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pivotshort: clean up strategy
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parent
f1c0ef4e07
commit
bb94d4a1bd
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@ -1,119 +0,0 @@
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package pivotshort
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import (
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"fmt"
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"time"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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var zeroTime time.Time
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type KLineValueMapper func(k types.KLine) float64
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//go:generate callbackgen -type Pivot
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type Pivot struct {
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types.IntervalWindow
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// Values
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Lows types.Float64Slice // higher low
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Highs types.Float64Slice // lower high
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EndTime time.Time
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UpdateCallbacks []func(valueLow, valueHigh float64)
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}
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func (inc *Pivot) LastLow() float64 {
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if len(inc.Lows) == 0 {
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return 0.0
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}
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return inc.Lows[len(inc.Lows)-1]
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}
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func (inc *Pivot) LastHigh() float64 {
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if len(inc.Highs) == 0 {
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return 0.0
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}
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return inc.Highs[len(inc.Highs)-1]
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}
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func (inc *Pivot) calculateAndUpdate(klines []types.KLine) {
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if len(klines) < inc.Window {
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return
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}
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var end = len(klines) - 1
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var lastKLine = klines[end]
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if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
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return
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}
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var recentT = klines[end-(inc.Window-1) : end+1]
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l, h, err := calculatePivot(recentT, inc.Window, KLineLowPriceMapper, KLineHighPriceMapper)
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if err != nil {
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log.WithError(err).Error("can not calculate pivots")
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return
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}
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inc.Lows.Push(l)
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inc.Highs.Push(h)
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if len(inc.Lows) > indicator.MaxNumOfVOL {
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inc.Lows = inc.Lows[indicator.MaxNumOfVOLTruncateSize-1:]
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}
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if len(inc.Highs) > indicator.MaxNumOfVOL {
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inc.Highs = inc.Highs[indicator.MaxNumOfVOLTruncateSize-1:]
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}
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inc.EndTime = klines[end].GetEndTime().Time()
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inc.EmitUpdate(l, h)
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}
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func (inc *Pivot) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if inc.Interval != interval {
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return
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}
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inc.calculateAndUpdate(window)
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}
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func (inc *Pivot) Bind(updater indicator.KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func calculatePivot(klines []types.KLine, window int, valLow KLineValueMapper, valHigh KLineValueMapper) (float64, float64, error) {
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length := len(klines)
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if length == 0 || length < window {
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return 0., 0., fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
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}
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var lows types.Float64Slice
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var highs types.Float64Slice
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for _, k := range klines {
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lows.Push(valLow(k))
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highs.Push(valHigh(k))
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}
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pl := 0.
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if lows.Min() == lows.Index(int(window/2.)-1) {
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pl = lows.Min()
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}
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ph := 0.
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if highs.Max() == highs.Index(int(window/2.)-1) {
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ph = highs.Max()
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}
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return pl, ph, nil
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}
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func KLineLowPriceMapper(k types.KLine) float64 {
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return k.Low.Float64()
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}
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func KLineHighPriceMapper(k types.KLine) float64 {
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return k.High.Float64()
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}
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@ -1,15 +0,0 @@
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// Code generated by "callbackgen -type Pivot"; DO NOT EDIT.
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package pivotshort
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import ()
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func (inc *Pivot) OnUpdate(cb func(valueLow float64, valueHigh float64)) {
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inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
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}
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func (inc *Pivot) EmitUpdate(valueLow float64, valueHigh float64) {
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for _, cb := range inc.UpdateCallbacks {
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cb(valueLow, valueHigh)
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}
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}
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@ -5,6 +5,7 @@ import (
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"fmt"
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"fmt"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/sirupsen/logrus"
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"github.com/sirupsen/logrus"
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)
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)
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@ -52,7 +53,7 @@ type Strategy struct {
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session *bbgo.ExchangeSession
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session *bbgo.ExchangeSession
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pivot *Pivot
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pivot *indicator.Pivot
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// StrategyController
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// StrategyController
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bbgo.StrategyController
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bbgo.StrategyController
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@ -186,7 +187,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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iw := types.IntervalWindow{Window: s.PivotLength, Interval: s.Interval}
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iw := types.IntervalWindow{Window: s.PivotLength, Interval: s.Interval}
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st, _ := session.MarketDataStore(s.Symbol)
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st, _ := session.MarketDataStore(s.Symbol)
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s.pivot = &Pivot{IntervalWindow: iw}
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s.pivot = &indicator.Pivot{IntervalWindow: iw}
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s.pivot.Bind(st)
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s.pivot.Bind(st)
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session.UserDataStream.OnStart(func() {
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session.UserDataStream.OnStart(func() {
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@ -194,6 +195,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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})
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})
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var lastLow fixedpoint.Value
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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.Div(s.NumLayers)
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log.Info(futuresMode)
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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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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if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
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@ -230,19 +235,33 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if !lastLow.IsZero() {
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if !lastLow.IsZero() {
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futuresMode := s.session.Futures
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d := s.CatBounceRatio.Div(s.NumLayers)
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q := s.Quantity.Div(s.NumLayers)
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for i := 0; i < int(s.NumLayers.Float64()); i++ {
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for i := 0; i < int(s.NumLayers.Float64()); i++ {
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balances := s.session.GetAccount().Balances()
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balances := s.session.GetAccount().Balances()
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quoteBalance, _ := balances[s.Market.QuoteCurrency]
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quoteBalance, _ := balances[s.Market.QuoteCurrency]
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baseBalance, _ := balances[s.Market.BaseCurrency]
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baseBalance, _ := balances[s.Market.BaseCurrency]
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p := lastLow.Mul(fixedpoint.One.Add(s.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
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p := lastLow.Mul(fixedpoint.One.Add(s.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
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if (futuresMode && q.Mul(p).Compare(quoteBalance.Available) < 0) || q.Compare(baseBalance.Available) < 0 {
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//
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s.placeOrder(ctx, p, q, orderExecutor)
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if futuresMode {
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s.tradeCollector.Process()
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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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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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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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s.placeOrder(ctx, p, q, orderExecutor)
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s.tradeCollector.Process()
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}
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}
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}
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}
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}
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//s.placeOrder(ctx, lastLow.Mul(fixedpoint.One.Add(s.CatBounceRatio)), s.Quantity, orderExecutor)
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//s.placeOrder(ctx, lastLow.Mul(fixedpoint.One.Add(s.CatBounceRatio)), s.Quantity, orderExecutor)
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}
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}
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