOrderExecutor) Bind() {
 	e.tradeCollector.BindStream(e.session.UserDataStream)
 }
 
+func (e *GeneralOrderExecutor) CancelOrders(ctx context.Context, orders ...types.Order) error {
+	err := e.session.Exchange.CancelOrders(ctx, orders...)
+	return err
+}
+
 func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ...types.SubmitOrder) (types.OrderSlice, error) {
 	formattedOrders, err := e.session.FormatOrders(submitOrders)
 	if err != nil {
@@ -125,3 +130,11 @@ func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fix
 func (e *GeneralOrderExecutor) TradeCollector() *TradeCollector {
 	return e.tradeCollector
 }
+
+func (e *GeneralOrderExecutor) Session() *ExchangeSession {
+	return e.session
+}
+
+func (e *GeneralOrderExecutor) Position() *types.Position {
+	return e.position
+}

pkg/strategy/pivotshort/protection_stop.go

@@ -0,0 +1,155 @@
+package pivotshort
+
+import (
+	"context"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type ProtectionStopLoss struct {
+	// ActivationRatio is the trigger condition of this ROI protection stop loss
+	// When the price goes lower (for short position) with the ratio, the protection stop will be activated.
+	// This number should be positive to protect the profit
+	ActivationRatio fixedpoint.Value `json:"activationRatio"`
+
+	// StopLossRatio is the ratio for stop loss. This number should be positive to protect the profit.
+	// negative ratio will cause loss.
+	StopLossRatio fixedpoint.Value `json:"stopLossRatio"`
+
+	// PlaceStopOrder places the stop order on exchange and lock the balance
+	PlaceStopOrder bool `json:"placeStopOrder"`
+
+	session       *bbgo.ExchangeSession
+	orderExecutor *bbgo.GeneralOrderExecutor
+	stopLossPrice fixedpoint.Value
+	stopLossOrder *types.Order
+}
+
+func (s *ProtectionStopLoss) shouldActivate(position *types.Position, closePrice fixedpoint.Value) bool {
+	if position.IsLong() {
+		r := one.Add(s.ActivationRatio)
+		activationPrice := position.AverageCost.Mul(r)
+		return closePrice.Compare(activationPrice) > 0
+	} else if position.IsShort() {
+		r := one.Sub(s.ActivationRatio)
+		activationPrice := position.AverageCost.Mul(r)
+		// for short position, if the close price is less than the activation price then this is a profit position.
+		return closePrice.Compare(activationPrice) < 0
+	}
+
+	return false
+}
+
+func (s *ProtectionStopLoss) placeStopOrder(ctx context.Context, position *types.Position, orderExecutor bbgo.OrderExecutor) error {
+	if s.stopLossOrder != nil {
+		if err := orderExecutor.CancelOrders(ctx, *s.stopLossOrder); err != nil {
+			log.WithError(err).Errorf("failed to cancel stop limit order: %+v", s.stopLossOrder)
+		}
+		s.stopLossOrder = nil
+	}
+
+	createdOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
+		Symbol:    position.Symbol,
+		Side:      types.SideTypeBuy,
+		Type:      types.OrderTypeStopLimit,
+		Quantity:  position.GetQuantity(),
+		Price:     s.stopLossPrice.Mul(one.Add(fixedpoint.NewFromFloat(0.005))), // +0.5% from the trigger price, slippage protection
+		StopPrice: s.stopLossPrice,
+		Market:    position.Market,
+	})
+
+	if len(createdOrders) > 0 {
+		s.stopLossOrder = &createdOrders[0]
+	}
+	return err
+}
+
+func (s *ProtectionStopLoss) shouldStop(closePrice fixedpoint.Value) bool {
+	if s.stopLossPrice.IsZero() {
+		return false
+	}
+
+	return closePrice.Compare(s.stopLossPrice) >= 0
+}
+
+func (s *ProtectionStopLoss) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
+	s.session = session
+	s.orderExecutor = orderExecutor
+
+	orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
+		if position.IsClosed() {
+			s.stopLossOrder = nil
+			s.stopLossPrice = zero
+		}
+	})
+
+	session.UserDataStream.OnOrderUpdate(func(order types.Order) {
+		if s.stopLossOrder == nil {
+			return
+		}
+
+		if order.OrderID == s.stopLossOrder.OrderID {
+			switch order.Status {
+			case types.OrderStatusFilled, types.OrderStatusCanceled:
+				s.stopLossOrder = nil
+				s.stopLossPrice = zero
+			}
+		}
+	})
+
+	position := orderExecutor.Position()
+	session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
+		if kline.Symbol != position.Symbol || kline.Interval != types.Interval1m {
+			return
+		}
+
+		isPositionOpened := !position.IsClosed() && !position.IsDust(kline.Close)
+		if isPositionOpened && position.IsShort() {
+			s.handleChange(context.Background(), position, kline.Close, s.orderExecutor)
+		}
+	})
+}
+
+func (s *ProtectionStopLoss) handleChange(ctx context.Context, position *types.Position, closePrice fixedpoint.Value, orderExecutor *bbgo.GeneralOrderExecutor) {
+	if s.stopLossOrder != nil {
+		// use RESTful to query the order status
+		// orderQuery := orderExecutor.Session().Exchange.(types.ExchangeOrderQueryService)
+		// order, err := orderQuery.QueryOrder(ctx, types.OrderQuery{
+		// 	Symbol:  s.stopLossOrder.Symbol,
+		// 	OrderID: strconv.FormatUint(s.stopLossOrder.OrderID, 10),
+		// })
+		// if err != nil {
+		// 	log.WithError(err).Errorf("query order failed")
+		// }
+	}
+
+	if s.stopLossPrice.IsZero() {
+		if s.shouldActivate(position, closePrice) {
+			// calculate stop loss price
+			if position.IsShort() {
+				s.stopLossPrice = position.AverageCost.Mul(one.Sub(s.StopLossRatio))
+			} else if position.IsLong() {
+				s.stopLossPrice = position.AverageCost.Mul(one.Add(s.StopLossRatio))
+			}
+
+			log.Infof("[ProtectionStopLoss] %s protection stop loss activated, current price = %f, average cost = %f, stop loss price = %f",
+				position.Symbol, closePrice.Float64(), position.AverageCost.Float64(), s.stopLossPrice.Float64())
+		} else {
+			// not activated, skip setup stop order
+			return
+		}
+	}
+
+	if s.PlaceStopOrder {
+		if err := s.placeStopOrder(ctx, position, orderExecutor); err != nil {
+			log.WithError(err).Errorf("failed to place stop limit order")
+		}
+	} else if s.shouldStop(closePrice) {
+		log.Infof("[ProtectionStopLoss] protection stop order is triggered at price %f, position = %+v", closePrice.Float64(), position)
+		if err := orderExecutor.ClosePosition(ctx, one); err != nil {
+			log.WithError(err).Errorf("failed to close position")
+		}
+	}
+}

pkg/strategy/pivotshort/roi_stop.go

@@ -0,0 +1,41 @@
+package pivotshort
+
+import (
+	"context"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type RoiStopLoss struct {
+	Percentage fixedpoint.Value `json:"percentage"`
+
+	session       *bbgo.ExchangeSession
+	orderExecutor *bbgo.GeneralOrderExecutor
+}
+
+func (s *RoiStopLoss) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
+	s.session = session
+	s.orderExecutor = orderExecutor
+
+	position := orderExecutor.Position()
+	session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
+		if kline.Symbol != position.Symbol || kline.Interval != types.Interval1m {
+			return
+		}
+
+		closePrice := kline.Close
+		if position.IsClosed() || position.IsDust(closePrice) {
+			return
+		}
+
+		roi := position.ROI(closePrice)
+		if roi.Compare(s.Percentage.Neg()) < 0 {
+			// stop loss
+			bbgo.Notify("[RoiStopLoss] %s stop loss triggered by ROI %s/%s, price: %f", position.Symbol, roi.Percentage(), s.Percentage.Neg().Percentage(), kline.Close.Float64())
+			_ = orderExecutor.ClosePosition(context.Background(), fixedpoint.One)
+			return
+		}
+	})
+}

pkg/strategy/pivotshort/roi_take_profit.go

@@ -0,0 +1,41 @@
+package pivotshort
+
+import (
+	"context"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type RoiTakeProfit struct {
+	Percentage fixedpoint.Value `json:"percentage"`
+
+	session       *bbgo.ExchangeSession
+	orderExecutor *bbgo.GeneralOrderExecutor
+}
+
+func (s *RoiTakeProfit) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
+	s.session = session
+	s.orderExecutor = orderExecutor
+
+	position := orderExecutor.Position()
+	session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
+		if kline.Symbol != position.Symbol || kline.Interval != types.Interval1m {
+			return
+		}
+
+		closePrice := kline.Close
+		if position.IsClosed() || position.IsDust(closePrice) {
+			return
+		}
+
+		roi := position.ROI(closePrice)
+		if roi.Compare(s.Percentage) > 0 {
+			// stop loss
+			bbgo.Notify("[RoiTakeProfit] %s take profit is triggered by ROI %s/%s, price: %f", position.Symbol, roi.Percentage(), s.Percentage.Percentage(), kline.Close.Float64())
+			_ = orderExecutor.ClosePosition(context.Background(), fixedpoint.One)
+			return
+		}
+	})
+}

pkg/strategy/pivotshort/strategy.go

@@ -17,6 +17,9 @@ import (
 
 const ID = "pivotshort"
 
+var one = fixedpoint.One
+var zero = fixedpoint.Zero
+
 var log = logrus.WithField("strategy", ID)
 
 func init() {
@@ -72,10 +75,12 @@ type CumulatedVolume struct {
 }
 
 type Exit struct {
-	RoiStopLossPercentage      fixedpoint.Value `json:"roiStopLossPercentage"`
-	RoiTakeProfitPercentage    fixedpoint.Value `json:"roiTakeProfitPercentage"`
 	RoiMinTakeProfitPercentage fixedpoint.Value `json:"roiMinTakeProfitPercentage"`
 
+	RoiTakeProfit      *RoiTakeProfit      `json:"roiTakeProfit"`
+	RoiStopLoss        *RoiStopLoss        `json:"roiStopLoss"`
+	ProtectionStopLoss *ProtectionStopLoss `json:"protectionStopLoss"`
+
 	LowerShadowRatio fixedpoint.Value `json:"lowerShadowRatio"`
 
 	CumulatedVolume *CumulatedVolume `json:"cumulatedVolume"`
@@ -108,6 +113,7 @@ type Strategy struct {
 	session       *bbgo.ExchangeSession
 	orderExecutor *bbgo.GeneralOrderExecutor
 
+	stopLossPrice           fixedpoint.Value
 	lastLow                 fixedpoint.Value
 	pivot                   *indicator.Pivot
 	resistancePivot         *indicator.Pivot
@@ -178,6 +184,7 @@ func (s *Strategy) CurrentPosition() *types.Position {
 }
 
 func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
+	bbgo.Notify("Closing position", s.Position)
 	return s.orderExecutor.ClosePosition(ctx, percentage)
 }
 
@@ -271,9 +278,20 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		}
 	})
 
+	if s.Exit.ProtectionStopLoss != nil {
+		s.Exit.ProtectionStopLoss.Bind(session, s.orderExecutor)
+	}
+
+	if s.Exit.RoiStopLoss != nil {
+		s.Exit.RoiStopLoss.Bind(session, s.orderExecutor)
+	}
+
+	if s.Exit.RoiTakeProfit != nil {
+		s.Exit.RoiTakeProfit.Bind(session, s.orderExecutor)
+	}
+
 	// Always check whether you can open a short position or not
 	session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
-		// StrategyController
 		if s.Status != types.StrategyStatusRunning {
 			return
 		}
@@ -285,21 +303,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		isPositionOpened := !s.Position.IsClosed() && !s.Position.IsDust(kline.Close)
 
 		if isPositionOpened && s.Position.IsShort() {
-			// calculate return rate
+			roi := s.Position.ROI(kline.Close)
-			// TODO: apply quantity to this formula
+			if !s.Exit.RoiMinTakeProfitPercentage.IsZero() {
-			roi := s.Position.AverageCost.Sub(kline.Close).Div(s.Position.AverageCost)
+				if roi.Compare(s.Exit.RoiMinTakeProfitPercentage) > 0 {
-			if roi.Compare(s.Exit.RoiStopLossPercentage.Neg()) < 0 {
-				// stop loss
-				bbgo.Notify("%s ROI StopLoss triggered at price %f: Loss %s", s.Symbol, kline.Close.Float64(), roi.Percentage())
-				_ = s.ClosePosition(ctx, fixedpoint.One)
-				return
-			} else {
-				// take profit
-				if roi.Compare(s.Exit.RoiTakeProfitPercentage) > 0 { // force take profit
-					bbgo.Notify("%s TakeProfit triggered at price %f: by ROI percentage %s", s.Symbol, kline.Close.Float64(), roi.Percentage(), kline)
-					_ = s.ClosePosition(ctx, fixedpoint.One)
-					return
-				} else if !s.Exit.RoiMinTakeProfitPercentage.IsZero() && roi.Compare(s.Exit.RoiMinTakeProfitPercentage) > 0 {
 					if !s.Exit.LowerShadowRatio.IsZero() && kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Exit.LowerShadowRatio) > 0 {
 						bbgo.Notify("%s TakeProfit triggered at price %f: by shadow ratio %f",
 							s.Symbol,
@@ -334,6 +340,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		}
 
 		if len(s.pivotLowPrices) == 0 {
+			log.Infof("currently there is no pivot low prices, skip placing orders...")
 			return
 		}
 

pkg/types/position.go

@@ -174,6 +174,11 @@ func (p *Position) GetBase() (base fixedpoint.Value) {
 	return base
 }
 
+func (p *Position) GetQuantity() fixedpoint.Value {
+	base := p.GetBase()
+	return base.Abs()
+}
+
 func (p *Position) UnrealizedProfit(price fixedpoint.Value) fixedpoint.Value {
 	quantity := p.GetBase().Abs()