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https://github.com/c9s/bbgo.git
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strategy: trailing stop TP for support strategy
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parent
c0b8c36222
commit
66b042fea7
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@ -74,6 +74,16 @@ func (s *OrderStore) Exists(oID uint64) (ok bool) {
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return ok
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}
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// Get a single order from the order store by order ID
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// Should check ok to make sure the order is returned successfully
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func (s *OrderStore) Get(oID uint64) (order types.Order, ok bool) {
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s.mu.Lock()
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defer s.mu.Unlock()
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order, ok = s.orders[oID]
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return order, ok
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}
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func (s *OrderStore) Add(orders ...types.Order) {
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s.mu.Lock()
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defer s.mu.Unlock()
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@ -77,14 +77,72 @@ func (stop *PercentageTargetStop) GenerateOrders(market types.Market, pos *types
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return targetOrders
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}
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// ResistanceStop is a kind of stop order by detecting resistance
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type ResistanceStop struct {
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Interval types.Interval `json:"interval"`
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sensitivity fixedpoint.Value `json:"sensitivity"`
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MinVolume fixedpoint.Value `json:"minVolume"`
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TakerBuyRatio fixedpoint.Value `json:"takerBuyRatio"`
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type TrailingStopTarget struct {
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TrailingStopCallBackRatio float64 `json:"trailingStopCallBackRatio"`
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MinimumProfitPercentage float64 `json:"minimumProfitPercentage"`
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}
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type TrailingStopControl struct {
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symbol string
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market types.Market
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marginSideEffect types.MarginOrderSideEffectType
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trailingStopCallBackRatio float64
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minimumProfitPercentage float64
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CurrentHighestPrice fixedpoint.Value
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OrderID uint64
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}
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func NewTrailingStopControl(symbol string, market types.Market, marginSideEffect types.MarginOrderSideEffectType, trailingStopCallBackRatio float64, minimumProfitPercentage float64) *TrailingStopControl {
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var control TrailingStopControl
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control.symbol = symbol
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control.market = market
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control.marginSideEffect = marginSideEffect
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control.CurrentHighestPrice = fixedpoint.NewFromInt(0)
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control.trailingStopCallBackRatio = trailingStopCallBackRatio
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control.minimumProfitPercentage = minimumProfitPercentage
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return &control
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}
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func (control *TrailingStopControl) IsHigherThanMin(minTargetPrice float64) bool {
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targetPrice := control.CurrentHighestPrice.Float64() * (1 - control.trailingStopCallBackRatio)
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return targetPrice >= minTargetPrice
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}
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func (control *TrailingStopControl) GenerateTrailingStopOrder(quantity float64) types.SubmitOrder {
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targetPrice := control.CurrentHighestPrice.Float64() * (1 - control.trailingStopCallBackRatio)
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orderForm := types.SubmitOrder{
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Symbol: control.symbol,
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Market: control.market,
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Side: types.SideTypeSell,
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Type: types.OrderTypeStopLimit,
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Quantity: quantity,
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MarginSideEffect: control.marginSideEffect,
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TimeInForce: "GTC",
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Price: targetPrice,
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StopPrice: targetPrice,
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}
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return orderForm
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}
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// Not implemented yet
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// ResistanceStop is a kind of stop order by detecting resistance
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//type ResistanceStop struct {
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// Interval types.Interval `json:"interval"`
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// sensitivity fixedpoint.Value `json:"sensitivity"`
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// MinVolume fixedpoint.Value `json:"minVolume"`
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// TakerBuyRatio fixedpoint.Value `json:"takerBuyRatio"`
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//}
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type Strategy struct {
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*bbgo.Notifiability `json:"-"`
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*bbgo.Persistence
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@ -109,9 +167,10 @@ type Strategy struct {
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MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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Targets []Target `json:"targets"`
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ResistanceStop *ResistanceStop `json:"resistanceStop"`
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ResistanceTakerBuyRatio fixedpoint.Value `json:"resistanceTakerBuyRatio"`
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// Not implemented yet
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// ResistanceStop *ResistanceStop `json:"resistanceStop"`
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//
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//ResistanceTakerBuyRatio fixedpoint.Value `json:"resistanceTakerBuyRatio"`
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// Min BaseAsset balance to keep
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MinBaseAssetBalance fixedpoint.Value `json:"minBaseAssetBalance"`
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@ -128,6 +187,10 @@ type Strategy struct {
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triggerEMA *indicator.EWMA
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longTermEMA *indicator.EWMA
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// Trailing stop
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TrailingStopTarget TrailingStopTarget `json:"trailingStopTarget"`
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trailingStopControl *TrailingStopControl
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}
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func (s *Strategy) ID() string {
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@ -189,19 +252,37 @@ func (s *Strategy) LoadState() error {
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return nil
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}
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func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, orderForms ...types.SubmitOrder) error {
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func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, orderForms ...types.SubmitOrder) ([]uint64, error) {
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for _, o := range orderForms {
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s.Notifiability.Notify(o)
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, orderForms...)
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if err != nil {
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return err
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return nil, err
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}
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s.orderStore.Add(createdOrders...)
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s.tradeCollector.Emit()
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return nil
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return createdOrders.IDs(), nil
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}
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// Cancel order
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func (s *Strategy) cancelOrder(orderID uint64, ctx context.Context, session *bbgo.ExchangeSession) error {
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// Cancel the original order
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order, ok := s.orderStore.Get(orderID)
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if ok {
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switch order.Status {
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case types.OrderStatusCanceled, types.OrderStatusRejected, types.OrderStatusFilled:
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// Do nothing
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default:
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if err := session.Exchange.CancelOrders(ctx, order); err != nil {
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return err
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}
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}
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}
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return nil
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}
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func (s *Strategy) calculateQuantity(session *bbgo.ExchangeSession, side types.SideType, closePrice fixedpoint.Value, volume float64) (fixedpoint.Value, error) {
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@ -309,7 +390,42 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.Notify("%s state is restored => %+v", s.Symbol, s.state)
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}
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if s.TrailingStopTarget.TrailingStopCallBackRatio != 0 {
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s.trailingStopControl = NewTrailingStopControl(s.Symbol, s.Market, s.MarginOrderSideEffect, s.TrailingStopTarget.TrailingStopCallBackRatio, s.TrailingStopTarget.MinimumProfitPercentage)
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}
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
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if s.TrailingStopTarget.TrailingStopCallBackRatio != 0 {
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// Update trailing stop when the position changes
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s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
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if position.Base.Float64() > 0 { // Update order if we have a position
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// Cancel the original order
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if err := s.cancelOrder(s.trailingStopControl.OrderID, ctx, session);err != nil {
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log.WithError(err).Errorf("Can not cancel the original trailing stop order!")
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}
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s.trailingStopControl.OrderID = 0
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// Calculate minimum target price
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var minTargetPrice float64 = 0.0
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if s.trailingStopControl.minimumProfitPercentage > 0 {
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minTargetPrice = position.AverageCost.Float64() * (1 + s.trailingStopControl.minimumProfitPercentage)
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}
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// Place new order if the target price is higher than the minimum target price
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if s.trailingStopControl.IsHigherThanMin(minTargetPrice) {
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orderForm := s.trailingStopControl.GenerateTrailingStopOrder(position.Base.Float64())
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ids, err := s.submitOrders(ctx, orderExecutor, orderForm)
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if err != nil {
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log.WithError(err).Error("submit profit trailing stop order error")
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} else {
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s.trailingStopControl.OrderID = ids[0]
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}
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}
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}
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})
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}
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s.tradeCollector.BindStream(session.UserDataStream)
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// s.tradeCollector.BindStreamForBackground(session.UserDataStream)
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@ -326,6 +442,41 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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closePriceF := kline.GetClose()
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closePrice := fixedpoint.NewFromFloat(closePriceF)
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highPriceF := kline.GetHigh()
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highPrice := fixedpoint.NewFromFloat(highPriceF)
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if s.TrailingStopTarget.TrailingStopCallBackRatio > 0 {
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if s.state.Position.Base.Float64() <= 0 { // Without a position
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// Update trailing orders with current high price
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s.trailingStopControl.CurrentHighestPrice = highPrice
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} else if s.trailingStopControl.CurrentHighestPrice.Float64() < highPriceF { // With a position
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// Update trailing orders with current high price if it's higher
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s.trailingStopControl.CurrentHighestPrice = highPrice
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// Cancel the original order
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if err := s.cancelOrder(s.trailingStopControl.OrderID, ctx, session);err != nil {
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log.WithError(err).Errorf("Can not cancel the original trailing stop order!")
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}
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s.trailingStopControl.OrderID = 0
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// Calculate minimum target price
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var minTargetPrice float64 = 0.0
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if s.trailingStopControl.minimumProfitPercentage > 0 {
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minTargetPrice = s.state.Position.AverageCost.Float64() * (1 + s.trailingStopControl.minimumProfitPercentage)
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}
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// Place new order if the target price is higher than the minimum target price
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if s.trailingStopControl.IsHigherThanMin(minTargetPrice) {
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orderForm := s.trailingStopControl.GenerateTrailingStopOrder(s.state.Position.Base.Float64())
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ids, err := s.submitOrders(ctx, orderExecutor, orderForm)
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if err != nil {
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log.WithError(err).Error("submit profit trailing stop order error")
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} else {
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s.trailingStopControl.OrderID = ids[0]
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}
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}
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}
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}
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// check support volume
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if kline.Volume < s.MinVolume.Float64() {
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@ -408,43 +559,46 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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kline.TakerBuyBaseAssetVolume,
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orderForm)
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if err := s.submitOrders(ctx, orderExecutor, orderForm); err != nil {
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if _, err := s.submitOrders(ctx, orderExecutor, orderForm); err != nil {
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log.WithError(err).Error("submit order error")
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return
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}
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// submit target orders
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var targetOrders []types.SubmitOrder
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for _, target := range s.Targets {
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targetPrice := closePrice.Float64() * (1.0 + target.ProfitPercentage)
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targetQuantity := quantity.Float64() * target.QuantityPercentage
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targetQuoteQuantity := targetPrice * targetQuantity
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if s.TrailingStopTarget.TrailingStopCallBackRatio == 0 { // submit fixed target orders
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var targetOrders []types.SubmitOrder
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for _, target := range s.Targets {
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targetPrice := closePrice.Float64() * (1.0 + target.ProfitPercentage)
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targetQuantity := quantity.Float64() * target.QuantityPercentage
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targetQuoteQuantity := targetPrice * targetQuantity
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if targetQuoteQuantity <= market.MinNotional {
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continue
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}
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if targetQuoteQuantity <= market.MinNotional {
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continue
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}
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if targetQuantity <= market.MinQuantity {
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continue
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}
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if targetQuantity <= market.MinQuantity {
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continue
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}
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targetOrders = append(targetOrders, types.SubmitOrder{
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Symbol: kline.Symbol,
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Market: market,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeSell,
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Price: targetPrice,
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Quantity: targetQuantity,
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targetOrders = append(targetOrders, types.SubmitOrder{
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Symbol: kline.Symbol,
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Market: market,
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Type: types.OrderTypeLimit,
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Side: types.SideTypeSell,
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Price: targetPrice,
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Quantity: targetQuantity,
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MarginSideEffect: target.MarginOrderSideEffect,
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TimeInForce: "GTC",
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})
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MarginSideEffect: target.MarginOrderSideEffect,
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TimeInForce: "GTC",
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})
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}
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if _, err := s.submitOrders(ctx, orderExecutor, targetOrders...); err != nil {
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log.WithError(err).Error("submit profit target order error")
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return
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}
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}
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if err := s.submitOrders(ctx, orderExecutor, targetOrders...); err != nil {
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log.WithError(err).Error("submit profit target order error")
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return
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}
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s.tradeCollector.Process()
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})
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s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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