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bollmaker: add position stack
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austin362667
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a3ca8326f2
commit
54d60b9890
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@ -16,8 +16,8 @@ backtest:
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# for testing max draw down (MDD) at 03-12
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# see here for more details
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# https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
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startTime: "2022-01-01"
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endTime: "2022-05-12"
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startTime: "2022-05-01"
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endTime: "2022-05-31"
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sessions:
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- binance
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symbols:
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@ -26,7 +26,7 @@ backtest:
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binance:
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balances:
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ETH: 0.0
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USDT: 10_000.0
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USDT: 100_000.0
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exchangeStrategies:
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@ -38,7 +38,14 @@ exchangeStrategies:
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interval: 1m
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# quantity is the base order quantity for your buy/sell order.
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quantity: 0.05
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# quantity: 0.05
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amount: 20
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# Position Stack, with longer stack length, may need more capital.
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# Push position in stack is initiating a position to calculate base, average cost, etc.
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# Pop position in stack is loading a previous position back.
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pushThreshold: 10%
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# popThreshold : 1%
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# useTickerPrice use the ticker api to get the mid price instead of the closed kline price.
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# The back-test engine is kline-based, so the ticker price api is not supported.
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@ -103,7 +110,7 @@ exchangeStrategies:
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domain: [ -1, 1 ]
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# when in down band, holds 1.0 by maximum
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# when in up band, holds 0.05 by maximum
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range: [ 10.0, 1.0 ]
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range: [10.0, 1.0 ]
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# DisableShort means you can don't want short position during the market making
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# THe short here means you might sell some of your existing inventory.
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@ -136,25 +143,25 @@ exchangeStrategies:
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# Set up your stop order, this is optional
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# sometimes the stop order might decrease your total profit.
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# you can setup multiple stop,
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stops:
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# stops:
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# use trailing stop order
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- trailingStop:
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# callbackRate: when the price reaches -1% from the previous highest, we trigger the stop
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callbackRate: 5.1%
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# closePosition is how much position do you want to close
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closePosition: 20%
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# minProfit is how much profit you want to take.
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# if you set this option, your stop will only be triggered above the average cost.
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minProfit: 5%
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# interval is the time interval for checking your stop
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interval: 1m
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# virtual means we don't place a a REAL stop order
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# when virtual is on
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# the strategy won't place a REAL stop order, instead if watches the close price,
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# and if the condition matches, it submits a market order to close your position.
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virtual: true
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# - trailingStop:
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# # callbackRate: when the price reaches -1% from the previous highest, we trigger the stop
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# callbackRate: 5.1%
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#
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# # closePosition is how much position do you want to close
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# closePosition: 20%
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#
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# # minProfit is how much profit you want to take.
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# # if you set this option, your stop will only be triggered above the average cost.
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# minProfit: 5%
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#
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# # interval is the time interval for checking your stop
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# interval: 1m
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#
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# # virtual means we don't place a a REAL stop order
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# # when virtual is on
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# # the strategy won't place a REAL stop order, instead if watches the close price,
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# # and if the condition matches, it submits a market order to close your position.
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# virtual: true
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@ -228,8 +228,11 @@ type Strategy struct {
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state *State
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// persistence fields
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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Position *types.PositionStack `json:"position,omitempty" persistence:"position"`
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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PushThreshold fixedpoint.Value `json:"pushThreshold,omitempty"`
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PopThreshold fixedpoint.Value `json:"popThreshold,omitempty"`
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activeMakerOrders *bbgo.LocalActiveOrderBook
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orderStore *bbgo.OrderStore
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@ -289,7 +292,7 @@ func (s *Strategy) Validate() error {
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return nil
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}
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func (s *Strategy) CurrentPosition() *types.Position {
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func (s *Strategy) CurrentPosition() *types.PositionStack {
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return s.Position
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}
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@ -652,9 +655,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if s.Position == nil {
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// fallback to the legacy position struct in the state
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if s.state != nil && s.state.Position != nil {
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s.Position = s.state.Position
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s.Position.Position = s.state.Position
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} else {
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s.Position = types.NewPositionFromMarket(s.Market)
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s.Position = types.NewPositionStackFromMarket(s.Market)
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}
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}
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@ -699,7 +702,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.ProfitStats.AddTrade(trade)
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if profit.Compare(fixedpoint.Zero) == 0 {
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s.Environment.RecordPosition(s.Position, trade, nil)
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s.Environment.RecordPosition(s.Position.Position, trade, nil)
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} else {
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log.Infof("%s generated profit: %v", s.Symbol, profit)
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p := s.Position.NewProfit(trade, profit, netProfit)
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@ -710,11 +713,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.ProfitStats.AddProfit(p)
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s.Notify(&s.ProfitStats)
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s.Environment.RecordPosition(s.Position, trade, &p)
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s.Environment.RecordPosition(s.Position.Position, trade, &p)
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}
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})
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s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
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s.tradeCollector.OnPositionUpdate(func(position types.PositionInterface) {
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log.Infof("position changed: %s", s.Position)
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s.Notify(s.Position)
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})
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@ -772,7 +775,25 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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//log.Error(len(s.Position.Stack), s.Position.AverageCost, kline.Close)
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if s.Position.Position.AverageCost.Div(kline.Close).Compare(fixedpoint.One.Add(s.PushThreshold)) > 0 {
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log.Errorf("push")
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log.Error(s.Position)
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s.Position = s.Position.Push(types.NewPositionFromMarket(s.Market))
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}
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// &&
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if len(s.Position.Stack) > 1 && s.Position.Stack[len(s.Position.Stack)-2].AverageCost.Compare(kline.Close) < 0 && s.Market.IsDustQuantity(s.Position.Position.GetBase(), kline.Close) {
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log.Errorf("pop")
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log.Error(s.Position)
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s.Position = s.Position.Pop()
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}
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//if s.Position.AverageCost.Div(kline.Close).Compare(fixedpoint.One.Sub(s.PopThreshold)) < 0 && && !s.Position.AverageCost.IsZero() {
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// //log.Error(len(s.Position.Stack), s.Position.AverageCost, kline.Close)
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// log.Errorf("pop")
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// s.ClosePosition(ctx, fixedpoint.One)
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// s.Position = s.Position.Pop()
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//}
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// check if there is a canceled order had partially filled.
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s.tradeCollector.Process()
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