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https://github.com/c9s/bbgo.git
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pivotshort: clean up
This commit is contained in:
austin362667
parent
30be15dd34
commit
9dab39849b
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@ -12,16 +12,21 @@ exchangeStrategies:
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interval: 5m
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pivotLength: 120
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stopLossRatio: 0.5%
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takeProfitRatio: 13%
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shadowTPRatio: 2%
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entry:
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catBounceRatio: 1%
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quantity: 1200
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numLayers: 4
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quantity: 1000
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numLayers: 3
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# marginOrderSideEffect: borrow
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exit:
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takeProfitPercentage: 13%
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stopLossPercentage: 0.5%
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shadowTPRatio: 13%
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# marginOrderSideEffect: repay
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backtest:
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sessions:
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- binance
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@ -32,5 +37,5 @@ backtest:
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account:
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binance:
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balances:
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GMT: 5_000.0
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USDT: 5_000.0
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GMT: 3_000.0
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USDT: 3_000.0
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@ -23,6 +23,20 @@ type IntervalWindowSetting struct {
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types.IntervalWindow
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}
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type Entry struct {
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CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
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Quantity fixedpoint.Value `json:"quantity"`
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NumLayers fixedpoint.Value `json:"numLayers"`
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MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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}
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type Exit struct {
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TakeProfitPercentage fixedpoint.Value `json:"takeProfitPercentage"`
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StopLossPercentage fixedpoint.Value `json:"stopLossPercentage"`
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ShadowTPRatio fixedpoint.Value `json:"shadowTPRatio"`
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MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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}
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type Strategy struct {
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*bbgo.Graceful
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*bbgo.Notifiability
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@ -32,7 +46,6 @@ type Strategy struct {
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Symbol string `json:"symbol"`
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Market types.Market
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Interval types.Interval `json:"interval"`
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Quantity fixedpoint.Value `json:"quantity"`
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TotalQuantity fixedpoint.Value `json:"totalQuantity"`
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// persistence fields
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@ -40,12 +53,9 @@ type Strategy struct {
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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PivotLength int `json:"pivotLength"`
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StopLossRatio fixedpoint.Value `json:"stopLossRatio"`
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TakeProfitRatio fixedpoint.Value `json:"takeProfitRatio"`
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CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
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NumLayers fixedpoint.Value `json:"numLayers"`
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ShadowTPRatio fixedpoint.Value `json:"shadowTPRatio"`
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MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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Entry Entry
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Exit Exit
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activeMakerOrders *bbgo.LocalActiveOrderBook
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orderStore *bbgo.OrderStore
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@ -54,6 +64,7 @@ type Strategy struct {
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session *bbgo.ExchangeSession
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pivot *indicator.Pivot
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pivotBuffer []fixedpoint.Value
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// StrategyController
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bbgo.StrategyController
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@ -78,7 +89,7 @@ func (s *Strategy) placeOrder(ctx context.Context, price fixedpoint.Value, qty f
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Quantity: qty,
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}
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if s.session.Margin {
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submitOrder.MarginSideEffect = s.MarginOrderSideEffect
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submitOrder.MarginSideEffect = s.Entry.MarginSideEffect
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrder)
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@ -115,7 +126,7 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
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Market: s.Market,
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}
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if s.session.Margin {
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submitOrder.MarginSideEffect = s.MarginOrderSideEffect
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submitOrder.MarginSideEffect = s.Exit.MarginSideEffect
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}
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//s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
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@ -133,13 +144,24 @@ func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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// check if position can be close or not
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func canClosePosition(position *types.Position, signal fixedpoint.Value, price fixedpoint.Value) bool {
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return !signal.IsZero() && position.IsShort() && !position.IsDust(price)
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}
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// get last available pivot low, the most recent pivot point higher than current price
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func (s *Strategy) getValidPivotLow(price fixedpoint.Value) fixedpoint.Value {
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for l := len(s.pivotBuffer) - 1; l > 0; l-- {
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if s.pivotBuffer[l].Compare(price) > 0 {
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return s.pivotBuffer[l]
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}
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}
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return price
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// initial required information
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s.session = session
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//s.prevClose = fixedpoint.Zero
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// first we need to get market data store(cached market data) from the exchange session
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//st, _ := session.MarketDataStore(s.Symbol)
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s.activeMakerOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
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s.activeMakerOrders.BindStream(session.UserDataStream)
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@ -151,9 +173,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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// calculate group id for orders
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instanceID := s.InstanceID()
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//s.groupID = util.FNV32(instanceID)
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// Always update the position fields
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s.Position.Strategy = ID
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@ -202,37 +222,35 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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var lastLow fixedpoint.Value
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futuresMode := s.session.Futures || s.session.IsolatedFutures
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d := s.CatBounceRatio.Div(s.NumLayers)
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q := s.Quantity
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d := s.Entry.CatBounceRatio.Div(s.Entry.NumLayers)
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q := s.Entry.Quantity
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if !s.TotalQuantity.IsZero() {
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q = s.TotalQuantity.Div(s.NumLayers)
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q = s.TotalQuantity.Div(s.Entry.NumLayers)
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}
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var pivotBuffer []fixedpoint.Value
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
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return
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}
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if s.pivot.LastLow() > 0. {
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log.Info(s.pivot.LastLow(), kline.EndTime)
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log.Infof("pivot low signal detected: %f %s", s.pivot.LastLow(), kline.EndTime.Time())
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lastLow = fixedpoint.NewFromFloat(s.pivot.LastLow())
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} else {
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if !lastLow.IsZero() && s.Position.IsShort() && !s.Position.IsDust(kline.Close) {
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if canClosePosition(s.Position, lastLow, kline.Close) {
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R := kline.Close.Div(s.Position.AverageCost)
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if R.Compare(fixedpoint.One.Add(s.StopLossRatio)) > 0 {
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if R.Compare(fixedpoint.One.Add(s.Exit.StopLossPercentage)) > 0 {
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// SL
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log.Infof("SL triggered")
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log.Infof("%s SL triggered", s.Symbol)
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s.ClosePosition(ctx, fixedpoint.One)
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s.tradeCollector.Process()
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} else if R.Compare(fixedpoint.One.Sub(s.TakeProfitRatio)) < 0 {
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} else if R.Compare(fixedpoint.One.Sub(s.Exit.TakeProfitPercentage)) < 0 {
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// TP
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log.Infof("TP triggered")
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log.Infof("%s TP triggered", s.Symbol)
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s.ClosePosition(ctx, fixedpoint.One)
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} else if kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.ShadowTPRatio) > 0 {
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} else if kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Exit.ShadowTPRatio) > 0 {
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// shadow TP
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log.Infof("shadow TP triggered")
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log.Infof("%s shadow TP triggered", s.Symbol)
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s.ClosePosition(ctx, fixedpoint.One)
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s.tradeCollector.Process()
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}
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@ -242,42 +260,37 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if !lastLow.IsZero() {
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pivotBuffer = append(pivotBuffer, lastLow)
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s.pivotBuffer = append(s.pivotBuffer, lastLow)
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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postPrice := kline.Close
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for l := len(pivotBuffer) - 1; l > 0; l-- {
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if pivotBuffer[l].Compare(kline.Close) > 0 {
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postPrice = pivotBuffer[l]
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break
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}
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}
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limitPrice := s.getValidPivotLow(kline.Close)
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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())
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for i := 0; i < int(s.NumLayers.Float64()); i++ {
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for i := 0; i < int(s.Entry.NumLayers.Float64()); i++ {
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balances := s.session.GetAccount().Balances()
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quoteBalance, _ := balances[s.Market.QuoteCurrency]
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baseBalance, _ := balances[s.Market.BaseCurrency]
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p := postPrice.Mul(fixedpoint.One.Add(s.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
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//
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p := limitPrice.Mul(fixedpoint.One.Add(s.Entry.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
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if futuresMode {
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//log.Infof("futures mode on")
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if q.Mul(p).Compare(quoteBalance.Available) < 0 {
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if q.Mul(p).Compare(quoteBalance.Available) <= 0 {
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s.placeOrder(ctx, p, q, orderExecutor)
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s.tradeCollector.Process()
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}
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} else if s.Environment.IsBackTesting() {
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//log.Infof("spot backtest mode on")
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if q.Compare(baseBalance.Available) < 0 {
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if q.Compare(baseBalance.Available) <= 0 {
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s.placeOrder(ctx, p, q, orderExecutor)
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s.tradeCollector.Process()
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}
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} else {
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//log.Infof("spot mode on")
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if q.Compare(baseBalance.Available) < 0 {
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if q.Compare(baseBalance.Available) <= 0 {
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s.placeOrder(ctx, p, q, orderExecutor)
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s.tradeCollector.Process()
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}
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