Merge pull request #660 from c9s/strategy/pivot

pivotshort: clean up strategy
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Yo-An Lin 2022-06-03 20:25:10 +08:00 committed by GitHub
commit 7efcae2bd1
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2 changed files with 101 additions and 57 deletions

View File

@ -8,24 +8,34 @@ sessions:
exchangeStrategies:
- on: binance
pivotshort:
symbol: BTCBUSD
symbol: GMTUSDT
interval: 5m
quantity: 1.0
pivotLength: 60
stopLossRatio: 0.8%
catBounceRatio: 3%
numLayers: 5
shadowTPRatio: 2%
pivotLength: 120
entry:
catBounceRatio: 1%
quantity: 1000
numLayers: 3
# marginOrderSideEffect: borrow
exit:
takeProfitPercentage: 13%
stopLossPercentage: 0.5%
shadowTPRatio: 13%
# marginOrderSideEffect: repay
backtest:
sessions:
- binance
startTime: "2022-01-01"
endTime: "2022-05-10"
startTime: "2022-04-01"
endTime: "2022-06-03"
symbols:
- BTCBUSD
- GMTUSDT
account:
binance:
balances:
BTC: 1.0
BUSD: 40_000.0
GMT: 3_000.0
USDT: 3_000.0

View File

@ -13,10 +13,6 @@ import (
const ID = "pivotshort"
var fifteen = fixedpoint.NewFromInt(15)
var three = fixedpoint.NewFromInt(3)
var two = fixedpoint.NewFromInt(2)
var log = logrus.WithField("strategy", ID)
func init() {
@ -27,26 +23,39 @@ type IntervalWindowSetting struct {
types.IntervalWindow
}
type Entry struct {
CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
Quantity fixedpoint.Value `json:"quantity"`
NumLayers fixedpoint.Value `json:"numLayers"`
MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
}
type Exit struct {
TakeProfitPercentage fixedpoint.Value `json:"takeProfitPercentage"`
StopLossPercentage fixedpoint.Value `json:"stopLossPercentage"`
ShadowTPRatio fixedpoint.Value `json:"shadowTPRatio"`
MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
}
type Strategy struct {
*bbgo.Graceful
*bbgo.Notifiability
*bbgo.Persistence
Environment *bbgo.Environment
Symbol string `json:"symbol"`
Market types.Market
Interval types.Interval `json:"interval"`
Quantity fixedpoint.Value `json:"quantity"`
Environment *bbgo.Environment
Symbol string `json:"symbol"`
Market types.Market
Interval types.Interval `json:"interval"`
TotalQuantity fixedpoint.Value `json:"totalQuantity"`
// persistence fields
Position *types.Position `json:"position,omitempty" persistence:"position"`
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
PivotLength int `json:"pivotLength"`
StopLossRatio fixedpoint.Value `json:"stopLossRatio"`
CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
NumLayers fixedpoint.Value `json:"numLayers"`
ShadowTPRatio fixedpoint.Value `json:"shadowTPRatio"`
PivotLength int `json:"pivotLength"`
Entry Entry
Exit Exit
activeMakerOrders *bbgo.LocalActiveOrderBook
orderStore *bbgo.OrderStore
@ -54,7 +63,8 @@ type Strategy struct {
session *bbgo.ExchangeSession
pivot *indicator.Pivot
pivot *indicator.Pivot
pivotBuffer []fixedpoint.Value
// StrategyController
bbgo.StrategyController
@ -78,6 +88,10 @@ func (s *Strategy) placeOrder(ctx context.Context, price fixedpoint.Value, qty f
Price: price,
Quantity: qty,
}
if s.session.Margin {
submitOrder.MarginSideEffect = s.Entry.MarginSideEffect
}
createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrder)
if err != nil {
log.WithError(err).Errorf("can not place orders")
@ -111,6 +125,9 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
Quantity: quantity,
Market: s.Market,
}
if s.session.Margin {
submitOrder.MarginSideEffect = s.Exit.MarginSideEffect
}
//s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
@ -127,13 +144,24 @@ func (s *Strategy) InstanceID() string {
return fmt.Sprintf("%s:%s", ID, s.Symbol)
}
// check if position can be close or not
func canClosePosition(position *types.Position, signal fixedpoint.Value, price fixedpoint.Value) bool {
return !signal.IsZero() && position.IsShort() && !position.IsDust(price)
}
// get last available pivot low, the most recent pivot point higher than current price
func (s *Strategy) getValidPivotLow(price fixedpoint.Value) fixedpoint.Value {
for l := len(s.pivotBuffer) - 1; l > 0; l-- {
if s.pivotBuffer[l].Compare(price) > 0 {
return s.pivotBuffer[l]
}
}
return price
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
// initial required information
s.session = session
//s.prevClose = fixedpoint.Zero
// first we need to get market data store(cached market data) from the exchange session
//st, _ := session.MarketDataStore(s.Symbol)
s.activeMakerOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
s.activeMakerOrders.BindStream(session.UserDataStream)
@ -145,9 +173,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.Position = types.NewPositionFromMarket(s.Market)
}
// calculate group id for orders
instanceID := s.InstanceID()
//s.groupID = util.FNV32(instanceID)
// Always update the position fields
s.Position.Strategy = ID
@ -196,36 +222,35 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
var lastLow fixedpoint.Value
futuresMode := s.session.Futures || s.session.IsolatedFutures
d := s.CatBounceRatio.Div(s.NumLayers)
q := s.Quantity.Div(s.NumLayers)
log.Info(futuresMode)
d := s.Entry.CatBounceRatio.Div(s.Entry.NumLayers)
q := s.Entry.Quantity
if !s.TotalQuantity.IsZero() {
q = s.TotalQuantity.Div(s.Entry.NumLayers)
}
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
return
}
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
}
if s.pivot.LastLow() > 0. {
log.Info(s.pivot.LastLow(), kline.EndTime)
log.Infof("pivot low signal detected: %f %s", s.pivot.LastLow(), kline.EndTime.Time())
lastLow = fixedpoint.NewFromFloat(s.pivot.LastLow())
} else {
if !lastLow.IsZero() && !s.Position.GetBase().IsZero() {
if canClosePosition(s.Position, lastLow, kline.Close) {
R := kline.Close.Div(s.Position.AverageCost)
if R.Compare(fixedpoint.One.Add(s.StopLossRatio)) > 0 {
if R.Compare(fixedpoint.One.Add(s.Exit.StopLossPercentage)) > 0 {
// SL
log.Infof("SL triggered")
log.Infof("%s SL triggered", s.Symbol)
s.ClosePosition(ctx, fixedpoint.One)
s.tradeCollector.Process()
} else if R.Compare(fixedpoint.One.Sub(s.StopLossRatio.Mul(fifteen))) < 0 {
} else if R.Compare(fixedpoint.One.Sub(s.Exit.TakeProfitPercentage)) < 0 {
// TP
log.Infof("TP triggered")
log.Infof("%s TP triggered", s.Symbol)
s.ClosePosition(ctx, fixedpoint.One)
s.tradeCollector.Process()
} else if kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.ShadowTPRatio) > 0 {
} else if kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Exit.ShadowTPRatio) > 0 {
// shadow TP
log.Infof("shadow TP triggered")
log.Infof("%s shadow TP triggered", s.Symbol)
s.ClosePosition(ctx, fixedpoint.One)
s.tradeCollector.Process()
}
@ -235,28 +260,37 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
if !lastLow.IsZero() {
for i := 0; i < int(s.NumLayers.Float64()); i++ {
s.pivotBuffer = append(s.pivotBuffer, lastLow)
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
log.WithError(err).Errorf("graceful cancel order error")
}
limitPrice := s.getValidPivotLow(kline.Close)
log.Infof("place limit sell start from %f adds up to %f percent with %f layers of orders", limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers.Float64())
for i := 0; i < int(s.Entry.NumLayers.Float64()); i++ {
balances := s.session.GetAccount().Balances()
quoteBalance, _ := balances[s.Market.QuoteCurrency]
baseBalance, _ := balances[s.Market.BaseCurrency]
p := lastLow.Mul(fixedpoint.One.Add(s.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
//
p := limitPrice.Mul(fixedpoint.One.Add(s.Entry.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
if futuresMode {
//log.Infof("futures mode on ")
if q.Mul(p).Compare(quoteBalance.Available) < 0 {
//log.Infof("futures mode on")
if q.Mul(p).Compare(quoteBalance.Available) <= 0 {
s.placeOrder(ctx, p, q, orderExecutor)
s.tradeCollector.Process()
}
} else if s.Environment.IsBackTesting() {
//log.Infof("spot backtest mode on ")
if q.Compare(baseBalance.Available) < 0 {
//log.Infof("spot backtest mode on")
if q.Compare(baseBalance.Available) <= 0 {
s.placeOrder(ctx, p, q, orderExecutor)
s.tradeCollector.Process()
}
} else {
//log.Infof("spot mode on ")
if q.Compare(baseBalance.Available) < 0 {
//log.Infof("spot mode on")
if q.Compare(baseBalance.Available) <= 0 {
s.placeOrder(ctx, p, q, orderExecutor)
s.tradeCollector.Process()
}