add supportAndTargets strategy

pkg/strategy/sat/strategy.go

@@ -0,0 +1,151 @@
+package sat
+
+import (
+	"context"
+	"fmt"
+
+	"github.com/sirupsen/logrus"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// sat -- support and targets
+const ID = "supportAndTargets"
+
+var log = logrus.WithField("strategy", ID)
+
+func init() {
+	bbgo.RegisterStrategy(ID, &Strategy{})
+}
+
+type Target struct {
+	ProfitPercentage   float64 `json:"profitPercentage"`
+	QuantityPercentage float64 `json:"quantityPercentage"`
+}
+
+type Strategy struct {
+	Symbol              string           `json:"symbol"`
+	Interval            types.Interval   `json:"interval"`
+	MovingAverageWindow int              `json:"movingAverageWindow"`
+	Quantity            fixedpoint.Value `json:"quantity"`
+	MinVolume           fixedpoint.Value `json:"minVolume"`
+	Targets             []Target         `json:"targets"`
+}
+
+func (s *Strategy) ID() string {
+	return ID
+}
+
+func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
+	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.Interval)})
+}
+
+func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	// set default values
+	if s.Interval == "" {
+		s.Interval = types.Interval5m
+	}
+
+	if s.MovingAverageWindow == 0 {
+		s.MovingAverageWindow = 99
+	}
+
+	if s.Quantity == 0 {
+		return fmt.Errorf("quantity can not be zero")
+	}
+
+	if s.MinVolume == 0 {
+		return fmt.Errorf("minVolume can not be zero")
+	}
+
+	// buy when price drops -8%
+	market, ok := session.Market(s.Symbol)
+	if !ok {
+		return fmt.Errorf("market %s is not defined", s.Symbol)
+	}
+
+	_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
+		Symbol:           s.Symbol,
+		Market:           market,
+		Type:             types.OrderTypeLimit,
+		Side:             types.SideTypeSell,
+		Price:            27.0,
+		Quantity:         0.5,
+		MarginSideEffect: types.SideEffectTypeAutoRepay,
+		TimeInForce:      "GTC",
+	})
+	if err != nil {
+		log.WithError(err).Error("submit profit target order error")
+		return err
+	}
+
+	standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
+	if !ok {
+		return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
+	}
+
+	var iw = types.IntervalWindow{Interval: s.Interval, Window: s.MovingAverageWindow}
+	var ema = standardIndicatorSet.EWMA(iw)
+
+	session.Stream.OnKLineClosed(func(kline types.KLine) {
+		// skip k-lines from other symbols
+		if kline.Symbol != s.Symbol {
+			return
+		}
+
+		closePrice := kline.GetClose()
+		if closePrice > ema.Last() {
+			return
+		}
+
+		if kline.Volume < s.MinVolume.Float64() {
+			return
+		}
+
+		log.Infof("found support: close price %f is under EMA %f, volume %f > minimum volume %f", closePrice, ema.Last(), kline.Volume, s.MinVolume.Float64())
+
+		quantity := s.Quantity.Float64()
+		_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
+			Symbol:   s.Symbol,
+			Market:   market,
+			Side:     types.SideTypeBuy,
+			Type:     types.OrderTypeMarket,
+			Quantity: quantity,
+
+			// This is for Long position.
+			MarginSideEffect: types.SideEffectTypeMarginBuy,
+		})
+		if err != nil {
+			log.WithError(err).Error("submit order error")
+			return
+		}
+
+		// submit target orders
+		var targetOrders []types.SubmitOrder
+		for _, target := range s.Targets {
+			targetPrice := closePrice * (1.0 + target.ProfitPercentage)
+			targetQuantity := quantity * target.QuantityPercentage
+			targetOrders = append(targetOrders, types.SubmitOrder{
+				Symbol:   kline.Symbol,
+				Market:   market,
+				Type:     types.OrderTypeLimit,
+				Side:     types.SideTypeSell,
+				Price:    targetPrice,
+				Quantity: targetQuantity,
+
+				// This is for Long position.
+				MarginSideEffect: types.SideEffectTypeAutoRepay,
+				TimeInForce:      "GTC",
+			})
+		}
+
+		_, err = orderExecutor.SubmitOrders(ctx, targetOrders...)
+		if err != nil {
+			log.WithError(err).Error("submit profit target order error")
+		}
+	})
+
+	return nil
+}