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strategy: margin side effect

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This commit is contained in:
Andy Cheng 2022-05-31 15:46:55 +08:00
parent 3421423cd6
commit 6285e145a7
4 changed files with 15 additions and 11 deletions
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3
config/supertrend.yaml
View File

@ -9,6 +9,9 @@ sessions:
binance: binance:
exchange: binance exchange: binance
envVarPrefix: binance envVarPrefix: binance
margin: true
isolatedMargin: true
isolatedMarginSymbol: BTCUSDT
backtest: backtest:
sessions: [binance] sessions: [binance]

1
doc/README.md
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@ -22,6 +22,7 @@
* [Grid](strategy/grid.md) - Grid Strategy Explanation * [Grid](strategy/grid.md) - Grid Strategy Explanation
* [Interaction](strategy/interaction.md) - Interaction registration for strategies * [Interaction](strategy/interaction.md) - Interaction registration for strategies
* [Price Alert](strategy/pricealert.md) - Send price alert notification on price changes * [Price Alert](strategy/pricealert.md) - Send price alert notification on price changes
* [Supertrend](strategy/supertrend.md) - Supertrend strategy uses Supertrend indicator as trend, and DEMA indicator as noise filter
* [Support](strategy/support.md) - Support strategy that buys on high volume support * [Support](strategy/support.md) - Support strategy that buys on high volume support
### Development ### Development

3
doc/strategy/supertrend.md
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@ -1,7 +1,8 @@
### Supertrend Strategy ### Supertrend Strategy
This strategy uses Supertrend indicator as trend, and DEMA indicator as noise filter. This strategy uses Supertrend indicator as trend, and DEMA indicator as noise filter.
This strategy needs margin enabled in order to submit short orders, but you can use `leverage` parameter to limit your risk. Supertrend strategy needs margin enabled in order to submit short orders, and you can use `leverage` parameter to limit your risk.
**Please note, using leverage higher than 1 is highly risky.**
#### Parameters #### Parameters

19
pkg/strategy/supertrend/strategy.go
View File

@ -13,8 +13,6 @@ import (
"sync" "sync"
) )
// TODO: Margin side effect
const ID = "supertrend" const ID = "supertrend"
const stateKey = "state-v1" const stateKey = "state-v1"
@ -210,7 +208,7 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
return fmt.Errorf("order quantity %v is too small, less than %v", quantity, s.Market.MinQuantity) return fmt.Errorf("order quantity %v is too small, less than %v", quantity, s.Market.MinQuantity)
} }
orderForm := s.GenerateOrderForm(side, quantity) orderForm := s.GenerateOrderForm(side, quantity, types.SideEffectTypeAutoRepay)
s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, orderForm) s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, orderForm)
@ -264,13 +262,14 @@ func (s *Strategy) UpdateIndicators(kline types.KLine) {
} }
} }
func (s *Strategy) GenerateOrderForm(side types.SideType, quantity fixedpoint.Value) types.SubmitOrder { func (s *Strategy) GenerateOrderForm(side types.SideType, quantity fixedpoint.Value, marginOrderSideEffect types.MarginOrderSideEffectType) types.SubmitOrder {
orderForm := types.SubmitOrder{ orderForm := types.SubmitOrder{
Symbol: s.Symbol, Symbol: s.Symbol,
Market: s.Market, Market: s.Market,
Side: side, Side: side,
Type: types.OrderTypeMarket, Type: types.OrderTypeMarket,
Quantity: quantity, Quantity: quantity,
MarginSideEffect: marginOrderSideEffect,
} }
return orderForm return orderForm
@ -432,7 +431,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.session.GetAccount().UpdateBalances(balances) s.session.GetAccount().UpdateBalances(balances)
} }
orderForm := s.GenerateOrderForm(side, s.CalculateQuantity(kline.GetClose())) orderForm := s.GenerateOrderForm(side, s.CalculateQuantity(kline.GetClose()), types.SideEffectTypeMarginBuy)
log.Infof("submit open position order %v", orderForm) log.Infof("submit open position order %v", orderForm)
order, err := orderExecutor.SubmitOrders(ctx, orderForm) order, err := orderExecutor.SubmitOrders(ctx, orderForm)
if err != nil { if err != nil {