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strategy: trailing stop TP for support strategy

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This commit is contained in:
Andy Cheng 2022-01-12 14:33:31 +08:00
parent c0b8c36222
commit 66b042fea7
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GPG Key ID: 936427CF651A9D28
2 changed files with 203 additions and 39 deletions
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10
pkg/bbgo/order_store.go
View File

@ -74,6 +74,16 @@ func (s *OrderStore) Exists(oID uint64) (ok bool) {
return ok
}
// Get a single order from the order store by order ID
// Should check ok to make sure the order is returned successfully
func (s *OrderStore) Get(oID uint64) (order types.Order, ok bool) {
s.mu.Lock()
defer s.mu.Unlock()
order, ok = s.orders[oID]
return order, ok
}
func (s *OrderStore) Add(orders ...types.Order) {
s.mu.Lock()
defer s.mu.Unlock()

232
pkg/strategy/support/strategy.go
View File

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