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pivotshort: add failedBreakHigh
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c9s
parent
ca1e9e9657
commit
9d97eedc0e
249
pkg/strategy/pivotshort/failedbreakhigh.go
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249
pkg/strategy/pivotshort/failedbreakhigh.go
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@ -0,0 +1,249 @@
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package pivotshort
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import (
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"context"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/risk"
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"github.com/c9s/bbgo/pkg/types"
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)
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// FailedBreakHigh -- when price breaks the previous pivot low, we set a trade entry
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type FailedBreakHigh struct {
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Symbol string
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Market types.Market
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types.IntervalWindow
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Enabled bool `json:"enabled"`
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// Ratio is a number less than 1.0, price * ratio will be the price triggers the short order.
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Ratio fixedpoint.Value `json:"ratio"`
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// MarketOrder is the option to enable market order short.
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MarketOrder bool `json:"marketOrder"`
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Leverage fixedpoint.Value `json:"leverage"`
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Quantity fixedpoint.Value `json:"quantity"`
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StopEMA *bbgo.StopEMA `json:"stopEMA"`
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TrendEMA *bbgo.TrendEMA `json:"trendEMA"`
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lastFailedBreakHigh, lastHigh fixedpoint.Value
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pivotHigh *indicator.PivotHigh
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PivotHighPrices []fixedpoint.Value
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orderExecutor *bbgo.GeneralOrderExecutor
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session *bbgo.ExchangeSession
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}
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func (s *FailedBreakHigh) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
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if s.StopEMA != nil {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.StopEMA.Interval})
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}
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if s.TrendEMA != nil {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.TrendEMA.Interval})
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}
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}
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func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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if !s.Enabled {
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return
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}
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position := orderExecutor.Position()
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symbol := position.Symbol
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standardIndicator := session.StandardIndicatorSet(s.Symbol)
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s.lastHigh = fixedpoint.Zero
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s.pivotHigh = standardIndicator.PivotHigh(s.IntervalWindow)
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if s.StopEMA != nil {
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s.StopEMA.Bind(session, orderExecutor)
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}
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if s.TrendEMA != nil {
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s.TrendEMA.Bind(session, orderExecutor)
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}
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// update pivot low data
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session.MarketDataStream.OnStart(func() {
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if s.updatePivotHigh() {
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bbgo.Notify("%s new pivot high: %f", s.Symbol, s.pivotHigh.Last())
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}
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s.pilotQuantityCalculation()
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})
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session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
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if s.updatePivotHigh() {
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// when position is opened, do not send pivot low notify
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if position.IsOpened(kline.Close) {
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return
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}
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bbgo.Notify("%s new pivot low: %f", s.Symbol, s.pivotHigh.Last())
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}
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}))
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// if the position is already opened, and we just break the low, this checks if the kline closed above the low,
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// so that we can close the position earlier
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(k types.KLine) {
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if !s.Enabled {
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return
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}
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// make sure the position is opened, and it's a short position
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if !position.IsOpened(k.Close) || !position.IsShort() {
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return
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}
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// make sure we recorded the last break low
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if s.lastFailedBreakHigh.IsZero() {
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return
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}
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// the kline opened below the last break low, and closed above the last break low
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if k.Open.Compare(s.lastFailedBreakHigh) < 0 && k.Close.Compare(s.lastFailedBreakHigh) > 0 {
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bbgo.Notify("kLine closed above the last break low, triggering stop earlier")
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if err := s.orderExecutor.ClosePosition(context.Background(), one, "fakeBreakStop"); err != nil {
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log.WithError(err).Error("position close error")
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}
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// reset to zero
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s.lastFailedBreakHigh = fixedpoint.Zero
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}
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}))
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
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if len(s.PivotHighPrices) == 0 || s.lastHigh.IsZero() {
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log.Infof("currently there is no pivot high prices, can not check failed break high...")
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return
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}
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previousHigh := s.lastHigh
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ratio := fixedpoint.One.Add(s.Ratio)
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breakPrice := previousHigh.Mul(ratio)
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openPrice := kline.Open
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closePrice := kline.Close
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// we need few conditions:
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// 1) kline.High is higher than the previous high
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// 2) kline.Close is lower than the previous high
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// 3) kline.Close is lower than kline.Open
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if kline.High.Compare(breakPrice) < 0 || closePrice.Compare(breakPrice) >= 0 {
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return
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}
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if closePrice.Compare(openPrice) > 0 {
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bbgo.Notify("the closed price is higher than the open price, skip failed break high short")
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return
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}
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bbgo.Notify("%s FailedBreakHigh signal detected, closed price %f < breakPrice %f", kline.Symbol, closePrice.Float64(), breakPrice.Float64())
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if s.lastFailedBreakHigh.IsZero() || previousHigh.Compare(s.lastFailedBreakHigh) < 0 {
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s.lastFailedBreakHigh = previousHigh
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}
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if position.IsOpened(kline.Close) {
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bbgo.Notify("position is already opened, skip")
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return
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}
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// trend EMA protection
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if s.TrendEMA != nil && !s.TrendEMA.GradientAllowed() {
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bbgo.Notify("trendEMA protection: close price %f, gradient %f", kline.Close.Float64(), s.TrendEMA.Gradient())
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return
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}
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// stop EMA protection
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if s.StopEMA != nil {
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if !s.StopEMA.Allowed(closePrice) {
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return
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}
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}
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ctx := context.Background()
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// graceful cancel all active orders
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_ = orderExecutor.GracefulCancel(ctx)
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quantity, err := risk.CalculateBaseQuantity(s.session, s.Market, closePrice, s.Quantity, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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}
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if quantity.IsZero() {
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log.Warn("quantity is zero, can not submit order, skip")
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return
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}
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if s.MarketOrder {
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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())
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_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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MarginSideEffect: types.SideEffectTypeMarginBuy,
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Tag: "FailedBreakHighMarket",
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})
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} else {
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sellPrice := previousHigh
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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())
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_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: kline.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Price: sellPrice,
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Quantity: quantity,
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MarginSideEffect: types.SideEffectTypeMarginBuy,
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Tag: "FailedBreakHighLimit",
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})
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}
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}))
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}
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func (s *FailedBreakHigh) pilotQuantityCalculation() {
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log.Infof("pilot calculation for max position: last low = %f, quantity = %f, leverage = %f",
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s.lastHigh.Float64(),
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s.Quantity.Float64(),
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s.Leverage.Float64())
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quantity, err := risk.CalculateBaseQuantity(s.session, s.Market, s.lastHigh, s.Quantity, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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}
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if quantity.IsZero() {
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log.WithError(err).Errorf("quantity is zero, can not submit order")
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return
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}
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bbgo.Notify("%s %f quantity will be used for failed break high short", s.Symbol, quantity.Float64())
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}
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func (s *FailedBreakHigh) updatePivotHigh() bool {
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lastHigh := fixedpoint.NewFromFloat(s.pivotHigh.Last())
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if lastHigh.IsZero() || lastHigh.Compare(s.lastHigh) == 0 {
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return false
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}
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s.lastHigh = lastHigh
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s.PivotHighPrices = append(s.PivotHighPrices, lastHigh)
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return true
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}
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@ -43,6 +43,7 @@ type Strategy struct {
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// BreakLow is one of the entry method
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BreakLow *BreakLow `json:"breakLow"`
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FailedBreakHigh *FailedBreakHigh `json:"failedBreakHigh"`
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// ResistanceShort is one of the entry method
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ResistanceShort *ResistanceShort `json:"resistanceShort"`
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@ -78,6 +79,11 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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s.BreakLow.Subscribe(session)
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}
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if s.FailedBreakHigh != nil {
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dynamic.InheritStructValues(s.FailedBreakHigh, s)
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s.FailedBreakHigh.Subscribe(session)
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}
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if !bbgo.IsBackTesting {
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session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
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}
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@ -149,6 +155,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.BreakLow.Bind(session, s.orderExecutor)
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}
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if s.FailedBreakHigh != nil {
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s.FailedBreakHigh.Bind(session, s.orderExecutor)
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}
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bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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