From 5b3ba03042fde92cdd2370e7220bdabe005b51a9 Mon Sep 17 00:00:00 2001 From: Andy Cheng Date: Tue, 5 Jul 2022 16:25:02 +0800 Subject: [PATCH] strategy/supertrend: preload indicators --- pkg/strategy/supertrend/strategy.go | 76 ++++++++++++++--------------- 1 file changed, 36 insertions(+), 40 deletions(-) diff --git a/pkg/strategy/supertrend/strategy.go b/pkg/strategy/supertrend/strategy.go index 51ca60815..22397fb07 100644 --- a/pkg/strategy/supertrend/strategy.go +++ b/pkg/strategy/supertrend/strategy.go @@ -24,7 +24,6 @@ var log = logrus.WithField("strategy", ID) // TODO: SL by fixed percentage // TODO: limit order if possible -// TODO: refine log // TODO: lingre as indicator // TODO: types.TradeStats @@ -202,8 +201,7 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu orderForm := s.generateOrderForm(side, quantity, types.SideEffectTypeAutoRepay) - log.Infof("submit close position order %v", orderForm) - bbgo.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage) + bbgo.Notify("submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, orderForm) _, err := s.orderExecutor.SubmitOrders(ctx, orderForm) if err != nil { @@ -216,6 +214,10 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu // setupIndicators initializes indicators func (s *Strategy) setupIndicators() { + // K-line store for indicators + kLineStore, _ := s.session.MarketDataStore(s.Symbol) + + // DEMA if s.FastDEMAWindow == 0 { s.FastDEMAWindow = 144 } @@ -225,7 +227,19 @@ func (s *Strategy) setupIndicators() { s.SlowDEMAWindow = 169 } s.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.SlowDEMAWindow}} + // Preload + if klines, ok := kLineStore.KLinesOfInterval(s.fastDEMA.Interval); ok { + for i := 0; i < len(*klines); i++ { + s.fastDEMA.Update((*klines)[i].GetClose().Float64()) + } + } + if klines, ok := kLineStore.KLinesOfInterval(s.slowDEMA.Interval); ok { + for i := 0; i < len(*klines); i++ { + s.slowDEMA.Update((*klines)[i].GetClose().Float64()) + } + } + // Supertrend if s.SupertrendWindow == 0 { s.SupertrendWindow = 39 } @@ -234,22 +248,26 @@ func (s *Strategy) setupIndicators() { } s.Supertrend = &indicator.Supertrend{IntervalWindow: types.IntervalWindow{Window: s.SupertrendWindow, Interval: s.Interval}, ATRMultiplier: s.SupertrendMultiplier} s.Supertrend.AverageTrueRange = &indicator.ATR{IntervalWindow: types.IntervalWindow{Window: s.SupertrendWindow, Interval: s.Interval}} - -} - -// updateIndicators updates indicators -func (s *Strategy) updateIndicators(kline types.KLine) { - closePrice := kline.GetClose().Float64() - - // Update indicators - if kline.Interval == s.fastDEMA.Interval { - s.fastDEMA.Update(closePrice) + s.Supertrend.Bind(kLineStore) + // Preload + if klines, ok := kLineStore.KLinesOfInterval(s.Supertrend.Interval); ok { + for i := 0; i < len(*klines); i++ { + s.Supertrend.Update((*klines)[i].GetHigh().Float64(), (*klines)[i].GetLow().Float64(), (*klines)[i].GetClose().Float64()) + } } - if kline.Interval == s.slowDEMA.Interval { - s.slowDEMA.Update(closePrice) - } - if kline.Interval == s.Supertrend.Interval { - s.Supertrend.Update(kline.GetHigh().Float64(), kline.GetLow().Float64(), closePrice) + + // Linear Regression + if s.LinearRegression != nil { + if s.LinearRegression.Window == 0 { + s.LinearRegression = nil + } else { + s.LinearRegression.Bind(kLineStore) + + // Preload + if klines, ok := kLineStore.KLinesOfInterval(s.LinearRegression.Interval); ok { + s.LinearRegression.Update((*klines)[0:]) + } + } } } @@ -309,22 +327,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se s.ProfitStats = types.NewProfitStats(s.Market) } - // Linear Regression - if s.LinearRegression != nil { - if s.LinearRegression.Window == 0 { - s.LinearRegression = nil - } else { - // K-line store for Linear Regression - kLineStore, _ := session.MarketDataStore(s.Symbol) - s.LinearRegression.Bind(kLineStore) - - // Preload - if klines, ok := kLineStore.KLinesOfInterval(s.LinearRegression.Interval); ok { - s.LinearRegression.Update((*klines)[0:]) - } - } - } - // Setup order executor s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position) s.orderExecutor.BindEnvironment(s.Environment) @@ -369,9 +371,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se return } - // Update indicators - s.updateIndicators(kline) - closePrice := kline.GetClose().Float64() openPrice := kline.GetOpen().Float64() @@ -460,16 +459,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se // The default value of side is an empty string. Unless side is set by the checks above, the result of the following condition is false if side == types.SideTypeSell || side == types.SideTypeBuy { - log.Infof("open %s position for signal %v", s.Symbol, side) bbgo.Notify("open %s position for signal %v", s.Symbol, side) // Close opposite position if any if !s.Position.IsDust(kline.GetClose()) { if (side == types.SideTypeSell && s.Position.IsLong()) || (side == types.SideTypeBuy && s.Position.IsShort()) { - log.Infof("close existing %s position before open a new position", s.Symbol) bbgo.Notify("close existing %s position before open a new position", s.Symbol) _ = s.ClosePosition(ctx, fixedpoint.One) } else { - log.Infof("existing %s position has the same direction with the signal", s.Symbol) bbgo.Notify("existing %s position has the same direction with the signal", s.Symbol) return }