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pivotshort: add immediate market sell

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This commit is contained in:
austin362667 2022-06-03 23:23:26 +08:00
parent 9dab39849b
commit af2d88d9a3
2 changed files with 11 additions and 6 deletions
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3
config/pivotshort.yaml
View File

@ -14,6 +14,7 @@ exchangeStrategies:
pivotLength: 120
entry:
immediate: true
catBounceRatio: 1%
quantity: 1000
numLayers: 3
@ -30,7 +31,7 @@ exchangeStrategies:
backtest:
sessions:
- binance
startTime: "2022-04-01"
startTime: "2022-05-25"
endTime: "2022-06-03"
symbols:
- GMTUSDT

14
pkg/strategy/pivotshort/strategy.go
View File

@ -24,6 +24,7 @@ type IntervalWindowSetting struct {
}
type Entry struct {
Immediate bool `json:"immediate"`
CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
Quantity fixedpoint.Value `json:"quantity"`
NumLayers fixedpoint.Value `json:"numLayers"`
@ -80,14 +81,17 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
//session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1d})
}
func (s *Strategy) placeOrder(ctx context.Context, price fixedpoint.Value, qty fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
func (s *Strategy) placeOrder(ctx context.Context, marketPrice fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, qty fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
submitOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Price: price,
Price: limitPrice,
Quantity: qty,
}
if s.Entry.Immediate && marketPrice.Compare(currentPrice) <= 0 {
submitOrder.Type = types.OrderTypeMarket
}
if s.session.Margin {
submitOrder.MarginSideEffect = s.Entry.MarginSideEffect
}
@ -279,19 +283,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
if futuresMode {
//log.Infof("futures mode on")
if q.Mul(p).Compare(quoteBalance.Available) <= 0 {
s.placeOrder(ctx, p, q, orderExecutor)
s.placeOrder(ctx, lastLow, p, kline.Close, q, orderExecutor)
s.tradeCollector.Process()
}
} else if s.Environment.IsBackTesting() {
//log.Infof("spot backtest mode on")
if q.Compare(baseBalance.Available) <= 0 {
s.placeOrder(ctx, p, q, orderExecutor)
s.placeOrder(ctx, lastLow, p, kline.Close, q, orderExecutor)
s.tradeCollector.Process()
}
} else {
//log.Infof("spot mode on")
if q.Compare(baseBalance.Available) <= 0 {
s.placeOrder(ctx, p, q, orderExecutor)
s.placeOrder(ctx, lastLow, p, kline.Close, q, orderExecutor)
s.tradeCollector.Process()
}
}