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strategy/supertrend: preload indicators

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This commit is contained in:
Andy Cheng 2022-07-05 16:25:02 +08:00
parent 0a0e5ac4d8
commit 5b3ba03042
1 changed files with 36 additions and 40 deletions
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74
pkg/strategy/supertrend/strategy.go
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@ -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())
}
}
// 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:])
}
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)
}
}
@ -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
}