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pivotshort: clean up strategy

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austin362667 2022-05-13 18:05:25 +08:00 committed by Austin Liu
parent f1c0ef4e07
commit bb94d4a1bd
3 changed files with 27 additions and 142 deletions
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119
pkg/strategy/pivotshort/pivot.go
View File

@ -1,119 +0,0 @@
package pivotshort
import (
"fmt"
"time"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
)
var zeroTime time.Time
type KLineValueMapper func(k types.KLine) float64
//go:generate callbackgen -type Pivot
type Pivot struct {
types.IntervalWindow
// Values
Lows types.Float64Slice // higher low
Highs types.Float64Slice // lower high
EndTime time.Time
UpdateCallbacks []func(valueLow, valueHigh float64)
}
func (inc *Pivot) LastLow() float64 {
if len(inc.Lows) == 0 {
return 0.0
}
return inc.Lows[len(inc.Lows)-1]
}
func (inc *Pivot) LastHigh() float64 {
if len(inc.Highs) == 0 {
return 0.0
}
return inc.Highs[len(inc.Highs)-1]
}
func (inc *Pivot) calculateAndUpdate(klines []types.KLine) {
if len(klines) < inc.Window {
return
}
var end = len(klines) - 1
var lastKLine = klines[end]
if inc.EndTime != zeroTime && lastKLine.GetEndTime().Before(inc.EndTime) {
return
}
var recentT = klines[end-(inc.Window-1) : end+1]
l, h, err := calculatePivot(recentT, inc.Window, KLineLowPriceMapper, KLineHighPriceMapper)
if err != nil {
log.WithError(err).Error("can not calculate pivots")
return
}
inc.Lows.Push(l)
inc.Highs.Push(h)
if len(inc.Lows) > indicator.MaxNumOfVOL {
inc.Lows = inc.Lows[indicator.MaxNumOfVOLTruncateSize-1:]
}
if len(inc.Highs) > indicator.MaxNumOfVOL {
inc.Highs = inc.Highs[indicator.MaxNumOfVOLTruncateSize-1:]
}
inc.EndTime = klines[end].GetEndTime().Time()
inc.EmitUpdate(l, h)
}
func (inc *Pivot) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *Pivot) Bind(updater indicator.KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}
func calculatePivot(klines []types.KLine, window int, valLow KLineValueMapper, valHigh KLineValueMapper) (float64, float64, error) {
length := len(klines)
if length == 0 || length < window {
return 0., 0., fmt.Errorf("insufficient elements for calculating VOL with window = %d", window)
}
var lows types.Float64Slice
var highs types.Float64Slice
for _, k := range klines {
lows.Push(valLow(k))
highs.Push(valHigh(k))
}
pl := 0.
if lows.Min() == lows.Index(int(window/2.)-1) {
pl = lows.Min()
}
ph := 0.
if highs.Max() == highs.Index(int(window/2.)-1) {
ph = highs.Max()
}
return pl, ph, nil
}
func KLineLowPriceMapper(k types.KLine) float64 {
return k.Low.Float64()
}
func KLineHighPriceMapper(k types.KLine) float64 {
return k.High.Float64()
}

15
pkg/strategy/pivotshort/pivot_callbacks.go
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@ -1,15 +0,0 @@
// Code generated by "callbackgen -type Pivot"; DO NOT EDIT.
package pivotshort
import ()
func (inc *Pivot) OnUpdate(cb func(valueLow float64, valueHigh float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *Pivot) EmitUpdate(valueLow float64, valueHigh float64) {
for _, cb := range inc.UpdateCallbacks {
cb(valueLow, valueHigh)
}
}

35
pkg/strategy/pivotshort/strategy.go
View File

@ -5,6 +5,7 @@ import (
"fmt"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
"github.com/sirupsen/logrus"
)
@ -52,7 +53,7 @@ type Strategy struct {
session *bbgo.ExchangeSession
pivot *Pivot
pivot *indicator.Pivot
// StrategyController
bbgo.StrategyController
@ -186,7 +187,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
iw := types.IntervalWindow{Window: s.PivotLength, Interval: s.Interval}
st, _ := session.MarketDataStore(s.Symbol)
s.pivot = &Pivot{IntervalWindow: iw}
s.pivot = &indicator.Pivot{IntervalWindow: iw}
s.pivot.Bind(st)
session.UserDataStream.OnStart(func() {
@ -194,6 +195,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
})
var lastLow fixedpoint.Value
futuresMode := s.session.Futures || s.session.IsolatedFutures
d := s.CatBounceRatio.Div(s.NumLayers)
q := s.Quantity.Div(s.NumLayers)
log.Info(futuresMode)
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
@ -230,19 +235,33 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
if !lastLow.IsZero() {
futuresMode := s.session.Futures
d := s.CatBounceRatio.Div(s.NumLayers)
q := s.Quantity.Div(s.NumLayers)
for i := 0; i < int(s.NumLayers.Float64()); i++ {
balances := s.session.GetAccount().Balances()
quoteBalance, _ := balances[s.Market.QuoteCurrency]
baseBalance, _ := balances[s.Market.BaseCurrency]
p := lastLow.Mul(fixedpoint.One.Add(s.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
if (futuresMode && q.Mul(p).Compare(quoteBalance.Available) < 0) || q.Compare(baseBalance.Available) < 0 {
s.placeOrder(ctx, p, q, orderExecutor)
s.tradeCollector.Process()
//
if futuresMode {
//log.Infof("futures mode on ")
if q.Mul(p).Compare(quoteBalance.Available) < 0 {
s.placeOrder(ctx, p, 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.tradeCollector.Process()
}
} else {
//log.Infof("spot mode on ")
if q.Compare(baseBalance.Available) < 0 {
s.placeOrder(ctx, p, q, orderExecutor)
s.tradeCollector.Process()
}
}
}
//s.placeOrder(ctx, lastLow.Mul(fixedpoint.One.Add(s.CatBounceRatio)), s.Quantity, orderExecutor)
}