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supertrend: clean up and update
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parent
72f18c1057
commit
581e4be218
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@ -6,8 +6,6 @@ import (
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"os"
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"sync"
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"github.com/c9s/bbgo/pkg/util"
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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@ -19,12 +17,9 @@ import (
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const ID = "supertrend"
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const stateKey = "state-v1"
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var log = logrus.WithField("strategy", ID)
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// TODO: limit order for ATR TP
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func init() {
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// Register the pointer of the strategy struct,
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// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
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@ -33,10 +28,7 @@ func init() {
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}
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type Strategy struct {
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*bbgo.Persistence
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Environment *bbgo.Environment
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session *bbgo.ExchangeSession
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Market types.Market
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// persistence fields
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@ -44,14 +36,6 @@ type Strategy struct {
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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TradeStats *types.TradeStats `persistence:"trade_stats"`
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// Order and trade
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orderExecutor *bbgo.GeneralOrderExecutor
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// groupID is the group ID used for the strategy instance for canceling orders
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groupID uint32
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stopC chan struct{}
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// Symbol is the market symbol you want to trade
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Symbol string `json:"symbol"`
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@ -90,12 +74,14 @@ type Strategy struct {
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// StopByReversedLinGre TP/SL by reversed linear regression signal
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StopByReversedLinGre bool `json:"stopByReversedLinGre"`
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// ExitMethods Exit methods
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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currentTakeProfitPrice fixedpoint.Value
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currentStopLossPrice fixedpoint.Value
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// ExitMethods Exit methods
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ExitMethods []bbgo.ExitMethod `json:"exits"`
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// StrategyController
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bbgo.StrategyController
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}
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@ -256,7 +242,6 @@ func (s *Strategy) generateOrderForm(side types.SideType, quantity fixedpoint.Va
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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MarginSideEffect: marginOrderSideEffect,
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GroupID: s.groupID,
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}
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return orderForm
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@ -279,9 +264,11 @@ func (s *Strategy) calculateQuantity(currentPrice fixedpoint.Value) fixedpoint.V
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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s.session = session
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s.currentStopLossPrice = fixedpoint.Zero
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s.currentTakeProfitPrice = fixedpoint.Zero
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// calculate group id for orders
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instanceID := s.InstanceID()
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s.groupID = util.FNV32(instanceID)
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// If position is nil, we need to allocate a new position for calculation
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if s.Position == nil {
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@ -321,16 +308,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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bbgo.Sync(s)
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})
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s.stopC = make(chan struct{})
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// StrategyController
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s.Status = types.StrategyStatusRunning
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s.OnSuspend(func() {
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_ = s.orderExecutor.GracefulCancel(ctx)
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_ = s.Persistence.Sync(s)
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bbgo.Sync(s)
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})
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s.OnEmergencyStop(func() {
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_ = s.orderExecutor.GracefulCancel(ctx)
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// Close 100% position
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@ -345,20 +328,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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method.Bind(session, s.orderExecutor)
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}
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s.currentStopLossPrice = fixedpoint.Zero
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s.currentTakeProfitPrice = fixedpoint.Zero
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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// StrategyController
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if s.Status != types.StrategyStatusRunning {
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return
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}
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// skip k-lines from other symbols or other intervals
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if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
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return
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}
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closePrice := kline.GetClose()
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openPrice := kline.GetOpen()
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closePrice64 := closePrice.Float64()
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@ -426,12 +401,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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bbgo.Notify("can not place %s open position order", s.Symbol)
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}
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}
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})
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}))
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// Graceful shutdown
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bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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close(s.stopC)
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_ = s.orderExecutor.GracefulCancel(ctx)
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_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
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