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optimize: drift strategy to use market trade signals
This commit is contained in:
zenix
parent
a15d125679
commit
ce86544c43
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@ -1,102 +0,0 @@
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---
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persistence:
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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sessions:
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binance:
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exchange: binance
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futures: false
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envVarPrefix: binance
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heikinAshi: false
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# Drift strategy intends to place buy/sell orders as much value mas it could be. To exchanges that requires to
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# calculate fees before placing limit orders (e.g. FTX Pro), make sure the fee rate is configured correctly and
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# enable modifyOrderAmountForFee to prevent order rejection.
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makerFeeRate: 0.0002
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takerFeeRate: 0.0007
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modifyOrderAmountForFee: false
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exchangeStrategies:
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- on: binance
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drift:
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canvasPath: "./output.png"
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symbol: ETHBUSD
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limitOrder: false
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quantity: 0.01
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# kline interval for indicators
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interval: 1m
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window: 1
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useAtr: true
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useStopLoss: true
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stoploss: 0.23%
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source: ohlc4
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predictOffset: 2
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noTrailingStopLoss: false
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trailingStopLossType: kline
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# stddev on high/low-source
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hlVarianceMultiplier: 0.13
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hlRangeWindow: 4
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smootherWindow: 19
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fisherTransformWindow: 73
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atrWindow: 14
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# orders not been traded will be canceled after `pendingMinutes` minutes
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pendingMinutes: 5
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noRebalance: true
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trendWindow: 12
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rebalanceFilter: 2
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trailingActivationRatio: [0.0015, 0.002, 0.004, 0.01]
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trailingCallbackRate: [0.0001, 0.00012, 0.001, 0.002]
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generateGraph: true
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graphPNLDeductFee: true
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graphPNLPath: "./pnl.png"
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graphCumPNLPath: "./cumpnl.png"
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#exits:
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#- roiStopLoss:
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# percentage: 0.8%
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#- roiTakeProfit:
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# percentage: 35%
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#- protectiveStopLoss:
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# activationRatio: 0.6%
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# stopLossRatio: 0.1%
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# placeStopOrder: false
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#- protectiveStopLoss:
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# activationRatio: 5%
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# stopLossRatio: 1%
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# placeStopOrder: false
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#- cumulatedVolumeTakeProfit:
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# interval: 5m
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# window: 2
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# minQuoteVolume: 200_000_000
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#- protectiveStopLoss:
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# activationRatio: 2%
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# stopLossRatio: 1%
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# placeStopOrder: false
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sync:
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userDataStream:
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trades: true
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filledOrders: true
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sessions:
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- binance
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symbols:
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- ETHBUSD
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backtest:
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startTime: "2022-09-25"
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endTime: "2022-09-30"
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symbols:
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- ETHBUSD
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sessions: [binance]
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accounts:
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binance:
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makerFeeRate: 0.0000
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takerFeeRate: 0.0000
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balances:
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ETH: 0.03
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BUSD: 0
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@ -26,6 +26,7 @@ exchangeStrategies:
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- on: binance
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drift:
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debug: false
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minInterval: 1s
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limitOrder: true
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#quantity: 0.0012
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@ -33,26 +34,24 @@ exchangeStrategies:
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symbol: BTCUSDT
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# kline interval for indicators
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interval: 1s
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window: 6
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window: 2
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useAtr: true
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useStopLoss: true
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stoploss: 0.05%
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stoploss: 0.01%
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source: hl2
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predictOffset: 2
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noTrailingStopLoss: false
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trailingStopLossType: kline
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noTrailingStopLoss: true
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# stddev on high/low-source
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hlVarianceMultiplier: 0.14
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hlRangeWindow: 4
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smootherWindow: 3
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fisherTransformWindow: 125
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#fisherTransformWindow: 117
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hlVarianceMultiplier: 0.7
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hlRangeWindow: 6
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smootherWindow: 10
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fisherTransformWindow: 45
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atrWindow: 24
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# orders not been traded will be canceled after `pendingMinutes` minutes
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pendingMinutes: 10
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pendingMinInterval: 6
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noRebalance: true
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trendWindow: 15
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rebalanceFilter: -0.1
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trendWindow: 4
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rebalanceFilter: 2
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# ActivationRatio should be increasing order
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# when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
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@ -126,8 +125,8 @@ sync:
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- BTCUSDT
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backtest:
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startTime: "2022-10-18"
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endTime: "2022-10-19"
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startTime: "2022-10-19"
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endTime: "2022-10-20"
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symbols:
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- BTCUSDT
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sessions: [binance]
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@ -66,57 +66,58 @@ type Strategy struct {
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*types.TradeStats `persistence:"trade_stats"`
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p *types.Position
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MinInterval types.Interval `json:"MinInterval"`
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MinInterval types.Interval `json:"MinInterval"` // minimum interval referred for doing stoploss/trailing exists and updating highest/lowest
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priceLines *types.Queue
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trendLine types.UpdatableSeriesExtend
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ma types.UpdatableSeriesExtend
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stdevHigh *indicator.StdDev
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stdevLow *indicator.StdDev
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drift *DriftMA
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atr *indicator.ATR
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midPrice fixedpoint.Value
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lock sync.RWMutex `ignore:"true"`
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positionLock sync.RWMutex `ignore:"true"`
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startTime time.Time
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counter int
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orderPendingCounter map[uint64]int
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frameKLine *types.KLine
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klineMin *types.KLine
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priceLines *types.Queue
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trendLine types.UpdatableSeriesExtend
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ma types.UpdatableSeriesExtend
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stdevHigh *indicator.StdDev
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stdevLow *indicator.StdDev
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drift *DriftMA
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atr *indicator.ATR
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midPrice fixedpoint.Value // the midPrice is the average of bestBid and bestAsk in public orderbook
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lock sync.RWMutex `ignore:"true"` // lock for midPrice
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positionLock sync.RWMutex `ignore:"true"` // lock for highest/lowest and p
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startTime time.Time // trading start time
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counter int // number of MinInterval since startTime
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maxCounterBuyCanceled int // the largest counter of the order on the buy side been cancelled. meaning the latest cancelled buy order.
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maxCounterSellCanceled int // the largest counter of the order on the sell side been cancelled. meaning the latest cancelled sell order.
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orderPendingCounter map[uint64]int // records the timepoint when the orders are created, using the counter at the time.
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frameKLine *types.KLine // last kline in Interval
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klineMin *types.KLine // last kline in MinInterval
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beta float64
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beta float64 // last beta value from trendline's linear regression (previous slope of the trendline)
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UseStopLoss bool `json:"useStopLoss" modifiable:"true"`
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UseAtr bool `json:"useAtr" modifiable:"true"`
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StopLoss fixedpoint.Value `json:"stoploss" modifiable:"true"`
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CanvasPath string `json:"canvasPath"`
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PredictOffset int `json:"predictOffset"`
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HighLowVarianceMultiplier float64 `json:"hlVarianceMultiplier" modifiable:"true"`
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NoTrailingStopLoss bool `json:"noTrailingStopLoss" modifiable:"true"`
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TrailingStopLossType string `json:"trailingStopLossType" modifiable:"true"` // trailing stop sources. Possible options are `kline` for 1m kline and `realtime` from order updates
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HLRangeWindow int `json:"hlRangeWindow"`
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SmootherWindow int `json:"smootherWindow"`
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FisherTransformWindow int `json:"fisherTransformWindow"`
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ATRWindow int `json:"atrWindow"`
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PendingMinInterval int `json:"pendingMinInterval" modifiable:"true"` // if order not be traded for pendingMinInterval of time, cancel it.
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NoRebalance bool `json:"noRebalance" modifiable:"true"` // disable rebalance
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TrendWindow int `json:"trendWindow"` // trendLine is used for rebalancing the position. When trendLine goes up, hold base, otherwise hold quote
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RebalanceFilter float64 `json:"rebalanceFilter" modifiable:"true"` // beta filter on the Linear Regression of trendLine
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Debug bool `json:"debug" modifiable:"true"` // to print debug message or not
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UseStopLoss bool `json:"useStopLoss" modifiable:"true"` // whether to use stoploss rate to do stoploss
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UseAtr bool `json:"useAtr" modifiable:"true"` // use atr as stoploss
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StopLoss fixedpoint.Value `json:"stoploss" modifiable:"true"` // stoploss rate
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PredictOffset int `json:"predictOffset"` // the lookback length for the prediction using linear regression
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HighLowVarianceMultiplier float64 `json:"hlVarianceMultiplier" modifiable:"true"` // modifier to set the limit order price
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NoTrailingStopLoss bool `json:"noTrailingStopLoss" modifiable:"true"` // turn off the trailing exit and stoploss
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HLRangeWindow int `json:"hlRangeWindow"` // ma window for kline high/low changes
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SmootherWindow int `json:"smootherWindow"` // window that controls the smoothness of drift
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FisherTransformWindow int `json:"fisherTransformWindow"` // fisher transform window to filter drift's negative signals
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ATRWindow int `json:"atrWindow"` // window for atr indicator
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PendingMinInterval int `json:"pendingMinInterval" modifiable:"true"` // if order not be traded for pendingMinInterval of time, cancel it.
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NoRebalance bool `json:"noRebalance" modifiable:"true"` // disable rebalance
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TrendWindow int `json:"trendWindow"` // trendLine is used for rebalancing the position. When trendLine goes up, hold base, otherwise hold quote
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RebalanceFilter float64 `json:"rebalanceFilter" modifiable:"true"` // beta filter on the Linear Regression of trendLine
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TrailingCallbackRate []float64 `json:"trailingCallbackRate" modifiable:"true"`
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TrailingActivationRatio []float64 `json:"trailingActivationRatio" modifiable:"true"`
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buyPrice float64 `persistence:"buy_price"`
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sellPrice float64 `persistence:"sell_price"`
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highestPrice float64 `persistence:"highest_price"`
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lowestPrice float64 `persistence:"lowest_price"`
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buyPrice float64 `persistence:"buy_price"` // price when a long position is opened
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sellPrice float64 `persistence:"sell_price"` // price when a short position is opened
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highestPrice float64 `persistence:"highest_price"` // highestPrice when the position is opened
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lowestPrice float64 `persistence:"lowest_price"` // lowestPrice when the position is opened
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// This is not related to trade but for statistics graph generation
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// Will deduct fee in percentage from every trade
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GraphPNLDeductFee bool `json:"graphPNLDeductFee"`
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GraphPNLPath string `json:"graphPNLPath"`
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GraphCumPNLPath string `json:"graphCumPNLPath"`
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// Whether to generate graph when shutdown
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GenerateGraph bool `json:"generateGraph"`
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CanvasPath string `json:"canvasPath"` // backtest related. the path to store the indicator graph
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GraphPNLPath string `json:"graphPNLPath"` // backtest related. the path to store the pnl % graph per trade graph.
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GraphCumPNLPath string `json:"graphCumPNLPath"` // backtest related. the path to store the asset changes in graph
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GenerateGraph bool `json:"generateGraph"` // whether to generate graph when shutdown
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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Session *bbgo.ExchangeSession
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@ -139,7 +140,7 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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if !bbgo.IsBackTesting {
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session.Subscribe(types.BookTickerChannel, s.Symbol, types.SubscribeOptions{})
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session.Subscribe(types.AggTradeChannel, s.Symbol, types.SubscribeOptions{})
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session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
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// able to preload
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if s.MinInterval.Milliseconds() >= types.Interval1s.Milliseconds() && s.MinInterval.Milliseconds()%types.Interval1s.Milliseconds() == 0 {
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maxWindow := (s.Window + s.SmootherWindow + s.FisherTransformWindow) * (s.Interval.Milliseconds() / s.MinInterval.Milliseconds())
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@ -296,6 +297,15 @@ func (s *Strategy) smartCancel(ctx context.Context, pricef, atr float64) (int, e
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err := s.GeneralOrderExecutor.CancelNoWait(ctx)
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// TODO: clean orderPendingCounter on cancel/trade
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for _, order := range nonTraded {
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if order.Side == types.SideTypeSell {
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if s.maxCounterSellCanceled < s.orderPendingCounter[order.OrderID] {
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s.maxCounterSellCanceled = s.orderPendingCounter[order.OrderID]
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}
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} else {
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if s.maxCounterBuyCanceled < s.orderPendingCounter[order.OrderID] {
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s.maxCounterBuyCanceled = s.orderPendingCounter[order.OrderID]
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}
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}
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delete(s.orderPendingCounter, order.OrderID)
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}
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log.Warnf("cancel all %v", err)
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@ -346,7 +356,6 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
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bestBid := ticker.Buy
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bestAsk := ticker.Sell
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var pricef float64
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if !util.TryLock(&s.lock) {
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return
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}
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@ -357,37 +366,10 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
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} else {
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s.midPrice = bestBid
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}
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pricef = s.midPrice.Float64()
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s.lock.Unlock()
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if !util.TryLock(&s.positionLock) {
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return
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}
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// we removed realtime stoploss and trailingStop.
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if s.highestPrice > 0 && s.highestPrice < pricef {
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s.highestPrice = pricef
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}
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if s.lowestPrice > 0 && s.lowestPrice > pricef {
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s.lowestPrice = pricef
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}
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if s.CheckStopLoss() {
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s.positionLock.Unlock()
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s.ClosePosition(ctx, fixedpoint.One)
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return
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}
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// for trailing stoploss during the realtime
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if s.NoTrailingStopLoss || s.TrailingStopLossType == "kline" {
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s.positionLock.Unlock()
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return
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}
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exitCondition := s.trailingCheck(pricef, "short") || s.trailingCheck(pricef, "long")
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s.positionLock.Unlock()
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if exitCondition {
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s.ClosePosition(ctx, fixedpoint.One)
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}
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})
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s.getLastPrice = func() (lastPrice fixedpoint.Value) {
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var ok bool
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@ -585,35 +567,29 @@ func (s *Strategy) klineHandlerMin(ctx context.Context, kline types.KLine) {
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if s.highestPrice > 0 && highf > s.highestPrice {
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s.highestPrice = highf
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}
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s.positionLock.Unlock()
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numPending := 0
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var err error
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if numPending, err = s.smartCancel(ctx, pricef, atr); err != nil {
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log.WithError(err).Errorf("cannot cancel orders")
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s.positionLock.Unlock()
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return
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}
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if numPending > 0 {
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s.positionLock.Unlock()
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return
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}
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if s.NoTrailingStopLoss || s.TrailingStopLossType == "realtime" {
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s.positionLock.Unlock()
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if s.NoTrailingStopLoss {
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return
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}
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exitCondition := s.CheckStopLoss() || s.trailingCheck(highf, "short") || s.trailingCheck(lowf, "long")
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s.positionLock.Unlock()
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if exitCondition {
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_ = s.ClosePosition(ctx, fixedpoint.One)
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}
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}
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func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
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var driftPred, atr float64
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var drift []float64
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s.frameKLine.Set(&kline)
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source := s.GetSource(&kline)
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@ -625,9 +601,7 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
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s.atr.PushK(kline)
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driftPred = s.drift.Predict(s.PredictOffset)
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ddriftPred := s.drift.drift.Predict(s.PredictOffset)
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atr = s.atr.Last()
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atr := s.atr.Last()
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price := s.getLastPrice()
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pricef := price.Float64()
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lowf := math.Min(kline.Low.Float64(), pricef)
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@ -636,7 +610,7 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
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s.stdevLow.Update(lowdiff)
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highdiff := highf - s.ma.Last()
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s.stdevHigh.Update(highdiff)
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drift = s.drift.Array(2)
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drift := s.drift.Array(2)
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if len(drift) < 2 || len(drift) < s.PredictOffset {
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return
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}
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@ -649,77 +623,78 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
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return
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}
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s.positionLock.Lock()
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log.Infof("highdiff: %3.2f ma: %.2f, open: %8v, close: %8v, high: %8v, low: %8v, time: %v %v", s.stdevHigh.Last(), s.ma.Last(), kline.Open, kline.Close, kline.High, kline.Low, kline.StartTime, kline.EndTime)
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s.positionLock.Lock()
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if s.lowestPrice > 0 && lowf < s.lowestPrice {
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s.lowestPrice = lowf
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}
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if s.highestPrice > 0 && highf > s.highestPrice {
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s.highestPrice = highf
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}
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s.positionLock.Unlock()
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if !s.NoRebalance {
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s.Rebalance(ctx)
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}
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balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
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bbgo.Notify("source: %.4f, price: %.4f, driftPred: %.4f, ddriftPred: %.4f, drift[1]: %.4f, ddrift[1]: %.4f, atr: %.4f, lowf %.4f, highf: %.4f lowest: %.4f highest: %.4f sp %.4f bp %.4f",
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sourcef, pricef, driftPred, ddriftPred, drift[1], ddrift[1], atr, lowf, highf, s.lowestPrice, s.highestPrice, s.sellPrice, s.buyPrice)
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// Notify will parse args to strings and process separately
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bbgo.Notify("balances: [Total] %v %s [Base] %s(%v %s) [Quote] %s",
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s.CalcAssetValue(price),
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s.Market.QuoteCurrency,
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balances[s.Market.BaseCurrency].String(),
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balances[s.Market.BaseCurrency].Total().Mul(price),
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s.Market.QuoteCurrency,
|
||||
balances[s.Market.QuoteCurrency].String(),
|
||||
)
|
||||
if s.Debug {
|
||||
balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
|
||||
bbgo.Notify("source: %.4f, price: %.4f, drift[0]: %.4f, ddrift[0]: %.4f, lowf %.4f, highf: %.4f lowest: %.4f highest: %.4f sp %.4f bp %.4f",
|
||||
sourcef, pricef, drift[0], ddrift[0], atr, lowf, highf, s.lowestPrice, s.highestPrice, s.sellPrice, s.buyPrice)
|
||||
// Notify will parse args to strings and process separately
|
||||
bbgo.Notify("balances: [Total] %v %s [Base] %s(%v %s) [Quote] %s",
|
||||
s.CalcAssetValue(price),
|
||||
s.Market.QuoteCurrency,
|
||||
balances[s.Market.BaseCurrency].String(),
|
||||
balances[s.Market.BaseCurrency].Total().Mul(price),
|
||||
s.Market.QuoteCurrency,
|
||||
balances[s.Market.QuoteCurrency].String(),
|
||||
)
|
||||
}
|
||||
|
||||
shortCondition := drift[1] >= 0 && drift[0] <= 0 || (drift[1] >= drift[0] && drift[1] <= 0) || ddrift[1] >= 0 && ddrift[0] <= 0 || (ddrift[1] >= ddrift[0] && ddrift[1] <= 0)
|
||||
longCondition := drift[1] <= 0 && drift[0] >= 0 || (drift[1] <= drift[0] && drift[1] >= 0) || ddrift[1] <= 0 && ddrift[0] >= 0 || (ddrift[1] <= ddrift[0] && ddrift[1] >= 0)
|
||||
if shortCondition && longCondition {
|
||||
if drift[1] > drift[0] {
|
||||
if s.priceLines.Index(1) > s.priceLines.Last() {
|
||||
longCondition = false
|
||||
} else {
|
||||
shortCondition = false
|
||||
}
|
||||
}
|
||||
exitCondition := s.CheckStopLoss() || s.trailingCheck(pricef, "short") || s.trailingCheck(pricef, "long")
|
||||
exitCondition := !s.NoTrailingStopLoss && (s.CheckStopLoss() || s.trailingCheck(pricef, "short") || s.trailingCheck(pricef, "long"))
|
||||
|
||||
if exitCondition {
|
||||
s.positionLock.Unlock()
|
||||
if err := s.GeneralOrderExecutor.CancelNoWait(ctx); err != nil {
|
||||
if exitCondition || longCondition || shortCondition {
|
||||
var err error
|
||||
var hold int
|
||||
if hold, err = s.smartCancel(ctx, sourcef, atr); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
}
|
||||
if hold > 0 {
|
||||
return
|
||||
}
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
if shortCondition || longCondition {
|
||||
s.positionLock.Lock()
|
||||
} else {
|
||||
return
|
||||
} else {
|
||||
if _, err := s.smartCancel(ctx, sourcef, atr); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
}
|
||||
return
|
||||
}
|
||||
|
||||
if longCondition {
|
||||
if err := s.GeneralOrderExecutor.CancelNoWait(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
source = source.Sub(fixedpoint.NewFromFloat(s.stdevLow.Last() * s.HighLowVarianceMultiplier))
|
||||
if source.Compare(price) > 0 {
|
||||
source = price
|
||||
}
|
||||
/*source = fixedpoint.NewFromFloat(s.ma.Last() - s.stdevLow.Last()*s.HighLowVarianceMultiplier)
|
||||
if source.Compare(price) > 0 {
|
||||
source = price
|
||||
}
|
||||
sourcef = source.Float64()*/
|
||||
|
||||
log.Infof("source in long %v %v %f", source, price, s.stdevLow.Last())
|
||||
|
||||
s.positionLock.Unlock()
|
||||
opt := s.OpenPositionOptions
|
||||
opt.Long = true
|
||||
opt.LimitOrder = true
|
||||
// force to use market taker
|
||||
if s.counter-s.maxCounterBuyCanceled <= 1 {
|
||||
opt.LimitOrder = false
|
||||
}
|
||||
opt.Price = source
|
||||
opt.Tags = []string{"long"}
|
||||
createdOrders, err := s.GeneralOrderExecutor.OpenPosition(ctx, opt)
|
||||
|
|
@ -738,28 +713,20 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
|
|||
return
|
||||
}
|
||||
if shortCondition {
|
||||
if err := s.GeneralOrderExecutor.CancelNoWait(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
|
||||
source = source.Add(fixedpoint.NewFromFloat(s.stdevHigh.Last() * s.HighLowVarianceMultiplier))
|
||||
if source.Compare(price) < 0 {
|
||||
source = price
|
||||
}
|
||||
/*source = fixedpoint.NewFromFloat(s.ma.Last() + s.stdevHigh.Last()*s.HighLowVarianceMultiplier)
|
||||
if source.Compare(price) < 0 {
|
||||
source = price
|
||||
}
|
||||
sourcef = source.Float64()*/
|
||||
|
||||
log.Infof("source in short: %v", source)
|
||||
|
||||
s.positionLock.Unlock()
|
||||
opt := s.OpenPositionOptions
|
||||
opt.Short = true
|
||||
opt.Price = source
|
||||
opt.LimitOrder = true
|
||||
if s.counter-s.maxCounterSellCanceled <= 1 {
|
||||
opt.LimitOrder = false
|
||||
}
|
||||
opt.Tags = []string{"short"}
|
||||
createdOrders, err := s.GeneralOrderExecutor.OpenPosition(ctx, opt)
|
||||
if err != nil {
|
||||
|
|
@ -775,7 +742,6 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
|
|||
}
|
||||
return
|
||||
}
|
||||
s.positionLock.Unlock()
|
||||
}
|
||||
|
||||
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
||||
|
|
@ -842,13 +808,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
}
|
||||
s.GeneralOrderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _profit, _netProfit fixedpoint.Value) {
|
||||
s.p.AddTrade(trade)
|
||||
order, ok := s.GeneralOrderExecutor.TradeCollector().OrderStore().Get(trade.OrderID)
|
||||
if !ok {
|
||||
panic(fmt.Sprintf("cannot find order: %v", trade))
|
||||
}
|
||||
tag := order.Tag
|
||||
|
||||
price := trade.Price.Float64()
|
||||
delete(s.orderPendingCounter, trade.OrderID)
|
||||
|
||||
if s.buyPrice > 0 {
|
||||
profit.Update(modify(price / s.buyPrice))
|
||||
|
|
@ -858,19 +819,18 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
cumProfit.Update(s.CalcAssetValue(trade.Price).Float64())
|
||||
}
|
||||
s.positionLock.Lock()
|
||||
defer s.positionLock.Unlock()
|
||||
if s.p.IsDust(trade.Price) {
|
||||
s.buyPrice = 0
|
||||
s.sellPrice = 0
|
||||
s.highestPrice = 0
|
||||
s.lowestPrice = 0
|
||||
} else if s.p.IsLong() {
|
||||
s.buyPrice = s.p.ApproximateAverageCost.Float64() // trade.Price.Float64()
|
||||
s.buyPrice = s.p.ApproximateAverageCost.Float64()
|
||||
s.sellPrice = 0
|
||||
s.highestPrice = math.Max(s.buyPrice, s.highestPrice)
|
||||
s.lowestPrice = s.buyPrice
|
||||
} else if s.p.IsShort() {
|
||||
s.sellPrice = s.p.ApproximateAverageCost.Float64() // trade.Price.Float64()
|
||||
s.sellPrice = s.p.ApproximateAverageCost.Float64()
|
||||
s.buyPrice = 0
|
||||
s.highestPrice = s.sellPrice
|
||||
if s.lowestPrice == 0 {
|
||||
|
|
@ -879,7 +839,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.lowestPrice = math.Min(s.lowestPrice, s.sellPrice)
|
||||
}
|
||||
}
|
||||
bbgo.Notify("tag: %s, sp: %.4f bp: %.4f hp: %.4f lp: %.4f, trade: %s, pos: %s", tag, s.sellPrice, s.buyPrice, s.highestPrice, s.lowestPrice, trade.String(), s.p.String())
|
||||
s.positionLock.Unlock()
|
||||
})
|
||||
|
||||
s.frameKLine = &types.KLine{}
|
||||
|
|
@ -891,42 +851,43 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1d, s.startTime))
|
||||
s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1w, s.startTime))
|
||||
|
||||
// default value: use 1m kline
|
||||
if !s.NoTrailingStopLoss && s.IsBackTesting() || s.TrailingStopLossType == "" {
|
||||
s.TrailingStopLossType = "kline"
|
||||
}
|
||||
|
||||
bbgo.RegisterCommand("/draw", "Draw Indicators", func(reply interact.Reply) {
|
||||
canvas := s.DrawIndicators(s.frameKLine.StartTime)
|
||||
var buffer bytes.Buffer
|
||||
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
||||
log.WithError(err).Errorf("cannot render indicators in drift")
|
||||
reply.Message(fmt.Sprintf("[error] cannot render indicators in drift: %v", err))
|
||||
return
|
||||
}
|
||||
bbgo.SendPhoto(&buffer)
|
||||
go func() {
|
||||
canvas := s.DrawIndicators(s.frameKLine.StartTime)
|
||||
var buffer bytes.Buffer
|
||||
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
||||
log.WithError(err).Errorf("cannot render indicators in drift")
|
||||
reply.Message(fmt.Sprintf("[error] cannot render indicators in drift: %v", err))
|
||||
return
|
||||
}
|
||||
bbgo.SendPhoto(&buffer)
|
||||
}()
|
||||
})
|
||||
|
||||
bbgo.RegisterCommand("/pnl", "Draw PNL(%) per trade", func(reply interact.Reply) {
|
||||
canvas := s.DrawPNL(&profit)
|
||||
var buffer bytes.Buffer
|
||||
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
||||
log.WithError(err).Errorf("cannot render pnl in drift")
|
||||
reply.Message(fmt.Sprintf("[error] cannot render pnl in drift: %v", err))
|
||||
return
|
||||
}
|
||||
bbgo.SendPhoto(&buffer)
|
||||
go func() {
|
||||
canvas := s.DrawPNL(&profit)
|
||||
var buffer bytes.Buffer
|
||||
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
||||
log.WithError(err).Errorf("cannot render pnl in drift")
|
||||
reply.Message(fmt.Sprintf("[error] cannot render pnl in drift: %v", err))
|
||||
return
|
||||
}
|
||||
bbgo.SendPhoto(&buffer)
|
||||
}()
|
||||
})
|
||||
|
||||
bbgo.RegisterCommand("/cumpnl", "Draw Cummulative PNL(Quote)", func(reply interact.Reply) {
|
||||
canvas := s.DrawCumPNL(&cumProfit)
|
||||
var buffer bytes.Buffer
|
||||
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
||||
log.WithError(err).Errorf("cannot render cumpnl in drift")
|
||||
reply.Message(fmt.Sprintf("[error] canot render cumpnl in drift: %v", err))
|
||||
return
|
||||
}
|
||||
bbgo.SendPhoto(&buffer)
|
||||
go func() {
|
||||
canvas := s.DrawCumPNL(&cumProfit)
|
||||
var buffer bytes.Buffer
|
||||
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
||||
log.WithError(err).Errorf("cannot render cumpnl in drift")
|
||||
reply.Message(fmt.Sprintf("[error] canot render cumpnl in drift: %v", err))
|
||||
return
|
||||
}
|
||||
bbgo.SendPhoto(&buffer)
|
||||
}()
|
||||
})
|
||||
|
||||
bbgo.RegisterCommand("/config", "Show latest config", func(reply interact.Reply) {
|
||||
|
|
@ -965,7 +926,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
}
|
||||
|
||||
store.OnKLineClosed(func(kline types.KLine) {
|
||||
s.counter = int(kline.StartTime.Time().Add(kline.Interval.Duration()).Sub(s.startTime).Milliseconds())
|
||||
s.counter = int(kline.StartTime.Time().Add(kline.Interval.Duration()).Sub(s.startTime).Milliseconds()) / s.MinInterval.Milliseconds()
|
||||
if kline.Interval == s.Interval {
|
||||
s.klineHandler(ctx, kline)
|
||||
} else if kline.Interval == s.MinInterval {
|
||||
|
|
|
|||
|
|
@ -104,7 +104,7 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
|||
// this is not enough if we're subscribing 30m intervals using SerialMarketDataStore
|
||||
if !bbgo.IsBackTesting {
|
||||
session.Subscribe(types.BookTickerChannel, s.Symbol, types.SubscribeOptions{})
|
||||
session.Subscribe(types.AggTradeChannel, s.Symbol, types.SubscribeOptions{})
|
||||
session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
|
||||
if s.MinInterval.Milliseconds() >= types.Interval1s.Milliseconds() && s.MinInterval.Milliseconds()%types.Interval1s.Milliseconds() == 0 {
|
||||
bbgo.KLinePreloadLimit = int64(((s.Interval.Milliseconds()/s.MinInterval.Milliseconds())*s.WindowSlow/1000 + 1) + 1000)
|
||||
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user