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pivotshort: apply OpenPositionOptions to breakLow

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c9s 2022-09-12 23:24:37 +08:00
parent 04f7b96c6a
commit 776f89b2f2
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2 changed files with 30 additions and 46 deletions
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24
pkg/bbgo/order_executor_general.go
View File

@ -129,12 +129,13 @@ func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ..
type OpenPositionOptions struct {
// Long is for open a long position
// Long or Short must be set
Long bool `json:"long"`
// Long or Short must be set, avoid loading it from the config file
// it should be set from the strategy code
Long bool `json:"-" yaml:"-"`
// Short is for open a short position
// Long or Short must be set
Short bool `json:"short"`
Short bool `json:"-" yaml:"-"`
// Leverage is used for leveraged position and account
Leverage fixedpoint.Value `json:"leverage,omitempty"`
@ -148,15 +149,16 @@ type OpenPositionOptions struct {
// LimitOrder set to true to open a position with a limit order
LimitOrder bool `json:"limitOrder,omitempty"`
// LimitTakerRatio is used when LimitOrder = true, it adjusts the price of the limit order with a ratio.
// LimitOrderTakerRatio is used when LimitOrder = true, it adjusts the price of the limit order with a ratio.
// So you can ensure that the limit order can be a taker order. Higher the ratio, higher the chance it could be a taker order.
LimitTakerRatio fixedpoint.Value `json:"limitTakerRatio,omitempty"`
CurrentPrice fixedpoint.Value `json:"currentPrice,omitempty"`
Tags []string `json:"tags"`
LimitOrderTakerRatio fixedpoint.Value `json:"limitOrderTakerRatio,omitempty"`
Price fixedpoint.Value `json:"-" yaml:"-"`
Tags []string `json:"-" yaml:"-"`
}
func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPositionOptions) error {
price := options.CurrentPrice
price := options.Price
submitOrder := types.SubmitOrder{
Symbol: e.position.Symbol,
Type: types.OrderTypeMarket,
@ -164,13 +166,13 @@ func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPos
Tag: strings.Join(options.Tags, ","),
}
if !options.LimitTakerRatio.IsZero() {
if !options.LimitOrderTakerRatio.IsZero() {
if options.Long {
// use higher price to buy (this ensures that our order will be filled)
price = price.Mul(one.Add(options.LimitTakerRatio))
price = price.Mul(one.Add(options.LimitOrderTakerRatio))
} else if options.Short {
// use lower price to sell (this ensures that our order will be filled)
price = price.Mul(one.Sub(options.LimitTakerRatio))
price = price.Mul(one.Sub(options.LimitOrderTakerRatio))
}
}

52
pkg/strategy/pivotshort/breaklow.go
View File

@ -25,13 +25,18 @@ type BreakLow struct {
// MarketOrder is the option to enable market order short.
MarketOrder bool `json:"marketOrder"`
// LimitOrder is the option to use limit order instead of market order to short
LimitOrder bool `json:"limitOrder"`
LimitTakerRatio fixedpoint.Value `json:"limitTakerRatio"`
Leverage fixedpoint.Value `json:"leverage"`
Quantity fixedpoint.Value `json:"quantity"`
bbgo.OpenPositionOptions
// BounceRatio is a ratio used for placing the limit order sell price
// limit sell price = breakLowPrice * (1 + BounceRatio)
BounceRatio fixedpoint.Value `json:"bounceRatio"`
Leverage fixedpoint.Value `json:"leverage"`
Quantity fixedpoint.Value `json:"quantity"`
StopEMA *bbgo.StopEMA `json:"stopEMA"`
TrendEMA *bbgo.TrendEMA `json:"trendEMA"`
@ -210,40 +215,17 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
// graceful cancel all active orders
_ = orderExecutor.GracefulCancel(ctx)
quantity, err := bbgo.CalculateBaseQuantity(s.session, s.Market, closePrice, s.Quantity, s.Leverage)
if err != nil {
log.WithError(err).Errorf("quantity calculation error")
bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, opening short position", symbol, kline.Close.Float64(), previousLow.Float64(), s.Ratio.Float64())
opts := s.OpenPositionOptions
opts.Short = true
opts.Price = closePrice
opts.Tags = []string{"breakLowMarket"}
if opts.LimitOrder && !s.BounceRatio.IsZero() {
opts.Price = previousLow.Mul(fixedpoint.One.Add(s.BounceRatio))
}
if quantity.IsZero() {
log.Warn("quantity is zero, can not submit order, skip")
return
}
if s.MarketOrder {
bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting market sell to open a short position", symbol, kline.Close.Float64(), previousLow.Float64(), s.Ratio.Float64())
_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Quantity: quantity,
MarginSideEffect: types.SideEffectTypeMarginBuy,
Tag: "breakLowMarket",
})
} else {
sellPrice := previousLow.Mul(fixedpoint.One.Add(s.BounceRatio))
bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting limit sell @ %f", symbol, kline.Close.Float64(), previousLow.Float64(), s.Ratio.Float64(), sellPrice.Float64())
_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: kline.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Price: sellPrice,
Quantity: quantity,
MarginSideEffect: types.SideEffectTypeMarginBuy,
Tag: "breakLowLimit",
})
if err := s.orderExecutor.OpenPosition(ctx, opts); err != nil {
log.WithError(err).Errorf("failed to open short position")
}
}))
}