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supertrend: clean up and update

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c9s 2022-07-08 15:41:28 +08:00
parent 72f18c1057
commit 581e4be218
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1 changed files with 11 additions and 37 deletions
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48
pkg/strategy/supertrend/strategy.go
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@ -6,8 +6,6 @@ import (
"os"
"sync"
"github.com/c9s/bbgo/pkg/util"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
@ -19,12 +17,9 @@ import (
const ID = "supertrend"
const stateKey = "state-v1"
var log = logrus.WithField("strategy", ID)
// TODO: limit order for ATR TP
func init() {
// Register the pointer of the strategy struct,
// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
@ -33,10 +28,7 @@ func init() {
}
type Strategy struct {
*bbgo.Persistence
Environment *bbgo.Environment
session *bbgo.ExchangeSession
Market types.Market
// persistence fields
@ -44,14 +36,6 @@ type Strategy struct {
ProfitStats *types.ProfitStats `persistence:"profit_stats"`
TradeStats *types.TradeStats `persistence:"trade_stats"`
// Order and trade
orderExecutor *bbgo.GeneralOrderExecutor
// groupID is the group ID used for the strategy instance for canceling orders
groupID uint32
stopC chan struct{}
// Symbol is the market symbol you want to trade
Symbol string `json:"symbol"`
@ -90,12 +74,14 @@ type Strategy struct {
// StopByReversedLinGre TP/SL by reversed linear regression signal
StopByReversedLinGre bool `json:"stopByReversedLinGre"`
// ExitMethods Exit methods
ExitMethods bbgo.ExitMethodSet `json:"exits"`
session *bbgo.ExchangeSession
orderExecutor *bbgo.GeneralOrderExecutor
currentTakeProfitPrice fixedpoint.Value
currentStopLossPrice fixedpoint.Value
// ExitMethods Exit methods
ExitMethods []bbgo.ExitMethod `json:"exits"`
// StrategyController
bbgo.StrategyController
}
@ -256,7 +242,6 @@ func (s *Strategy) generateOrderForm(side types.SideType, quantity fixedpoint.Va
Type: types.OrderTypeMarket,
Quantity: quantity,
MarginSideEffect: marginOrderSideEffect,
GroupID: s.groupID,
}
return orderForm
@ -279,9 +264,11 @@ func (s *Strategy) calculateQuantity(currentPrice fixedpoint.Value) fixedpoint.V
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
s.session = session
s.currentStopLossPrice = fixedpoint.Zero
s.currentTakeProfitPrice = fixedpoint.Zero
// calculate group id for orders
instanceID := s.InstanceID()
s.groupID = util.FNV32(instanceID)
// If position is nil, we need to allocate a new position for calculation
if s.Position == nil {
@ -321,16 +308,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
bbgo.Sync(s)
})
s.stopC = make(chan struct{})
// StrategyController
s.Status = types.StrategyStatusRunning
s.OnSuspend(func() {
_ = s.orderExecutor.GracefulCancel(ctx)
_ = s.Persistence.Sync(s)
bbgo.Sync(s)
})
s.OnEmergencyStop(func() {
_ = s.orderExecutor.GracefulCancel(ctx)
// Close 100% position
@ -345,20 +328,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
method.Bind(session, s.orderExecutor)
}
s.currentStopLossPrice = fixedpoint.Zero
s.currentTakeProfitPrice = fixedpoint.Zero
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
// StrategyController
if s.Status != types.StrategyStatusRunning {
return
}
// skip k-lines from other symbols or other intervals
if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
return
}
closePrice := kline.GetClose()
openPrice := kline.GetOpen()
closePrice64 := closePrice.Float64()
@ -426,12 +401,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
bbgo.Notify("can not place %s open position order", s.Symbol)
}
}
})
}))
// Graceful shutdown
bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
defer wg.Done()
close(s.stopC)
_ = s.orderExecutor.GracefulCancel(ctx)
_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())