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Merge pull request #872 from andycheng123/fix/trailing-stop

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fix: trailing stop properly works on both long and short positions
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Andy Cheng 2022-08-11 17:37:07 +08:00 committed by GitHub
commit 62d450b92d
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1 changed files with 29 additions and 8 deletions
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37
pkg/bbgo/exit_trailing_stop.go
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@ -76,10 +76,16 @@ func (s *TrailingStop2) getRatio(price fixedpoint.Value, position *types.Positio
switch s.Side {
case types.SideTypeBuy:
// for short position, it's:
// (avg_cost - price) / price
return position.AverageCost.Sub(price).Div(price), nil
// (avg_cost - price) / avg_cost
return position.AverageCost.Sub(price).Div(position.AverageCost), nil
case types.SideTypeSell:
return price.Sub(position.AverageCost).Div(position.AverageCost), nil
default:
if position.IsLong() {
return price.Sub(position.AverageCost).Div(position.AverageCost), nil
} else if position.IsShort() {
return position.AverageCost.Sub(price).Div(position.AverageCost), nil
}
}
return fixedpoint.Zero, fmt.Errorf("unexpected side type: %v", s.Side)
@ -117,6 +123,12 @@ func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.P
s.latestHigh = fixedpoint.Min(price, s.latestHigh)
case types.SideTypeSell:
s.latestHigh = fixedpoint.Max(price, s.latestHigh)
default:
if position.IsLong() {
s.latestHigh = fixedpoint.Max(price, s.latestHigh)
} else if position.IsShort() {
s.latestHigh = fixedpoint.Min(price, s.latestHigh)
}
}
}
@ -126,22 +138,31 @@ func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.P
switch s.Side {
case types.SideTypeBuy:
s.latestHigh = fixedpoint.Min(price, s.latestHigh)
change := price.Sub(s.latestHigh).Div(s.latestHigh)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
}
case types.SideTypeSell:
s.latestHigh = fixedpoint.Max(price, s.latestHigh)
change := s.latestHigh.Sub(price).Div(price)
change := s.latestHigh.Sub(price).Div(s.latestHigh)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
}
default:
if position.IsLong() {
change := s.latestHigh.Sub(price).Div(s.latestHigh)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
}
} else if position.IsShort() {
change := price.Sub(s.latestHigh).Div(s.latestHigh)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
}
}
}
return nil