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strategy: make TrailingStopCallBackRatio and MinimumProfitPercentage fixedpoint.Value
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parent
883f43a9ad
commit
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@ -79,8 +79,8 @@ func (stop *PercentageTargetStop) GenerateOrders(market types.Market, pos *types
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}
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type TrailingStopTarget struct {
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TrailingStopCallBackRatio float64 `json:"trailingStopCallBackRatio"`
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MinimumProfitPercentage float64 `json:"minimumProfitPercentage"`
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TrailingStopCallBackRatio fixedpoint.Value `json:"trailingStopCallBackRatio"`
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MinimumProfitPercentage fixedpoint.Value `json:"minimumProfitPercentage"`
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}
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type TrailingStopControl struct {
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@ -88,21 +88,21 @@ type TrailingStopControl struct {
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market types.Market
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marginSideEffect types.MarginOrderSideEffectType
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trailingStopCallBackRatio float64
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minimumProfitPercentage float64
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trailingStopCallBackRatio fixedpoint.Value
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minimumProfitPercentage fixedpoint.Value
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CurrentHighestPrice fixedpoint.Value
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OrderID uint64
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}
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func (control *TrailingStopControl) IsHigherThanMin(minTargetPrice float64) bool {
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targetPrice := control.CurrentHighestPrice.Float64() * (1 - control.trailingStopCallBackRatio)
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targetPrice := control.CurrentHighestPrice.Float64() * (1 - control.trailingStopCallBackRatio.Float64())
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return targetPrice >= minTargetPrice
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}
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func (control *TrailingStopControl) GenerateStopOrder(quantity float64) types.SubmitOrder {
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targetPrice := control.CurrentHighestPrice.Float64() * (1 - control.trailingStopCallBackRatio)
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targetPrice := control.CurrentHighestPrice.Float64() * (1 - control.trailingStopCallBackRatio.Float64())
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orderForm := types.SubmitOrder{
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Symbol: control.symbol,
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@ -375,7 +375,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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if s.TrailingStopTarget.TrailingStopCallBackRatio != 0 {
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if s.TrailingStopTarget.TrailingStopCallBackRatio.Float64() != 0 {
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s.trailingStopControl = &TrailingStopControl{
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symbol: s.Symbol,
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market: s.Market,
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@ -394,7 +394,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.state.Position, s.orderStore)
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if s.TrailingStopTarget.TrailingStopCallBackRatio != 0 {
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if s.TrailingStopTarget.TrailingStopCallBackRatio.Float64() != 0 {
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// Update trailing stop when the position changes
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s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
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if position.Base.Float64() > 0 { // Update order if we have a position
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@ -406,8 +406,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// Calculate minimum target price
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var minTargetPrice = 0.0
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if s.trailingStopControl.minimumProfitPercentage > 0 {
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minTargetPrice = position.AverageCost.Float64() * (1 + s.trailingStopControl.minimumProfitPercentage)
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if s.trailingStopControl.minimumProfitPercentage.Float64() > 0 {
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minTargetPrice = position.AverageCost.Float64() * (1 + s.trailingStopControl.minimumProfitPercentage.Float64())
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}
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// Place new order if the target price is higher than the minimum target price
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@ -449,7 +449,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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highPriceF := kline.GetHigh()
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highPrice := fixedpoint.NewFromFloat(highPriceF)
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if s.TrailingStopTarget.TrailingStopCallBackRatio > 0 {
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if s.TrailingStopTarget.TrailingStopCallBackRatio.Float64() > 0 {
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if s.state.Position.Base.Float64() <= 0 { // Without a position
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// Update trailing orders with current high price
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s.trailingStopControl.CurrentHighestPrice = highPrice
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@ -465,8 +465,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// Calculate minimum target price
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var minTargetPrice = 0.0
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if s.trailingStopControl.minimumProfitPercentage > 0 {
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minTargetPrice = s.state.Position.AverageCost.Float64() * (1 + s.trailingStopControl.minimumProfitPercentage)
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if s.trailingStopControl.minimumProfitPercentage.Float64() > 0 {
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minTargetPrice = s.state.Position.AverageCost.Float64() * (1 + s.trailingStopControl.minimumProfitPercentage.Float64())
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}
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// Place new order if the target price is higher than the minimum target price
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@ -580,7 +580,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.Notify("%s position is saved", s.Symbol, s.state.Position)
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}
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if s.TrailingStopTarget.TrailingStopCallBackRatio == 0 { // submit fixed target orders
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if s.TrailingStopTarget.TrailingStopCallBackRatio.Float64() == 0 { // submit fixed target orders
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var targetOrders []types.SubmitOrder
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for _, target := range s.Targets {
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targetPrice := closePrice.Float64() * (1.0 + target.ProfitPercentage)
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@ -621,7 +621,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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defer wg.Done()
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// Cancel trailing stop order
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if s.TrailingStopTarget.TrailingStopCallBackRatio > 0 {
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if s.TrailingStopTarget.TrailingStopCallBackRatio.Float64() > 0 {
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if err := s.cancelOrder(s.trailingStopControl.OrderID, ctx, session); err != nil {
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log.WithError(err).Errorf("Can not cancel the trailing stop order!")
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}
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