mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
fix: buyPrice/sellPrice calculation on one order multiple trades
This commit is contained in:
zenix
parent
d2dee44647
commit
553a55811c
|
|
@ -125,6 +125,10 @@ func New(key, secret string) *Exchange {
|
|||
ex.setServerTimeOffset(ctx)
|
||||
}
|
||||
}
|
||||
|
||||
if err = client2.SetTimeOffsetFromServer(context.Background()); err != nil {
|
||||
log.WithError(err).Error("can not set server time")
|
||||
}
|
||||
})
|
||||
}
|
||||
|
||||
|
|
|
|||
|
|
@ -65,6 +65,9 @@ type Strategy struct {
|
|||
NoStopPrice bool `json:"noStopPrice"`
|
||||
NoTrailingStopLoss bool `json:"noTrailingStopLoss"`
|
||||
|
||||
buyPrice float64
|
||||
sellPrice float64
|
||||
|
||||
// This is not related to trade but for statistics graph generation
|
||||
// Will deduct fee in percentage from every trade
|
||||
GraphPNLDeductFee bool `json:"graphPNLDeductFee"`
|
||||
|
|
@ -306,7 +309,7 @@ func (s *Strategy) InitTickerFunctions(ctx context.Context) {
|
|||
return
|
||||
}
|
||||
atr = s.atr.Last()
|
||||
avg = s.Position.AverageCost.Float64()
|
||||
avg = s.buyPrice + s.sellPrice
|
||||
stoploss = s.StopLoss.Float64()
|
||||
exitShortCondition := (avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef || avg-atr*s.TakeProfitFactor >= pricef) &&
|
||||
(s.Position.IsShort() && !s.Position.IsDust(price))
|
||||
|
|
@ -349,12 +352,10 @@ func (s *Strategy) Draw(time types.Time, priceLine types.SeriesExtend, profit ty
|
|||
mean := priceLine.Mean(Length)
|
||||
highestPrice := priceLine.Minus(mean).Abs().Highest(Length)
|
||||
highestDrift := s.drift.Abs().Highest(Length)
|
||||
meanDrift := s.drift.Mean(Length)
|
||||
ratio := highestDrift / highestPrice
|
||||
canvas.Plot("drift", s.drift, time, Length)
|
||||
canvas.Plot("zero", types.NumberSeries(0), time, Length)
|
||||
canvas.Plot("price", priceLine.Minus(mean).Mul(ratio), time, Length)
|
||||
canvas.Plot("0", types.NumberSeries(meanDrift), time, Length)
|
||||
f, err := os.Create(s.CanvasPath)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("cannot create on %s", s.CanvasPath)
|
||||
|
|
@ -443,84 +444,111 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
}
|
||||
buyPrice := fixedpoint.Zero
|
||||
sellPrice := fixedpoint.Zero
|
||||
Volume := fixedpoint.Zero
|
||||
profit := types.Float64Slice{}
|
||||
cumProfit := types.Float64Slice{1.}
|
||||
orderTagHistory := make(map[uint64]string)
|
||||
if s.GenerateGraph {
|
||||
s.Session.UserDataStream.OnOrderUpdate(func(order types.Order) {
|
||||
orderTagHistory[order.OrderID] = order.Tag
|
||||
})
|
||||
modify := func(p fixedpoint.Value) fixedpoint.Value {
|
||||
return p
|
||||
}
|
||||
if s.GraphPNLDeductFee {
|
||||
fee := fixedpoint.NewFromFloat(0.0004) // taker fee % * 2, for upper bound
|
||||
modify = func(p fixedpoint.Value) fixedpoint.Value {
|
||||
return p.Mul(fixedpoint.One.Sub(fee))
|
||||
}
|
||||
}
|
||||
s.Session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
|
||||
tag, ok := orderTagHistory[trade.OrderID]
|
||||
if !ok {
|
||||
panic(fmt.Sprintf("cannot find order: %v", trade))
|
||||
}
|
||||
if tag == "close" {
|
||||
if !buyPrice.IsZero() {
|
||||
profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
buyPrice = fixedpoint.Zero
|
||||
if !sellPrice.IsZero() {
|
||||
panic("sellprice shouldn't be zero")
|
||||
}
|
||||
} else if !sellPrice.IsZero() {
|
||||
profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
sellPrice = fixedpoint.Zero
|
||||
if !buyPrice.IsZero() {
|
||||
panic("buyprice shouldn't be zero")
|
||||
}
|
||||
} else {
|
||||
panic("no price available")
|
||||
}
|
||||
} else if tag == "short" {
|
||||
if buyPrice.IsZero() {
|
||||
if !sellPrice.IsZero() {
|
||||
panic("sellPrice not zero")
|
||||
}
|
||||
sellPrice = trade.Price
|
||||
} else {
|
||||
profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
buyPrice = fixedpoint.Zero
|
||||
sellPrice = trade.Price
|
||||
}
|
||||
} else if tag == "long" {
|
||||
if sellPrice.IsZero() {
|
||||
if !buyPrice.IsZero() {
|
||||
panic("buyPrice not zero")
|
||||
}
|
||||
buyPrice = trade.Price
|
||||
} else {
|
||||
profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
sellPrice = fixedpoint.Zero
|
||||
buyPrice = trade.Price
|
||||
}
|
||||
} else if tag == "sl" {
|
||||
if !buyPrice.IsZero() {
|
||||
profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
buyPrice = fixedpoint.Zero
|
||||
} else if !sellPrice.IsZero() {
|
||||
profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
sellPrice = fixedpoint.Zero
|
||||
} else {
|
||||
panic("no position to sl")
|
||||
}
|
||||
}
|
||||
})
|
||||
s.buyPrice = 0
|
||||
s.sellPrice = 0
|
||||
s.Session.UserDataStream.OnOrderUpdate(func(order types.Order) {
|
||||
orderTagHistory[order.OrderID] = order.Tag
|
||||
})
|
||||
modify := func(p fixedpoint.Value) fixedpoint.Value {
|
||||
return p
|
||||
}
|
||||
if s.GraphPNLDeductFee {
|
||||
fee := fixedpoint.NewFromFloat(0.0004) // taker fee % * 2, for upper bound
|
||||
modify = func(p fixedpoint.Value) fixedpoint.Value {
|
||||
return p.Mul(fixedpoint.One.Sub(fee))
|
||||
}
|
||||
}
|
||||
s.Session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
|
||||
tag, ok := orderTagHistory[trade.OrderID]
|
||||
if !ok {
|
||||
panic(fmt.Sprintf("cannot find order: %v", trade))
|
||||
}
|
||||
if tag == "close" {
|
||||
if !buyPrice.IsZero() {
|
||||
profit.Update(modify(trade.Price.Div(buyPrice)).
|
||||
Sub(fixedpoint.One).
|
||||
Mul(trade.Quantity).
|
||||
Div(Volume).
|
||||
Add(fixedpoint.One).
|
||||
Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
Volume = Volume.Sub(trade.Quantity)
|
||||
if Volume.IsZero() {
|
||||
buyPrice = fixedpoint.Zero
|
||||
}
|
||||
if !sellPrice.IsZero() {
|
||||
panic("sellprice shouldn't be zero")
|
||||
}
|
||||
} else if !sellPrice.IsZero() {
|
||||
profit.Update(modify(sellPrice.Div(trade.Price)).
|
||||
Sub(fixedpoint.One).
|
||||
Mul(trade.Quantity).
|
||||
Div(Volume).
|
||||
Neg().
|
||||
Add(fixedpoint.One).
|
||||
Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
Volume = Volume.Add(trade.Quantity)
|
||||
if Volume.IsZero() {
|
||||
sellPrice = fixedpoint.Zero
|
||||
}
|
||||
if !buyPrice.IsZero() {
|
||||
panic("buyprice shouldn't be zero")
|
||||
}
|
||||
} else {
|
||||
panic("no price available")
|
||||
}
|
||||
} else if tag == "short" {
|
||||
if buyPrice.IsZero() {
|
||||
if !sellPrice.IsZero() {
|
||||
sellPrice = sellPrice.Mul(Volume).Sub(trade.Price.Mul(trade.Quantity)).Div(Volume.Sub(trade.Quantity))
|
||||
} else {
|
||||
sellPrice = trade.Price
|
||||
}
|
||||
} else {
|
||||
profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
buyPrice = fixedpoint.Zero
|
||||
Volume = fixedpoint.Zero
|
||||
sellPrice = trade.Price
|
||||
}
|
||||
Volume = Volume.Sub(trade.Quantity)
|
||||
} else if tag == "long" {
|
||||
if sellPrice.IsZero() {
|
||||
if !buyPrice.IsZero() {
|
||||
buyPrice = buyPrice.Mul(Volume).Add(trade.Price.Mul(trade.Quantity)).Div(Volume.Add(trade.Quantity))
|
||||
} else {
|
||||
buyPrice = trade.Price
|
||||
}
|
||||
} else {
|
||||
profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
sellPrice = fixedpoint.Zero
|
||||
buyPrice = trade.Price
|
||||
Volume = fixedpoint.Zero
|
||||
}
|
||||
Volume = Volume.Add(trade.Quantity)
|
||||
} else if tag == "sl" {
|
||||
// TODO: not properly handled for single order, multiple trades
|
||||
if !buyPrice.IsZero() {
|
||||
profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
buyPrice = fixedpoint.Zero
|
||||
} else if !sellPrice.IsZero() {
|
||||
profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
sellPrice = fixedpoint.Zero
|
||||
} else {
|
||||
panic("no position to sl")
|
||||
}
|
||||
}
|
||||
s.buyPrice = buyPrice.Float64()
|
||||
s.sellPrice = sellPrice.Float64()
|
||||
})
|
||||
|
||||
s.BindStopLoss(ctx)
|
||||
|
||||
|
|
@ -557,7 +585,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
pricef := price.Float64()
|
||||
lowf := math.Min(kline.Low.Float64(), pricef)
|
||||
highf := math.Max(kline.High.Float64(), pricef)
|
||||
avg := s.Position.AverageCost.Float64()
|
||||
avg := s.buyPrice + s.sellPrice
|
||||
|
||||
exitShortCondition := (avg+atr/2 <= highf || avg*(1.+stoploss) <= highf || avg-atr*s.TakeProfitFactor >= lowf) &&
|
||||
(s.Position.IsShort() && !s.Position.IsDust(price))
|
||||
|
|
@ -591,13 +619,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.stdevLow.Update(lowdiff)
|
||||
highdiff := highf - s.ma.Last()
|
||||
s.stdevHigh.Update(highdiff)
|
||||
avg := s.Position.AverageCost.Float64()
|
||||
avg := s.buyPrice + s.sellPrice
|
||||
|
||||
if !s.IsBackTesting() {
|
||||
balances := s.Session.GetAccount().Balances()
|
||||
log.Infof("source: %.4f, price: %.4f, driftPred: %.4f, drift: %.4f, drift[1]: %.4f, atr: %.4f, avg: %.4f",
|
||||
bbgo.Notify("source: %.4f, price: %.4f, driftPred: %.4f, drift: %.4f, drift[1]: %.4f, atr: %.4f, avg: %.4f",
|
||||
sourcef, pricef, driftPred, drift[0], drift[1], atr, avg)
|
||||
log.Infof("balances: [Base] %v [Quote] %v", balances[s.Market.BaseCurrency], balances[s.Market.QuoteCurrency])
|
||||
// Notify will parse args to strings and process separately
|
||||
bbgo.Notify("balances: [Base] %s [Quote] %s", balances[s.Market.BaseCurrency].String(), balances[s.Market.QuoteCurrency].String())
|
||||
}
|
||||
|
||||
shortCondition := (driftPred <= 0 && drift[0] <= 0)
|
||||
|
|
@ -628,6 +657,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
if source.Compare(price) < 0 {
|
||||
source = price
|
||||
}
|
||||
sourcef = source.Float64()
|
||||
|
||||
if s.Market.IsDustQuantity(baseBalance.Available, source) {
|
||||
return
|
||||
|
|
@ -657,11 +687,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
log.WithError(err).Errorf("cannot place sell order")
|
||||
return
|
||||
}
|
||||
orderTagHistory[createdOrders[0].OrderID] = "short"
|
||||
if s.NoStopPrice {
|
||||
return
|
||||
}
|
||||
if createdOrders[0].Status == types.OrderStatusFilled {
|
||||
s.GeneralOrderExecutor.SubmitOrders(ctx, stopOrder)
|
||||
if o, err := s.GeneralOrderExecutor.SubmitOrders(ctx, stopOrder); err == nil {
|
||||
orderTagHistory[o[0].OrderID] = "sl"
|
||||
}
|
||||
return
|
||||
}
|
||||
s.StopOrders[createdOrders[0].OrderID] = &stopOrder
|
||||
|
|
@ -675,6 +708,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
if source.Compare(price) > 0 {
|
||||
source = price
|
||||
}
|
||||
sourcef = source.Float64()
|
||||
quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
|
||||
if !ok {
|
||||
log.Errorf("unable to get quoteCurrency")
|
||||
|
|
@ -710,11 +744,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
log.WithError(err).Errorf("cannot place buy order")
|
||||
return
|
||||
}
|
||||
orderTagHistory[createdOrders[0].OrderID] = "long"
|
||||
if s.NoStopPrice {
|
||||
return
|
||||
}
|
||||
if createdOrders[0].Status == types.OrderStatusFilled {
|
||||
s.GeneralOrderExecutor.SubmitOrders(ctx, stopOrder)
|
||||
if o, err := s.GeneralOrderExecutor.SubmitOrders(ctx, stopOrder); err == nil {
|
||||
orderTagHistory[o[0].OrderID] = "sl"
|
||||
}
|
||||
return
|
||||
}
|
||||
s.StopOrders[createdOrders[0].OrderID] = &stopOrder
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user