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strategy/supertrend: adapt risk.AccountValueCalculator

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This commit is contained in:
Andy Cheng 2022-08-05 11:47:36 +08:00
parent 9369ad3155
commit 550f2f3fd7
2 changed files with 35 additions and 12 deletions
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4
config/supertrend.yaml
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@ -43,8 +43,10 @@ exchangeStrategies:
# ATR Multiplier for calculating super trend prices, the higher, the stronger the trends are
supertrendMultiplier: 4.1
# leverage is the leverage of the orders
# leverage uses the account net value to calculate the order qty
leverage: 1.0
# quantity sets the fixed order qty, takes precedence over Leverage
#quantity: 0.5
# fastDEMAWindow and slowDEMAWindow are for filtering super trend noise
fastDEMAWindow: 144

43
pkg/strategy/supertrend/strategy.go
View File

@ -4,6 +4,7 @@ import (
"bufio"
"context"
"fmt"
"github.com/c9s/bbgo/pkg/risk"
"github.com/fatih/color"
"os"
"sync"
@ -58,8 +59,11 @@ type Strategy struct {
// LinearRegression Use linear regression as trend confirmation
LinearRegression *LinGre `json:"linearRegression,omitempty"`
// Leverage
Leverage float64 `json:"leverage"`
// Leverage uses the account net value to calculate the order qty
Leverage fixedpoint.Value `json:"leverage"`
// Quantity sets the fixed order qty, takes precedence over Leverage
Quantity fixedpoint.Value `json:"quantity"`
AccountValueCalculator *risk.AccountValueCalculator
// TakeProfitAtrMultiplier TP according to ATR multiple, 0 to disable this
TakeProfitAtrMultiplier float64 `json:"takeProfitAtrMultiplier"`
@ -266,17 +270,31 @@ func (s *Strategy) generateOrderForm(side types.SideType, quantity fixedpoint.Va
}
// calculateQuantity returns leveraged quantity
func (s *Strategy) calculateQuantity(currentPrice fixedpoint.Value) fixedpoint.Value {
balance, ok := s.session.GetAccount().Balance(s.Market.QuoteCurrency)
if !ok {
log.Errorf("can not update %s balance from exchange", s.Symbol)
return fixedpoint.Zero
func (s *Strategy) calculateQuantity(ctx context.Context, currentPrice fixedpoint.Value) fixedpoint.Value {
// Quantity takes precedence
if !s.Quantity.IsZero() {
return s.Quantity
}
amountAvailable := balance.Available.Mul(fixedpoint.NewFromFloat(s.Leverage))
quantity := amountAvailable.Div(currentPrice)
usingLeverage := s.session.Margin || s.session.IsolatedMargin || s.session.Futures || s.session.IsolatedFutures
return quantity
if bbgo.IsBackTesting || !usingLeverage { // Backtesting or Spot
balance, ok := s.session.GetAccount().Balance(s.Market.QuoteCurrency)
if !ok {
log.Errorf("can not update %s quote balance from exchange", s.Symbol)
return fixedpoint.Zero
}
return balance.Available.Mul(s.Leverage).Div(currentPrice)
} else { // Using leverage
netValue, err := s.AccountValueCalculator.NetValue(ctx)
if err != nil {
log.WithError(err).Errorf("%s can not get net account value from exchange", s.Symbol)
return fixedpoint.Zero
}
return netValue.Mul(s.Leverage).Div(currentPrice)
}
}
// PrintResult prints accumulated profit status
@ -337,6 +355,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.orderExecutor.BindTradeStats(s.TradeStats)
s.orderExecutor.Bind()
// AccountValueCalculator
s.AccountValueCalculator = risk.NewAccountValueCalculator(s.session, s.Market.QuoteCurrency)
// Accumulated profit report
if s.AccumulatedProfitMAWindow <= 0 {
s.AccumulatedProfitMAWindow = 60
@ -449,7 +470,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
}
orderForm := s.generateOrderForm(side, s.calculateQuantity(closePrice), types.SideEffectTypeMarginBuy)
orderForm := s.generateOrderForm(side, s.calculateQuantity(ctx, closePrice), types.SideEffectTypeMarginBuy)
log.Infof("submit open position order %v", orderForm)
_, err := s.orderExecutor.SubmitOrders(ctx, orderForm)
if err != nil {