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fix buyandhold strategy

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This commit is contained in:
c9s 2020-12-14 14:40:31 +08:00
parent 81c7d3c668
commit 6d15c629a7
1 changed files with 25 additions and 2 deletions
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27
pkg/strategy/buyandhold/strategy.go
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@ -21,23 +21,41 @@ func init() {
type Strategy struct {
Symbol string `json:"symbol"`
Interval string `json:"interval"`
Interval types.Interval `json:"interval"`
BaseQuantity float64 `json:"baseQuantity"`
MinDropPercentage fixedpoint.Value `json:"minDropPercentage"`
MinDropChange fixedpoint.Value `json:"minDropChange"`
MovingAverageWindow int `json:"movingAverageWindow"`
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.Interval)})
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
if s.Interval == "" {
s.Interval = types.Interval5m
}
if s.MovingAverageWindow == 0 {
s.MovingAverageWindow = 99
}
// buy when price drops -8%
market, ok := session.Market(s.Symbol)
if !ok {
return fmt.Errorf("market %s is not defined", s.Symbol)
}
standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
if !ok {
return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
}
var iw = types.IntervalWindow{Interval: s.Interval, Window: s.MovingAverageWindow}
var ema = standardIndicatorSet.EWMA(iw)
session.Stream.OnKLine(func(kline types.KLine) {
// skip k-lines from other symbols
if kline.Symbol != s.Symbol {
@ -61,6 +79,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
if kline.Close > ema.Last() {
log.Warnf("kline close price %f is above EMA %s %f", kline.Close, ema.IntervalWindow, ema.Last())
return
}
changeP := change / kline.Open
if s.MinDropPercentage != 0 {