pivotshort: add failedBreakHigh

pkg/strategy/pivotshort/failedbreakhigh.go

@@ -0,0 +1,249 @@
+package pivotshort
+
+import (
+	"context"
+
+	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/c9s/bbgo/pkg/risk"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// FailedBreakHigh -- when price breaks the previous pivot low, we set a trade entry
+type FailedBreakHigh struct {
+	Symbol string
+	Market types.Market
+	types.IntervalWindow
+
+	Enabled bool `json:"enabled"`
+
+	// Ratio is a number less than 1.0, price * ratio will be the price triggers the short order.
+	Ratio fixedpoint.Value `json:"ratio"`
+
+	// MarketOrder is the option to enable market order short.
+	MarketOrder bool `json:"marketOrder"`
+
+	Leverage fixedpoint.Value `json:"leverage"`
+	Quantity fixedpoint.Value `json:"quantity"`
+
+	StopEMA *bbgo.StopEMA `json:"stopEMA"`
+
+	TrendEMA *bbgo.TrendEMA `json:"trendEMA"`
+
+	lastFailedBreakHigh, lastHigh fixedpoint.Value
+
+	pivotHigh       *indicator.PivotHigh
+	PivotHighPrices []fixedpoint.Value
+
+	orderExecutor *bbgo.GeneralOrderExecutor
+	session       *bbgo.ExchangeSession
+}
+
+func (s *FailedBreakHigh) Subscribe(session *bbgo.ExchangeSession) {
+	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
+	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
+
+	if s.StopEMA != nil {
+		session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.StopEMA.Interval})
+	}
+
+	if s.TrendEMA != nil {
+		session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.TrendEMA.Interval})
+	}
+}
+
+func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
+	s.session = session
+	s.orderExecutor = orderExecutor
+
+	if !s.Enabled {
+		return
+	}
+
+	position := orderExecutor.Position()
+	symbol := position.Symbol
+	standardIndicator := session.StandardIndicatorSet(s.Symbol)
+
+	s.lastHigh = fixedpoint.Zero
+	s.pivotHigh = standardIndicator.PivotHigh(s.IntervalWindow)
+
+	if s.StopEMA != nil {
+		s.StopEMA.Bind(session, orderExecutor)
+	}
+
+	if s.TrendEMA != nil {
+		s.TrendEMA.Bind(session, orderExecutor)
+	}
+
+	// update pivot low data
+	session.MarketDataStream.OnStart(func() {
+		if s.updatePivotHigh() {
+			bbgo.Notify("%s new pivot high: %f", s.Symbol, s.pivotHigh.Last())
+		}
+
+		s.pilotQuantityCalculation()
+	})
+
+	session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
+		if s.updatePivotHigh() {
+			// when position is opened, do not send pivot low notify
+			if position.IsOpened(kline.Close) {
+				return
+			}
+
+			bbgo.Notify("%s new pivot low: %f", s.Symbol, s.pivotHigh.Last())
+		}
+	}))
+
+	// if the position is already opened, and we just break the low, this checks if the kline closed above the low,
+	// so that we can close the position earlier
+	session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(k types.KLine) {
+		if !s.Enabled {
+			return
+		}
+
+		// make sure the position is opened, and it's a short position
+		if !position.IsOpened(k.Close) || !position.IsShort() {
+			return
+		}
+
+		// make sure we recorded the last break low
+		if s.lastFailedBreakHigh.IsZero() {
+			return
+		}
+
+		// the kline opened below the last break low, and closed above the last break low
+		if k.Open.Compare(s.lastFailedBreakHigh) < 0 && k.Close.Compare(s.lastFailedBreakHigh) > 0 {
+			bbgo.Notify("kLine closed above the last break low, triggering stop earlier")
+			if err := s.orderExecutor.ClosePosition(context.Background(), one, "fakeBreakStop"); err != nil {
+				log.WithError(err).Error("position close error")
+			}
+
+			// reset to zero
+			s.lastFailedBreakHigh = fixedpoint.Zero
+		}
+	}))
+
+	session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
+		if len(s.PivotHighPrices) == 0 || s.lastHigh.IsZero() {
+			log.Infof("currently there is no pivot high prices, can not check failed break high...")
+			return
+		}
+
+		previousHigh := s.lastHigh
+		ratio := fixedpoint.One.Add(s.Ratio)
+		breakPrice := previousHigh.Mul(ratio)
+
+		openPrice := kline.Open
+		closePrice := kline.Close
+
+		// we need few conditions:
+		// 1) kline.High is higher than the previous high
+		// 2) kline.Close is lower than the previous high
+		// 3) kline.Close is lower than kline.Open
+		if kline.High.Compare(breakPrice) < 0 || closePrice.Compare(breakPrice) >= 0 {
+			return
+		}
+
+		if closePrice.Compare(openPrice) > 0 {
+			bbgo.Notify("the closed price is higher than the open price, skip failed break high short")
+			return
+		}
+
+		bbgo.Notify("%s FailedBreakHigh signal detected, closed price %f < breakPrice %f", kline.Symbol, closePrice.Float64(), breakPrice.Float64())
+
+		if s.lastFailedBreakHigh.IsZero() || previousHigh.Compare(s.lastFailedBreakHigh) < 0 {
+			s.lastFailedBreakHigh = previousHigh
+		}
+
+		if position.IsOpened(kline.Close) {
+			bbgo.Notify("position is already opened, skip")
+			return
+		}
+
+		// trend EMA protection
+		if s.TrendEMA != nil && !s.TrendEMA.GradientAllowed() {
+			bbgo.Notify("trendEMA protection: close price %f, gradient %f", kline.Close.Float64(), s.TrendEMA.Gradient())
+			return
+		}
+
+		// stop EMA protection
+		if s.StopEMA != nil {
+			if !s.StopEMA.Allowed(closePrice) {
+				return
+			}
+		}
+
+		ctx := context.Background()
+
+		// graceful cancel all active orders
+		_ = orderExecutor.GracefulCancel(ctx)
+
+		quantity, err := risk.CalculateBaseQuantity(s.session, s.Market, closePrice, s.Quantity, s.Leverage)
+		if err != nil {
+			log.WithError(err).Errorf("quantity calculation error")
+		}
+
+		if quantity.IsZero() {
+			log.Warn("quantity is zero, can not submit order, skip")
+			return
+		}
+
+		if s.MarketOrder {
+			bbgo.Notify("%s price %f failed breaking the previous high %f with ratio %f, submitting market sell to open a short position", symbol, kline.Close.Float64(), previousHigh.Float64(), s.Ratio.Float64())
+			_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
+				Symbol:           s.Symbol,
+				Side:             types.SideTypeSell,
+				Type:             types.OrderTypeMarket,
+				Quantity:         quantity,
+				MarginSideEffect: types.SideEffectTypeMarginBuy,
+				Tag:              "FailedBreakHighMarket",
+			})
+
+		} else {
+			sellPrice := previousHigh
+
+			bbgo.Notify("%s price %f failed breaking the previous high %f with ratio %f, submitting limit sell @ %f", symbol, kline.Close.Float64(), previousHigh.Float64(), s.Ratio.Float64(), sellPrice.Float64())
+			_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
+				Symbol:           kline.Symbol,
+				Side:             types.SideTypeSell,
+				Type:             types.OrderTypeLimit,
+				Price:            sellPrice,
+				Quantity:         quantity,
+				MarginSideEffect: types.SideEffectTypeMarginBuy,
+				Tag:              "FailedBreakHighLimit",
+			})
+		}
+	}))
+}
+
+func (s *FailedBreakHigh) pilotQuantityCalculation() {
+	log.Infof("pilot calculation for max position: last low = %f, quantity = %f, leverage = %f",
+		s.lastHigh.Float64(),
+		s.Quantity.Float64(),
+		s.Leverage.Float64())
+
+	quantity, err := risk.CalculateBaseQuantity(s.session, s.Market, s.lastHigh, s.Quantity, s.Leverage)
+	if err != nil {
+		log.WithError(err).Errorf("quantity calculation error")
+	}
+
+	if quantity.IsZero() {
+		log.WithError(err).Errorf("quantity is zero, can not submit order")
+		return
+	}
+
+	bbgo.Notify("%s %f quantity will be used for failed break high short", s.Symbol, quantity.Float64())
+}
+
+func (s *FailedBreakHigh) updatePivotHigh() bool {
+	lastHigh := fixedpoint.NewFromFloat(s.pivotHigh.Last())
+	if lastHigh.IsZero() || lastHigh.Compare(s.lastHigh) == 0 {
+		return false
+	}
+
+	s.lastHigh = lastHigh
+	s.PivotHighPrices = append(s.PivotHighPrices, lastHigh)
+	return true
+}

pkg/strategy/pivotshort/strategy.go

@@ -43,6 +43,7 @@ type Strategy struct {
 
 	// BreakLow is one of the entry method
 	BreakLow        *BreakLow        `json:"breakLow"`
+	FailedBreakHigh *FailedBreakHigh `json:"failedBreakHigh"`
 
 	// ResistanceShort is one of the entry method
 	ResistanceShort *ResistanceShort `json:"resistanceShort"`
@@ -78,6 +79,11 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
 		s.BreakLow.Subscribe(session)
 	}
 
+	if s.FailedBreakHigh != nil {
+		dynamic.InheritStructValues(s.FailedBreakHigh, s)
+		s.FailedBreakHigh.Subscribe(session)
+	}
+
 	if !bbgo.IsBackTesting {
 		session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
 	}
@@ -149,6 +155,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		s.BreakLow.Bind(session, s.orderExecutor)
 	}
 
+	if s.FailedBreakHigh != nil {
+		s.FailedBreakHigh.Bind(session, s.orderExecutor)
+	}
+
 	bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
 		defer wg.Done()