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feature: add smart cancel to drift
This commit is contained in:
zenix
parent
5fdbd7bba3
commit
d11738b6b5
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@ -38,9 +38,11 @@ exchangeStrategies:
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# stddev on high/low-source
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hlVarianceMultiplier: 0.22
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hlRangeWindow: 5
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smootherWindow: 2
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fisherTransformWindow: 8
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smootherWindow: 1
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fisherTransformWindow: 9
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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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generateGraph: true
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graphPNLDeductFee: true
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@ -79,7 +81,7 @@ sync:
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backtest:
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startTime: "2022-01-01"
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endTime: "2022-07-29"
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endTime: "2022-07-30"
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symbols:
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- ETHBUSD
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sessions: [binance]
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@ -33,14 +33,16 @@ exchangeStrategies:
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predictOffset: 2
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noTrailingStopLoss: false
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# stddev on high/low-source
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hlVarianceMultiplier: 0.22
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hlVarianceMultiplier: 0.27
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hlRangeWindow: 5
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smootherWindow: 2
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smootherWindow: 1
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fisherTransformWindow: 9
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# the init value of takeProfitFactor Series, the coefficient of ATR as TP
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takeProfitFactor: 6
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takeProfitFactor: 8
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profitFactorWindow: 8
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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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generateGraph: true
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graphPNLDeductFee: true
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@ -104,7 +106,7 @@ sync:
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backtest:
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startTime: "2022-01-01"
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endTime: "2022-07-29"
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endTime: "2022-07-30"
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symbols:
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- BTCBUSD
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sessions: [binance]
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@ -114,4 +116,4 @@ backtest:
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takerFeeRate: 0.00075
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balances:
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BTC: 1
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BUSD: 5000.0
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BUSD: 50000.0
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@ -24,6 +24,11 @@ import (
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const ID = "drift"
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const DDriftFilterNeg = -0.7
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const DDriftFilterPos = 0.7
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const DriftFilterNeg = -1.8
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const DriftFilterPos = 1.8
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var log = logrus.WithField("strategy", ID)
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var Four fixedpoint.Value = fixedpoint.NewFromInt(4)
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var Three fixedpoint.Value = fixedpoint.NewFromInt(3)
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@ -56,6 +61,8 @@ type Strategy struct {
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atr *indicator.ATR
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midPrice fixedpoint.Value
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lock sync.RWMutex
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minutesCounter int
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orderPendingCounter map[uint64]int
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// This stores the maximum TP coefficient of ATR multiplier of each entry point
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takeProfitFactor types.UpdatableSeriesExtend
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@ -72,6 +79,7 @@ type Strategy struct {
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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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PendingMinutes int `json:"pendingMinutes"`
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buyPrice float64
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sellPrice float64
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@ -119,6 +127,7 @@ func (s *Strategy) Print(o *os.File) {
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hiyellow(f, "smootherWindow: %d\n", s.SmootherWindow)
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hiyellow(f, "fisherTransformWindow: %d\n", s.FisherTransformWindow)
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hiyellow(f, "atrWindow: %d\n", s.ATRWindow)
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hiyellow(f, "pendingMinutes: %d\n", s.PendingMinutes)
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hiyellow(f, "\n")
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}
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@ -297,6 +306,43 @@ func (s *Strategy) initIndicators() error {
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return nil
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}
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func (s *Strategy) smartCancel(ctx context.Context, pricef, atr, takeProfitFactor float64) (int, error) {
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nonTraded := s.GeneralOrderExecutor.ActiveMakerOrders().Orders()
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if len(nonTraded) > 0 {
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if len(nonTraded) > 1 {
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log.Errorf("should only have one order to cancel, got %d", len(nonTraded))
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}
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toCancel := false
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for _, order := range nonTraded {
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if s.minutesCounter-s.orderPendingCounter[order.OrderID] > s.PendingMinutes {
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toCancel = true
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} else if order.Side == types.SideTypeBuy {
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if order.Price.Float64()+atr*takeProfitFactor <= pricef {
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toCancel = true
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}
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} else if order.Side == types.SideTypeSell {
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if order.Price.Float64()-atr*takeProfitFactor >= pricef {
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toCancel = true
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}
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} else {
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panic("not supported side for the order")
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}
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}
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if toCancel {
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err := s.GeneralOrderExecutor.GracefulCancel(ctx)
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// TODO: clean orderPendingCounter on cancel/trade
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if err == nil {
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for _, order := range nonTraded {
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delete(s.orderPendingCounter, order.OrderID)
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}
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}
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return 0, err
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}
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}
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return len(nonTraded), nil
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}
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func (s *Strategy) initTickerFunctions(ctx context.Context) {
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if s.IsBackTesting() {
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s.getLastPrice = func() fixedpoint.Value {
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@ -326,28 +372,37 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
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} else {
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return
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}
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defer s.lock.Unlock()
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// for trailing stoploss during the realtime
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if s.NoTrailingStopLoss {
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return
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}
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atr = s.atr.Last()
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takeProfitFactor := s.takeProfitFactor.Predict(2)
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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, takeProfitFactor); err != nil {
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log.WithError(err).Errorf("cannot cancel orders")
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return
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}
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if numPending > 0 {
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return
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}
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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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// for trailing stoploss during the realtime
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if s.NoTrailingStopLoss || s.GeneralOrderExecutor.ActiveMakerOrders().NumOfOrders() > 0 {
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s.lock.Unlock()
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return
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}
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atr = s.atr.Last()
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avg = s.buyPrice + s.sellPrice
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d := s.drift.TestUpdate(pricef)
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drift := d.Last()
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ddrift := d.drift.Last()
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takeProfitFactor := s.takeProfitFactor.Predict(2)
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exitShortCondition := ( /*avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef ||*/ (drift > 0 && ddrift > 0.6) || avg-atr*takeProfitFactor >= pricef ||
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exitShortCondition := ( /*avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef || (ddrift > 0 && drift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef ||
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((pricef-s.lowestPrice)/s.lowestPrice > 0.003 && (avg-s.lowestPrice)/s.lowestPrice > 0.015)) &&
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(s.Position.IsShort() && !s.Position.IsDust(price))
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exitLongCondition := ( /*avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef ||*/ (drift < 0 && ddrift < -0.6) || avg+atr*takeProfitFactor <= pricef ||
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exitLongCondition := ( /*avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef || (ddrift < 0 && drift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef ||
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((s.highestPrice-pricef)/pricef > 0.003 && (s.highestPrice-avg)/avg > 0.015)) &&
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(!s.Position.IsLong() && !s.Position.IsDust(price))
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if exitShortCondition || exitLongCondition {
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@ -358,8 +413,6 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
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}
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_ = s.ClosePosition(ctx, fixedpoint.One)
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}
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s.lock.Unlock()
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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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@ -481,6 +534,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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})
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s.GeneralOrderExecutor.Bind()
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s.orderPendingCounter = make(map[uint64]int)
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s.minutesCounter = 0
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// Exit methods from config
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for _, method := range s.ExitMethods {
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method.Bind(session, s.GeneralOrderExecutor)
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@ -606,6 +662,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return
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}
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if kline.Interval == types.Interval1m {
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s.minutesCounter += 1
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if s.NoTrailingStopLoss || !s.IsBackTesting() {
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return
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}
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@ -613,12 +670,20 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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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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takeProfitFactor := s.takeProfitFactor.Predict(2)
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var err error
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numPending := 0
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if numPending, err = s.smartCancel(ctx, pricef, atr, takeProfitFactor); err != nil {
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log.WithError(err).Errorf("cannot cancel orders")
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return
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}
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if numPending > 0 {
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return
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}
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lowf := math.Min(kline.Low.Float64(), pricef)
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highf := math.Max(kline.High.Float64(), pricef)
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d := s.drift.TestUpdate(pricef)
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drift := d.Last()
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ddrift := d.drift.Last()
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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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@ -627,15 +692,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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avg := s.buyPrice + s.sellPrice
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if s.GeneralOrderExecutor.ActiveMakerOrders().NumOfOrders() > 0 {
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return
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}
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takeProfitFactor := s.takeProfitFactor.Predict(2)
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exitShortCondition := ( /*avg+atr/2 <= highf || avg*(1.+stoploss) <= pricef ||*/ (drift > 0 && ddrift > 0.6) || avg-atr*takeProfitFactor >= pricef ||
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exitShortCondition := ( /*avg+atr/2 <= highf || avg*(1.+stoploss) <= pricef || (drift > 0 && ddrift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef ||
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((highf-s.lowestPrice)/s.lowestPrice > 0.003 && (avg-s.lowestPrice)/s.lowestPrice > 0.015)) &&
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(s.Position.IsShort() && !s.Position.IsDust(price))
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exitLongCondition := ( /*avg-atr/2 >= lowf || avg*(1.-stoploss) >= pricef || */ (drift < 0 && ddrift < -0.6) || avg+atr*takeProfitFactor <= pricef ||
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exitLongCondition := ( /*avg-atr/2 >= lowf || avg*(1.-stoploss) >= pricef || (drift < 0 && ddrift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef ||
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((s.highestPrice-lowf)/lowf > 0.003 && (s.highestPrice-avg)/avg > 0.015)) &&
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(s.Position.IsLong() && !s.Position.IsDust(price))
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if exitShortCondition || exitLongCondition {
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@ -688,17 +748,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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bbgo.Notify("balances: [Base] %s [Quote] %s", balances[s.Market.BaseCurrency].String(), balances[s.Market.QuoteCurrency].String())
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}
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//shortCondition := (sourcef <= zeroPoint && driftPred <= drift[0] && drift[0] <= 0 && drift[1] > 0 && drift[2] > drift[1])
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//longCondition := (sourcef >= zeroPoint && driftPred >= drift[0] && drift[0] >= 0 && drift[1] < 0 && drift[2] < drift[1])
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//bothUp := ddrift[1] < ddrift[0] && drift[1] < drift[0]
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//bothDown := ddrift[1] > ddrift[0] && drift[1] > drift[0]
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shortCondition := (drift[1] >= -0.9 || ddrift[1] >= 0) && (driftPred <= -0.6 || ddriftPred <= 0)
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longCondition := (drift[1] <= 0.9 || ddrift[1] <= 0) && (driftPred >= 0.6 || ddriftPred >= 0)
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exitShortCondition := ((drift[0] >= 0.6 && ddrift[0] >= 0) ||
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shortCondition := (drift[1] >= DriftFilterNeg || ddrift[1] >= 0) && (driftPred <= DDriftFilterNeg || ddriftPred <= 0)
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longCondition := (drift[1] <= DriftFilterPos || ddrift[1] <= 0) && (driftPred >= DDriftFilterPos || ddriftPred >= 0)
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exitShortCondition := ((drift[0] >= DriftFilterPos && ddrift[0] >= 0) ||
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avg*(1.+stoploss) <= pricef ||
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avg-atr*takeProfitFactor >= pricef) &&
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s.Position.IsShort() && !longCondition && !shortCondition
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exitLongCondition := ((drift[0] <= -0.6 && ddrift[0] <= 0) ||
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exitLongCondition := ((drift[0] <= DriftFilterNeg && ddrift[0] <= 0) ||
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avg*(1.-stoploss) >= pricef ||
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avg+atr*takeProfitFactor <= pricef) &&
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s.Position.IsLong() && !shortCondition && !longCondition
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@ -759,6 +815,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return
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}
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orderTagHistory[createdOrders[0].OrderID] = "short"
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s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
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}
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if longCondition {
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if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
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@ -801,6 +858,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return
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}
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orderTagHistory[createdOrders[0].OrderID] = "long"
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s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
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}
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})
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@ -226,6 +226,8 @@ func (s *TradeStats) BriefString() string {
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GrossLoss: s.GrossLoss,
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LargestProfitTrade: s.LargestProfitTrade,
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LargestLossTrade: s.LargestLossTrade,
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AverageProfitTrade: s.AverageProfitTrade,
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AverageLossTrade: s.AverageLossTrade,
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ProfitFactor: s.ProfitFactor,
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TotalNetProfit: s.TotalNetProfit,
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IntervalProfits: s.IntervalProfits,
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