mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
feature: SLTP from bookticker. fix: bookTicker typename, depth buffer error message
This commit is contained in:
zenix
parent
668328dd16
commit
71fe6c2d26
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@ -582,7 +582,7 @@ func (session *ExchangeSession) MarketDataStore(symbol string) (s *MarketDataSto
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return s, ok
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}
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// MarketDataStore returns the market data store of a symbol
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// OrderBook returns the personal orderbook of a symbol
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func (session *ExchangeSession) OrderBook(symbol string) (s *types.StreamOrderBook, ok bool) {
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s, ok = session.orderBooks[symbol]
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return s, ok
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@ -935,9 +935,9 @@ func (session *ExchangeSession) SlackAttachment() slack.Attachment {
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return slack.Attachment{
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// Pretext: "",
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// Text: text,
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Title: session.Name,
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Fields: fields,
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Title: session.Name,
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Fields: fields,
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FooterIcon: footerIcon,
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Footer: util.Render("update time {{ . }}", time.Now().Format(time.RFC822)),
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Footer: util.Render("update time {{ . }}", time.Now().Format(time.RFC822)),
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}
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}
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@ -117,13 +117,14 @@ func (b *Buffer) AddUpdate(o types.SliceOrderBook, firstUpdateID int64, finalArg
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if u.FirstUpdateID > b.finalUpdateID+1 {
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// emitReset will reset the once outside the mutex lock section
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b.buffer = []Update{u}
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finalUpdateID = b.finalUpdateID
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b.resetSnapshot()
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b.emitReset()
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b.mu.Unlock()
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return fmt.Errorf("found missing update between finalUpdateID %d and firstUpdateID %d, diff: %d",
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b.finalUpdateID+1,
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finalUpdateID+1,
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u.FirstUpdateID,
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u.FirstUpdateID-b.finalUpdateID)
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u.FirstUpdateID-finalUpdateID)
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}
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log.Debugf("depth update id %d -> %d", b.finalUpdateID, u.FinalUpdateID)
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@ -142,6 +143,7 @@ func (b *Buffer) fetchAndPush() error {
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log.Debugf("fetched depth snapshot, final update id %d", finalUpdateID)
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b.mu.Lock()
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if len(b.buffer) > 0 {
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// the snapshot is too early
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if finalUpdateID < b.buffer[0].FirstUpdateID {
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@ -1428,9 +1428,22 @@ func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *type
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// QueryDepth query the order book depth of a symbol
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func (e *Exchange) QueryDepth(ctx context.Context, symbol string) (snapshot types.SliceOrderBook, finalUpdateID int64, err error) {
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response, err := e.client.NewDepthService().Symbol(symbol).Do(ctx)
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if err != nil {
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return snapshot, finalUpdateID, err
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var response *binance.DepthResponse
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if e.IsFutures {
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res, err := e.futuresClient.NewDepthService().Symbol(symbol).Do(ctx)
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if err != nil {
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return snapshot, finalUpdateID, err
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}
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response = &binance.DepthResponse{
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LastUpdateID: res.LastUpdateID,
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Bids: res.Bids,
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Asks: res.Asks,
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}
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} else {
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response, err = e.client.NewDepthService().Symbol(symbol).Do(ctx)
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if err != nil {
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return snapshot, finalUpdateID, err
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}
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}
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snapshot.Symbol = symbol
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@ -113,17 +113,17 @@ func (e *ExecutionReportEvent) Order() (*types.Order, error) {
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orderCreationTime := time.Unix(0, e.OrderCreationTime*int64(time.Millisecond))
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return &types.Order{
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SubmitOrder: types.SubmitOrder{
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ClientOrderID: e.ClientOrderID,
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Symbol: e.Symbol,
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Side: toGlobalSideType(binance.SideType(e.Side)),
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Type: toGlobalOrderType(binance.OrderType(e.OrderType)),
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Quantity: e.OrderQuantity,
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Price: e.OrderPrice,
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StopPrice: e.StopPrice,
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TimeInForce: types.TimeInForce(e.TimeInForce),
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IsFutures: false,
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ReduceOnly: false,
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ClosePosition: false,
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ClientOrderID: e.ClientOrderID,
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Symbol: e.Symbol,
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Side: toGlobalSideType(binance.SideType(e.Side)),
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Type: toGlobalOrderType(binance.OrderType(e.OrderType)),
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Quantity: e.OrderQuantity,
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Price: e.OrderPrice,
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StopPrice: e.StopPrice,
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TimeInForce: types.TimeInForce(e.TimeInForce),
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IsFutures: false,
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ReduceOnly: false,
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ClosePosition: false,
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},
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Exchange: types.ExchangeBinance,
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IsWorking: e.IsOnBook,
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@ -276,7 +276,7 @@ func parseWebSocketEvent(message []byte) (interface{}, error) {
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// fmt.Println(str)
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eventType := string(val.GetStringBytes("e"))
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if eventType == "" && IsBookTicker(val) {
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eventType = "bookticker"
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eventType = "bookTicker"
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}
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switch eventType {
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@ -284,7 +284,7 @@ func parseWebSocketEvent(message []byte) (interface{}, error) {
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var event KLineEvent
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err := json.Unmarshal([]byte(message), &event)
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return &event, err
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case "bookticker":
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case "bookTicker":
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var event BookTickerEvent
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err := json.Unmarshal([]byte(message), &event)
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event.Event = eventType
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@ -23,6 +23,7 @@ func init() {
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}
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type Strategy struct {
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*bbgo.Environment
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Market types.Market
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Session *bbgo.ExchangeSession
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UseHeikinAshi bool `json:"useHeikinAshi"` // use heikinashi kline
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@ -45,6 +46,8 @@ type Strategy struct {
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heikinAshi *HeikinAshi
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peakPrice fixedpoint.Value
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bottomPrice fixedpoint.Value
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midPrice fixedpoint.Value
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lock sync.RWMutex
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}
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func (s *Strategy) ID() string {
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@ -59,6 +62,10 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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log.Infof("subscribe %s", s.Symbol)
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m.String()})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()})
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if s.Environment != nil && s.Environment.IsBackTesting() {
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session.Subscribe(types.BookTickerChannel, s.Symbol, types.SubscribeOptions{})
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}
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s.SmartStops.Subscribe(session)
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}
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@ -531,15 +538,176 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.SetupIndicators()
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sellOrderTPSL := func(price fixedpoint.Value) {
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balances := session.GetAccount().Balances()
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quoteBalance := balances[s.Market.QuoteCurrency].Available
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atrx2 := fixedpoint.NewFromFloat(s.atr.Last() * 2)
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lastPrice := price
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var ok bool
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if s.Environment.IsBackTesting() {
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lastPrice, ok = session.LastPrice(s.Symbol)
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if !ok {
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log.Errorf("cannot get last price")
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return
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}
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}
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buyall := false
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if !sellPrice.IsZero() {
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if s.bottomPrice.IsZero() || s.bottomPrice.Compare(price) > 0 {
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s.bottomPrice = price
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}
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}
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takeProfit := false
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bottomBack := s.bottomPrice
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if !quoteBalance.IsZero() && !sellPrice.IsZero() && !s.DisableShortStop {
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// TP
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if !atrx2.IsZero() && s.bottomPrice.Add(atrx2).Compare(lastPrice) >= 0 &&
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lastPrice.Compare(sellPrice) < 0 {
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buyall = true
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s.bottomPrice = fixedpoint.Zero
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takeProfit = true
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}
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// SL
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if (!atrx2.IsZero() && sellPrice.Add(atrx2).Compare(lastPrice) <= 0) ||
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lastPrice.Sub(sellPrice).Div(sellPrice).Compare(s.Stoploss) > 0 {
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buyall = true
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s.bottomPrice = fixedpoint.Zero
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}
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}
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if buyall {
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totalQuantity := quoteBalance.Div(lastPrice)
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order := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeMarket,
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Quantity: totalQuantity,
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Market: s.Market,
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}
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if s.validateOrder(&order) {
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if takeProfit {
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log.Errorf("takeprofit buy at %v, avg %v, l: %v, atrx2: %v", lastPrice, sellPrice, bottomBack, atrx2)
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} else {
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log.Errorf("stoploss buy at %v, avg %v, l: %v, atrx2: %v", lastPrice, sellPrice, bottomBack, atrx2)
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, order)
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if err != nil {
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log.WithError(err).Errorf("cannot place order")
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return
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}
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log.Infof("stoploss bought order %v", createdOrders)
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s.tradeCollector.Process()
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}
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}
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}
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buyOrderTPSL := func(price fixedpoint.Value) {
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balances := session.GetAccount().Balances()
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baseBalance := balances[s.Market.BaseCurrency].Available
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atrx2 := fixedpoint.NewFromFloat(s.atr.Last() * 2)
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lastPrice := price
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var ok bool
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if s.Environment.IsBackTesting() {
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lastPrice, ok = session.LastPrice(s.Symbol)
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if !ok {
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log.Errorf("cannot get last price")
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return
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}
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}
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sellall := false
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if !buyPrice.IsZero() {
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if s.peakPrice.IsZero() || s.peakPrice.Compare(price) < 0 {
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s.peakPrice = price
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}
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}
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takeProfit := false
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peakBack := s.peakPrice
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if !baseBalance.IsZero() && !buyPrice.IsZero() {
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// TP
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if !atrx2.IsZero() && s.peakPrice.Sub(atrx2).Compare(lastPrice) >= 0 &&
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lastPrice.Compare(buyPrice) > 0 {
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sellall = true
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s.peakPrice = fixedpoint.Zero
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takeProfit = true
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}
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// SL
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if buyPrice.Sub(lastPrice).Div(buyPrice).Compare(s.Stoploss) > 0 ||
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(!atrx2.IsZero() && buyPrice.Sub(atrx2).Compare(lastPrice) >= 0) {
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sellall = true
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s.peakPrice = fixedpoint.Zero
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}
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}
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if sellall {
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order := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeMarket,
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Market: s.Market,
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Quantity: baseBalance,
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}
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if s.validateOrder(&order) {
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if takeProfit {
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log.Errorf("takeprofit sell at %v, avg %v, h: %v, atrx2: %v", lastPrice, buyPrice, peakBack, atrx2)
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} else {
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log.Errorf("stoploss sell at %v, avg %v, h: %v, atrx2: %v", lastPrice, buyPrice, peakBack, atrx2)
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, order)
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if err != nil {
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log.WithError(err).Errorf("cannot place order")
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return
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}
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log.Infof("stoploss sold order %v", createdOrders)
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s.tradeCollector.Process()
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}
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}
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}
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// set last price by realtime book ticker update
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// to trigger TP/SL
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session.MarketDataStream.OnBookTickerUpdate(func(ticker types.BookTicker) {
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if s.Environment.IsBackTesting() {
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return
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}
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bestBid := ticker.Buy
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bestAsk := ticker.Sell
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var midPrice fixedpoint.Value
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if s.lock.TryLock() {
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if !bestAsk.IsZero() && !bestBid.IsZero() {
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s.midPrice = bestAsk.Add(bestBid).Div(types.Two)
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} else if !bestAsk.IsZero() {
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s.midPrice = bestAsk
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} else {
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s.midPrice = bestBid
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}
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midPrice = s.midPrice
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s.lock.Unlock()
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}
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if !midPrice.IsZero() {
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buyOrderTPSL(midPrice)
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sellOrderTPSL(midPrice)
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}
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//log.Infof("best bid %v, best ask %v, mid %v", bestBid, bestAsk, midPrice)
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})
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != s.Symbol {
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return
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}
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lastPrice, ok := session.LastPrice(s.Symbol)
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if !ok {
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log.Errorf("cannot get last price")
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return
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var lastPrice fixedpoint.Value
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var ok bool
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if s.Environment.IsBackTesting() {
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lastPrice, ok = session.LastPrice(s.Symbol)
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if !ok {
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log.Errorf("cannot get last price")
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return
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}
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} else {
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s.lock.RLock()
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lastPrice = s.midPrice
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s.lock.RUnlock()
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}
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// cancel non-traded orders
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@ -558,12 +726,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.tradeCollector.Process()
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}
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balances := session.GetAccount().Balances()
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baseBalance := balances[s.Market.BaseCurrency].Available
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quoteBalance := balances[s.Market.QuoteCurrency].Available
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atrx2 := fixedpoint.NewFromFloat(s.atr.Last() * 2)
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log.Infof("Get last price: %v, kline: %v, balance[base]: %v balance[quote]: %v, atrx2: %v",
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lastPrice, kline, baseBalance, quoteBalance, atrx2)
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if !s.Environment.IsBackTesting() {
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log.Infof("Get last price: %v, kline: %v, atrx2: %v", lastPrice, kline, atrx2)
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}
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// well, only track prices on 1m
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if kline.Interval == types.Interval1m {
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@ -590,105 +756,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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log.Infof("repost order %v", createdOrders)
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s.tradeCollector.Process()
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}
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sellall := false
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buyall := false
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if !buyPrice.IsZero() {
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if s.peakPrice.IsZero() || s.peakPrice.Compare(kline.High) < 0 {
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s.peakPrice = kline.High
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}
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}
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if !sellPrice.IsZero() {
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if s.bottomPrice.IsZero() || s.bottomPrice.Compare(kline.Low) > 0 {
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s.bottomPrice = kline.Low
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}
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}
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if s.Environment.IsBackTesting() {
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buyOrderTPSL(kline.High)
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sellOrderTPSL(kline.Low)
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takeProfit := false
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peakBack := s.peakPrice
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bottomBack := s.bottomPrice
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if !baseBalance.IsZero() && !buyPrice.IsZero() {
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// TP
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if !atrx2.IsZero() && s.peakPrice.Sub(atrx2).Compare(lastPrice) >= 0 &&
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lastPrice.Compare(buyPrice) > 0 {
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sellall = true
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s.peakPrice = fixedpoint.Zero
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takeProfit = true
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}
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// SL
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if buyPrice.Sub(lastPrice).Div(buyPrice).Compare(s.Stoploss) > 0 ||
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(!atrx2.IsZero() && buyPrice.Sub(atrx2).Compare(lastPrice) >= 0) {
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sellall = true
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s.peakPrice = fixedpoint.Zero
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}
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}
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if !quoteBalance.IsZero() && !sellPrice.IsZero() && !s.DisableShortStop {
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// TP
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if !atrx2.IsZero() && s.bottomPrice.Add(atrx2).Compare(lastPrice) >= 0 &&
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lastPrice.Compare(sellPrice) < 0 {
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buyall = true
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s.bottomPrice = fixedpoint.Zero
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takeProfit = true
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}
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// SL
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if (!atrx2.IsZero() && sellPrice.Add(atrx2).Compare(lastPrice) <= 0) ||
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lastPrice.Sub(sellPrice).Div(sellPrice).Compare(s.Stoploss) > 0 {
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buyall = true
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s.bottomPrice = fixedpoint.Zero
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}
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}
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if sellall {
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order := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeMarket,
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Market: s.Market,
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Quantity: baseBalance,
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}
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if s.validateOrder(&order) {
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if takeProfit {
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log.Errorf("takeprofit sell at %v, avg %v, h: %v, atrx2: %v, timestamp: %s", lastPrice, buyPrice, peakBack, atrx2, kline.StartTime)
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} else {
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log.Errorf("stoploss sell at %v, avg %v, h: %v, atrx2: %v, timestamp %s", lastPrice, buyPrice, peakBack, atrx2, kline.StartTime)
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, order)
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if err != nil {
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log.WithError(err).Errorf("cannot place order")
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return
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}
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log.Infof("stoploss sold order %v", createdOrders)
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s.tradeCollector.Process()
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}
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}
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if buyall {
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totalQuantity := quoteBalance.Div(lastPrice)
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order := types.SubmitOrder{
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Symbol: kline.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeMarket,
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Quantity: totalQuantity,
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Market: s.Market,
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}
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if s.validateOrder(&order) {
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if takeProfit {
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log.Errorf("takeprofit buy at %v, avg %v, l: %v, atrx2: %v, timestamp: %s", lastPrice, sellPrice, bottomBack, atrx2, kline.StartTime)
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} else {
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log.Errorf("stoploss buy at %v, avg %v, l: %v, atrx2: %v, timestamp: %s", lastPrice, sellPrice, bottomBack, atrx2, kline.StartTime)
|
||||
}
|
||||
|
||||
createdOrders, err := orderExecutor.SubmitOrders(ctx, order)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("cannot place order")
|
||||
return
|
||||
}
|
||||
log.Infof("stoploss bought order %v", createdOrders)
|
||||
s.tradeCollector.Process()
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
|
|
@ -718,10 +790,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
// kline downthrough ma5, ma50 trend down, and ewo < threshold
|
||||
IsBear := !bull && breakDown && s.ewo.Last() <= mean-2*std
|
||||
|
||||
log.Infof("IsBull: %v, bull: %v, longSignal[1]: %v, shortSignal: %v",
|
||||
IsBull, bull, longSignal.Index(1), shortSignal.Last())
|
||||
log.Infof("IsBear: %v, bear: %v, shortSignal[1]: %v, longSignal: %v",
|
||||
IsBear, !bull, shortSignal.Index(1), longSignal.Last())
|
||||
if !s.Environment.IsBackTesting() {
|
||||
log.Infof("IsBull: %v, bull: %v, longSignal[1]: %v, shortSignal: %v",
|
||||
IsBull, bull, longSignal.Index(1), shortSignal.Last())
|
||||
log.Infof("IsBear: %v, bear: %v, shortSignal[1]: %v, longSignal: %v",
|
||||
IsBear, !bull, shortSignal.Index(1), longSignal.Last())
|
||||
}
|
||||
|
||||
var orders []types.SubmitOrder
|
||||
var price fixedpoint.Value
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user