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improve/supertrend: different way to calculate order amount for backtesting

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Andy Cheng 2023-04-20 18:37:48 +08:00
parent 1fb6e79090
commit 9f8576bb38
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1 changed files with 8 additions and 2 deletions
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10
pkg/strategy/supertrend/strategy.go
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@ -626,8 +626,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
// Add opposite position amount if any
if (side == types.SideTypeSell && s.Position.IsLong()) || (side == types.SideTypeBuy && s.Position.IsShort()) {
bbgo.Notify("add existing opposite position amount of %s to the amount of open new position order", s.Symbol)
amount = amount.Add(s.Position.GetQuantity())
if bbgo.IsBackTesting {
_ = s.ClosePosition(ctx, fixedpoint.One)
bbgo.Notify("close existing %s position before open a new position", s.Symbol)
amount = s.calculateQuantity(ctx, closePrice, side)
} else {
bbgo.Notify("add existing opposite position amount %f of %s to the amount %f of open new position order", s.Position.GetQuantity().Float64(), s.Symbol, amount.Float64())
amount = amount.Add(s.Position.GetQuantity())
}
} else if !s.Position.IsDust(closePrice) {
bbgo.Notify("existing %s position has the same direction as the signal", s.Symbol)
return