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make bounce short optional

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c9s 2022-06-11 16:41:56 +08:00
parent 3d0c0717ba
commit 5949c7587e
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2 changed files with 47 additions and 22 deletions
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1
config/pivotshort-ETHUSDT.yaml
View File

@ -45,6 +45,7 @@ exchangeStrategies:
window: 99
bounceShort:
enabled: false
interval: 1h
window: 10
quantity: 10.0

68
pkg/strategy/pivotshort/strategy.go
View File

@ -76,6 +76,8 @@ type BreakLow struct {
}
type BounceShort struct {
Enabled bool `json:"enabled"`
types.IntervalWindow
MinDistance fixedpoint.Value `json:"minDistance"`
@ -163,7 +165,7 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
if s.BounceShort != nil {
if s.BounceShort != nil && s.BounceShort.Enabled {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.BounceShort.Interval})
}
}
@ -305,7 +307,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.pivot = &indicator.Pivot{IntervalWindow: s.IntervalWindow}
s.pivot.Bind(store)
if s.BounceShort != nil {
if s.BounceShort != nil && s.BounceShort.Enabled {
s.resistancePivot = &indicator.Pivot{IntervalWindow: s.BounceShort.IntervalWindow}
s.resistancePivot.Bind(store)
}
@ -328,22 +330,24 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
lows := s.resistancePivot.Lows
minDistance := s.BounceShort.MinDistance.Float64()
closePrice := lastKLine.Close.Float64()
s.resistancePrices = findPossibleResistancePrices(closePrice, minDistance, lows)
log.Infof("last price: %f, possible resistance prices: %+v", closePrice, s.resistancePrices)
if s.resistancePivot != nil {
lows := s.resistancePivot.Lows
minDistance := s.BounceShort.MinDistance.Float64()
closePrice := lastKLine.Close.Float64()
s.resistancePrices = findPossibleResistancePrices(closePrice, minDistance, lows)
log.Infof("last price: %f, possible resistance prices: %+v", closePrice, s.resistancePrices)
if len(s.resistancePrices) > 0 {
resistancePrice := fixedpoint.NewFromFloat(s.resistancePrices[0])
if resistancePrice.Compare(s.currentBounceShortPrice) != 0 {
log.Infof("updating resistance price... possible resistance prices: %+v", s.resistancePrices)
if len(s.resistancePrices) > 0 {
resistancePrice := fixedpoint.NewFromFloat(s.resistancePrices[0])
if resistancePrice.Compare(s.currentBounceShortPrice) != 0 {
log.Infof("updating resistance price... possible resistance prices: %+v", s.resistancePrices)
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
}
s.currentBounceShortPrice = resistancePrice
s.placeBounceSellOrders(ctx, s.currentBounceShortPrice, orderExecutor)
}
s.currentBounceShortPrice = resistancePrice
s.placeBounceSellOrders(ctx, s.currentBounceShortPrice, orderExecutor)
}
}
})
@ -430,7 +434,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
ratio := fixedpoint.One.Sub(s.BreakLow.Ratio)
breakPrice := previousLow.Mul(ratio)
if kline.Close.Compare(breakPrice) > 0 {
// if previous low is not break, skip
if kline.Close.Compare(breakPrice) >= 0 {
return
}
@ -454,7 +460,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
})
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
if s.BounceShort == nil {
if s.BounceShort == nil || !s.BounceShort.Enabled {
return
}
@ -462,10 +468,25 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
closePrice := kline.Close.Float64()
minDistance := s.BounceShort.MinDistance.Float64()
lows := s.resistancePivot.Lows
s.resistancePrices = findPossibleResistancePrices(closePrice, minDistance, lows)
if s.resistancePivot != nil {
closePrice := kline.Close.Float64()
minDistance := s.BounceShort.MinDistance.Float64()
lows := s.resistancePivot.Lows
s.resistancePrices = findPossibleResistancePrices(closePrice, minDistance, lows)
if len(s.resistancePrices) > 0 {
resistancePrice := fixedpoint.NewFromFloat(s.resistancePrices[0])
if resistancePrice.Compare(s.currentBounceShortPrice) != 0 {
log.Infof("updating resistance price... possible resistance prices: %+v", s.resistancePrices)
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
}
s.currentBounceShortPrice = resistancePrice
s.placeBounceSellOrders(ctx, s.currentBounceShortPrice, orderExecutor)
}
}
}
})
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
@ -474,8 +495,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
if s.pivot.LastLow() > 0.0 {
log.Debugf("pivot low detected: %f %s", s.pivot.LastLow(), kline.EndTime.Time())
lastLow := fixedpoint.NewFromFloat(s.pivot.LastLow())
if lastLow.Compare(s.lastLow) != 0 {
log.Infof("new pivot low detected: %f %s", s.pivot.LastLow(), kline.EndTime.Time())
}
s.lastLow = lastLow
s.pivotLowPrices = append(s.pivotLowPrices, s.lastLow)
}