bollmaker: add position stack

config/bollmaker.yaml

@@ -16,8 +16,8 @@ backtest:
   # for testing max draw down (MDD) at 03-12
   # see here for more details
   # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
-  startTime: "2022-01-01"
-  endTime: "2022-05-12"
+  startTime: "2022-05-01"
+  endTime: "2022-05-31"
   sessions:
   - binance
   symbols:
@@ -26,7 +26,7 @@ backtest:
     binance:
       balances:
         ETH: 0.0
-        USDT: 10_000.0
+        USDT: 100_000.0
 
 exchangeStrategies:
 
@@ -38,7 +38,14 @@ exchangeStrategies:
     interval: 1m
 
     # quantity is the base order quantity for your buy/sell order.
-    quantity: 0.05
+    # quantity: 0.05
+    amount: 20
+
+    # Position Stack, with longer stack length, may need more capital.
+    # Push position in stack is initiating a position to calculate base, average cost, etc.
+    # Pop position in stack is loading a previous position back.
+    pushThreshold: 10%
+    # popThreshold : 1%
 
     # useTickerPrice use the ticker api to get the mid price instead of the closed kline price.
     # The back-test engine is kline-based, so the ticker price api is not supported.
@@ -103,7 +110,7 @@ exchangeStrategies:
           domain: [ -1, 1 ]
           # when in down band, holds 1.0 by maximum
           # when in up band, holds 0.05 by maximum
-          range: [ 10.0, 1.0 ]
+          range: [10.0, 1.0 ]
 
     # DisableShort means you can don't want short position during the market making
     # THe short here means you might sell some of your existing inventory.
@@ -136,25 +143,25 @@ exchangeStrategies:
     # Set up your stop order, this is optional
     # sometimes the stop order might decrease your total profit.
     # you can setup multiple stop,
-    stops:
+#    stops:
     # use trailing stop order
-    - trailingStop:
-        # callbackRate: when the price reaches -1% from the previous highest, we trigger the stop
-        callbackRate: 5.1%
-
-        # closePosition is how much position do you want to close
-        closePosition: 20%
-
-        # minProfit is how much profit you want to take.
-        # if you set this option, your stop will only be triggered above the average cost.
-        minProfit: 5%
-
-        # interval is the time interval for checking your stop
-        interval: 1m
-
-        # virtual means we don't place a a REAL stop order
-        # when virtual is on
-        # the strategy won't place a REAL stop order, instead if watches the close price,
-        # and if the condition matches, it submits a market order to close your position.
-        virtual: true
+#    - trailingStop:
+#        # callbackRate: when the price reaches -1% from the previous highest, we trigger the stop
+#        callbackRate: 5.1%
+#
+#        # closePosition is how much position do you want to close
+#        closePosition: 20%
+#
+#        # minProfit is how much profit you want to take.
+#        # if you set this option, your stop will only be triggered above the average cost.
+#        minProfit: 5%
+#
+#        # interval is the time interval for checking your stop
+#        interval: 1m
+#
+#        # virtual means we don't place a a REAL stop order
+#        # when virtual is on
+#        # the strategy won't place a REAL stop order, instead if watches the close price,
+#        # and if the condition matches, it submits a market order to close your position.
+#        virtual: true
 

pkg/strategy/bollmaker/strategy.go

@@ -228,9 +228,12 @@ type Strategy struct {
 	state *State
 
 	// persistence fields
-	Position    *types.Position    `json:"position,omitempty" persistence:"position"`
+	Position    *types.PositionStack `json:"position,omitempty" persistence:"position"`
 	ProfitStats *types.ProfitStats   `json:"profitStats,omitempty" persistence:"profit_stats"`
 
+	PushThreshold fixedpoint.Value `json:"pushThreshold,omitempty"`
+	PopThreshold  fixedpoint.Value `json:"popThreshold,omitempty"`
+
 	activeMakerOrders *bbgo.LocalActiveOrderBook
 	orderStore        *bbgo.OrderStore
 	tradeCollector    *bbgo.TradeCollector
@@ -289,7 +292,7 @@ func (s *Strategy) Validate() error {
 	return nil
 }
 
-func (s *Strategy) CurrentPosition() *types.Position {
+func (s *Strategy) CurrentPosition() *types.PositionStack {
 	return s.Position
 }
 
@@ -652,9 +655,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	if s.Position == nil {
 		// fallback to the legacy position struct in the state
 		if s.state != nil && s.state.Position != nil {
-			s.Position = s.state.Position
+			s.Position.Position = s.state.Position
 		} else {
-			s.Position = types.NewPositionFromMarket(s.Market)
+			s.Position = types.NewPositionStackFromMarket(s.Market)
 		}
 	}
 
@@ -699,7 +702,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		s.ProfitStats.AddTrade(trade)
 
 		if profit.Compare(fixedpoint.Zero) == 0 {
-			s.Environment.RecordPosition(s.Position, trade, nil)
+			s.Environment.RecordPosition(s.Position.Position, trade, nil)
 		} else {
 			log.Infof("%s generated profit: %v", s.Symbol, profit)
 			p := s.Position.NewProfit(trade, profit, netProfit)
@@ -710,11 +713,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 			s.ProfitStats.AddProfit(p)
 			s.Notify(&s.ProfitStats)
 
-			s.Environment.RecordPosition(s.Position, trade, &p)
+			s.Environment.RecordPosition(s.Position.Position, trade, &p)
 		}
 	})
 
-	s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
+	s.tradeCollector.OnPositionUpdate(func(position types.PositionInterface) {
 		log.Infof("position changed: %s", s.Position)
 		s.Notify(s.Position)
 	})
@@ -772,7 +775,25 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
 			log.WithError(err).Errorf("graceful cancel order error")
 		}
+		//log.Error(len(s.Position.Stack), s.Position.AverageCost, kline.Close)
 
+		if s.Position.Position.AverageCost.Div(kline.Close).Compare(fixedpoint.One.Add(s.PushThreshold)) > 0 {
+			log.Errorf("push")
+			log.Error(s.Position)
+			s.Position = s.Position.Push(types.NewPositionFromMarket(s.Market))
+		}
+		//  &&
+		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) {
+			log.Errorf("pop")
+			log.Error(s.Position)
+			s.Position = s.Position.Pop()
+		}
+		//if s.Position.AverageCost.Div(kline.Close).Compare(fixedpoint.One.Sub(s.PopThreshold)) < 0 && && !s.Position.AverageCost.IsZero() {
+		//	//log.Error(len(s.Position.Stack), s.Position.AverageCost, kline.Close)
+		//	log.Errorf("pop")
+		//	s.ClosePosition(ctx, fixedpoint.One)
+		//	s.Position = s.Position.Pop()
+		//}
 		// check if there is a canceled order had partially filled.
 		s.tradeCollector.Process()