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feature: add stoploss from stopPrice

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This commit is contained in:
zenix 2022-07-14 19:33:47 +09:00
parent 9c73aa4adb
commit c6563aa9bd
2 changed files with 94 additions and 14 deletions
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1
config/drift.yaml
View File

@ -18,6 +18,7 @@ exchangeStrategies:
stoploss: 2%
source: hl2
predictOffset: 8
noStopPrice: true
#exits:
#- roiStopLoss:
# percentage: 0.8%

107
pkg/strategy/drift/strategy.go
View File

@ -55,6 +55,9 @@ type Strategy struct {
Stoploss fixedpoint.Value `json:"stoploss"`
CanvasPath string `json:"canvasPath"`
PredictOffset int `json:"predictOffset"`
NoStopPrice bool `json:"noStopPrice"`
StopOrders map[uint64]types.SubmitOrder
ExitMethods bbgo.ExitMethodSet `json:"exits"`
Session *bbgo.ExchangeSession
@ -75,6 +78,7 @@ func (s *Strategy) Print() {
hiyellow(os.Stderr, "symbol: %s\n", s.Symbol)
hiyellow(os.Stderr, "interval: %s\n", s.Interval)
hiyellow(os.Stderr, "window: %d\n", s.Window)
hiyellow(os.Stderr, "noStopPrice: %v\n", s.NoStopPrice)
}
func (s *Strategy) ID() string {
@ -195,6 +199,43 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
bbgo.Sync(s)
})
s.GeneralOrderExecutor.Bind()
s.StopOrders = make(map[uint64]types.SubmitOrder)
session.UserDataStream.OnOrderUpdate(func(order types.Order) {
if len(s.StopOrders) == 0 {
return
}
if order.Symbol != s.Symbol {
return
}
if order.Status == types.OrderStatusCanceled {
delete(s.StopOrders, order.OrderID)
return
}
if order.Status != types.OrderStatusFilled {
return
}
if o, ok := s.StopOrders[order.OrderID]; ok {
delete(s.StopOrders, order.OrderID)
if o.Side == types.SideTypeBuy {
quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
if !ok {
log.Errorf("unable to get quoteCurrency")
return
}
o.Quantity = quoteBalance.Available.Div(o.Price)
} else {
baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
if !ok {
log.Errorf("unable to get baseCurrency")
return
}
o.Quantity = baseBalance.Available
}
if _, err := s.GeneralOrderExecutor.SubmitOrders(ctx, o); err != nil {
log.WithError(err).Errorf("cannot send stop order: %v", order)
}
}
})
for _, method := range s.ExitMethods {
method.Bind(session, s.GeneralOrderExecutor)
}
@ -222,7 +263,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.atr.PushK(kline)
}
if s.Environment.IsBackTesting() {
if s.IsBackTesting() {
s.getLastPrice = func() fixedpoint.Value {
lastPrice, ok := s.Session.LastPrice(s.Symbol)
if !ok {
@ -308,6 +349,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
log.WithError(err).Errorf("cannot cancel orders")
return
}
s.StopOrders = make(map[uint64]types.SubmitOrder)
_, _ = s.ClosePosition(ctx)
}
if shortCondition {
@ -315,6 +357,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
log.WithError(err).Errorf("cannot cancel orders")
return
}
s.StopOrders = make(map[uint64]types.SubmitOrder)
baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
if !ok {
log.Errorf("unable to get baseBalance")
@ -327,24 +370,42 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
if s.Market.IsDustQuantity(baseBalance.Available, source) {
return
}
_, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
quantity := baseBalance.Available
stopPrice := fixedpoint.NewFromFloat(math.Min(sourcef+atr/2, sourcef*(1.+stoploss)))
stopOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimitMaker,
Price: source,
StopPrice: fixedpoint.NewFromFloat(math.Min(sourcef+atr/2, sourcef*(1.+stoploss))),
Quantity: baseBalance.Available,
Side: types.SideTypeBuy,
Type: types.OrderTypeStopLimit,
StopPrice: stopPrice,
Price: stopPrice,
Quantity: quantity,
}
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Price: source,
Quantity: quantity,
})
if err != nil {
log.WithError(err).Errorf("cannot place sell order")
return
}
if s.NoStopPrice {
return
}
if createdOrders[0].Status == types.OrderStatusFilled {
s.GeneralOrderExecutor.SubmitOrders(ctx, stopOrder)
return
}
s.StopOrders[createdOrders[0].OrderID] = stopOrder
}
if longCondition {
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
log.WithError(err).Errorf("cannot cancel orders")
return
}
s.StopOrders = make(map[uint64]types.SubmitOrder)
if source.Compare(price) > 0 {
source = price
}
@ -357,18 +418,36 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
quoteBalance.Available.Div(source), source) {
return
}
_, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimitMaker,
Price: source,
StopPrice: fixedpoint.NewFromFloat(math.Max(sourcef-atr/2, sourcef*(1.-stoploss))),
Quantity: quoteBalance.Available.Div(source),
quantity := quoteBalance.Available.Div(source)
stopPrice := fixedpoint.NewFromFloat(math.Max(sourcef-atr/2, sourcef*(1.-stoploss)))
stopOrder := types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeStopLimit,
TimeInForce: types.TimeInForceGTC,
StopPrice: stopPrice,
Price: stopPrice,
Quantity: quantity,
}
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit,
Price: source,
Quantity: quantity,
})
if err != nil {
log.WithError(err).Errorf("cannot place buy order")
return
}
if s.NoStopPrice {
return
}
if createdOrders[0].Status == types.OrderStatusFilled {
s.GeneralOrderExecutor.SubmitOrders(ctx, stopOrder)
return
}
s.StopOrders[createdOrders[0].OrderID] = stopOrder
}
})