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pivotshort: refactor and add trendEMA to resistance short

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c9s 2022-07-27 15:17:28 +08:00
parent 2719c86400
commit c65456e44b
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2 changed files with 51 additions and 14 deletions
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39
pkg/strategy/pivotshort/breaklow.go
View File

@ -17,6 +17,28 @@ type StopEMA struct {
type TrendEMA struct {
types.IntervalWindow
trendEWMA *indicator.EWMA
trendEWMALast, trendEWMACurrent float64
}
func (s *TrendEMA) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
symbol := orderExecutor.Position().Symbol
s.trendEWMA = session.StandardIndicatorSet(symbol).EWMA(s.IntervalWindow)
session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
s.trendEWMALast = s.trendEWMACurrent
s.trendEWMACurrent = s.trendEWMA.Last()
}))
}
func (s *TrendEMA) Gradient() (float64, bool) {
if s.trendEWMALast > 0.0 && s.trendEWMACurrent > 0.0 {
gradient := s.trendEWMALast / s.trendEWMACurrent
return gradient, true
}
return 0.0, false
}
type FakeBreakStop struct {
@ -58,7 +80,6 @@ type BreakLow struct {
stopEWMA *indicator.EWMA
trendEWMA *indicator.EWMA
trendEWMALast, trendEWMACurrent float64
orderExecutor *bbgo.GeneralOrderExecutor
@ -99,12 +120,7 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
}
if s.TrendEMA != nil {
s.trendEWMA = standardIndicator.EWMA(s.TrendEMA.IntervalWindow)
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.TrendEMA.Interval, func(kline types.KLine) {
s.trendEWMALast = s.trendEWMACurrent
s.trendEWMACurrent = s.trendEWMA.Last()
}))
s.TrendEMA.Bind(session, orderExecutor)
}
// update pivot low data
@ -197,14 +213,13 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
}
// trend EMA protection
if s.trendEWMALast > 0.0 && s.trendEWMACurrent > 0.0 {
slope := s.trendEWMALast / s.trendEWMACurrent
if slope > 1.0 {
log.Infof("trendEMA %+v current=%f last=%f slope=%f: skip short", s.TrendEMA, s.trendEWMACurrent, s.trendEWMALast, slope)
if gradient, ok := s.TrendEMA.Gradient(); ok {
if gradient > 1.0 {
log.Infof("trendEMA %+v current=%f last=%f slope=%f: skip short", s.TrendEMA, s.TrendEMA.trendEWMACurrent, s.TrendEMA.trendEWMALast, gradient)
return
}
log.Infof("trendEMA %+v current=%f last=%f slope=%f: short is enabled", s.TrendEMA, s.trendEWMACurrent, s.trendEWMALast, slope)
log.Infof("trendEMA %+v current=%f last=%f slope=%f: short is enabled", s.TrendEMA, s.TrendEMA.trendEWMACurrent, s.TrendEMA.trendEWMALast, gradient)
}
// stop EMA protection

26
pkg/strategy/pivotshort/resistance.go
View File

@ -25,6 +25,8 @@ type ResistanceShort struct {
Leverage fixedpoint.Value `json:"leverage"`
Ratio fixedpoint.Value `json:"ratio"`
TrendEMA *TrendEMA `json:"trendEMA"`
session *bbgo.ExchangeSession
orderExecutor *bbgo.GeneralOrderExecutor
@ -35,7 +37,17 @@ type ResistanceShort struct {
activeOrders *bbgo.ActiveOrderBook
}
func (s *ResistanceShort) Subscribe(session *bbgo.ExchangeSession) {
if s.TrendEMA != nil {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.TrendEMA.Interval})
}
}
func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
if s.GroupDistance.IsZero() {
s.GroupDistance = fixedpoint.NewFromFloat(0.01)
}
s.session = session
s.orderExecutor = orderExecutor
s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
@ -45,8 +57,8 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
})
s.activeOrders.BindStream(session.UserDataStream)
if s.GroupDistance.IsZero() {
s.GroupDistance = fixedpoint.NewFromFloat(0.01)
if s.TrendEMA != nil {
s.TrendEMA.Bind(session, orderExecutor)
}
s.resistancePivot = session.StandardIndicatorSet(s.Symbol).PivotLow(s.IntervalWindow)
@ -55,6 +67,16 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
s.updateResistanceOrders(fixedpoint.NewFromFloat(s.resistancePivot.Last()))
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
// trend EMA protection
if gradient, ok := s.TrendEMA.Gradient(); ok {
if gradient > 1.0 {
log.Infof("trendEMA %+v current=%f last=%f slope=%f: skip short", s.TrendEMA, s.TrendEMA.trendEWMACurrent, s.TrendEMA.trendEWMALast, gradient)
return
}
log.Infof("trendEMA %+v current=%f last=%f slope=%f: short is enabled", s.TrendEMA, s.TrendEMA.trendEWMACurrent, s.TrendEMA.trendEWMALast, gradient)
}
position := s.orderExecutor.Position()
if position.IsOpened(kline.Close) {
return