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https://github.com/c9s/bbgo.git
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fix: highest price and lowest price reset, condition gets crossed
This commit is contained in:
zenix
parent
2c4e03a102
commit
5be6e822e9
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@ -880,6 +880,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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bp := buyPrice
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vol := Volume
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sp := sellPrice
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resetPrice := false
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if tag == "close" {
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if !buyPrice.IsZero() {
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if trade.Side == types.SideTypeSell {
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@ -898,8 +899,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if Volume.Sign() < 0 {
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sellPrice = trade.Price
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buyPrice = fixedpoint.Zero
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resetPrice = true
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} else if Volume.Sign() == 0 {
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buyPrice = fixedpoint.Zero
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resetPrice = true
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}
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} else {
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buyPrice = buyPrice.Mul(Volume).Add(trade.Price.Mul(trade.Quantity)).Div(Volume.Add(trade.Quantity))
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@ -923,8 +926,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if Volume.Sign() > 0 {
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buyPrice = trade.Price
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sellPrice = fixedpoint.Zero
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resetPrice = true
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} else if Volume.Sign() == 0 {
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sellPrice = fixedpoint.Zero
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resetPrice = true
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}
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} else {
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sellPrice = sellPrice.Mul(Volume).Sub(trade.Price.Mul(trade.Quantity)).Div(Volume.Sub(trade.Quantity))
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@ -932,17 +937,27 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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} else {
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// position changed by strategy
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oldSign := Volume.Sign()
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if trade.Side == types.SideTypeBuy {
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Volume = Volume.Add(trade.Quantity)
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if Volume.Sign() > 0 {
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buyPrice = trade.Price
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sellPrice = fixedpoint.Zero
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if oldSign <= 0 {
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resetPrice = true
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}
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} else if Volume.Sign() < 0 {
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sellPrice = trade.Price
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buyPrice = fixedpoint.Zero
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if oldSign >= 0 {
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resetPrice = true
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}
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} else {
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buyPrice = fixedpoint.Zero
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sellPrice = fixedpoint.Zero
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if oldSign != 0 {
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resetPrice = true
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}
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}
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} else if trade.Side == types.SideTypeSell {
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sellPrice = trade.Price
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@ -950,12 +965,21 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if Volume.Sign() > 0 {
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buyPrice = trade.Price
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sellPrice = fixedpoint.Zero
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if oldSign <= 0 {
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resetPrice = true
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}
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} else if Volume.Sign() < 0 {
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sellPrice = trade.Price
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buyPrice = fixedpoint.Zero
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if oldSign >= 0 {
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resetPrice = true
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}
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} else {
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buyPrice = fixedpoint.Zero
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sellPrice = fixedpoint.Zero
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if oldSign != 0 {
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resetPrice = true
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}
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}
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}
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}
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@ -974,6 +998,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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sellPrice = trade.Price
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}
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Volume = Volume.Sub(trade.Quantity)
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resetPrice = true
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} else if tag == "long" {
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if sellPrice.IsZero() {
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if !buyPrice.IsZero() {
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@ -989,12 +1014,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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Volume = fixedpoint.Zero
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}
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Volume = Volume.Add(trade.Quantity)
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resetPrice = true
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} else if tag == "rebalance" {
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if sellPrice.IsZero() {
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profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
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} else {
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profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
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}
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resetPrice = true
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cumProfit.Update(cumProfit.Last() * profit.Last())
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sellPrice = fixedpoint.Zero
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buyPrice = fixedpoint.Zero
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@ -1004,9 +1031,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.p.Reset()
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}
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s.buyPrice = buyPrice.Float64()
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s.highestPrice = s.buyPrice
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s.sellPrice = sellPrice.Float64()
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s.lowestPrice = s.sellPrice
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if resetPrice {
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s.highestPrice = s.buyPrice
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s.lowestPrice = s.sellPrice
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}
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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)
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})
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@ -1110,10 +1139,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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avg := s.buyPrice + s.sellPrice
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exitShortCondition := ( /*avg*(1.+stoploss) <= pricef || (drift > 0 || ddrift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef ||
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s.trailingCheck(highf, "short")) &&
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(s.Position.IsShort() && !s.Position.IsDust(price))
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(s.p.IsShort() && !s.p.IsDust(price))
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exitLongCondition := ( /*avg*(1.-stoploss) >= pricef || (drift < 0 || ddrift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef ||
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s.trailingCheck(lowf, "long")) &&
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(s.Position.IsLong() && !s.Position.IsDust(price))
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(s.p.IsLong() && !s.p.IsDust(price))
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if exitShortCondition || exitLongCondition {
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if exitLongCondition && s.highestPrice > avg {
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s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 1.5)
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@ -1153,7 +1182,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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highdiff := highf - s.ma.Last()
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s.stdevHigh.Update(highdiff)
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//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)
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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)
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if s.lowestPrice > 0 && lowf < s.lowestPrice {
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s.lowestPrice = lowf
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}
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@ -1180,16 +1209,23 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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shortCondition := (drift[1] >= DriftFilterNeg || ddrift[1] >= 0) && (driftPred <= DDriftFilterNeg || ddriftPred <= 0) || drift[1] < 0 && drift[0] < 0
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longCondition := (drift[1] <= DriftFilterPos || ddrift[1] <= 0) && (driftPred >= DDriftFilterPos || ddriftPred >= 0) || drift[1] > 0 && drift[0] > 0
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exitShortCondition := ((drift[0] >= DDriftFilterPos || ddrift[0] >= 0) ||
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exitShortCondition := ((drift[0] >= DDriftFilterPos && ddrift[0] >= 0) ||
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avg*(1.+stoploss) <= pricef ||
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avg-atr*takeProfitFactor >= pricef) &&
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s.Position.IsShort()
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exitLongCondition := ((drift[0] <= DDriftFilterNeg || ddrift[0] <= 0) ||
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s.p.IsShort()
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exitLongCondition := ((drift[0] <= DDriftFilterNeg && ddrift[0] <= 0) ||
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avg*(1.-stoploss) >= pricef ||
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avg+atr*takeProfitFactor <= pricef) &&
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s.Position.IsLong()
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s.p.IsLong()
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if shortCondition && longCondition {
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if drift[1] > drift[0] {
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longCondition = false
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} else {
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shortCondition = false
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}
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}
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if (exitShortCondition || exitLongCondition) && s.Position.IsOpened(price) && !shortCondition && !longCondition {
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if (exitShortCondition || exitLongCondition) && s.p.IsOpened(price) && !shortCondition && !longCondition {
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if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("cannot cancel orders")
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return
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@ -1205,6 +1241,46 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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_ = s.ClosePosition(ctx, fixedpoint.One)
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return
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}
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if longCondition {
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if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("cannot cancel orders")
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return
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}
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source = source.Sub(fixedpoint.NewFromFloat(s.stdevLow.Last() * s.HighLowVarianceMultiplier))
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if source.Compare(price) > 0 {
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source = price
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}
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sourcef = source.Float64()
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quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
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if !ok {
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log.Errorf("unable to get quoteCurrency")
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return
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}
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if s.Market.IsDustQuantity(
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quoteBalance.Available.Div(source), source) {
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return
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}
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if avg > s.lowestPrice && s.Position.IsShort() {
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s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5)
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}
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quantity := quoteBalance.Available.Div(source)
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createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Price: source,
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Quantity: quantity,
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Tag: "long",
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})
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if err != nil {
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log.WithError(err).Errorf("cannot place buy order")
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return
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}
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orderTagHistory[createdOrders[0].OrderID] = "long"
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s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
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return
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}
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if shortCondition {
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if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("cannot cancel orders")
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@ -1243,45 +1319,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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orderTagHistory[createdOrders[0].OrderID] = "short"
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s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
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}
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if longCondition {
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if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("cannot cancel orders")
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return
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}
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source = source.Sub(fixedpoint.NewFromFloat(s.stdevLow.Last() * s.HighLowVarianceMultiplier))
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if source.Compare(price) > 0 {
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source = price
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}
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sourcef = source.Float64()
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quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
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if !ok {
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log.Errorf("unable to get quoteCurrency")
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return
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}
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if s.Market.IsDustQuantity(
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quoteBalance.Available.Div(source), source) {
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return
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}
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if avg > s.lowestPrice && s.Position.IsShort() {
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s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5)
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}
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quantity := quoteBalance.Available.Div(source)
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createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Price: source,
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Quantity: quantity,
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Tag: "long",
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})
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if err != nil {
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log.WithError(err).Errorf("cannot place buy order")
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return
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}
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orderTagHistory[createdOrders[0].OrderID] = "long"
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s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
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return
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}
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})
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