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add resistance
This commit is contained in:
c9s
parent
4bc0612265
commit
5621effd6b
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@ -6,6 +6,7 @@ import (
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"sync"
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"time"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/service"
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"github.com/sirupsen/logrus"
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@ -40,12 +41,16 @@ type Strategy struct {
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*bbgo.Graceful
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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Market types.Market `json:"-"`
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// Interval for checking support
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Interval types.Interval `json:"interval"`
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// moving average window for checking support (support should be under the moving average line)
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MovingAverageWindow int `json:"movingAverageWindow"`
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LongTermMovingAverageInterval types.Interval `json:"longTermMovingAverage"`
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LongTermMovingAverageWindow int `json:"longTermMovingAverageWindow"`
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// LongTermMovingAverage is the second moving average line for checking support position
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LongTermMovingAverage types.IntervalWindow `json:"longTermMovingAverage"`
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Quantity fixedpoint.Value `json:"quantity"`
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MinVolume fixedpoint.Value `json:"minVolume"`
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@ -54,12 +59,13 @@ type Strategy struct {
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MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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Targets []Target `json:"targets"`
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ResistanceInterval types.Interval `json:"resistanceInterval"`
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ResistanceSensitivity fixedpoint.Value `json:"resistanceSensitivity"`
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ResistanceMinVolume fixedpoint.Value `json:"resistanceMinVolume"`
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ResistanceTakerBuyRatio fixedpoint.Value `json:"resistanceTakerBuyRatio"`
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MinBaseAssetBalance fixedpoint.Value `json:"minBaseAssetBalance"`
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// Min BaseAsset balance to keep
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MinBaseAssetBalance fixedpoint.Value `json:"minBaseAssetBalance"`
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// Max BaseAsset balance to buy
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MaxBaseAssetBalance fixedpoint.Value `json:"maxBaseAssetBalance"`
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MinQuoteAssetBalance fixedpoint.Value `json:"minQuoteAssetBalance"`
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@ -70,6 +76,9 @@ type Strategy struct {
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tradeStore *bbgo.TradeStore
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tradeC chan types.Trade
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state *State
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triggerEMA *indicator.EWMA
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longTermEMA *indicator.EWMA
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}
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func (s *Strategy) ID() string {
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@ -162,11 +171,10 @@ func (s *Strategy) calculateQuantity(session *bbgo.ExchangeSession, side types.S
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quantity = fixedpoint.NewFromFloat(qf)
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}
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baseBalance, _ := session.Account.Balance(s.Market.BaseCurrency)
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if side == types.SideTypeSell {
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// quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
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if s.MinBaseAssetBalance > 0 && (baseBalance.Total() - quantity) < s.MinBaseAssetBalance {
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if s.MinBaseAssetBalance > 0 && (baseBalance.Total()-quantity) < s.MinBaseAssetBalance {
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quota := baseBalance.Available - s.MinBaseAssetBalance
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quantity = bbgo.AdjustQuantityByMaxAmount(quantity, closePrice, quota)
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}
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@ -207,6 +215,40 @@ func (s *Strategy) calculateQuantity(session *bbgo.ExchangeSession, side types.S
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return quantity, nil
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}
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func (s *Strategy) detectResistance(kline types.KLine) (confidence fixedpoint.Value) {
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// if it's above the EMA, it's resistance
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if kline.Close < s.triggerEMA.Last() {
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return 0
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}
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// check resistance trigger volume
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if kline.Volume < s.ResistanceMinVolume.Float64() {
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return 0
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}
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// check taker buy base volume
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// it's not resistance if it's strong buy kline
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takerBuyBaseVolumeThreshold := kline.Volume * s.ResistanceTakerBuyRatio.Float64()
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if kline.TakerBuyBaseAssetVolume > takerBuyBaseVolumeThreshold {
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return 0
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}
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// resistance usually a larger upper shadow, here we use 50%
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if kline.GetUpperShadowRatio() < 0.1 {
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return 0
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}
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s.Notify("%s: resistance detected, taker buy base volume %f < threshold %f (volume %f) at price %f",
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s.Symbol,
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kline.TakerBuyBaseAssetVolume,
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takerBuyBaseVolumeThreshold,
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kline.Volume,
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kline.Close,
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)
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return
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// buffer 100 trades in the channel
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s.tradeC = make(chan types.Trade, 100)
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@ -259,8 +301,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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var iw = types.IntervalWindow{Interval: s.Interval, Window: s.MovingAverageWindow}
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var ema = standardIndicatorSet.EWMA(iw)
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s.triggerEMA = standardIndicatorSet.EWMA(types.IntervalWindow{Interval: s.Interval, Window: s.MovingAverageWindow})
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var zeroiw = types.IntervalWindow{}
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if s.LongTermMovingAverage != zeroiw {
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s.longTermEMA = standardIndicatorSet.EWMA(s.LongTermMovingAverage)
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}
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if err := s.LoadState(); err != nil {
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return err
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@ -290,7 +336,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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closePrice := fixedpoint.NewFromFloat(closePriceF)
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// if it's above the EMA, it's resistance
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if closePriceF > ema.Last() {
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if closePriceF > s.triggerEMA.Last() {
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// check resistance volume
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if kline.Volume < s.ResistanceMinVolume.Float64() {
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return
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@ -319,11 +365,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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Type: types.OrderTypeMarket,
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Quantity: quantity.Float64(),
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}
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_ = orderForm
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/*
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if err := s.submitOrders(ctx, orderExecutor, orderForm); err != nil {
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log.WithError(err).Error("submit sell order error")
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return
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}
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*/
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return
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}
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@ -331,15 +380,16 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return
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}
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// check support
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// check support volume
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if kline.Volume < s.MinVolume.Float64() {
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return
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}
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// check taker buy ratio, we need strong buy taker
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if s.TakerBuyRatio > 0 {
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takerBuyBaseVolumeThreshold := kline.Volume * s.TakerBuyRatio.Float64()
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if kline.TakerBuyBaseAssetVolume < takerBuyBaseVolumeThreshold {
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s.Notify("%s: taker buy base volume %f is less than threshold %f (volume %f volume ratio %f)",
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s.Notify("%s: taker buy base volume %f is less than threshold %f (volume %f volume ratio %f), skipping this support",
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s.Symbol,
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kline.TakerBuyBaseAssetVolume,
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takerBuyBaseVolumeThreshold,
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@ -350,10 +400,18 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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}
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if s.longTermEMA != nil && closePriceF > s.longTermEMA.Last() {
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s.Notify("%s: closed price is above the long term moving average line, skipping this support",
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s.Symbol,
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kline,
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)
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return
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}
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s.Notify("Found %s support: the close price %f is under EMA %f and volume %f > minimum volume %f",
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s.Symbol,
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closePrice.Float64(),
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ema.Last(),
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s.triggerEMA.Last(),
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kline.Volume,
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s.MinVolume.Float64(),
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kline)
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