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improve/linregmaker: add MinProfitSpread

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Andy Cheng 2023-01-18 14:51:07 +08:00
parent 3c14382c3c
commit 6e854f8027
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2 changed files with 44 additions and 8 deletions
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8
config/linregmaker.yaml
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@ -163,6 +163,14 @@ exchangeStrategies:
domain: [ -0.00005, 0.0001 ]
range: [ 0.02, 0 ]
# minProfitSpread is the minimal order price spread from the current average cost.
# For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread))
# For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
minProfitSpread: 0.1%
# minProfitDisableOn disables MinProfitSpread when position RoI drops below specified percentage
minProfitDisableOn: -10%
exits:
# roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
- roiStopLoss:

44
pkg/strategy/linregmaker/strategy.go
View File

@ -118,6 +118,14 @@ type Strategy struct {
// UseDynamicQuantityAsAmount calculates amount instead of quantity
UseDynamicQuantityAsAmount bool `json:"useDynamicQuantityAsAmount"`
// MinProfitSpread is the minimal order price spread from the current average cost.
// For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread))
// For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
MinProfitSpread fixedpoint.Value `json:"minProfitSpread"`
// MinProfitDisableOn disables MinProfitSpread when position RoI drops below specified percentage
MinProfitDisableOn fixedpoint.Value `json:"minProfitDisableOn"`
// ExitMethods are various TP/SL methods
ExitMethods bbgo.ExitMethodSet `json:"exits"`
@ -449,7 +457,7 @@ func (s *Strategy) getAllowedBalance() (baseQty, quoteQty fixedpoint.Value) {
}
// getCanBuySell returns the buy sell switches
func (s *Strategy) getCanBuySell(buyQuantity, bidPrice, sellQuantity, askPrice fixedpoint.Value) (canBuy bool, canSell bool) {
func (s *Strategy) getCanBuySell(buyQuantity, bidPrice, sellQuantity, askPrice, midPrice fixedpoint.Value) (canBuy bool, canSell bool) {
// By default, both buy and sell are on, which means we will place buy and sell orders
canBuy = true
canSell = true
@ -482,33 +490,53 @@ func (s *Strategy) getCanBuySell(buyQuantity, bidPrice, sellQuantity, askPrice f
if !s.isAllowOppositePosition() {
if s.mainTrendCurrent == types.DirectionUp && (s.Position.IsClosed() || s.Position.IsDust(askPrice)) {
canSell = false
log.Infof("Skip sell due to the long position is closed")
log.Infof("skip sell due to the long position is closed")
} else if s.mainTrendCurrent == types.DirectionDown && (s.Position.IsClosed() || s.Position.IsDust(bidPrice)) {
canBuy = false
log.Infof("Skip buy due to the short position is closed")
log.Infof("skip buy due to the short position is closed")
}
}
// Min profit
roi := s.Position.ROI(midPrice)
if roi.Compare(s.MinProfitDisableOn) >= 0 {
if s.Position.IsLong() && !s.Position.IsDust(askPrice) {
minProfitPrice := s.Position.AverageCost.Mul(fixedpoint.One.Add(s.MinProfitSpread))
if askPrice.Compare(minProfitPrice) < 0 {
canSell = false
log.Infof("askPrice %v is less than minProfitPrice %v. skip sell", askPrice, minProfitPrice)
}
} else if s.Position.IsShort() && s.Position.IsDust(bidPrice) {
minProfitPrice := s.Position.AverageCost.Mul(fixedpoint.One.Sub(s.MinProfitSpread))
if bidPrice.Compare(minProfitPrice) > 0 {
canBuy = false
log.Infof("bidPrice %v is greater than minProfitPrice %v. skip buy", bidPrice, minProfitPrice)
}
}
} else {
log.Infof("position RoI %v is less than MinProfitDisableOn %v. disable min profit protection", roi, s.MinProfitDisableOn)
}
// Check against account balance
baseQty, quoteQty := s.getAllowedBalance()
if s.session.Margin || s.session.IsolatedMargin || s.session.Futures || s.session.IsolatedFutures { // Leveraged
if quoteQty.Compare(fixedpoint.Zero) <= 0 {
if s.Position.IsLong() {
canBuy = false
log.Infof("Skip buy due to the account has no available balance")
log.Infof("skip buy due to the account has no available balance")
} else if s.Position.IsShort() {
canSell = false
log.Infof("Skip sell due to the account has no available balance")
log.Infof("skip sell due to the account has no available balance")
}
}
} else {
if buyQuantity.Compare(quoteQty.Div(bidPrice)) > 0 { // Spot
canBuy = false
log.Infof("Skip buy due to the account has no available balance")
log.Infof("skip buy due to the account has no available balance")
}
if sellQuantity.Compare(baseQty) > 0 {
canSell = false
log.Infof("Skip sell due to the account has no available balance")
log.Infof("skip sell due to the account has no available balance")
}
}
@ -762,7 +790,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
buyOrder, sellOrder := s.getOrderForms(buyQuantity, bidPrice, sellQuantity, askPrice)
canBuy, canSell := s.getCanBuySell(buyQuantity, bidPrice, sellQuantity, askPrice)
canBuy, canSell := s.getCanBuySell(buyQuantity, bidPrice, sellQuantity, askPrice, midPrice)
// Submit orders
var submitOrders []types.SubmitOrder