mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 06:53:52 +00:00
pivotshort: clean up
This commit is contained in:
austin362667
parent
30be15dd34
commit
9dab39849b
|
|
@ -12,15 +12,20 @@ exchangeStrategies:
|
|||
interval: 5m
|
||||
|
||||
pivotLength: 120
|
||||
stopLossRatio: 0.5%
|
||||
takeProfitRatio: 13%
|
||||
shadowTPRatio: 2%
|
||||
|
||||
catBounceRatio: 1%
|
||||
quantity: 1200
|
||||
numLayers: 4
|
||||
entry:
|
||||
catBounceRatio: 1%
|
||||
quantity: 1000
|
||||
numLayers: 3
|
||||
# marginOrderSideEffect: borrow
|
||||
|
||||
exit:
|
||||
takeProfitPercentage: 13%
|
||||
stopLossPercentage: 0.5%
|
||||
shadowTPRatio: 13%
|
||||
# marginOrderSideEffect: repay
|
||||
|
||||
|
||||
# marginOrderSideEffect: borrow
|
||||
|
||||
backtest:
|
||||
sessions:
|
||||
|
|
@ -32,5 +37,5 @@ backtest:
|
|||
account:
|
||||
binance:
|
||||
balances:
|
||||
GMT: 5_000.0
|
||||
USDT: 5_000.0
|
||||
GMT: 3_000.0
|
||||
USDT: 3_000.0
|
||||
|
|
|
|||
|
|
@ -23,6 +23,20 @@ type IntervalWindowSetting struct {
|
|||
types.IntervalWindow
|
||||
}
|
||||
|
||||
type Entry struct {
|
||||
CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
|
||||
Quantity fixedpoint.Value `json:"quantity"`
|
||||
NumLayers fixedpoint.Value `json:"numLayers"`
|
||||
MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
|
||||
}
|
||||
|
||||
type Exit struct {
|
||||
TakeProfitPercentage fixedpoint.Value `json:"takeProfitPercentage"`
|
||||
StopLossPercentage fixedpoint.Value `json:"stopLossPercentage"`
|
||||
ShadowTPRatio fixedpoint.Value `json:"shadowTPRatio"`
|
||||
MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
|
||||
}
|
||||
|
||||
type Strategy struct {
|
||||
*bbgo.Graceful
|
||||
*bbgo.Notifiability
|
||||
|
|
@ -32,20 +46,16 @@ type Strategy struct {
|
|||
Symbol string `json:"symbol"`
|
||||
Market types.Market
|
||||
Interval types.Interval `json:"interval"`
|
||||
Quantity fixedpoint.Value `json:"quantity"`
|
||||
TotalQuantity fixedpoint.Value `json:"totalQuantity"`
|
||||
|
||||
// persistence fields
|
||||
Position *types.Position `json:"position,omitempty" persistence:"position"`
|
||||
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
|
||||
|
||||
PivotLength int `json:"pivotLength"`
|
||||
StopLossRatio fixedpoint.Value `json:"stopLossRatio"`
|
||||
TakeProfitRatio fixedpoint.Value `json:"takeProfitRatio"`
|
||||
CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
|
||||
NumLayers fixedpoint.Value `json:"numLayers"`
|
||||
ShadowTPRatio fixedpoint.Value `json:"shadowTPRatio"`
|
||||
MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
|
||||
PivotLength int `json:"pivotLength"`
|
||||
|
||||
Entry Entry
|
||||
Exit Exit
|
||||
|
||||
activeMakerOrders *bbgo.LocalActiveOrderBook
|
||||
orderStore *bbgo.OrderStore
|
||||
|
|
@ -53,7 +63,8 @@ type Strategy struct {
|
|||
|
||||
session *bbgo.ExchangeSession
|
||||
|
||||
pivot *indicator.Pivot
|
||||
pivot *indicator.Pivot
|
||||
pivotBuffer []fixedpoint.Value
|
||||
|
||||
// StrategyController
|
||||
bbgo.StrategyController
|
||||
|
|
@ -78,7 +89,7 @@ func (s *Strategy) placeOrder(ctx context.Context, price fixedpoint.Value, qty f
|
|||
Quantity: qty,
|
||||
}
|
||||
if s.session.Margin {
|
||||
submitOrder.MarginSideEffect = s.MarginOrderSideEffect
|
||||
submitOrder.MarginSideEffect = s.Entry.MarginSideEffect
|
||||
}
|
||||
|
||||
createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrder)
|
||||
|
|
@ -115,7 +126,7 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
|
|||
Market: s.Market,
|
||||
}
|
||||
if s.session.Margin {
|
||||
submitOrder.MarginSideEffect = s.MarginOrderSideEffect
|
||||
submitOrder.MarginSideEffect = s.Exit.MarginSideEffect
|
||||
}
|
||||
|
||||
//s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
|
||||
|
|
@ -133,13 +144,24 @@ func (s *Strategy) InstanceID() string {
|
|||
return fmt.Sprintf("%s:%s", ID, s.Symbol)
|
||||
}
|
||||
|
||||
// check if position can be close or not
|
||||
func canClosePosition(position *types.Position, signal fixedpoint.Value, price fixedpoint.Value) bool {
|
||||
return !signal.IsZero() && position.IsShort() && !position.IsDust(price)
|
||||
}
|
||||
|
||||
// get last available pivot low, the most recent pivot point higher than current price
|
||||
func (s *Strategy) getValidPivotLow(price fixedpoint.Value) fixedpoint.Value {
|
||||
for l := len(s.pivotBuffer) - 1; l > 0; l-- {
|
||||
if s.pivotBuffer[l].Compare(price) > 0 {
|
||||
return s.pivotBuffer[l]
|
||||
}
|
||||
}
|
||||
return price
|
||||
}
|
||||
|
||||
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
||||
// initial required information
|
||||
s.session = session
|
||||
//s.prevClose = fixedpoint.Zero
|
||||
|
||||
// first we need to get market data store(cached market data) from the exchange session
|
||||
//st, _ := session.MarketDataStore(s.Symbol)
|
||||
|
||||
s.activeMakerOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
|
||||
s.activeMakerOrders.BindStream(session.UserDataStream)
|
||||
|
|
@ -151,9 +173,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.Position = types.NewPositionFromMarket(s.Market)
|
||||
}
|
||||
|
||||
// calculate group id for orders
|
||||
instanceID := s.InstanceID()
|
||||
//s.groupID = util.FNV32(instanceID)
|
||||
|
||||
// Always update the position fields
|
||||
s.Position.Strategy = ID
|
||||
|
|
@ -202,37 +222,35 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
|
||||
var lastLow fixedpoint.Value
|
||||
futuresMode := s.session.Futures || s.session.IsolatedFutures
|
||||
d := s.CatBounceRatio.Div(s.NumLayers)
|
||||
q := s.Quantity
|
||||
d := s.Entry.CatBounceRatio.Div(s.Entry.NumLayers)
|
||||
q := s.Entry.Quantity
|
||||
if !s.TotalQuantity.IsZero() {
|
||||
q = s.TotalQuantity.Div(s.NumLayers)
|
||||
q = s.TotalQuantity.Div(s.Entry.NumLayers)
|
||||
}
|
||||
|
||||
var pivotBuffer []fixedpoint.Value
|
||||
|
||||
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
||||
if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
|
||||
return
|
||||
}
|
||||
|
||||
if s.pivot.LastLow() > 0. {
|
||||
log.Info(s.pivot.LastLow(), kline.EndTime)
|
||||
log.Infof("pivot low signal detected: %f %s", s.pivot.LastLow(), kline.EndTime.Time())
|
||||
lastLow = fixedpoint.NewFromFloat(s.pivot.LastLow())
|
||||
} else {
|
||||
if !lastLow.IsZero() && s.Position.IsShort() && !s.Position.IsDust(kline.Close) {
|
||||
if canClosePosition(s.Position, lastLow, kline.Close) {
|
||||
R := kline.Close.Div(s.Position.AverageCost)
|
||||
if R.Compare(fixedpoint.One.Add(s.StopLossRatio)) > 0 {
|
||||
if R.Compare(fixedpoint.One.Add(s.Exit.StopLossPercentage)) > 0 {
|
||||
// SL
|
||||
log.Infof("SL triggered")
|
||||
log.Infof("%s SL triggered", s.Symbol)
|
||||
s.ClosePosition(ctx, fixedpoint.One)
|
||||
s.tradeCollector.Process()
|
||||
} else if R.Compare(fixedpoint.One.Sub(s.TakeProfitRatio)) < 0 {
|
||||
} else if R.Compare(fixedpoint.One.Sub(s.Exit.TakeProfitPercentage)) < 0 {
|
||||
// TP
|
||||
log.Infof("TP triggered")
|
||||
log.Infof("%s TP triggered", s.Symbol)
|
||||
s.ClosePosition(ctx, fixedpoint.One)
|
||||
} else if kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.ShadowTPRatio) > 0 {
|
||||
} else if kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Exit.ShadowTPRatio) > 0 {
|
||||
// shadow TP
|
||||
log.Infof("shadow TP triggered")
|
||||
log.Infof("%s shadow TP triggered", s.Symbol)
|
||||
s.ClosePosition(ctx, fixedpoint.One)
|
||||
s.tradeCollector.Process()
|
||||
}
|
||||
|
|
@ -242,42 +260,37 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
|
||||
if !lastLow.IsZero() {
|
||||
|
||||
pivotBuffer = append(pivotBuffer, lastLow)
|
||||
s.pivotBuffer = append(s.pivotBuffer, lastLow)
|
||||
|
||||
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
||||
log.WithError(err).Errorf("graceful cancel order error")
|
||||
}
|
||||
|
||||
postPrice := kline.Close
|
||||
for l := len(pivotBuffer) - 1; l > 0; l-- {
|
||||
if pivotBuffer[l].Compare(kline.Close) > 0 {
|
||||
postPrice = pivotBuffer[l]
|
||||
break
|
||||
}
|
||||
}
|
||||
limitPrice := s.getValidPivotLow(kline.Close)
|
||||
log.Infof("place limit sell start from %f adds up to %f percent with %f layers of orders", limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers.Float64())
|
||||
|
||||
for i := 0; i < int(s.NumLayers.Float64()); i++ {
|
||||
for i := 0; i < int(s.Entry.NumLayers.Float64()); i++ {
|
||||
balances := s.session.GetAccount().Balances()
|
||||
quoteBalance, _ := balances[s.Market.QuoteCurrency]
|
||||
baseBalance, _ := balances[s.Market.BaseCurrency]
|
||||
|
||||
p := postPrice.Mul(fixedpoint.One.Add(s.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
|
||||
//
|
||||
p := limitPrice.Mul(fixedpoint.One.Add(s.Entry.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
|
||||
|
||||
if futuresMode {
|
||||
//log.Infof("futures mode on ")
|
||||
if q.Mul(p).Compare(quoteBalance.Available) < 0 {
|
||||
//log.Infof("futures mode on")
|
||||
if q.Mul(p).Compare(quoteBalance.Available) <= 0 {
|
||||
s.placeOrder(ctx, p, q, orderExecutor)
|
||||
s.tradeCollector.Process()
|
||||
}
|
||||
} else if s.Environment.IsBackTesting() {
|
||||
//log.Infof("spot backtest mode on ")
|
||||
if q.Compare(baseBalance.Available) < 0 {
|
||||
//log.Infof("spot backtest mode on")
|
||||
if q.Compare(baseBalance.Available) <= 0 {
|
||||
s.placeOrder(ctx, p, q, orderExecutor)
|
||||
s.tradeCollector.Process()
|
||||
}
|
||||
} else {
|
||||
//log.Infof("spot mode on ")
|
||||
if q.Compare(baseBalance.Available) < 0 {
|
||||
//log.Infof("spot mode on")
|
||||
if q.Compare(baseBalance.Available) <= 0 {
|
||||
s.placeOrder(ctx, p, q, orderExecutor)
|
||||
s.tradeCollector.Process()
|
||||
}
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user