Merge pull request #784 from c9s/strategy/pivotshort

strategy: pivotshort: fix stopEMA

pkg/bbgo/exit.go

@@ -14,7 +14,7 @@ type ExitMethod struct {
 	CumulatedVolumeTakeProfit *CumulatedVolumeTakeProfit `json:"cumulatedVolumeTakeProfit"`
 }
 
-func (m *ExitMethod) Subscribe() {
+func (m *ExitMethod) Subscribe(session *ExchangeSession) {
 	// TODO: pull out this implementation as a simple function to reflect.go
 	rv := reflect.ValueOf(m)
 	rt := reflect.TypeOf(m)
@@ -22,11 +22,13 @@ func (m *ExitMethod) Subscribe() {
 	rv = rv.Elem()
 	rt = rt.Elem()
 	infType := reflect.TypeOf((*types.Subscriber)(nil)).Elem()
+
+	argValues := toReflectValues(session)
 	for i := 0; i < rt.NumField(); i++ {
 		fieldType := rt.Field(i)
 		if fieldType.Type.Implements(infType) {
 			method := rv.Field(i).MethodByName("Subscribe")
-			method.Call(nil)
+			method.Call(argValues)
 		}
 	}
 }

pkg/bbgo/exit_test.go

@@ -4,5 +4,5 @@ import "testing"
 
 func TestExitMethod(t *testing.T) {
 	em := &ExitMethod{}
-	em.Subscribe()
+	em.Subscribe(&ExchangeSession{})
 }

pkg/bbgo/order_executor_general.go

@@ -125,7 +125,6 @@ func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fix
 	}
 
 	submitOrder.Tag = strings.Join(tags, ",")
-
 	_, err := e.SubmitOrders(ctx, *submitOrder)
 	return err
 }

pkg/bbgo/reflect.go

@@ -110,3 +110,11 @@ func newTypeValueInterface(typ reflect.Type) interface{} {
 	dst := reflect.New(typ)
 	return dst.Interface()
 }
+
+func toReflectValues(args ...interface{}) (values []reflect.Value) {
+	for _, arg := range args {
+		values = append(values, reflect.ValueOf(arg))
+	}
+
+	return values
+}

pkg/strategy/pivotshort/strategy.go

@@ -174,7 +174,6 @@ func (s *Strategy) CurrentPosition() *types.Position {
 }
 
 func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
-	bbgo.Notify("Closing position", s.Position)
 	return s.orderExecutor.ClosePosition(ctx, percentage)
 }
 
@@ -338,7 +337,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		log.Infof("%s breakLow signal detected, closed price %f < breakPrice %f", kline.Symbol, closePrice.Float64(), breakPrice.Float64())
 
 		// stop EMA protection
-		if s.stopEWMA != nil && !s.BreakLow.StopEMARange.IsZero() {
+		if s.stopEWMA != nil {
 			ema := fixedpoint.NewFromFloat(s.stopEWMA.Last())
 			if ema.IsZero() {
 				return

pkg/types/trade_stats.go

@@ -45,7 +45,7 @@ func (s *TradeStats) Add(pnl fixedpoint.Value) {
 		s.WinningRatio = fixedpoint.NewFromFloat(float64(s.NumOfProfitTrade) / float64(s.NumOfLossTrade))
 	}
 
-	s.ProfitFactor = s.GrossProfit.Div(s.GrossLoss)
+	s.ProfitFactor = s.GrossProfit.Div(s.GrossLoss.Abs())
 }
 
 func (s *TradeStats) String() string {