mirror of
https://github.com/c9s/bbgo.git
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bollmaker: refactor trailing stop snippet
This commit is contained in:
c9s
parent
bcb33f6887
commit
67bc5d523a
25
pkg/bbgo/quantity_amount.go
Normal file
25
pkg/bbgo/quantity_amount.go
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@ -0,0 +1,25 @@
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package bbgo
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import "github.com/c9s/bbgo/pkg/fixedpoint"
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// QuantityOrAmount is a setting structure used for quantity/amount settings
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// You can embed this struct into your strategy to share the setting methods
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type QuantityOrAmount struct {
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// Quantity is the base order quantity for your buy/sell order.
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// when quantity is set, the amount option will be not used.
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Quantity fixedpoint.Value `json:"quantity"`
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// Amount is the order quote amount for your buy/sell order.
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Amount fixedpoint.Value `json:"amount"`
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}
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// CalculateQuantity calculates the equivalent quantity of the given price when amount is set
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// it returns the quantity if the quantity is set
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func (qa *QuantityOrAmount) CalculateQuantity(currentPrice fixedpoint.Value) fixedpoint.Value {
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if qa.Amount > 0 {
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quantity := qa.Amount.Div(currentPrice)
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return quantity
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}
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return qa.Quantity
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}
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@ -1,24 +1,2 @@
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package bollmaker
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import "github.com/c9s/bbgo/pkg/fixedpoint"
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// QuantityOrAmount is a setting structure used for quantity/amount settings
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type QuantityOrAmount struct {
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// Quantity is the base order quantity for your buy/sell order.
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// when quantity is set, the amount option will be not used.
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Quantity fixedpoint.Value `json:"quantity"`
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// Amount is the order quote amount for your buy/sell order.
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Amount fixedpoint.Value `json:"amount"`
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}
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// CalculateQuantity calculates the equivalent quantity of the given price when amount is set
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// it returns the quantity if the quantity is set
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func (qa *QuantityOrAmount) CalculateQuantity(currentPrice fixedpoint.Value) fixedpoint.Value {
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if qa.Amount > 0 {
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quantity := qa.Amount.Div(currentPrice)
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return quantity
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}
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return qa.Quantity
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}
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233
pkg/strategy/bollmaker/stop.go
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233
pkg/strategy/bollmaker/stop.go
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@ -0,0 +1,233 @@
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package bollmaker
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import (
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"context"
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"math"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type TrailingStop struct {
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// CallbackRate is the callback rate from the previous high price
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CallbackRate fixedpoint.Value `json:"callbackRate,omitempty"`
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// ClosePosition is a percentage of the position to be closed
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ClosePosition fixedpoint.Value `json:"closePosition,omitempty"`
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// MinProfit is the percentage of the minimum profit ratio.
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// Stop order will be activiated only when the price reaches above this threshold.
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MinProfit fixedpoint.Value `json:"minProfit,omitempty"`
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// Interval is the time resolution to update the stop order
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// KLine per Interval will be used for updating the stop order
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Interval types.Interval `json:"interval,omitempty"`
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// Virtual is used when you don't want to place the real order on the exchange and lock the balance.
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// You want to handle the stop order by the strategy itself.
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Virtual bool `json:"virtual,omitempty"`
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}
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type TrailingStopController struct {
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*TrailingStop
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Symbol string
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position *types.Position
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latestHigh float64
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averageCost fixedpoint.Value
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}
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func NewTrailingStopController(symbol string, config *TrailingStop) *TrailingStopController {
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return &TrailingStopController{
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TrailingStop: config,
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Symbol: symbol,
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}
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}
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func (c *TrailingStopController) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, c.Symbol, types.SubscribeOptions{
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Interval: c.Interval.String(),
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})
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}
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func (c *TrailingStopController) Run(ctx context.Context, session *bbgo.ExchangeSession, tradeCollector *bbgo.TradeCollector) {
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// store the position
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c.position = tradeCollector.Position()
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c.averageCost = c.position.AverageCost
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// Use trade collector to get the position update event
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tradeCollector.OnPositionUpdate(func(position *types.Position) {
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// update average cost if we have it.
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c.averageCost = position.AverageCost
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})
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != c.Symbol || kline.Interval != c.Interval {
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return
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}
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closePrice := kline.Close
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// update the latest high
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c.latestHigh = math.Max(closePrice, c.latestHigh)
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if c.Virtual {
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// if average cost is updated, we can check min profit
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if c.averageCost == 0 {
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return
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}
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// skip dust position
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if c.position.Base.Abs().Float64() < c.position.Market.MinQuantity || c.position.Base.Abs().Float64()*closePrice < c.position.Market.MinNotional {
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return
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}
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// if it's in the callback rate, we don't want to trigger stop
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if closePrice < c.latestHigh && changeRate(closePrice, c.latestHigh) < c.CallbackRate.Float64() {
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return
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}
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// if the profit rate is defined, and it is less than our minimum profit rate, we skip stop
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if c.MinProfit > 0 &&
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(closePrice < c.averageCost.Float64() ||
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changeRate(closePrice, c.averageCost.Float64()) < c.MinProfit.Float64()) {
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return
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}
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log.Infof("trailing stop emitted, latest high: %f, closed price: %f, average cost: %f, profit spread: %f",
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c.latestHigh,
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closePrice,
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c.averageCost.Float64(),
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closePrice-c.averageCost.Float64())
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log.Infof("current position: %s", c.position.String())
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marketOrder := c.position.NewClosePositionOrder(c.ClosePosition.Float64())
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if marketOrder != nil {
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log.Infof("submitting market order to stop: %+v", marketOrder)
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// skip dust order
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if marketOrder.Quantity*closePrice < c.position.Market.MinNotional {
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log.Warnf("market order quote quantity %f < min notional %f, skip placing order", marketOrder.Quantity*closePrice, c.position.Market.MinNotional)
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return
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}
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createdOrders, err := session.Exchange.SubmitOrders(ctx, *marketOrder)
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if err != nil {
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log.WithError(err).Errorf("stop market order place error")
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return
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}
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tradeCollector.OrderStore().Add(createdOrders...)
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tradeCollector.Process()
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// reset the state
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c.latestHigh = 0.0
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}
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} else {
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// place stop order only when the closed price is greater than the current average cost
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if c.position != nil && c.MinProfit > 0 && c.averageCost > 0 &&
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closePrice > c.averageCost.Float64() &&
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changeRate(closePrice, c.averageCost.Float64()) >= c.MinProfit.Float64() {
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stopPrice := c.averageCost.MulFloat64(1.0 + c.MinProfit.Float64())
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orderForm := c.GenerateStopOrder(stopPrice.Float64(), c.averageCost.Float64())
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if orderForm != nil {
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log.Infof("updating stop limit order to simulate trailing stop order...")
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createdOrders, err := session.Exchange.SubmitOrders(ctx, *orderForm)
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if err != nil {
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log.WithError(err).Errorf("stop order place error")
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}
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tradeCollector.OrderStore().Add(createdOrders...)
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tradeCollector.Process()
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}
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}
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}
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})
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}
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func (c *TrailingStopController) GenerateStopOrder(stopPrice, price float64) *types.SubmitOrder {
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base := c.position.GetBase()
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if base == 0 {
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return nil
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}
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quantity := math.Abs(base.Float64())
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quoteQuantity := price * quantity
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if c.ClosePosition > 0 {
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quantity = quantity * c.ClosePosition.Float64()
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}
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// skip dust orders
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if quantity < c.position.Market.MinQuantity || quoteQuantity < c.position.Market.MinNotional {
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return nil
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}
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side := types.SideTypeSell
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if base < 0 {
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side = types.SideTypeBuy
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}
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return &types.SubmitOrder{
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Symbol: c.Symbol,
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Market: c.position.Market,
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Type: types.OrderTypeStopLimit,
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Side: side,
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StopPrice: stopPrice,
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Price: price,
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Quantity: quantity,
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}
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}
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type FixedStop struct{}
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type Stop struct {
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TrailingStop *TrailingStop `json:"trailingStop,omitempty"`
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FixedStop *FixedStop `json:"fixedStop,omitempty"`
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}
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// StopSettings shares the stop order logics between different strategies
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// To use the stop controllers, you can embed this struct into your Strategy struct
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// func (s *Strategy) Initialize() error {
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// return s.StopSettings.SetupStopControllers(s.Symbol)
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// }
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// func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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// s.StopSettings.Subscribe(session)
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// }
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//
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// func (s *Strategy) Subscribe() {
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// }
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//
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// func (s *Strategy) Run() {
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// ...
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// s.StopSettings.RunStopControllers(ctx, session, s.tradeCollector)
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// ...
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// }
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type StopSettings struct {
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Stops []Stop `json:"stops,omitempty"`
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StopControllers []*TrailingStopController `json:"-"`
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}
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func (s *StopSettings) SetupStopControllers(symbol string) error {
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for _, stop := range s.Stops {
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s.StopControllers = append(s.StopControllers,
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NewTrailingStopController(symbol, stop.TrailingStop),
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)
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}
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return nil
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}
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func (s *StopSettings) RunStopControllers(ctx context.Context, session *bbgo.ExchangeSession, tradeCollector *bbgo.TradeCollector) {
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for _, stopController := range s.StopControllers {
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stopController.Run(ctx, session, tradeCollector)
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}
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}
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func (s *StopSettings) Subscribe(session *bbgo.ExchangeSession) {
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for _, stopController := range s.StopControllers {
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stopController.Subscribe(session)
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}
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}
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@ -47,185 +47,6 @@ type BollingerSetting struct {
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BandWidth float64 `json:"bandWidth"`
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}
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type TrailingStop struct {
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// CallbackRate is the callback rate from the previous high price
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CallbackRate fixedpoint.Value `json:"callbackRate,omitempty"`
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// ClosePosition is a percentage of the position to be closed
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ClosePosition fixedpoint.Value `json:"closePosition,omitempty"`
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// MinProfit is the percentage of the minimum profit ratio.
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// Stop order will be activiated only when the price reaches above this threshold.
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MinProfit fixedpoint.Value `json:"minProfit,omitempty"`
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// Interval is the time resolution to update the stop order
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// KLine per Interval will be used for updating the stop order
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Interval types.Interval `json:"interval,omitempty"`
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// Virtual is used when you don't want to place the real order on the exchange and lock the balance.
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// You want to handle the stop order by the strategy itself.
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Virtual bool `json:"virtual,omitempty"`
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}
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type TrailingStopController struct {
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*TrailingStop
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Symbol string
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position *types.Position
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latestHigh float64
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averageCost fixedpoint.Value
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}
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func NewTrailingStopController(symbol string, config *TrailingStop) *TrailingStopController {
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return &TrailingStopController{
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TrailingStop: config,
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Symbol: symbol,
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}
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}
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func (c *TrailingStopController) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, c.Symbol, types.SubscribeOptions{
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Interval: c.Interval.String(),
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})
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}
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func (c *TrailingStopController) Run(ctx context.Context, session *bbgo.ExchangeSession, tradeCollector *bbgo.TradeCollector) {
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// store the position
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c.position = tradeCollector.Position()
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c.averageCost = c.position.AverageCost
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// Use trade collector to get the position update event
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tradeCollector.OnPositionUpdate(func(position *types.Position) {
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// update average cost if we have it.
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c.averageCost = position.AverageCost
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})
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != c.Symbol || kline.Interval != c.Interval {
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return
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}
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closePrice := kline.Close
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// update the latest high
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c.latestHigh = math.Max(closePrice, c.latestHigh)
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if c.Virtual {
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// if average cost is updated, we can check min profit
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if c.averageCost == 0 {
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return
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}
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// skip dust position
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if c.position.Base.Abs().Float64() < c.position.Market.MinQuantity || c.position.Base.Abs().Float64()*closePrice < c.position.Market.MinNotional {
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return
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}
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// if it's in the callback rate, we don't want to trigger stop
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if closePrice < c.latestHigh && changeRate(closePrice, c.latestHigh) < c.CallbackRate.Float64() {
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return
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}
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// if the profit rate is defined, and it is less than our minimum profit rate, we skip stop
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if c.MinProfit > 0 &&
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(closePrice < c.averageCost.Float64() ||
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changeRate(closePrice, c.averageCost.Float64()) < c.MinProfit.Float64()) {
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return
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}
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log.Infof("trailing stop emitted, latest high: %f, closed price: %f, average cost: %f, profit spread: %f",
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c.latestHigh,
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closePrice,
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c.averageCost.Float64(),
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closePrice-c.averageCost.Float64())
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log.Infof("current position: %s", c.position.String())
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marketOrder := c.position.NewClosePositionOrder(c.ClosePosition.Float64())
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if marketOrder != nil {
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log.Infof("submitting market order to stop: %+v", marketOrder)
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// skip dust order
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if marketOrder.Quantity*closePrice < c.position.Market.MinNotional {
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log.Warnf("market order quote quantity %f < min notional %f, skip placing order", marketOrder.Quantity*closePrice, c.position.Market.MinNotional)
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return
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}
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createdOrders, err := session.Exchange.SubmitOrders(ctx, *marketOrder)
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if err != nil {
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log.WithError(err).Errorf("stop market order place error")
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return
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}
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tradeCollector.OrderStore().Add(createdOrders...)
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tradeCollector.Process()
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// reset the state
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c.latestHigh = 0.0
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}
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} else {
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// place stop order only when the closed price is greater than the current average cost
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if c.position != nil && c.MinProfit > 0 && c.averageCost > 0 &&
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closePrice > c.averageCost.Float64() &&
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changeRate(closePrice, c.averageCost.Float64()) >= c.MinProfit.Float64() {
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stopPrice := c.averageCost.MulFloat64(1.0 + c.MinProfit.Float64())
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orderForm := c.GenerateStopOrder(stopPrice.Float64(), c.averageCost.Float64())
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if orderForm != nil {
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log.Infof("updating stop limit order to simulate trailing stop order...")
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createdOrders, err := session.Exchange.SubmitOrders(ctx, *orderForm)
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if err != nil {
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log.WithError(err).Errorf("stop order place error")
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}
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tradeCollector.OrderStore().Add(createdOrders...)
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tradeCollector.Process()
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}
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}
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}
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})
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}
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func (c *TrailingStopController) GenerateStopOrder(stopPrice, price float64) *types.SubmitOrder {
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base := c.position.GetBase()
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if base == 0 {
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return nil
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}
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quantity := math.Abs(base.Float64())
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quoteQuantity := price * quantity
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if c.ClosePosition > 0 {
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quantity = quantity * c.ClosePosition.Float64()
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}
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// skip dust orders
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if quantity < c.position.Market.MinQuantity || quoteQuantity < c.position.Market.MinNotional {
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return nil
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}
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side := types.SideTypeSell
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if base < 0 {
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side = types.SideTypeBuy
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}
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return &types.SubmitOrder{
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Symbol: c.Symbol,
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Market: c.position.Market,
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Type: types.OrderTypeStopLimit,
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Side: side,
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StopPrice: stopPrice,
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Price: price,
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Quantity: quantity,
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}
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}
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type FixedStop struct{}
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type Stop struct {
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TrailingStop *TrailingStop `json:"trailingStop,omitempty"`
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FixedStop *FixedStop `json:"fixedStop,omitempty"`
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}
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type Strategy struct {
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*bbgo.Graceful
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*bbgo.Notifiability
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@ -239,7 +60,7 @@ type Strategy struct {
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// Interval is how long do you want to update your order price and quantity
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Interval types.Interval `json:"interval"`
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QuantityOrAmount
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bbgo.QuantityOrAmount
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// Spread is the price spread from the middle price.
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// For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
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@ -308,7 +129,7 @@ type Strategy struct {
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ShadowProtection bool `json:"shadowProtection"`
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ShadowProtectionRatio fixedpoint.Value `json:"shadowProtectionRatio"`
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Stops []Stop `json:"stops,omitempty"`
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StopSettings
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||||
|
||||
session *bbgo.ExchangeSession
|
||||
book *types.StreamOrderBook
|
||||
|
|
@ -329,8 +150,6 @@ type Strategy struct {
|
|||
|
||||
// neutralBoll is the neutral price section
|
||||
neutralBoll *indicator.BOLL
|
||||
|
||||
stopControllers []*TrailingStopController
|
||||
}
|
||||
|
||||
func (s *Strategy) ID() string {
|
||||
|
|
@ -338,12 +157,7 @@ func (s *Strategy) ID() string {
|
|||
}
|
||||
|
||||
func (s *Strategy) Initialize() error {
|
||||
for _, stop := range s.Stops {
|
||||
s.stopControllers = append(s.stopControllers,
|
||||
NewTrailingStopController(s.Symbol, stop.TrailingStop),
|
||||
)
|
||||
}
|
||||
return nil
|
||||
return s.StopSettings.SetupStopControllers(s.Symbol)
|
||||
}
|
||||
|
||||
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
||||
|
|
@ -364,9 +178,7 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
|||
})
|
||||
}
|
||||
|
||||
for _, stopController := range s.stopControllers {
|
||||
stopController.Subscribe(session)
|
||||
}
|
||||
s.StopSettings.Subscribe(session)
|
||||
}
|
||||
|
||||
func (s *Strategy) Validate() error {
|
||||
|
|
@ -743,9 +555,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
|
||||
s.tradeCollector.BindStream(session.UserDataStream)
|
||||
|
||||
for _, stopController := range s.stopControllers {
|
||||
stopController.Run(ctx, session, s.tradeCollector)
|
||||
}
|
||||
s.StopSettings.RunStopControllers(ctx, session, s.tradeCollector)
|
||||
|
||||
session.UserDataStream.OnStart(func() {
|
||||
if s.UseTickerPrice {
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user