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strategy: prevent supertrend from open extra position

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This commit is contained in:
Andy Cheng 2022-06-15 12:22:26 +08:00
parent 2d18e3eab6
commit 91e4003520
1 changed files with 15 additions and 4 deletions
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15
pkg/strategy/supertrend/strategy.go
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@ -295,7 +295,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// TP/SL if there's non-dust position
if !s.Market.IsDustQuantity(base.Abs(), kline.GetClose()) {
if s.StopLossByTriggeringK && !s.currentStopLossPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentStopLossPrice) > 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentStopLossPrice) < 0)) {
// SL by triggered Kline low
// SL by triggering Kline low
log.Infof("SL by triggering Kline low")
if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
s.Notify("can not place SL order")
} else {
@ -304,6 +305,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
} else if s.TakeProfitMultiplier > 0 && !s.currentTakeProfitPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) < 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) > 0)) {
// TP by multiple of ATR
log.Infof("TP by multiple of ATR")
if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
s.Notify("can not place TP order")
} else {
@ -312,6 +314,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
} else if s.TPSLBySignal {
// Use signals to TP/SL
log.Infof("TP/SL by reverse of DEMA or Supertrend")
if (baseSign < 0 && (stSignal == types.DirectionUp || demaSignal == types.DirectionUp)) || (baseSign > 0 && (stSignal == types.DirectionDown || demaSignal == types.DirectionDown)) {
if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
s.Notify("can not place TP/SL order")
@ -344,11 +347,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
}
if side == types.SideTypeSell || side == types.SideTypeBuy {
log.Infof("open position for signal %v", side)
// Close opposite position if any
if !s.Market.IsDustQuantity(base.Abs(), kline.GetClose()) && ((side == types.SideTypeSell && baseSign > 0) || (side == types.SideTypeBuy && baseSign < 0)) {
if !s.Market.IsDustQuantity(base.Abs(), kline.GetClose()) {
if (side == types.SideTypeSell && baseSign > 0) || (side == types.SideTypeBuy && baseSign < 0) {
log.Infof("close existing position before open a new position")
if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
log.WithError(err).Errorf("can not place close position order")
s.Notify("can not place close position order")
}
} else {
log.Infof("existing position has the same direction with the signal")
return
}
}
orderForm := s.generateOrderForm(side, s.calculateQuantity(kline.GetClose()), types.SideEffectTypeMarginBuy)