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Merge pull request #698 from c9s/strategy/pivot

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strategy pivotshort: refactor and add stop EMA
This commit is contained in:
Yo-An Lin 2022-06-10 01:29:23 +08:00 committed by GitHub
commit 6e3c060728
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17 changed files with 317 additions and 111 deletions
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47
config/pivotshort-ETHUSDT.yaml
View File

@ -12,28 +12,51 @@ exchangeStrategies:
pivotshort:
symbol: ETHUSDT
interval: 5m
pivotLength: 200
pivotLength: 120
entry:
# breakLow settings are used for shorting when the current price break the previous low
breakLow:
ratio: 0.1%
quantity: 10.0
marginOrderSideEffect: borrow
stopEMARange: 5%
stopEMA:
interval: 1h
window: 99
bounceShort:
quantity: 10.0
# stopLossPercentage: 1%
numOfLayers: 10
layerSpread: 0.1%
pivotRatio: 0.1%
exit:
takeProfitPercentage: 25%
stopLossPercentage: 1%
lowerShadowRatio: 0.95
marginOrderSideEffect: repay
# roiStopLossPercentage is the stop loss percentage of the position ROI (currently the price change)
roiStopLossPercentage: 1%
# roiTakeProfitPercentage is the take profit percentage of the position ROI (currently the price change)
# force to take the profit ROI exceeded the percentage.
roiTakeProfitPercentage: 25%
# lowerShadowRatio is used to force taking profit when the (lower shadow height / low price) > lowerShadowRatio
# you can grab a simple stats by the following SQL:
# SELECT ((close - low) / close) AS shadow_ratio FROM binance_klines WHERE symbol = 'ETHUSDT' AND `interval` = '5m' AND start_time > '2022-01-01' ORDER BY shadow_ratio DESC LIMIT 20;
lowerShadowRatio: 3%
cumulatedVolume:
minVolume: 50_000
window: 5
marginOrderSideEffect: repay
backtest:
sessions:
- binance
- binance
startTime: "2022-04-01"
endTime: "2022-06-03"
endTime: "2022-06-08"
symbols:
- ETHUSDT
account:
- ETHUSDT
accounts:
binance:
balances:
ETH: 10.0

2
config/pivotshort-GMTBUSD.yaml
View File

@ -37,7 +37,7 @@ backtest:
endTime: "2022-06-03"
symbols:
- GMTBUSD
account:
accounts:
binance:
balances:
GMT: 3_000.0

40
config/pivotshort.yaml
View File

@ -14,27 +14,45 @@ exchangeStrategies:
symbol: GMTUSDT
interval: 5m
pivotLength: 120
pivotLength: 120
entry:
quantity: 3000.0
# marginOrderSideEffect: borrow
# breakLow settings are used for shorting when the current price break the previous low
breakLow:
ratio: 0.1%
quantity: 10.0
stopEMARange: 5%
stopEMA:
interval: 1h
window: 99
exit:
takeProfitPercentage: 25%
stopLossPercentage: 1%
lowerShadowRatio: 0.95
# marginOrderSideEffect: repay
# roiStopLossPercentage is the stop loss percentage of the position ROI (currently the price change)
roiStopLossPercentage: 1%
# roiTakeProfitPercentage is the take profit percentage of the position ROI (currently the price change)
# force to take the profit ROI exceeded the percentage.
roiTakeProfitPercentage: 25%
# lowerShadowRatio is used to force taking profit when the (lower shadow height / low price) > lowerShadowRatio
# you can grab a simple stats by the following SQL:
# SELECT ((close - low) / close) AS shadow_ratio FROM binance_klines WHERE symbol = 'ETHUSDT' AND `interval` = '5m' AND start_time > '2022-01-01' ORDER BY shadow_ratio DESC LIMIT 20;
lowerShadowRatio: 3%
cumulatedVolume:
minVolume: 50_000
window: 5
marginOrderSideEffect: repay
backtest:
sessions:
- binance
- binance
startTime: "2022-05-01"
endTime: "2022-06-03"
symbols:
- GMTUSDT
account:
- GMTUSDT
accounts:
binance:
balances:
GMT: 3010.0

26
config/pivotshort_optimizer.yaml Normal file
View File

@ -0,0 +1,26 @@
# usage:
#
# go run ./cmd/bbgo optimize --config bollmaker_ethusdt.yaml --optimizer-config optimizer.yaml --debug
#
---
matrix:
- type: iterate
label: interval
path: '/exchangeStrategies/0/pivotshort/interval'
values: [ "5m", "30m", "1h" ]
- type: range
path: '/exchangeStrategies/0/pivotshort/pivotLength'
label: pivotLength
min: 20.0
max: 200.0
step: 10.0
- type: range
path: '/exchangeStrategies/0/pivotshort/breakLow/stopEMARange'
label: pivotLength
min: 0%
max: 10%
step: 0.5%

3
pkg/backtest/exchange.go
View File

@ -323,12 +323,13 @@ func (e *Exchange) SubscribeMarketData(extraIntervals ...types.Interval) (chan t
loadedIntervals[it] = struct{}{}
}
// collect subscriptions
for _, sub := range e.marketDataStream.Subscriptions {
loadedSymbols[sub.Symbol] = struct{}{}
switch sub.Channel {
case types.KLineChannel:
loadedIntervals[types.Interval(sub.Options.Interval)] = struct{}{}
loadedIntervals[sub.Options.Interval] = struct{}{}
default:
// Since Environment is not yet been injected at this point, no hard error

8
pkg/bbgo/activeorderbook.go
View File

@ -10,7 +10,7 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
const CancelOrderWaitTime = 20 * time.Millisecond
const CancelOrderWaitTime = 10 * time.Millisecond
// ActiveOrderBook manages the local active order books.
//go:generate callbackgen -type ActiveOrderBook
@ -69,6 +69,8 @@ func (b *ActiveOrderBook) waitAllClear(ctx context.Context, waitTime, timeout ti
// GracefulCancel cancels the active orders gracefully
func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange) error {
waitTime := CancelOrderWaitTime
log.Debugf("[ActiveOrderBook] gracefully cancelling %s orders...", b.Symbol)
startTime := time.Now()
@ -86,9 +88,9 @@ func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange)
log.WithError(err).Errorf("[ActiveOrderBook] can not cancel %s orders", b.Symbol)
}
log.Debugf("[ActiveOrderBook] waiting %s for %s orders to be cancelled...", CancelOrderWaitTime, b.Symbol)
log.Debugf("[ActiveOrderBook] waiting %s for %s orders to be cancelled...", waitTime, b.Symbol)
clear, err := b.waitAllClear(ctx, CancelOrderWaitTime, 5*time.Second)
clear, err := b.waitAllClear(ctx, waitTime, 5*time.Second)
if clear || err != nil {
break
}

8
pkg/bbgo/notifier.go
View File

@ -1,6 +1,10 @@
package bbgo
import "github.com/sirupsen/logrus"
import (
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/fixedpoint"
)
type Notifier interface {
NotifyTo(channel string, obj interface{}, args ...interface{})
@ -69,7 +73,7 @@ func (m *Notifiability) NotifyTo(channel string, obj interface{}, args ...interf
func filterSimpleArgs(args []interface{}) (simpleArgs []interface{}) {
for _, arg := range args {
switch arg.(type) {
case int, int64, int32, uint64, uint32, string, []byte, float64, float32:
case int, int64, int32, uint64, uint32, string, []byte, float64, float32, fixedpoint.Value:
simpleArgs = append(simpleArgs, arg)
}
}

2
pkg/bbgo/smart_stops.go
View File

@ -128,7 +128,7 @@ func (c *TrailingStopController) Run(ctx context.Context, session *ExchangeSessi
log.Infof("current %s position: %s", c.Symbol, c.position.String())
marketOrder := c.position.NewClosePositionOrder(c.ClosePosition)
marketOrder := c.position.NewMarketCloseOrder(c.ClosePosition)
if marketOrder != nil {
log.Infof("submitting %s market order to stop: %+v", c.Symbol, marketOrder)

1
pkg/cmd/backtest.go
View File

@ -127,7 +127,6 @@ var BacktestCmd = &cobra.Command{
return err
}
if userConfig.Backtest == nil {
return errors.New("backtest config is not defined")
}

32
pkg/cmd/root.go
View File

@ -4,6 +4,7 @@ import (
"net/http"
"os"
"path"
"runtime/pprof"
"strings"
"time"
@ -22,6 +23,8 @@ import (
_ "github.com/go-sql-driver/mysql"
)
var cpuProfileFile *os.File
var userConfig *bbgo.Config
var RootCmd = &cobra.Command{
@ -32,7 +35,7 @@ var RootCmd = &cobra.Command{
SilenceUsage: true,
PersistentPreRunE: func(cmd *cobra.Command, args []string) error {
if err := cobraLoadDotenv(cmd, args) ; err != nil {
if err := cobraLoadDotenv(cmd, args); err != nil {
return err
}
@ -53,8 +56,34 @@ var RootCmd = &cobra.Command{
}()
}
cpuProfile, err := cmd.Flags().GetString("cpu-profile")
if err != nil {
return err
}
if cpuProfile != "" {
log.Infof("starting cpu profiler...")
cpuProfileFile, err = os.Create(cpuProfile)
if err != nil {
log.Fatal("could not create CPU profile: ", err)
}
if err := pprof.StartCPUProfile(cpuProfileFile); err != nil {
log.Fatal("could not start CPU profile: ", err)
}
}
return cobraLoadConfig(cmd, args)
},
PersistentPostRunE: func(cmd *cobra.Command, args []string) error {
pprof.StopCPUProfile()
if cpuProfileFile != nil {
return cpuProfileFile.Close() // error handling omitted for example
}
return nil
},
RunE: func(cmd *cobra.Command, args []string) error {
return nil
},
@ -139,6 +168,7 @@ func init() {
RootCmd.PersistentFlags().String("ftx-api-key", "", "ftx api key")
RootCmd.PersistentFlags().String("ftx-api-secret", "", "ftx api secret")
RootCmd.PersistentFlags().String("ftx-subaccount", "", "subaccount name. Specify it if the credential is for subaccount.")
RootCmd.PersistentFlags().String("cpu-profile", "", "cpu profile")
viper.SetEnvKeyReplacer(strings.NewReplacer("-", "_"))

1
pkg/cmd/run.go
View File

@ -34,7 +34,6 @@ func init() {
RunCmd.Flags().Bool("enable-grpc", false, "enable grpc server")
RunCmd.Flags().String("grpc-bind", ":50051", "grpc server binding")
RunCmd.Flags().String("cpu-profile", "", "cpu profile")
RunCmd.Flags().Bool("setup", false, "use setup mode")
RootCmd.AddCommand(RunCmd)
}

15
pkg/fixedpoint/convert.go
View File

@ -98,7 +98,7 @@ func (v Value) String() string {
func (v Value) FormatString(prec int) string {
pow := math.Pow10(prec)
return strconv.FormatFloat(
math.Trunc(float64(v)/DefaultPow * pow) / pow, 'f', prec, 64)
math.Trunc(float64(v)/DefaultPow*pow)/pow, 'f', prec, 64)
}
func (v Value) Percentage() string {
@ -114,7 +114,7 @@ func (v Value) FormatPercentage(prec int) string {
}
pow := math.Pow10(prec)
result := strconv.FormatFloat(
math.Trunc(float64(v)/DefaultPow * pow * 100.) / pow, 'f', prec, 64)
math.Trunc(float64(v)/DefaultPow*pow*100.)/pow, 'f', prec, 64)
return result + "%"
}
@ -222,6 +222,10 @@ func (v *Value) UnmarshalYAML(unmarshal func(a interface{}) error) (err error) {
return err
}
func (v Value) MarshalYAML() (interface{}, error) {
return v.FormatString(DefaultPrecision), nil
}
func (v Value) MarshalJSON() ([]byte, error) {
return []byte(v.FormatString(DefaultPrecision)), nil
}
@ -326,7 +330,7 @@ func NewFromString(input string) (Value, error) {
// if is decimal, we don't need this
hasScientificNotion := false
scIndex := -1
for i, c := range(input) {
for i, c := range input {
if hasDecimal {
if c <= '9' && c >= '0' {
decimalCount++
@ -345,7 +349,7 @@ func NewFromString(input string) (Value, error) {
}
}
if hasDecimal {
after := input[dotIndex+1:len(input)]
after := input[dotIndex+1 : len(input)]
if decimalCount >= 8 {
after = after[0:8] + "." + after[8:len(after)]
} else {
@ -368,7 +372,7 @@ func NewFromString(input string) (Value, error) {
if err != nil {
return 0, err
}
v, err := strconv.ParseFloat(input[0:scIndex+1] + strconv.FormatInt(exp + 8, 10), 64)
v, err := strconv.ParseFloat(input[0:scIndex+1]+strconv.FormatInt(exp+8, 10), 64)
if err != nil {
return 0, err
}
@ -385,7 +389,6 @@ func NewFromString(input string) (Value, error) {
}
return Value(v), nil
}
}
func MustNewFromString(input string) Value {

16
pkg/service/backtest.go
View File

@ -188,21 +188,27 @@ func (s *BacktestService) QueryKLinesBackward(exchange types.ExchangeName, symbo
}
func (s *BacktestService) QueryKLinesCh(since, until time.Time, exchange types.Exchange, symbols []string, intervals []types.Interval) (chan types.KLine, chan error) {
if len(symbols) == 0 {
return returnError(errors.Errorf("symbols is empty when querying kline, plesae check your strategy setting. "))
}
tableName := targetKlineTable(exchange.Name())
sql := "SELECT * FROM `binance_klines` WHERE `end_time` BETWEEN :since AND :until AND `symbol` IN (:symbols) AND `interval` IN (:intervals) and exchange = :exchange ORDER BY end_time ASC"
sql = strings.ReplaceAll(sql, "binance_klines", tableName)
var query string
sql, args, err := sqlx.Named(sql, map[string]interface{}{
if len(symbols) == 1 {
query = "SELECT * FROM `binance_klines` WHERE `end_time` BETWEEN :since AND :until AND `symbol` = :symbols AND `interval` IN (:intervals) ORDER BY end_time ASC"
} else {
query = "SELECT * FROM `binance_klines` WHERE `end_time` BETWEEN :since AND :until AND `symbol` IN (:symbols) AND `interval` IN (:intervals) ORDER BY end_time ASC"
}
query = strings.ReplaceAll(query, "binance_klines", tableName)
sql, args, err := sqlx.Named(query, map[string]interface{}{
"since": since,
"until": until,
"symbol": symbols[0],
"symbols": symbols,
"intervals": types.IntervalSlice(intervals),
"exchange": exchange.Name().String(),
})
sql, args, err = sqlx.In(sql, args...)

4
pkg/strategy/ewoDgtrd/strategy.go
View File

@ -613,13 +613,13 @@ func (s *Strategy) PlaceSellOrder(ctx context.Context, price fixedpoint.Value) (
}
// ClosePosition(context.Context) -> (closeOrder *types.Order, ok bool)
// this will decorate the generated order from NewClosePositionOrder
// this will decorate the generated order from NewMarketCloseOrder
// add do necessary checks
// if available quantity is zero, will return (nil, true)
// if any of the checks failed, will return (nil, false)
// otherwise, return the created close order and true
func (s *Strategy) ClosePosition(ctx context.Context) (*types.Order, bool) {
order := s.Position.NewClosePositionOrder(fixedpoint.One)
order := s.Position.NewMarketCloseOrder(fixedpoint.One)
// no position exists
if order == nil {
// no base

218
pkg/strategy/pivotshort/strategy.go
View File

@ -3,8 +3,10 @@ package pivotshort
import (
"context"
"fmt"
"sync"
"github.com/sirupsen/logrus"
"gopkg.in/yaml.v3"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
@ -12,6 +14,39 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
type TradeStats struct {
WinningRatio fixedpoint.Value `json:"winningRatio" yaml:"winningRatio"`
NumOfLossTrade int `json:"numOfLossTrade" yaml:"numOfLossTrade"`
NumOfProfitTrade int `json:"numOfProfitTrade" yaml:"numOfProfitTrade"`
GrossProfit fixedpoint.Value `json:"grossProfit" yaml:"grossProfit"`
GrossLoss fixedpoint.Value `json:"grossLoss" yaml:"grossLoss"`
Profits []fixedpoint.Value `json:"profits" yaml:"profits"`
Losses []fixedpoint.Value `json:"losses" yaml:"losses"`
MostProfitableTrade fixedpoint.Value `json:"mostProfitableTrade" yaml:"mostProfitableTrade"`
MostLossTrade fixedpoint.Value `json:"mostLossTrade" yaml:"mostLossTrade"`
}
func (s *TradeStats) Add(pnl fixedpoint.Value) {
if pnl.Sign() > 0 {
s.NumOfProfitTrade++
s.Profits = append(s.Profits, pnl)
s.GrossProfit = s.GrossProfit.Add(pnl)
s.MostProfitableTrade = fixedpoint.Max(s.MostProfitableTrade, pnl)
} else {
s.NumOfLossTrade++
s.Losses = append(s.Losses, pnl)
s.GrossLoss = s.GrossLoss.Add(pnl)
s.MostLossTrade = fixedpoint.Min(s.MostLossTrade, pnl)
}
s.WinningRatio = fixedpoint.NewFromFloat(float64(s.NumOfProfitTrade) / float64(s.NumOfLossTrade))
}
func (s *TradeStats) String() string {
out, _ := yaml.Marshal(s)
return string(out)
}
const ID = "pivotshort"
var log = logrus.WithField("strategy", ID)
@ -24,8 +59,15 @@ type IntervalWindowSetting struct {
types.IntervalWindow
}
// BreakLow -- when price breaks the previous pivot low, we set a trade entry
type BreakLow struct {
Ratio fixedpoint.Value `json:"ratio"`
Quantity fixedpoint.Value `json:"quantity"`
StopEMARange fixedpoint.Value `json:"stopEMARange"`
StopEMA *types.IntervalWindow `json:"stopEMA"`
}
type Entry struct {
Immediate bool `json:"immediate"`
CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
NumLayers int `json:"numLayers"`
TotalQuantity fixedpoint.Value `json:"totalQuantity"`
@ -35,10 +77,12 @@ type Entry struct {
}
type Exit struct {
TakeProfitPercentage fixedpoint.Value `json:"takeProfitPercentage"`
StopLossPercentage fixedpoint.Value `json:"stopLossPercentage"`
LowerShadowRatio fixedpoint.Value `json:"lowerShadowRatio"`
MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
RoiStopLossPercentage fixedpoint.Value `json:"roiStopLossPercentage"`
RoiTakeProfitPercentage fixedpoint.Value `json:"roiTakeProfitPercentage"`
LowerShadowRatio fixedpoint.Value `json:"lowerShadowRatio"`
MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
}
type Strategy struct {
@ -54,12 +98,13 @@ type Strategy struct {
// persistence fields
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
TradeStats *TradeStats `persistence:"trade_stats"`
PivotLength int `json:"pivotLength"`
LastLow fixedpoint.Value
Entry Entry
Exit Exit
BreakLow BreakLow `json:"breakLow"`
Entry Entry `json:"entry"`
Exit Exit `json:"exit"`
activeMakerOrders *bbgo.ActiveOrderBook
orderStore *bbgo.OrderStore
@ -67,7 +112,9 @@ type Strategy struct {
session *bbgo.ExchangeSession
lastLow fixedpoint.Value
pivot *indicator.Pivot
ewma *indicator.EWMA
pivotLowPrices []fixedpoint.Value
// StrategyController
@ -95,8 +142,7 @@ func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExe
s.tradeCollector.Process()
}
func (s *Strategy) placeMarketSell(ctx context.Context, orderExecutor bbgo.OrderExecutor) {
quantity := s.Entry.Quantity
func (s *Strategy) placeMarketSell(ctx context.Context, orderExecutor bbgo.OrderExecutor, quantity fixedpoint.Value) {
if quantity.IsZero() {
if balance, ok := s.session.Account.Balance(s.Market.BaseCurrency); ok {
s.Notify("sell quantity is not set, submitting sell with all base balance: %s", balance.Available.String())
@ -109,29 +155,19 @@ func (s *Strategy) placeMarketSell(ctx context.Context, orderExecutor bbgo.Order
return
}
sideEffect := s.Entry.MarginSideEffect
if len(sideEffect) == 0 {
sideEffect = types.SideEffectTypeMarginBuy
}
submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Quantity: quantity,
MarginSideEffect: sideEffect,
MarginSideEffect: types.SideEffectTypeMarginBuy,
}
s.submitOrders(ctx, orderExecutor, submitOrder)
}
// check if position can be close or not
func canClosePosition(position *types.Position, price fixedpoint.Value) bool {
return position.IsShort() && !(position.IsClosed() || position.IsDust(price))
}
func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
submitOrder := s.Position.NewClosePositionOrder(percentage) // types.SubmitOrder{
submitOrder := s.Position.NewMarketCloseOrder(percentage) // types.SubmitOrder{
if submitOrder == nil {
return nil
}
@ -140,7 +176,7 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
submitOrder.MarginSideEffect = s.Exit.MarginSideEffect
}
s.Notify("Submitting %s buy order to close position by %v", s.Symbol, percentage)
s.Notify("Closing %s position by %f", s.Symbol, percentage.Float64())
createdOrders, err := s.session.Exchange.SubmitOrders(ctx, *submitOrder)
if err != nil {
@ -152,6 +188,7 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
s.tradeCollector.Process()
return err
}
func (s *Strategy) InstanceID() string {
return fmt.Sprintf("%s:%s", ID, s.Symbol)
}
@ -174,6 +211,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.ProfitStats = types.NewProfitStats(s.Market)
}
if s.TradeStats == nil {
s.TradeStats = &TradeStats{}
}
instanceID := s.InstanceID()
// Always update the position fields
@ -189,6 +230,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.Environment.RecordPosition(s.Position, trade, nil)
} else {
log.Infof("%s generated profit: %v", s.Symbol, profit)
p := s.Position.NewProfit(trade, profit, netProfit)
p.Strategy = ID
p.StrategyInstanceID = instanceID
@ -197,6 +239,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.ProfitStats.AddProfit(p)
s.Notify(&s.ProfitStats)
s.TradeStats.Add(profit)
s.Environment.RecordPosition(s.Position, trade, &p)
}
})
@ -212,7 +256,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.pivot = &indicator.Pivot{IntervalWindow: iw}
s.pivot.Bind(store)
s.LastLow = fixedpoint.Zero
standardIndicator, _ := session.StandardIndicatorSet(s.Symbol)
if s.BreakLow.StopEMA != nil {
s.ewma = standardIndicator.EWMA(*s.BreakLow.StopEMA)
}
s.lastLow = fixedpoint.Zero
session.UserDataStream.OnStart(func() {
/*
@ -231,44 +280,87 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
// TODO: handle stop loss here, faster than closed kline
if canClosePosition(s.Position, kline.Close) {
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
}
isPositionOpened := !s.Position.IsClosed() && !s.Position.IsDust(kline.Close)
if isPositionOpened && s.Position.IsShort() {
// calculate return rate
R := kline.Close.Sub(s.Position.AverageCost).Div(s.Position.AverageCost)
if R.Compare(s.Exit.StopLossPercentage) > 0 {
// TODO: apply quantity to this formula
roi := s.Position.AverageCost.Sub(kline.Close).Div(s.Position.AverageCost)
if roi.Compare(s.Exit.RoiStopLossPercentage.Neg()) < 0 {
// SL
s.Notify("%s SL triggered at price %f", s.Symbol, kline.Close.Float64())
s.ClosePosition(ctx, fixedpoint.One)
return
} else if R.Compare(s.Exit.TakeProfitPercentage.Neg()) < 0 && kline.GetLowerShadowRatio().Compare(s.Exit.LowerShadowRatio) > 0 {
// TP
s.Notify("%s TP triggered at price %f", s.Symbol, kline.Close.Float64())
s.ClosePosition(ctx, fixedpoint.One)
return
}
}
if len(s.pivotLowPrices) > 0 {
lastLow := s.pivotLowPrices[len(s.pivotLowPrices)-1]
if kline.Close.Compare(lastLow) < 0 {
s.Notify("%s price %f breaks the previous low %f, submitting market sell to open a short position", s.Symbol, kline.Close.Float64(), lastLow.Float64())
if !s.Position.IsClosed() && !s.Position.IsDust(kline.Close) {
s.Notify("skip opening %s position, which is not closed", s.Symbol, s.Position)
return
}
s.Notify("%s ROI StopLoss triggered at price %f, ROI = %s", s.Symbol, kline.Close.Float64(), roi.Percentage())
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
}
s.placeMarketSell(ctx, orderExecutor)
if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
log.WithError(err).Errorf("close position error")
}
return
} else if roi.Compare(s.Exit.RoiTakeProfitPercentage) > 0 { // disable this condition temporarily
s.Notify("%s TakeProfit triggered at price %f, ROI take profit percentage by %s", s.Symbol, kline.Close.Float64(), roi.Percentage(), kline)
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
}
if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
log.WithError(err).Errorf("close position error")
}
} else if !s.Exit.LowerShadowRatio.IsZero() && kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Exit.LowerShadowRatio) > 0 {
s.Notify("%s TakeProfit triggered at price %f: shadow ratio %f", s.Symbol, kline.Close.Float64(), kline.GetLowerShadowRatio().Float64(), kline)
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
}
if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
log.WithError(err).Errorf("close position error")
}
return
}
}
if len(s.pivotLowPrices) == 0 {
return
}
previousLow := s.pivotLowPrices[len(s.pivotLowPrices)-1]
// truncate the pivot low prices
if len(s.pivotLowPrices) > 10 {
s.pivotLowPrices = s.pivotLowPrices[len(s.pivotLowPrices)-10:]
}
if s.ewma != nil && !s.BreakLow.StopEMARange.IsZero() {
ema := fixedpoint.NewFromFloat(s.ewma.Last())
if ema.IsZero() {
return
}
emaStopShortPrice := ema.Mul(fixedpoint.One.Sub(s.BreakLow.StopEMARange))
if kline.Close.Compare(emaStopShortPrice) < 0 {
return
}
}
ratio := fixedpoint.One.Sub(s.BreakLow.Ratio)
breakPrice := previousLow.Mul(ratio)
if kline.Close.Compare(breakPrice) > 0 {
return
}
if !s.Position.IsClosed() && !s.Position.IsDust(kline.Close) {
// s.Notify("skip opening %s position, which is not closed", s.Symbol, s.Position)
return
}
s.Notify("%s price %f breaks the previous low %f with ratio %f, submitting market sell to open a short position", s.Symbol, kline.Close.Float64(), previousLow.Float64(), s.BreakLow.Ratio.Float64())
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
}
s.placeMarketSell(ctx, orderExecutor, s.BreakLow.Quantity)
})
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
@ -277,12 +369,20 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
if s.pivot.LastLow() > 0.0 {
log.Infof("pivot low signal detected: %f %s", s.pivot.LastLow(), kline.EndTime.Time())
s.LastLow = fixedpoint.NewFromFloat(s.pivot.LastLow())
s.pivotLowPrices = append(s.pivotLowPrices, s.LastLow)
log.Infof("pivot low detected: %f %s", s.pivot.LastLow(), kline.EndTime.Time())
lastLow := fixedpoint.NewFromFloat(s.pivot.LastLow())
if lastLow.Compare(s.lastLow) != 0 {
s.lastLow = lastLow
s.pivotLowPrices = append(s.pivotLowPrices, s.lastLow)
}
}
})
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
log.Info(s.TradeStats.String())
wg.Done()
})
return nil
}
@ -337,13 +437,9 @@ func (s *Strategy) placeOrder(ctx context.Context, lastLow fixedpoint.Value, lim
Quantity: qty,
}
if !lastLow.IsZero() && s.Entry.Immediate && lastLow.Compare(currentPrice) <= 0 {
if !lastLow.IsZero() && lastLow.Compare(currentPrice) <= 0 {
submitOrder.Type = types.OrderTypeMarket
}
if s.session.Margin {
submitOrder.MarginSideEffect = s.Entry.MarginSideEffect
}
s.submitOrders(ctx, orderExecutor, submitOrder)
}

3
pkg/strategy/xmaker/strategy.go
View File

@ -807,8 +807,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
defer tradeScanTicker.Stop()
defer func() {
if err := s.activeMakerOrders.GracefulCancel(context.Background(),
s.makerSession.Exchange); err != nil {
if err := s.activeMakerOrders.GracefulCancel(context.Background(), s.makerSession.Exchange); err != nil {
log.WithError(err).Errorf("can not cancel %s orders", s.Symbol)
}
}()

2
pkg/types/position.go
View File

@ -120,7 +120,7 @@ func (p *Position) NewProfit(trade Trade, profit, netProfit fixedpoint.Value) Pr
}
}
func (p *Position) NewClosePositionOrder(percentage fixedpoint.Value) *SubmitOrder {
func (p *Position) NewMarketCloseOrder(percentage fixedpoint.Value) *SubmitOrder {
base := p.GetBase()
quantity := base.Abs()