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bollmaker: add TradeInBand option

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c9s 2022-01-28 01:29:12 +08:00
parent f49b7165d8
commit 584dd3e279
1 changed files with 12 additions and 1 deletions
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13
pkg/strategy/bollmaker/strategy.go
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@ -142,6 +142,10 @@ type Strategy struct {
// less than 1.0 means when placing sell order, place buy order with less quantity // less than 1.0 means when placing sell order, place buy order with less quantity
UptrendSkew fixedpoint.Value `json:"uptrendSkew"` UptrendSkew fixedpoint.Value `json:"uptrendSkew"`
// TradeInBand
// When this is on, places orders only when the current price is in the bollinger band.
TradeInBand bool `json:"tradeInBand"`
// ShadowProtection is used to avoid placing bid order when price goes down strongly (without shadow) // ShadowProtection is used to avoid placing bid order when price goes down strongly (without shadow)
ShadowProtection bool `json:"shadowProtection"` ShadowProtection bool `json:"shadowProtection"`
ShadowProtectionRatio fixedpoint.Value `json:"shadowProtectionRatio"` ShadowProtectionRatio fixedpoint.Value `json:"shadowProtectionRatio"`
@ -386,6 +390,13 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
// CASE #5: // CASE #5:
// WHEN: price breaks the upper band (price > window 2) == strongUpTrend // WHEN: price breaks the upper band (price > window 2) == strongUpTrend
// THEN: we apply strongUpTrend skew // THEN: we apply strongUpTrend skew
if s.TradeInBand {
if !inBetween(midPrice.Float64(), s.neutralBoll.LastDownBand(), s.neutralBoll.LastUpBand()) {
log.Infof("tradeInBand is set, skip placing orders when the price is outside of the band")
return
}
}
trend := s.detectPriceTrend(s.neutralBoll, midPrice.Float64()) trend := s.detectPriceTrend(s.neutralBoll, midPrice.Float64())
switch trend { switch trend {
case NeutralTrend: case NeutralTrend:
@ -461,7 +472,7 @@ func (s *Strategy) detectPriceTrend(inc *indicator.BOLL, price float64) PriceTre
func (s *Strategy) adjustOrderQuantity(submitOrder types.SubmitOrder) types.SubmitOrder { func (s *Strategy) adjustOrderQuantity(submitOrder types.SubmitOrder) types.SubmitOrder {
if submitOrder.Quantity*submitOrder.Price < s.market.MinNotional { if submitOrder.Quantity*submitOrder.Price < s.market.MinNotional {
submitOrder.Quantity = bbgo.AdjustFloatQuantityByMinAmount(submitOrder.Quantity, submitOrder.Price, s.market.MinNotional * 1.1) submitOrder.Quantity = bbgo.AdjustFloatQuantityByMinAmount(submitOrder.Quantity, submitOrder.Price, s.market.MinNotional*1.1)
} }
if submitOrder.Quantity < s.market.MinQuantity { if submitOrder.Quantity < s.market.MinQuantity {