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improve bollgrid
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@ -47,15 +47,15 @@ backtest:
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# for testing max draw down (MDD) at 03-12
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# see here for more details
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# https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
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startTime: "2020-09-01"
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endTime: "2020-09-07"
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startTime: "2020-09-04"
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endTime: "2020-09-14"
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symbols:
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- BTCUSDT
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account:
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makerCommission: 15
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takerCommission: 15
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balances:
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BTC: 0.1
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BTC: 0.0
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USDT: 10000.0
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exchangeStrategies:
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@ -63,7 +63,6 @@ exchangeStrategies:
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bollgrid:
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symbol: BTCUSDT
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interval: 5m
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gridNumber: 2
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gridPips: 10.0
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gridNumber: 20
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quantity: 0.01
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profitSpread: 100.0
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profitSpread: 30.0
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@ -162,28 +162,101 @@ func (s *Strategy) updateAskOrders(orderExecutor bbgo.OrderExecutor, session *bb
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s.activeOrders.Add(orders...)
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}
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func (s *Strategy) placeGridOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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quoteCurrency := s.Market.QuoteCurrency
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balances := session.Account.Balances()
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balance, ok := balances[quoteCurrency]
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if !ok || balance.Available <= 0 {
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return
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}
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var upBand = s.boll.LastUpBand()
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if upBand <= 0.0 {
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return
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}
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var downBand = s.boll.LastDownBand()
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if downBand <= 0.0 {
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return
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}
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currentPrice, ok := session.LastPrice(s.Symbol)
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if !ok {
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return
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}
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if currentPrice > upBand || currentPrice < downBand {
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return
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}
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ema99 := s.StandardIndicatorSet.GetEWMA(types.IntervalWindow{Interval: s.Interval, Window: 99})
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ema25 := s.StandardIndicatorSet.GetEWMA(types.IntervalWindow{Interval: s.Interval, Window: 25})
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ema7 := s.StandardIndicatorSet.GetEWMA(types.IntervalWindow{Interval: s.Interval, Window: 7})
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priceRange := upBand - downBand
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gridSize := priceRange / float64(s.GridNum)
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var orders []types.SubmitOrder
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for price := downBand; price <= upBand; price += gridSize {
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var side types.SideType
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if price > currentPrice {
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side = types.SideTypeSell
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} else {
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side = types.SideTypeBuy
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}
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// trend up
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switch side {
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case types.SideTypeBuy:
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if ema7.Last() > ema25.Last()*1.001 && ema25.Last() > ema99.Last()*1.0005 {
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log.Infof("ema lines trend up, skip buy")
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continue
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}
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case types.SideTypeSell:
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if ema7.Last() < ema25.Last()*(1-0.004) && ema25.Last() < ema99.Last()*(1-0.0005) {
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log.Infof("ema lines trend down, skip sell")
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continue
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}
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}
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order := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: side,
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Type: types.OrderTypeLimit,
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Market: s.Market,
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Quantity: s.Quantity,
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Price: price,
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TimeInForce: "GTC",
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}
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log.Infof("submitting order: %s", order.String())
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orders = append(orders, order)
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}
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createdOrders, err := orderExecutor.SubmitOrders(context.Background(), orders...)
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if err != nil {
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log.WithError(err).Errorf("can not place orders")
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return
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}
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s.activeOrders.Add(createdOrders...)
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s.orders.Add(createdOrders...)
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}
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func (s *Strategy) updateOrders(orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) {
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if err := session.Exchange.CancelOrders(context.Background(), s.activeOrders.Orders()...); err != nil {
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log.WithError(err).Errorf("cancel order error")
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}
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// skip order updates if up-band - down-band < min profit spread
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if (s.boll.LastUpBand() - s.boll.LastDownBand()) <= s.ProfitSpread.Float64() {
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log.Infof("boll: down band price == up band price, skipping...")
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return
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}
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if err := session.Exchange.CancelOrders(context.Background(), s.activeOrders.Orders()...); err != nil {
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log.WithError(err).Errorf("cancel order error")
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}
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_, ok := session.Account.Balance(s.Market.QuoteCurrency)
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if ok {
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s.updateBidOrders(orderExecutor, session)
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}
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_, ok = session.Account.Balance(s.Market.BaseCurrency)
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// TODO: add base asset quantity check, think about how to reuse the risk control executor
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if ok {
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s.updateAskOrders(orderExecutor, session)
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}
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s.placeGridOrders(orderExecutor, session)
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s.activeOrders.Print()
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}
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@ -218,6 +291,7 @@ func (s *Strategy) submitReverseOrder(order types.Order) {
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return
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}
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s.activeOrders.Add(createdOrders...)
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s.orders.Add(createdOrders...)
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}
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