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