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