add TrailingStop2

pkg/bbgo/exit_trailing_stop.go

@@ -0,0 +1,69 @@
+package bbgo
+
+import (
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type TrailingStop2 struct {
+	Symbol string
+
+	// CallbackRate is the callback rate from the previous high price
+	CallbackRate fixedpoint.Value `json:"callbackRate,omitempty"`
+
+	// ClosePosition is a percentage of the position to be closed
+	ClosePosition fixedpoint.Value `json:"closePosition,omitempty"`
+
+	// MinProfit is the percentage of the minimum profit ratio.
+	// Stop order will be activated only when the price reaches above this threshold.
+	MinProfit fixedpoint.Value `json:"minProfit,omitempty"`
+
+	// Interval is the time resolution to update the stop order
+	// KLine per Interval will be used for updating the stop order
+	Interval types.Interval `json:"interval,omitempty"`
+
+	// private fields
+	session       *ExchangeSession
+	orderExecutor *GeneralOrderExecutor
+}
+
+func (s *TrailingStop2) Subscribe(session *ExchangeSession) {
+	// use 1m kline to handle roi stop
+	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
+}
+
+func (s *TrailingStop2) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
+	s.session = session
+	s.orderExecutor = orderExecutor
+
+	position := orderExecutor.Position()
+	session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
+		s.checkStopPrice(kline.Close, position)
+	}))
+
+	if !IsBackTesting {
+		session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
+			if trade.Symbol != position.Symbol {
+				return
+			}
+
+			s.checkStopPrice(trade.Price, position)
+		})
+	}
+}
+
+func (s *TrailingStop2) checkStopPrice(closePrice fixedpoint.Value, position *types.Position) {
+	if position.IsClosed() || position.IsDust(closePrice) {
+		return
+	}
+
+	/*
+	roi := position.ROI(closePrice)
+	if roi.Compare(s.CallbackRate.Neg()) < 0 {
+		// stop loss
+		Notify("[TrailingStop2] %s stop loss triggered by ROI %s/%s, price: %f", position.Symbol, roi.Percentage(), s.Percentage.Neg().Percentage(), closePrice.Float64())
+		_ = s.orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "TrailingStop2")
+		return
+	}
+	*/
+}