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pivotshort: manually update pivot indicator

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c9s 2022-06-10 15:18:12 +08:00
parent fba0a20cda
commit 91b9605884
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1 changed files with 12 additions and 12 deletions
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24
pkg/strategy/pivotshort/strategy.go
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@ -130,7 +130,7 @@ type Strategy struct {
lastLow fixedpoint.Value
pivot *indicator.Pivot
ewma *indicator.EWMA
stopEWMA *indicator.EWMA
pivotLowPrices []fixedpoint.Value
// StrategyController
@ -286,20 +286,20 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
standardIndicator, _ := session.StandardIndicatorSet(s.Symbol)
if s.BreakLow.StopEMA != nil {
s.ewma = standardIndicator.EWMA(*s.BreakLow.StopEMA)
s.stopEWMA = standardIndicator.EWMA(*s.BreakLow.StopEMA)
}
s.lastLow = fixedpoint.Zero
session.UserDataStream.OnStart(func() {
/*
if price, ok := session.LastPrice(s.Symbol); ok {
if limitPrice, ok := s.findHigherPivotLow(price); ok {
log.Infof("%s placing limit sell start from %f adds up to %f percent with %d layers of orders", s.Symbol, limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers)
s.placeBounceSellOrders(ctx, limitPrice, price, orderExecutor)
}
}
*/
if klines, ok := store.KLinesOfInterval(s.Interval); ok {
s.pivot.Update(*klines)
log.Infof("found previous lows: %v", s.pivot.Lows)
log.Infof("found previous highs: %v", s.pivot.Highs)
}
// s.placeBounceSellOrders(ctx, limitPrice, price, orderExecutor)
})
// Always check whether you can open a short position or not
@ -370,8 +370,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.pivotLowPrices = s.pivotLowPrices[len(s.pivotLowPrices)-10:]
}
if s.ewma != nil && !s.BreakLow.StopEMARange.IsZero() {
ema := fixedpoint.NewFromFloat(s.ewma.Last())
if s.stopEWMA != nil && !s.BreakLow.StopEMARange.IsZero() {
ema := fixedpoint.NewFromFloat(s.stopEWMA.Last())
if ema.IsZero() {
return
}