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trailingstop: add side both

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This commit is contained in:
Andy Cheng 2022-08-11 16:39:16 +08:00
parent df0e527e1e
commit 8d3dfd17c7
1 changed files with 44 additions and 24 deletions
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34
pkg/bbgo/exit_trailing_stop.go
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@ -76,10 +76,16 @@ func (s *TrailingStop2) getRatio(price fixedpoint.Value, position *types.Positio
switch s.Side {
case types.SideTypeBuy:
// for short position, it's:
// (avg_cost - price) / price
return position.AverageCost.Sub(price).Div(price), nil
// (avg_cost - price) / avg_cost
return position.AverageCost.Sub(price).Div(position.AverageCost), nil
case types.SideTypeSell:
return price.Sub(position.AverageCost).Div(position.AverageCost), nil
case types.SideTypeBoth:
if position.IsLong() {
return price.Sub(position.AverageCost).Div(position.AverageCost), nil
} else if position.IsShort() {
return position.AverageCost.Sub(price).Div(position.AverageCost), nil
}
}
return fixedpoint.Zero, fmt.Errorf("unexpected side type: %v", s.Side)
@ -90,7 +96,6 @@ func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.P
return nil
}
if (position.IsLong() && s.Side == types.SideTypeSell) || (position.IsShort() && s.Side == types.SideTypeBuy) {
if !s.MinProfit.IsZero() {
// check if we have the minimal profit
roi := position.ROI(price)
@ -108,7 +113,6 @@ func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.P
s.activated = true
}
}
}
// update the latest high for the sell order, or the latest low for the buy order
if s.latestHigh.IsZero() {
@ -119,6 +123,12 @@ func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.P
s.latestHigh = fixedpoint.Min(price, s.latestHigh)
case types.SideTypeSell:
s.latestHigh = fixedpoint.Max(price, s.latestHigh)
case types.SideTypeBoth:
if position.IsLong() {
s.latestHigh = fixedpoint.Max(price, s.latestHigh)
} else if position.IsShort() {
s.latestHigh = fixedpoint.Min(price, s.latestHigh)
}
}
}
@ -128,16 +138,26 @@ func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.P
switch s.Side {
case types.SideTypeBuy:
if position.IsShort() {
change := price.Sub(s.latestHigh).Div(s.latestHigh)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
}
}
case types.SideTypeSell:
change := s.latestHigh.Sub(price).Div(s.latestHigh)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
}
case types.SideTypeBoth:
if position.IsLong() {
change := s.latestHigh.Sub(price).Div(price)
change := s.latestHigh.Sub(price).Div(s.latestHigh)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
}
} else if position.IsShort() {
change := price.Sub(s.latestHigh).Div(s.latestHigh)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)