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strategy/pivotshort: make strategy controller work

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This commit is contained in:
Andy Cheng 2022-09-11 14:09:46 +08:00
parent f132666738
commit 98bd6ca1d2
4 changed files with 62 additions and 0 deletions
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11
pkg/strategy/pivotshort/breaklow.go
View File

@ -50,6 +50,9 @@ type BreakLow struct {
orderExecutor *bbgo.GeneralOrderExecutor
session *bbgo.ExchangeSession
// StrategyController
bbgo.StrategyController
}
func (s *BreakLow) Subscribe(session *bbgo.ExchangeSession) {
@ -73,6 +76,9 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
s.session = session
s.orderExecutor = orderExecutor
// StrategyController
s.Status = types.StrategyStatusRunning
position := orderExecutor.Position()
symbol := position.Symbol
standardIndicator := session.StandardIndicatorSet(s.Symbol)
@ -146,6 +152,11 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
ratio := fixedpoint.One.Add(s.Ratio)
breakPrice := previousLow.Mul(ratio)
// StrategyController
if s.Status != types.StrategyStatusRunning {
return
}
openPrice := kline.Open
closePrice := kline.Close

16
pkg/strategy/pivotshort/failedbreakhigh.go
View File

@ -45,6 +45,9 @@ type FailedBreakHigh struct {
orderExecutor *bbgo.GeneralOrderExecutor
session *bbgo.ExchangeSession
// StrategyController
bbgo.StrategyController
}
func (s *FailedBreakHigh) Subscribe(session *bbgo.ExchangeSession) {
@ -80,6 +83,9 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
s.lastHigh = fixedpoint.Zero
s.pivotHigh = standardIndicator.PivotHigh(s.IntervalWindow)
// StrategyController
s.Status = types.StrategyStatusRunning
if s.VWMA != nil {
s.vwma = standardIndicator.VWMA(types.IntervalWindow{
Interval: s.BreakInterval,
@ -122,6 +128,11 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
return
}
// StrategyController
if s.Status != types.StrategyStatusRunning {
return
}
// make sure the position is opened, and it's a short position
if !position.IsOpened(k.Close) || !position.IsShort() {
return
@ -150,6 +161,11 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
return
}
// StrategyController
if s.Status != types.StrategyStatusRunning {
return
}
previousHigh := s.lastHigh
ratio := fixedpoint.One.Add(s.Ratio)
breakPrice := previousHigh.Mul(ratio)

11
pkg/strategy/pivotshort/resistance.go
View File

@ -35,6 +35,9 @@ type ResistanceShort struct {
currentResistancePrice fixedpoint.Value
activeOrders *bbgo.ActiveOrderBook
// StrategyController
bbgo.StrategyController
}
func (s *ResistanceShort) Subscribe(session *bbgo.ExchangeSession) {
@ -59,6 +62,9 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
})
s.activeOrders.BindStream(session.UserDataStream)
// StrategyController
s.Status = types.StrategyStatusRunning
if s.TrendEMA != nil {
s.TrendEMA.Bind(session, orderExecutor)
}
@ -69,6 +75,11 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
s.updateResistanceOrders(fixedpoint.NewFromFloat(s.resistancePivot.Last()))
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
// StrategyController
if s.Status != types.StrategyStatusRunning {
return
}
// trend EMA protection
if s.TrendEMA != nil && !s.TrendEMA.GradientAllowed() {
return

24
pkg/strategy/pivotshort/strategy.go
View File

@ -125,6 +125,18 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.OnSuspend(func() {
// Cancel active orders
_ = s.orderExecutor.GracefulCancel(ctx)
if s.BreakLow != nil {
s.BreakLow.Suspend()
}
if s.ResistanceShort != nil {
s.ResistanceShort.Suspend()
}
if s.FailedBreakHigh != nil {
s.FailedBreakHigh.Suspend()
}
})
s.OnEmergencyStop(func() {
@ -132,6 +144,18 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
_ = s.orderExecutor.GracefulCancel(ctx)
// Close 100% position
_ = s.ClosePosition(ctx, fixedpoint.One)
if s.BreakLow != nil {
s.BreakLow.EmergencyStop()
}
if s.ResistanceShort != nil {
s.ResistanceShort.EmergencyStop()
}
if s.FailedBreakHigh != nil {
s.FailedBreakHigh.EmergencyStop()
}
})
// initial required information