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Merge pull request #947 from c9s/fix/acc-vol-stop

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improve: accumulated volume stop method
This commit is contained in:
Yo-An Lin 2022-09-14 12:42:16 +08:00 committed by GitHub
commit 54782e763b
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2 changed files with 55 additions and 37 deletions
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21
pkg/bbgo/exit_cumulated_volume_take_profit.go
View File

@ -38,6 +38,7 @@ func (s *CumulatedVolumeTakeProfit) Bind(session *ExchangeSession, orderExecutor
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) { session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
closePrice := kline.Close closePrice := kline.Close
openPrice := kline.Open
if position.IsClosed() || position.IsDust(closePrice) { if position.IsClosed() || position.IsDust(closePrice) {
return return
} }
@ -65,7 +66,23 @@ func (s *CumulatedVolumeTakeProfit) Bind(session *ExchangeSession, orderExecutor
cbv = cbv.Add(last.Volume) cbv = cbv.Add(last.Volume)
} }
if cqv.Compare(s.MinQuoteVolume) > 0 { if cqv.Compare(s.MinQuoteVolume) < 0 {
return
}
// If the closed price is below the open price, it means the sell taker is still strong.
if closePrice.Compare(openPrice) < 0 {
log.Infof("[CumulatedVolumeTakeProfit] closePrice %f is below openPrice %f, skip taking profit", closePrice.Float64(), openPrice.Float64())
return
}
upperShadow := kline.GetUpperShadowHeight()
lowerShadow := kline.GetLowerShadowHeight()
if upperShadow.Compare(lowerShadow) > 0 {
log.Infof("[CumulatedVolumeTakeProfit] upper shadow is longer than the lower shadow, skip taking profit")
return
}
Notify("[CumulatedVolumeTakeProfit] %s TakeProfit triggered by cumulated volume (window: %d) %f > %f, price = %f", Notify("[CumulatedVolumeTakeProfit] %s TakeProfit triggered by cumulated volume (window: %d) %f > %f, price = %f",
position.Symbol, position.Symbol,
s.Window, s.Window,
@ -75,7 +92,5 @@ func (s *CumulatedVolumeTakeProfit) Bind(session *ExchangeSession, orderExecutor
if err := orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "cumulatedVolumeTakeProfit"); err != nil { if err := orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "cumulatedVolumeTakeProfit"); err != nil {
log.WithError(err).Errorf("close position error") log.WithError(err).Errorf("close position error")
} }
return
}
})) }))
} }

57
pkg/types/kline.go
View File

@ -105,37 +105,37 @@ func (k *KLine) Merge(o *KLine) {
k.Closed = o.Closed k.Closed = o.Closed
} }
func (k KLine) GetStartTime() Time { func (k *KLine) GetStartTime() Time {
return k.StartTime return k.StartTime
} }
func (k KLine) GetEndTime() Time { func (k *KLine) GetEndTime() Time {
return k.EndTime return k.EndTime
} }
func (k KLine) GetInterval() Interval { func (k *KLine) GetInterval() Interval {
return k.Interval return k.Interval
} }
func (k KLine) Mid() fixedpoint.Value { func (k *KLine) Mid() fixedpoint.Value {
return k.High.Add(k.Low).Div(Two) return k.High.Add(k.Low).Div(Two)
} }
// green candle with open and close near high price // green candle with open and close near high price
func (k KLine) BounceUp() bool { func (k *KLine) BounceUp() bool {
mid := k.Mid() mid := k.Mid()
trend := k.Direction() trend := k.Direction()
return trend > 0 && k.Open.Compare(mid) > 0 && k.Close.Compare(mid) > 0 return trend > 0 && k.Open.Compare(mid) > 0 && k.Close.Compare(mid) > 0
} }
// red candle with open and close near low price // red candle with open and close near low price
func (k KLine) BounceDown() bool { func (k *KLine) BounceDown() bool {
mid := k.Mid() mid := k.Mid()
trend := k.Direction() trend := k.Direction()
return trend > 0 && k.Open.Compare(mid) < 0 && k.Close.Compare(mid) < 0 return trend > 0 && k.Open.Compare(mid) < 0 && k.Close.Compare(mid) < 0
} }
func (k KLine) Direction() Direction { func (k *KLine) Direction() Direction {
o := k.GetOpen() o := k.GetOpen()
c := k.GetClose() c := k.GetClose()
@ -147,32 +147,32 @@ func (k KLine) Direction() Direction {
return DirectionNone return DirectionNone
} }
func (k KLine) GetHigh() fixedpoint.Value { func (k *KLine) GetHigh() fixedpoint.Value {
return k.High return k.High
} }
func (k KLine) GetLow() fixedpoint.Value { func (k *KLine) GetLow() fixedpoint.Value {
return k.Low return k.Low
} }
func (k KLine) GetOpen() fixedpoint.Value { func (k *KLine) GetOpen() fixedpoint.Value {
return k.Open return k.Open
} }
func (k KLine) GetClose() fixedpoint.Value { func (k *KLine) GetClose() fixedpoint.Value {
return k.Close return k.Close
} }
func (k KLine) GetMaxChange() fixedpoint.Value { func (k *KLine) GetMaxChange() fixedpoint.Value {
return k.GetHigh().Sub(k.GetLow()) return k.GetHigh().Sub(k.GetLow())
} }
func (k KLine) GetAmplification() fixedpoint.Value { func (k *KLine) GetAmplification() fixedpoint.Value {
return k.GetMaxChange().Div(k.GetLow()) return k.GetMaxChange().Div(k.GetLow())
} }
// GetThickness returns the thickness of the kline. 1 => thick, 0.1 => thin // GetThickness returns the thickness of the kline. 1 => thick, 0.1 => thin
func (k KLine) GetThickness() fixedpoint.Value { func (k *KLine) GetThickness() fixedpoint.Value {
out := k.GetChange().Div(k.GetMaxChange()) out := k.GetChange().Div(k.GetMaxChange())
if out.Sign() < 0 { if out.Sign() < 0 {
return out.Neg() return out.Neg()
@ -180,7 +180,7 @@ func (k KLine) GetThickness() fixedpoint.Value {
return out return out
} }
func (k KLine) GetUpperShadowRatio() fixedpoint.Value { func (k *KLine) GetUpperShadowRatio() fixedpoint.Value {
out := k.GetUpperShadowHeight().Div(k.GetMaxChange()) out := k.GetUpperShadowHeight().Div(k.GetMaxChange())
if out.Sign() < 0 { if out.Sign() < 0 {
return out.Neg() return out.Neg()
@ -188,7 +188,7 @@ func (k KLine) GetUpperShadowRatio() fixedpoint.Value {
return out return out
} }
func (k KLine) GetUpperShadowHeight() fixedpoint.Value { func (k *KLine) GetUpperShadowHeight() fixedpoint.Value {
high := k.GetHigh() high := k.GetHigh()
open := k.GetOpen() open := k.GetOpen()
clos := k.GetClose() clos := k.GetClose()
@ -198,7 +198,7 @@ func (k KLine) GetUpperShadowHeight() fixedpoint.Value {
return high.Sub(clos) return high.Sub(clos)
} }
func (k KLine) GetLowerShadowRatio() fixedpoint.Value { func (k *KLine) GetLowerShadowRatio() fixedpoint.Value {
out := k.GetLowerShadowHeight().Div(k.GetMaxChange()) out := k.GetLowerShadowHeight().Div(k.GetMaxChange())
if out.Sign() < 0 { if out.Sign() < 0 {
return out.Neg() return out.Neg()
@ -206,7 +206,7 @@ func (k KLine) GetLowerShadowRatio() fixedpoint.Value {
return out return out
} }
func (k KLine) GetLowerShadowHeight() fixedpoint.Value { func (k *KLine) GetLowerShadowHeight() fixedpoint.Value {
low := k.Low low := k.Low
if k.Open.Compare(k.Close) < 0 { // uptrend if k.Open.Compare(k.Close) < 0 { // uptrend
return k.Open.Sub(low) return k.Open.Sub(low)
@ -217,16 +217,16 @@ func (k KLine) GetLowerShadowHeight() fixedpoint.Value {
} }
// GetBody returns the height of the candle real body // GetBody returns the height of the candle real body
func (k KLine) GetBody() fixedpoint.Value { func (k *KLine) GetBody() fixedpoint.Value {
return k.GetChange() return k.GetChange()
} }
// GetChange returns Close price - Open price. // GetChange returns Close price - Open price.
func (k KLine) GetChange() fixedpoint.Value { func (k *KLine) GetChange() fixedpoint.Value {
return k.Close.Sub(k.Open) return k.Close.Sub(k.Open)
} }
func (k KLine) Color() string { func (k *KLine) Color() string {
if k.Direction() > 0 { if k.Direction() > 0 {
return style.GreenColor return style.GreenColor
} else if k.Direction() < 0 { } else if k.Direction() < 0 {
@ -235,18 +235,18 @@ func (k KLine) Color() string {
return style.GrayColor return style.GrayColor
} }
func (k KLine) String() string { func (k *KLine) String() string {
return fmt.Sprintf("%s %s %s %s O: %.4f H: %.4f L: %.4f C: %.4f CHG: %.4f MAXCHG: %.4f V: %.4f QV: %.2f TBBV: %.2f", return fmt.Sprintf("%s %s %s %s O: %.4f H: %.4f L: %.4f C: %.4f CHG: %.4f MAXCHG: %.4f V: %.4f QV: %.2f TBBV: %.2f",
k.Exchange.String(), k.Exchange.String(),
k.StartTime.Time().Format("2006-01-02 15:04"), k.StartTime.Time().Format("2006-01-02 15:04"),
k.Symbol, k.Interval, k.Open.Float64(), k.High.Float64(), k.Low.Float64(), k.Close.Float64(), k.GetChange().Float64(), k.GetMaxChange().Float64(), k.Volume.Float64(), k.QuoteVolume.Float64(), k.TakerBuyBaseAssetVolume.Float64()) k.Symbol, k.Interval, k.Open.Float64(), k.High.Float64(), k.Low.Float64(), k.Close.Float64(), k.GetChange().Float64(), k.GetMaxChange().Float64(), k.Volume.Float64(), k.QuoteVolume.Float64(), k.TakerBuyBaseAssetVolume.Float64())
} }
func (k KLine) PlainText() string { func (k *KLine) PlainText() string {
return k.String() return k.String()
} }
func (k KLine) SlackAttachment() slack.Attachment { func (k *KLine) SlackAttachment() slack.Attachment {
return slack.Attachment{ return slack.Attachment{
Text: fmt.Sprintf("*%s* KLine %s", k.Symbol, k.Interval), Text: fmt.Sprintf("*%s* KLine %s", k.Symbol, k.Interval),
Color: k.Color(), Color: k.Color(),
@ -312,7 +312,8 @@ func (k KLineWindow) GetInterval() Interval {
} }
func (k KLineWindow) GetOpen() fixedpoint.Value { func (k KLineWindow) GetOpen() fixedpoint.Value {
return k.First().GetOpen() first := k.First()
return first.GetOpen()
} }
func (k KLineWindow) GetClose() fixedpoint.Value { func (k KLineWindow) GetClose() fixedpoint.Value {
@ -321,7 +322,8 @@ func (k KLineWindow) GetClose() fixedpoint.Value {
} }
func (k KLineWindow) GetHigh() fixedpoint.Value { func (k KLineWindow) GetHigh() fixedpoint.Value {
high := k.First().GetHigh() first := k.First()
high := first.GetHigh()
for _, line := range k { for _, line := range k {
high = fixedpoint.Max(high, line.GetHigh()) high = fixedpoint.Max(high, line.GetHigh())
} }
@ -330,7 +332,8 @@ func (k KLineWindow) GetHigh() fixedpoint.Value {
} }
func (k KLineWindow) GetLow() fixedpoint.Value { func (k KLineWindow) GetLow() fixedpoint.Value {
low := k.First().GetLow() first := k.First()
low := first.GetLow()
for _, line := range k { for _, line := range k {
low = fixedpoint.Min(low, line.GetLow()) low = fixedpoint.Min(low, line.GetLow())
} }