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add resistance check

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This commit is contained in:
c9s 2021-06-16 13:23:33 +08:00
parent 3d12a7df59
commit 5fecccedd6
1 changed files with 43 additions and 4 deletions
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47
pkg/strategy/support/strategy.go
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@ -48,6 +48,10 @@ type Strategy struct {
MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
Targets []Target `json:"targets"`
ResistanceSensitivity fixedpoint.Value `json:"resistanceSensitivity"`
ResistanceMinVolume fixedpoint.Value `json:"resistanceMinVolume"`
ResistanceTakerBuyRatio fixedpoint.Value `json:"resistanceTakerBuyRatio"`
// Max BaseAsset balance to buy
MaxBaseAssetBalance fixedpoint.Value `json:"maxBaseAssetBalance"`
MinQuoteAssetBalance fixedpoint.Value `json:"minQuoteAssetBalance"`
@ -145,7 +149,21 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
s.MinVolume = fixedpoint.NewFromFloat(volRange[1]).Mul(fixedpoint.NewFromFloat(1.0) - s.Sensitivity)
log.Infof("adjusted minimal triggering volume to %f according to sensitivity %f", s.MinVolume.Float64(), s.Sensitivity.Float64())
log.Infof("adjusted minimal support volume to %f according to sensitivity %f", s.MinVolume.Float64(), s.Sensitivity.Float64())
}
if s.ResistanceTakerBuyRatio == 0 {
s.ResistanceTakerBuyRatio = fixedpoint.NewFromFloat(0.5)
}
if s.ResistanceSensitivity > 0 {
volRange, err := s.ScaleQuantity.ByVolumeRule.Range()
if err != nil {
return err
}
s.ResistanceMinVolume = fixedpoint.NewFromFloat(volRange[1]).Mul(fixedpoint.NewFromFloat(1.0) - s.ResistanceSensitivity)
log.Infof("adjusted minimal resistance volume to %f according to sensitivity %f", s.ResistanceMinVolume.Float64(), s.ResistanceSensitivity.Float64())
}
market, ok := session.Market(s.Symbol)
@ -189,12 +207,32 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
closePriceF := kline.GetClose()
closePrice := fixedpoint.NewFromFloat(closePriceF)
// if it's above the EMA, it's resistance
if closePriceF > ema.Last() {
// check resistance volume
if kline.Volume < s.ResistanceMinVolume.Float64() {
return
}
takerBuyBaseVolumeThreshold := kline.Volume * s.ResistanceTakerBuyRatio.Float64()
if kline.TakerBuyBaseAssetVolume < takerBuyBaseVolumeThreshold {
s.Notify("%s: resistance detected, taker buy base volume %f > threshold %f (volume %f) at price %f",
s.Symbol,
kline.TakerBuyBaseAssetVolume,
takerBuyBaseVolumeThreshold,
kline.Volume,
s.TakerBuyRatio.Float64(),
closePriceF,
)
return
}
return
}
closePrice := fixedpoint.NewFromFloat(closePriceF)
// check support
if kline.Volume < s.MinVolume.Float64() {
return
}
@ -202,10 +240,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
if s.TakerBuyRatio > 0 {
takerBuyBaseVolumeThreshold := kline.Volume * s.TakerBuyRatio.Float64()
if kline.TakerBuyBaseAssetVolume < takerBuyBaseVolumeThreshold {
s.Notify("%s: taker buy base volume %f is less than %f (volume ratio %f)",
s.Notify("%s: taker buy base volume %f is less than threshold %f (volume %f volume ratio %f)",
s.Symbol,
kline.TakerBuyBaseAssetVolume,
takerBuyBaseVolumeThreshold,
kline.Volume,
s.TakerBuyRatio.Float64(),
)
return