mirror of
https://github.com/c9s/bbgo.git
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pivotshort: move resistance short to a single file
This commit is contained in:
c9s
parent
454036b166
commit
503d851c9d
145
pkg/strategy/pivotshort/resistance.go
Normal file
145
pkg/strategy/pivotshort/resistance.go
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@ -0,0 +1,145 @@
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package pivotshort
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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 ResistanceShort struct {
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Enabled bool `json:"enabled"`
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Symbol string `json:"-"`
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Market types.Market `json:"-"`
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types.IntervalWindow
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MinDistance fixedpoint.Value `json:"minDistance"`
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NumLayers int `json:"numLayers"`
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LayerSpread fixedpoint.Value `json:"layerSpread"`
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Quantity fixedpoint.Value `json:"quantity"`
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Ratio fixedpoint.Value `json:"ratio"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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resistancePivot *indicator.Pivot
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resistancePrices []float64
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nextResistancePrice fixedpoint.Value
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activeOrders *bbgo.ActiveOrderBook
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}
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func (s *ResistanceShort) 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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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeOrders.BindStream(session.UserDataStream)
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store, _ := session.MarketDataStore(s.Symbol)
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s.resistancePivot = &indicator.Pivot{IntervalWindow: s.IntervalWindow}
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s.resistancePivot.Bind(store)
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// preload history kline data to the resistance pivot indicator
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// we use the last kline to find the higher lows
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lastKLine := preloadPivot(s.resistancePivot, store)
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// use the last kline from the history before we get the next closed kline
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if lastKLine != nil {
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s.findNextResistancePriceAndPlaceOrders(lastKLine.Close)
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}
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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position := s.orderExecutor.Position()
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if position.IsOpened(kline.Close) {
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return
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}
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s.findNextResistancePriceAndPlaceOrders(kline.Close)
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}))
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}
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func (s *ResistanceShort) findNextResistancePriceAndPlaceOrders(closePrice fixedpoint.Value) {
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minDistance := s.MinDistance.Float64()
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lows := s.resistancePivot.Lows
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resistancePrices := findPossibleResistancePrices(closePrice.Float64(), minDistance, lows)
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log.Infof("last price: %f, possible resistance prices: %+v", closePrice.Float64(), resistancePrices)
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ctx := context.Background()
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if len(resistancePrices) > 0 {
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nextResistancePrice := fixedpoint.NewFromFloat(resistancePrices[0])
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if nextResistancePrice.Compare(s.nextResistancePrice) != 0 {
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bbgo.Notify("Found next resistance price: %f", nextResistancePrice.Float64())
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s.nextResistancePrice = nextResistancePrice
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s.placeResistanceOrders(ctx, nextResistancePrice)
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}
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}
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}
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func (s *ResistanceShort) placeResistanceOrders(ctx context.Context, resistancePrice fixedpoint.Value) {
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futuresMode := s.session.Futures || s.session.IsolatedFutures
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_ = futuresMode
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totalQuantity := s.Quantity
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numLayers := s.NumLayers
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if numLayers == 0 {
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numLayers = 1
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}
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numLayersF := fixedpoint.NewFromInt(int64(numLayers))
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layerSpread := s.LayerSpread
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quantity := totalQuantity.Div(numLayersF)
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if s.activeOrders.NumOfOrders() > 0 {
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if err := s.orderExecutor.GracefulCancelActiveOrderBook(ctx, s.activeOrders); err != nil {
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log.WithError(err).Errorf("can not cancel resistance orders: %+v", s.activeOrders.Orders())
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}
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}
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log.Infof("placing resistance orders: resistance price = %f, layer quantity = %f, num of layers = %d", resistancePrice.Float64(), quantity.Float64(), numLayers)
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var orderForms []types.SubmitOrder
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for i := 0; i < numLayers; i++ {
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balances := s.session.GetAccount().Balances()
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quoteBalance := balances[s.Market.QuoteCurrency]
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baseBalance := balances[s.Market.BaseCurrency]
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_ = quoteBalance
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_ = baseBalance
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// price = (resistance_price * (1.0 + ratio)) * ((1.0 + layerSpread) * i)
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price := resistancePrice.Mul(fixedpoint.One.Add(s.Ratio))
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spread := layerSpread.Mul(fixedpoint.NewFromInt(int64(i)))
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price = price.Add(spread)
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log.Infof("price = %f", price.Float64())
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log.Infof("placing bounce short order #%d: price = %f, quantity = %f", i, price.Float64(), quantity.Float64())
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orderForms = append(orderForms, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimitMaker,
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Price: price,
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Quantity: quantity,
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Tag: "resistanceShort",
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})
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// TODO: fix futures mode later
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/*
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if futuresMode {
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if quantity.Mul(price).Compare(quoteBalance.Available) <= 0 {
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}
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}
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*/
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}
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createdOrders, err := s.orderExecutor.SubmitOrders(ctx, orderForms...)
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if err != nil {
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log.WithError(err).Errorf("can not place resistance order")
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}
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s.activeOrders.Add(createdOrders...)
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}
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@ -48,139 +48,6 @@ type BreakLow struct {
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StopEMA *types.IntervalWindow `json:"stopEMA"`
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StopEMA *types.IntervalWindow `json:"stopEMA"`
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}
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}
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type ResistanceShort struct {
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Enabled bool `json:"enabled"`
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Symbol string `json:"-"`
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Market types.Market `json:"-"`
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types.IntervalWindow
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MinDistance fixedpoint.Value `json:"minDistance"`
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NumLayers int `json:"numLayers"`
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LayerSpread fixedpoint.Value `json:"layerSpread"`
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Quantity fixedpoint.Value `json:"quantity"`
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Ratio fixedpoint.Value `json:"ratio"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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resistancePivot *indicator.Pivot
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resistancePrices []float64
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nextResistancePrice fixedpoint.Value
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activeOrders *bbgo.ActiveOrderBook
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}
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func (s *ResistanceShort) 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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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeOrders.BindStream(session.UserDataStream)
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store, _ := session.MarketDataStore(s.Symbol)
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s.resistancePivot = &indicator.Pivot{IntervalWindow: s.IntervalWindow}
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s.resistancePivot.Bind(store)
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// preload history kline data to the resistance pivot indicator
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// we use the last kline to find the higher lows
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lastKLine := preloadPivot(s.resistancePivot, store)
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// use the last kline from the history before we get the next closed kline
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if lastKLine != nil {
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s.findNextResistancePriceAndPlaceOrders(lastKLine.Close)
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}
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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position := s.orderExecutor.Position()
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if position.IsOpened(kline.Close) {
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return
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}
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s.findNextResistancePriceAndPlaceOrders(kline.Close)
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}))
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}
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func (s *ResistanceShort) findNextResistancePriceAndPlaceOrders(closePrice fixedpoint.Value) {
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minDistance := s.MinDistance.Float64()
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lows := s.resistancePivot.Lows
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resistancePrices := findPossibleResistancePrices(closePrice.Float64(), minDistance, lows)
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log.Infof("last price: %f, possible resistance prices: %+v", closePrice.Float64(), resistancePrices)
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ctx := context.Background()
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if len(resistancePrices) > 0 {
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nextResistancePrice := fixedpoint.NewFromFloat(resistancePrices[0])
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if nextResistancePrice.Compare(s.nextResistancePrice) != 0 {
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bbgo.Notify("Found next resistance price: %f", nextResistancePrice.Float64())
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s.nextResistancePrice = nextResistancePrice
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s.placeResistanceOrders(ctx, nextResistancePrice)
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}
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}
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}
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func (s *ResistanceShort) placeResistanceOrders(ctx context.Context, resistancePrice fixedpoint.Value) {
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futuresMode := s.session.Futures || s.session.IsolatedFutures
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_ = futuresMode
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totalQuantity := s.Quantity
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numLayers := s.NumLayers
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if numLayers == 0 {
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numLayers = 1
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}
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numLayersF := fixedpoint.NewFromInt(int64(numLayers))
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layerSpread := s.LayerSpread
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quantity := totalQuantity.Div(numLayersF)
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if err := s.orderExecutor.CancelOrders(ctx, s.activeOrders.Orders()...); err != nil {
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log.WithError(err).Errorf("can not cancel resistance orders: %+v", s.activeOrders.Orders())
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}
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log.Infof("placing resistance orders: resistance price = %f, layer quantity = %f, num of layers = %d", resistancePrice.Float64(), quantity.Float64(), numLayers)
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var orderForms []types.SubmitOrder
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for i := 0; i < numLayers; i++ {
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balances := s.session.GetAccount().Balances()
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quoteBalance := balances[s.Market.QuoteCurrency]
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baseBalance := balances[s.Market.BaseCurrency]
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_ = quoteBalance
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_ = baseBalance
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// price = (resistance_price * (1.0 + ratio)) * ((1.0 + layerSpread) * i)
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price := resistancePrice.Mul(fixedpoint.One.Add(s.Ratio))
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spread := layerSpread.Mul(fixedpoint.NewFromInt(int64(i)))
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price = price.Add(spread)
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log.Infof("price = %f", price.Float64())
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log.Infof("placing bounce short order #%d: price = %f, quantity = %f", i, price.Float64(), quantity.Float64())
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orderForms = append(orderForms, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimitMaker,
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Price: price,
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Quantity: quantity,
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Tag: "resistanceShort",
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})
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// TODO: fix futures mode later
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/*
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if futuresMode {
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if quantity.Mul(price).Compare(quoteBalance.Available) <= 0 {
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}
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}
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*/
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}
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createdOrders, err := s.orderExecutor.SubmitOrders(ctx, orderForms...)
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if err != nil {
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log.WithError(err).Errorf("can not place resistance order")
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}
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s.activeOrders.Add(createdOrders...)
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}
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type Strategy struct {
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type Strategy struct {
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Environment *bbgo.Environment
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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Symbol string `json:"symbol"`
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@ -356,8 +223,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return
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return
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}
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}
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// we need the price cross the break line
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// we need the price cross the break line or we do nothing
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// or we do nothing
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if !(openPrice.Compare(breakPrice) > 0 && closePrice.Compare(breakPrice) < 0) {
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if !(openPrice.Compare(breakPrice) > 0 && closePrice.Compare(breakPrice) < 0) {
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return
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return
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}
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}
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@ -378,6 +244,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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}
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}
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}
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// graceful cancel all active orders
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_ = s.orderExecutor.GracefulCancel(ctx)
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_ = s.orderExecutor.GracefulCancel(ctx)
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quantity := s.useQuantityOrBaseBalance(s.BreakLow.Quantity)
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quantity := s.useQuantityOrBaseBalance(s.BreakLow.Quantity)
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