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fix resistance price calculation

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c9s 2022-07-03 15:26:05 +08:00
parent 1e8ac0d08a
commit a408b20eda
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1 changed files with 48 additions and 16 deletions
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64
pkg/strategy/pivotshort/resistance.go
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@ -27,9 +27,9 @@ type ResistanceShort struct {
session *bbgo.ExchangeSession session *bbgo.ExchangeSession
orderExecutor *bbgo.GeneralOrderExecutor orderExecutor *bbgo.GeneralOrderExecutor
resistancePivot *indicator.Pivot resistancePivot *indicator.Pivot
resistancePrices []float64 resistancePrices []float64
nextResistancePrice fixedpoint.Value currentResistancePrice fixedpoint.Value
activeOrders *bbgo.ActiveOrderBook activeOrders *bbgo.ActiveOrderBook
} }
@ -61,6 +61,7 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) { session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
position := s.orderExecutor.Position() position := s.orderExecutor.Position()
if position.IsOpened(kline.Close) { if position.IsOpened(kline.Close) {
log.Infof("position is already opened, skip placing resistance orders")
return return
} }
@ -68,25 +69,52 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
})) }))
} }
func (s *ResistanceShort) findNextResistancePriceAndPlaceOrders(closePrice fixedpoint.Value) { func tail(arr []float64, length int) []float64 {
// if the close price is still lower than the resistance price, then we don't have to update if len(arr) < length {
if closePrice.Compare(s.nextResistancePrice.Mul(one.Add(s.Ratio))) <= 0 { return arr
return
} }
return arr[len(arr)-1-length:]
}
func (s *ResistanceShort) updateNextResistancePrice(closePrice fixedpoint.Value) bool {
minDistance := s.MinDistance.Float64() minDistance := s.MinDistance.Float64()
resistancePrices := findPossibleResistancePrices(closePrice.Float64()*(1.0+minDistance), s.GroupDistance.Float64(), s.resistancePivot.Lows) groupDistance := s.GroupDistance.Float64()
resistancePrices := findPossibleResistancePrices(closePrice.Float64()*(1.0+minDistance), groupDistance, tail(s.resistancePivot.Lows, 6))
log.Infof("last price: %f, possible resistance prices: %+v", closePrice.Float64(), resistancePrices) if len(resistancePrices) == 0 {
return false
}
log.Infof("%s close price: %f, min distance: %f, possible resistance prices: %+v", s.Symbol, closePrice.Float64(), minDistance, resistancePrices)
nextResistancePrice := fixedpoint.NewFromFloat(resistancePrices[0])
// if currentResistancePrice is not set or the close price is already higher than the current resistance price,
// we should update the resistance price
// if the detected resistance price is lower than the current one, we should also update it too
if s.currentResistancePrice.IsZero() {
s.currentResistancePrice = nextResistancePrice
return true
}
currentSellPrice := s.currentResistancePrice.Mul(one.Add(s.Ratio))
if closePrice.Compare(currentSellPrice) > 0 ||
nextResistancePrice.Compare(currentSellPrice) < 0 {
s.currentResistancePrice = nextResistancePrice
return true
}
return false
}
func (s *ResistanceShort) findNextResistancePriceAndPlaceOrders(closePrice fixedpoint.Value) {
ctx := context.Background() ctx := context.Background()
if len(resistancePrices) > 0 { resistanceUpdated := s.updateNextResistancePrice(closePrice)
nextResistancePrice := fixedpoint.NewFromFloat(resistancePrices[0]) if resistanceUpdated {
if nextResistancePrice.Compare(s.nextResistancePrice) != 0 { // TODO: consider s.activeOrders.NumOfOrders() > 0
bbgo.Notify("Found next resistance price: %f", nextResistancePrice.Float64()) bbgo.Notify("Found next resistance price: %f, updating resistance order...", s.currentResistancePrice.Float64())
s.nextResistancePrice = nextResistancePrice s.placeResistanceOrders(ctx, s.currentResistancePrice)
s.placeResistanceOrders(ctx, nextResistancePrice)
}
} }
} }
@ -190,6 +218,10 @@ func higher(arr []float64, x float64) []float64 {
} }
func group(arr []float64, minDistance float64) []float64 { func group(arr []float64, minDistance float64) []float64 {
if len(arr) == 0 {
return nil
}
var groups []float64 var groups []float64
var grp = []float64{arr[0]} var grp = []float64{arr[0]}
for _, price := range arr { for _, price := range arr {