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bollmaker: always collect trades and check balance

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This commit is contained in:
c9s 2022-01-30 01:21:36 +08:00
parent 2255f3ed0a
commit 9adc3a9243
2 changed files with 19 additions and 6 deletions
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19
pkg/strategy/bollmaker/strategy.go
View File

@ -134,9 +134,9 @@ func (c *TrailingStopController) Run(ctx context.Context, session *bbgo.Exchange
return
}
log.Infof("trailing stop event emitted, submitting market order to stop...")
marketOrder := c.position.NewClosePositionOrder(c.ClosePosition.Float64())
if marketOrder != nil {
log.Infof("trailing stop event emitted, submitting market order to stop: %+v", marketOrder)
// skip dust order
if marketOrder.Quantity*closePrice < c.position.Market.MinNotional {
return
@ -147,6 +147,10 @@ func (c *TrailingStopController) Run(ctx context.Context, session *bbgo.Exchange
log.WithError(err).Errorf("stop order place error")
}
tradeCollector.OrderStore().Add(createdOrders...)
tradeCollector.Process()
// reset the state
c.latestHigh = 0.0
}
} else {
// place stop order only when the closed price is greater than the current average cost
@ -163,6 +167,7 @@ func (c *TrailingStopController) Run(ctx context.Context, session *bbgo.Exchange
log.WithError(err).Errorf("stop order place error")
}
tradeCollector.OrderStore().Add(createdOrders...)
tradeCollector.Process()
}
}
}
@ -511,8 +516,8 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
log.Infof("calculated max exposure position: %f", maxExposurePosition.Float64())
canBuy := hasQuoteBalance && quoteBalance.Available > s.Quantity.Mul(midPrice) && (maxExposurePosition > 0 && base < maxExposurePosition)
canSell := hasBaseBalance && baseBalance.Available > s.Quantity && (maxExposurePosition > 0 && base > -maxExposurePosition)
canBuy := maxExposurePosition > 0 && base < maxExposurePosition
canSell := maxExposurePosition > 0 && base > -maxExposurePosition
if s.ShadowProtection && kline != nil {
switch kline.Direction() {
@ -572,6 +577,14 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
}
if !hasQuoteBalance || (buyOrder.Quantity*buyOrder.Price) > quoteBalance.Available.Float64() {
canBuy = false
}
if !hasBaseBalance || sellOrder.Quantity > baseBalance.Available.Float64() {
canSell = false
}
if canSell && midPrice > s.state.Position.AverageCost.MulFloat64(1.0+s.MinProfitSpread.Float64()) {
if !(s.DisableShort && (base.Float64()-sellOrder.Quantity < 0)) {
submitOrders = append(submitOrders, sellOrder)

6
pkg/types/position.go
View File

@ -64,10 +64,10 @@ func (p *Position) NewClosePositionOrder(percentage float64) *SubmitOrder {
side := SideTypeSell
if base == 0 {
return nil
}
if base < 0 {
} else if base < 0 {
side = SideTypeBuy
} else if base > 0 {
side = SideTypeSell
}
return &SubmitOrder{