From 5be6e822e94fc33afa4f4d9ad3b5b838ec567488 Mon Sep 17 00:00:00 2001 From: zenix Date: Tue, 9 Aug 2022 13:26:02 +0900 Subject: [PATCH] fix: highest price and lowest price reset, condition gets crossed --- pkg/strategy/drift/strategy.go | 136 +++++++++++++++++++++------------ 1 file changed, 87 insertions(+), 49 deletions(-) diff --git a/pkg/strategy/drift/strategy.go b/pkg/strategy/drift/strategy.go index 3a45f3f1b..914cdae2c 100644 --- a/pkg/strategy/drift/strategy.go +++ b/pkg/strategy/drift/strategy.go @@ -880,6 +880,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se bp := buyPrice vol := Volume sp := sellPrice + resetPrice := false if tag == "close" { if !buyPrice.IsZero() { if trade.Side == types.SideTypeSell { @@ -898,8 +899,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se if Volume.Sign() < 0 { sellPrice = trade.Price buyPrice = fixedpoint.Zero + resetPrice = true } else if Volume.Sign() == 0 { buyPrice = fixedpoint.Zero + resetPrice = true } } else { buyPrice = buyPrice.Mul(Volume).Add(trade.Price.Mul(trade.Quantity)).Div(Volume.Add(trade.Quantity)) @@ -923,8 +926,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se if Volume.Sign() > 0 { buyPrice = trade.Price sellPrice = fixedpoint.Zero + resetPrice = true } else if Volume.Sign() == 0 { sellPrice = fixedpoint.Zero + resetPrice = true } } else { sellPrice = sellPrice.Mul(Volume).Sub(trade.Price.Mul(trade.Quantity)).Div(Volume.Sub(trade.Quantity)) @@ -932,17 +937,27 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se } } else { // position changed by strategy + oldSign := Volume.Sign() if trade.Side == types.SideTypeBuy { Volume = Volume.Add(trade.Quantity) if Volume.Sign() > 0 { buyPrice = trade.Price sellPrice = fixedpoint.Zero + if oldSign <= 0 { + resetPrice = true + } } else if Volume.Sign() < 0 { sellPrice = trade.Price buyPrice = fixedpoint.Zero + if oldSign >= 0 { + resetPrice = true + } } else { buyPrice = fixedpoint.Zero sellPrice = fixedpoint.Zero + if oldSign != 0 { + resetPrice = true + } } } else if trade.Side == types.SideTypeSell { sellPrice = trade.Price @@ -950,12 +965,21 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se if Volume.Sign() > 0 { buyPrice = trade.Price sellPrice = fixedpoint.Zero + if oldSign <= 0 { + resetPrice = true + } } else if Volume.Sign() < 0 { sellPrice = trade.Price buyPrice = fixedpoint.Zero + if oldSign >= 0 { + resetPrice = true + } } else { buyPrice = fixedpoint.Zero sellPrice = fixedpoint.Zero + if oldSign != 0 { + resetPrice = true + } } } } @@ -974,6 +998,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se sellPrice = trade.Price } Volume = Volume.Sub(trade.Quantity) + resetPrice = true } else if tag == "long" { if sellPrice.IsZero() { if !buyPrice.IsZero() { @@ -989,12 +1014,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se Volume = fixedpoint.Zero } Volume = Volume.Add(trade.Quantity) + resetPrice = true } else if tag == "rebalance" { if sellPrice.IsZero() { profit.Update(modify(sellPrice.Div(trade.Price)).Float64()) } else { profit.Update(modify(trade.Price.Div(buyPrice)).Float64()) } + resetPrice = true cumProfit.Update(cumProfit.Last() * profit.Last()) sellPrice = fixedpoint.Zero buyPrice = fixedpoint.Zero @@ -1004,9 +1031,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se s.p.Reset() } s.buyPrice = buyPrice.Float64() - s.highestPrice = s.buyPrice s.sellPrice = sellPrice.Float64() - s.lowestPrice = s.sellPrice + if resetPrice { + s.highestPrice = s.buyPrice + s.lowestPrice = s.sellPrice + } bbgo.Notify("tag %s %v %s volafter: %v, quantity: %v, bp: %v, sp: %v, volbefore: %v, bpafter: %v, spafter: %v", tag, trade.Price, trade.Side, Volume, trade.Quantity, bp, sp, vol, s.buyPrice, s.sellPrice) }) @@ -1110,10 +1139,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se avg := s.buyPrice + s.sellPrice exitShortCondition := ( /*avg*(1.+stoploss) <= pricef || (drift > 0 || ddrift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef || s.trailingCheck(highf, "short")) && - (s.Position.IsShort() && !s.Position.IsDust(price)) + (s.p.IsShort() && !s.p.IsDust(price)) exitLongCondition := ( /*avg*(1.-stoploss) >= pricef || (drift < 0 || ddrift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef || s.trailingCheck(lowf, "long")) && - (s.Position.IsLong() && !s.Position.IsDust(price)) + (s.p.IsLong() && !s.p.IsDust(price)) if exitShortCondition || exitLongCondition { if exitLongCondition && s.highestPrice > avg { s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 1.5) @@ -1153,7 +1182,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se highdiff := highf - s.ma.Last() s.stdevHigh.Update(highdiff) - //log.Errorf("highdiff: %3.2f ma: %.2f, close: %8v, high: %8v, low: %8v, time: %v", s.stdevHigh.Last(), s.ma.Last(), kline.Close, kline.High, kline.Low, kline.StartTime) + log.Errorf("highdiff: %3.2f ma: %.2f, close: %8v, high: %8v, low: %8v, time: %v", s.stdevHigh.Last(), s.ma.Last(), kline.Close, kline.High, kline.Low, kline.StartTime) if s.lowestPrice > 0 && lowf < s.lowestPrice { s.lowestPrice = lowf } @@ -1180,16 +1209,23 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se shortCondition := (drift[1] >= DriftFilterNeg || ddrift[1] >= 0) && (driftPred <= DDriftFilterNeg || ddriftPred <= 0) || drift[1] < 0 && drift[0] < 0 longCondition := (drift[1] <= DriftFilterPos || ddrift[1] <= 0) && (driftPred >= DDriftFilterPos || ddriftPred >= 0) || drift[1] > 0 && drift[0] > 0 - exitShortCondition := ((drift[0] >= DDriftFilterPos || ddrift[0] >= 0) || + exitShortCondition := ((drift[0] >= DDriftFilterPos && ddrift[0] >= 0) || avg*(1.+stoploss) <= pricef || avg-atr*takeProfitFactor >= pricef) && - s.Position.IsShort() - exitLongCondition := ((drift[0] <= DDriftFilterNeg || ddrift[0] <= 0) || + s.p.IsShort() + exitLongCondition := ((drift[0] <= DDriftFilterNeg && ddrift[0] <= 0) || avg*(1.-stoploss) >= pricef || avg+atr*takeProfitFactor <= pricef) && - s.Position.IsLong() + s.p.IsLong() + if shortCondition && longCondition { + if drift[1] > drift[0] { + longCondition = false + } else { + shortCondition = false + } + } - if (exitShortCondition || exitLongCondition) && s.Position.IsOpened(price) && !shortCondition && !longCondition { + if (exitShortCondition || exitLongCondition) && s.p.IsOpened(price) && !shortCondition && !longCondition { if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil { log.WithError(err).Errorf("cannot cancel orders") return @@ -1205,6 +1241,46 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se _ = s.ClosePosition(ctx, fixedpoint.One) return } + if longCondition { + if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil { + log.WithError(err).Errorf("cannot cancel orders") + return + } + source = source.Sub(fixedpoint.NewFromFloat(s.stdevLow.Last() * s.HighLowVarianceMultiplier)) + if source.Compare(price) > 0 { + source = price + } + sourcef = source.Float64() + + quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency) + if !ok { + log.Errorf("unable to get quoteCurrency") + return + } + if s.Market.IsDustQuantity( + quoteBalance.Available.Div(source), source) { + return + } + if avg > s.lowestPrice && s.Position.IsShort() { + s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5) + } + quantity := quoteBalance.Available.Div(source) + createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{ + Symbol: s.Symbol, + Side: types.SideTypeBuy, + Type: types.OrderTypeLimit, + Price: source, + Quantity: quantity, + Tag: "long", + }) + if err != nil { + log.WithError(err).Errorf("cannot place buy order") + return + } + orderTagHistory[createdOrders[0].OrderID] = "long" + s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter + return + } if shortCondition { if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil { log.WithError(err).Errorf("cannot cancel orders") @@ -1243,45 +1319,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se } orderTagHistory[createdOrders[0].OrderID] = "short" s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter - } - if longCondition { - if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil { - log.WithError(err).Errorf("cannot cancel orders") - return - } - source = source.Sub(fixedpoint.NewFromFloat(s.stdevLow.Last() * s.HighLowVarianceMultiplier)) - if source.Compare(price) > 0 { - source = price - } - sourcef = source.Float64() - - quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency) - if !ok { - log.Errorf("unable to get quoteCurrency") - return - } - if s.Market.IsDustQuantity( - quoteBalance.Available.Div(source), source) { - return - } - if avg > s.lowestPrice && s.Position.IsShort() { - s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5) - } - quantity := quoteBalance.Available.Div(source) - createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{ - Symbol: s.Symbol, - Side: types.SideTypeBuy, - Type: types.OrderTypeLimit, - Price: source, - Quantity: quantity, - Tag: "long", - }) - if err != nil { - log.WithError(err).Errorf("cannot place buy order") - return - } - orderTagHistory[createdOrders[0].OrderID] = "long" - s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter + return } })